The relationship between European Brent crude oil price development and US macroeconomy

Abstract

Abnormal volatility has a damaging effect on the macroeconomy and is seen as a measure of risk in asset and commodity markets. This investigation had the aim to analyze the supposed transatlantic volatility inducing effect of the most prominent scheduled macroeconomic news announcements from the United States (US) on Brent Blend crude oil price intraday volatility over a period of seven years from 2012 to 2018. The objective was to generate a ranking list of scheduled US macroeconomic news that forecast high intraday volatility episodes at precise points in time. A total of 38 US news was analyzed using a data mining workflow. Data modeling was conducted using a simple ordinary least squares regression model and performed with programming language Python. A one hour window of rolling standard deviation based on one minute high-frequency closing prices were applied. As a result, 20 scheduled US macroeconomic news was successfully identified to significantly impact Brent crude oil price volatility. The model strongly supports the forecast of high price fluctuations and provides an opportunity for market players to adjust their risk management strategies right in time.

Application of Multifractal Analysis in Estimating the Reaction of Energy Markets to Geopolitical Acts and Threats

“…Despite the development of electric cars, renewable-energy production, and ambitious climate goals, the oil market is still regarded as the lifeblood of the world's economic engine [20], meeting around two-thirds of the global energy demand [21]. For this reason, a large body of literature has investigated oil markets from various perspectives, such as the pricing formation [22][23][24], the relationship with the macroeconomy [25][26][27], interlinkages with stock markets [28,29], financialization [30,31], forecasting [32,33] or multifractal characteristics [34,35], among others. The crude-oil market is extraordinarily large and complicated.…”