International Announcements and Wti Crude Oil Futures: A Case Study of the 2008 Global FInancial Crisis
Journal of Energy Markets, 2019
Posted: 7 Aug 2017 Last revised: 12 Aug 2019
Date Written: August 9, 2019
We examine the impact of international monetary policy and professionals’ announcements on WTI crude oil futures. The methodology is an event and case study. The event study refers to an analysis of each category of events, while the case study refers to the selection of a particular time period, that is, a time period around the Lehman Brothers collapse. The direction, magnitude and signiﬁcance of impacts are assessed in returns and volatility for price, volume and open interest series in both daily and weekly frequency. The research questions are assessed in a non-parametric quantile regression framework. Announcements are classiﬁed into four categories in total, three of which concern international monetary policy from the UK, the US, and the European Monetary Union, with the fourth category concerning ﬁnancial professionals’ announcements.
Keywords: WTI Crude Oil Futures, International Announcements, Volatility
JEL Classification: F3, G14, G15, C14, C22
Suggested Citation: Suggested Citation