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OPEC News and Jumps in the Oil Market

Author

Listed:
  • Konstantinos Gkillas

    (Department of Business Administration, University of Patras, University Campus, Rio, P.O. Box 1391, 26500 Patras, Greece)

  • Rangan Gupta

    (Department of Economics, University of Pretoria, Pretoria, 0002, South Africa)

  • Christian Pierdzioch

    (Department of Economics, Helmut Schmidt University, Holstenhofweg 85, P.O.B. 700822, 22008 Hamburg, Germany)

  • Seong-Min Yoon

    (Department of Economics, Pusan National University, 2, Busandaehak-ro 63beon-gil, Geumjeong-gu, Busan, 46241, Republic of Korea)

Abstract
We study the role of OPEC meeting dates and production announcements for predicting jumps in the oil market. The period of analysis spans from the daily period of 2nd December 1997 to 26th May 2017, with the start and end date corresponding to our availability of the intraday data on oil-price data. We, first, apply the standard linear Granger causality test to detect evidence of the OPEC-based predictors in causing jumps. This test fails to detect predictability from OPEC-based predictors to oil market jumps. Yet given the strong evidence of nonlinearity between jumps and the dummies capturing news regarding the OPEC production announcements and meeting dates, we next use a nonparametric causality-in-quantiles test. Upon employing this data-driven robust approach, we find strong evidence that the variables do predict oil market jumps, ranging from the lower end of the conditional distribution of jumps to around the median.

Suggested Citation

  • Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch & Seong-Min Yoon, 2020. "OPEC News and Jumps in the Oil Market," Working Papers 202053, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:202053
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    More about this item

    Keywords

    Oil market jumps; OPEC announcements; Nonparametric quantile causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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