Title: | The relationship between European Brent crude oil price development and US macroeconomy | Language: | English | Authors: | Faseli, Omid ![]() |
Category: | Original Research Article | Keywords: | Data Science; Event Study; Intraday Crude Oil Volatility; Macroeconomic News Announcements; Brent Crude Oil | Issue Date: | 2020 | Journal: | International Journal of Research in Business and Social Science | Abstract: | Abnormal volatility has a damaging effect on the macroeconomy and is seen as a measure of risk in asset and commodity markets. This investigation had the aim to analyze the supposed transatlantic volatility inducing effect of the most prominent scheduled macroeconomic news announcements from the United States (US) on Brent Blend crude oil price intraday volatility over a period of seven years from 2012 to 2018. The objective was to generate a ranking list of scheduled US macroeconomic news that forecast high intraday volatility episodes at precise points in time. A total of 38 US news was analyzed using a data mining workflow. Data modeling was conducted using a simple ordinary least squares regression model and performed with programming language Python. A one hour window of rolling standard deviation based on one minute high-frequency closing prices were applied. As a result, 20 scheduled US macroeconomic news was successfully identified to significantly impact Brent crude oil price volatility. The model strongly supports the forecast of high price fluctuations and provides an opportunity for market players to adjust their risk management strategies right in time. |
DOI: | 10.20525/ijrbs.v9i1.587 | Library ID: | AC15573068 | URN: | urn:nbn:at:at-ubtuw:3-8408 | ISSN: | 2147-4478 | Organisation: | E194 - Institut für Information Systems Engineering | Publication Type: | Article Artikel |
Appears in Collections: | Article |
Files in this item:
File | Description | Size | Format | |
---|---|---|---|---|
The relationship between European Brent crude oil price development and US macroeconomy.pdf | 1.42 MB | Adobe PDF | ![]() View/Open |
Page view(s)
90
checked on Feb 27, 2021
Download(s)
41
checked on Feb 27, 2021

Google ScholarTM
Check
This item is licensed under a
Creative Commons License