Jumps in oil prices: the role of economic news
| dc.contributor.author | Elder, John, author | |
| dc.contributor.author | Miao, Hong, author | |
| dc.contributor.author | Ramchander, Sanjay, author | |
| dc.contributor.author | The Energy Journal, publisher | |
| dc.date.accessioned | 2020-05-18T22:28:10Z | |
| dc.date.available | 2020-05-18T22:28:10Z | |
| dc.date.issued | 2012-12 | |
| dc.description | Includes bibliographical references (pages 20-22). | |
| dc.description | Published as: The Energy Journal, 1 vol.34, no. 3, pp.217-237, January 2013, https://doi.org/10.5547/01956574.34.3.10. | |
| dc.description.abstract | Previous research has been unable to identify a strong link between crude oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology to estimate jumps in oil prices. We find a surprisingly strong correspondence between high frequency jumps in oil prices and the arrival of new economic information, with the largest jumps tending to be preceded identifiable economic news. These results indicate that oil prices respond very rapidly to new economic data in ways that appear consistent with economic theory, and also suggest that economic news, rather than speculation unrelated to the economic environment, drives jumps in oil prices. | |
| dc.format.medium | born digital | |
| dc.format.medium | articles | |
| dc.identifier.bibliographicCitation | Elder, J., Miao, H., & Ramchander, S. (2013). Jumps in Oil Prices: The Role of Economic News. The Energy Journal, 34(3), 217–237. https://doi.org/10.5547/01956574.34.3.10 | |
| dc.identifier.uri | https://hdl.handle.net/10217/206894 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | Faculty Publications | |
| dc.rights | ©2013 International Association for Energy Economics. Author can archive pre-print and post-print. | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.subject | oil | |
| dc.subject | jumps | |
| dc.subject | macroeconomic news announcements | |
| dc.title | Jumps in oil prices: the role of economic news | |
| dc.type | Text |
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