OPEC News Announcement Effect on Volatility in the Crude Oil Market:A Reconsideration
This paper uses a nonparametric quantile-based methodology to analyse the predictiveability of OPEC meeting dates and production announcements on (Brent Crude and West
Texas Intermediate) oil a measure of futures market volatility that is robust to jumps. We
found a nonlinear relationship between oil futures volatility and OPEC-based predictors;
hence, linear Granger-causality tests are misspecified and the linear model results of nonpredictability are unreliable.
Results of the quantile-causality test show that OPEC
variables’ impact on oil futures markets is restricted to Brent Crude futures, with no effect
observed for the WTI market. Specifically, OPEC production announcements and
meeting dates predict only lower quantiles of the conditional distribution of Brent futures
market volatility – a much weaker result compared to when volatility models used in the
literature are not robust to jump and outliers.
:Oil markets, Volatility, OPEC announcements.
C22, C58, G14, Q41