Ranking of US macroeconomic news impacting WTI crude oil volatility risk

Abstract

This study had the purpose to investigate the impact of 38 scheduled major United States (US) macroeconomic news on WTI crude oil intraday volatility for the period 2012-2018. It was the aim to provide a news ranking that indicates upcoming high volatility episodes at a specific point in time. The West Texas Intermediate (WTI) light crude oil represents a benchmark since it has a signal effect on market players. High crude oil price volatility is a measure of risk and known to increase inflation, to affect producers, consumers, and investors and to destabilize economic growth. In this research approach one-minute high-frequency bid close prices provided the basis for a 1h window rolling standard deviation. Data modeling was performed using simple and multiple robust ordinary least squares (OLS) regression performed with programming language Python. The model successfully identified 21 significant news announcements in both, the simple and multiple regression models, however, simple OLS-regression appears to be more sensitive. It also provided a ranking of US news impacting WTI volatility risk. The results support the prediction of approaching high price volatility and thus, display an opportunity for market participants and decision-makers to minimize risk.

Keywords: {'name': 'Data Science'}, {'name': 'Intraday Crude Oil Prices'}, {'name': 'Event Study'}, {'name': 'Macroeconomic'}, {'name': 'Announcements'}

Authors & affiliations

Omid Faseli
Affiliation not supplied

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