Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil
61 Pages Posted: 21 Feb 2019 Last revised: 7 Mar 2019
Date Written: November 27, 2018
Abstract
News about macroeconomic fundamentals and geopolitical events affect crude oil markets differently. Using sentiment scores for a broad set of global news of different types, we find that news related to macro fundamentals have an impact on the oil price in the short run and significantly predict oil returns in the long run. Geopolitical news have a much stronger immediate impact but exhibit no predictability. Moreover, geopolitical news generate more uncertainty and greater trading volume, consistent with a disagreement explanation, while macroeconomic news are associated with subsequent lower trading volume. Finally, we find that news sentiment tracks the statistical releases quite well and can partially predict the future realizations of the economic data.
Keywords: Crude Oil, News Analytics, Sentiment, Information
JEL Classification: G12, G13
Suggested Citation: Suggested Citation