OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets

Ayadi, Mohamed; Omrane, Walid Ben; Lazrak, Skander; Yan, Xusheng

doi:10.1016/j.frl.2019.101366

Cited by 12 publications

(5 citation statements)

References 18 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For example, according to Bianchi (2021), monetary policy and inflation are responsible for gold price volatility. US financial policy news has a calming influence on commodity volatility, according to Ayadi et al (2020). Economic activity and volatility are linked in several studies (e.g., Aharon and Qadan 2018;Bahloul and Gupta 2018), and Rehman and Vo (2021) show that economic activity news has a rapid and large impact on metal futures' volatility.…”

Section: Macroeconomic Volatility and Commodity Marketsmentioning

confidence: 99%

RETRACTED ARTICLE: Economic policy uncertainty and commodity market volatility: implications for economic recovery

Xiao

Ayub

2022

Environ Sci Pollut Res

View full text Add to dashboard Cite

As a consequence of the COVID-19 pandemic outbreak, most commodities experienced significant price drops, which were expected to continue well into 2020. As a result, the Markov switching model is used to study the influence of policy uncertainty and the COVID-19 pandemic on commodity prices in the USA. Commodity markets are stimulated by economic policy uncertainty, according to results from a two-state Markov switching model. In both high and low regimes, economic policy uncertainty (EPU) influences the commodity market, according to the study's findings. However, in the high regime, EPU has a greater influence on the energy and metal sectors. EPU has different influences on commodity markets in highand low-volatility regimes, according to this study. There is a wide range of correlations between COVID-19 outcomes and EPU and how the prices of natural gas, oil, corn, silver, soybean, copper, gold, and steel respond to these tremors, in both high-and low-volatility tenure. Oil and natural gas, on the other hand, are unaffected by shifts in COVID-19 death rates under either regime. Results show that in both high-and low-volatility regimes, the demand and supply for most commodities are responsive to historical prices.

show abstract

Section: Macroeconomic Volatility and Commodity Marketsmentioning

confidence: 99%

RETRACTED ARTICLE: Economic policy uncertainty and commodity market volatility: implications for economic recovery

Xiao

Ayub

2022

Environ Sci Pollut Res

View full text Add to dashboard Cite

show abstract

“…The first one, we confirm that the positive surprise impact of the inventory report on volatility disappears following a too narrow a window and that no impact can be detected on a daily basis 11 . These results are also consistent with those of Hui (2014) and more recently Ayadi et al (2019) which find that the volatility is not influenced by the inventory announcement based on a daily frequency. Second, a negative API shock is followed by a correction of about −0.066% and −0.039 for the pre‐collapse and whole periods, respectively in the daily frequency which is likely explained by the decrease in uncertainty.…”

Section: Resultssupporting

confidence: 92%

Inventory information arrival and the crude oil futures market

Chebbi¹,

Hmedat

2022

Int. J Fin Econ

View full text Add to dashboard Cite

The objective of this paper is to provide a deeper insight into the impact of weekly inventory announcements and especially their associated surprises on crude oil returns and volatility during the period from 27 March 2012 to 2 October 2018. The results can be summarized as follows. First, we find that all inventory surprises exert an inverse impact on the oil price returns. Such impact appears more pronounced during the collapse and post‐collapse periods, than during the pre‐collapse period. Second, we show that the reducing volatility effects of inventory shocks that we establish for the whole period are entirely attributed to those observed in the pre‐collapse period. Third, the different effects obtained for positive and negative shocks support evidence that our split of inventory news by nature matters. Fourth, compared to macroeconomic and unconventional monetary news, the inventory statements appear as the most pertinent news during the event window. Fifth, we find evidence also that the effect of the uncertainty about economic stance, when it is significant, changes the way the oil prices and volatility react to inventory surprises, and hence weakens the effectiveness of the inventory policy. Lastly, we make an original use of the information content of the implied volatility to assess the persistence of the link between the conditional variance and the inventory news. The central finding is that the implied volatility enters with a significant effect on the conditional variance for WTI oil returns and namely with a reduced volatility persistence. Also, a significant effect from inventory surprises namely when we split the announcements into negative and positive news is detected even the implied volatility is introduced exogenously in the GARCH‐type variance specification highlighting the predominance of our main variable.

show abstract

“…Previous research has established that a variety of geopolitical risk events, such as macroeconomic announcements [15,35,36], significant political occurrences [20,37], and economic policy uncertainties [14,38], affect asset price returns. Geopolitical risk, as defined by [39], refers to the "efforts of states and organizations to assert control and vie for territory...the risks arising from wars, acts of terrorism, and tensions between states that disrupt the usual and peaceful progression of international relations".…”

Section: Spillover Of Geopolitical Events On Oil Stock Returnsmentioning

confidence: 99%

Spillovers across the Asian OPEC+ Financial Market

Vuković,

Dekpo-Adza,

Khmelnitskiy

et al. 2023

Mathematics

View full text Add to dashboard Cite

This research utilizes the Diebold and Yilmaz spillover model to examine the correlation between geopolitical events, natural disasters, and oil stock returns in Asian OPEC+ member countries. The study extends prior research by investigating the dynamics of the Asian OPEC+ oil market in light of recent exogenous events. The analysis commences by creating a self-generated Asian OPEC+ index, which demonstrates significant volatility, as indicated by GARCH (1, 1) model estimation. The results obtained from the Diebold and Yilmaz spillover test indicate that, on average, there is a moderate degree of connectedness among the variables. However, in the event of global-level shocks or shocks specifically affecting Asian OPEC+ countries, a heightened level of connectedness is found. Prominent instances of spillover events observed in the volatility analysis conducted during the previous decade include the COVID-19 pandemic, the conflict between Russia and Ukraine, and the Turkey earthquake of 2023. Based on the facts, it is recommended that investors take into account the potential risks linked to regions that are susceptible to natural calamities and geopolitical occurrences while devising their portfolios for oil stocks. The results further highlight the significance of integrating these aspects into investors’ decision-making procedures and stress the need for risk management tactics that consider geopolitical risks and natural disasters in the oil equity market.

show abstract

OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets

Cited by 12 publications

References 18 publications

RETRACTED ARTICLE: Economic policy uncertainty and commodity market volatility: implications for economic recovery

RETRACTED ARTICLE: Economic policy uncertainty and commodity market volatility: implications for economic recovery

Inventory information arrival and the crude oil futures market

Spillovers across the Asian OPEC+ Financial Market

Contact Info

Product

Resources

About