OPEC PRODUCTION DECISIONS, MACROECONOMIC NEWS AND VOLATILITY IN THE CANADIAN AND ENERGY MARKETS

This study investigates the determinants of oil and Canadian dollar volatilities. We use the multivariate volatility model to examine the simultaneous impacts of OPEC press releases and production decisions, oil and gasoline inventory surprises, and U.S. and Canadian macroeconomic news announcements on oil and CAD returns and volatilities during, before and after the U.S. financial crisis and European sovereign debt crisis. Besides, we apply the impulse response analysis to decompose the exogenous effects into direct and indirect effects resulting from volatility spillover. We find that the effects of OPEC press releases and decisions are more prominent than those of inventory announcements and macroeconomic news. Furthermore, over 50% of the total accumulated effects of OPEC decisions to maintain, on oil volatility are from the indirect effect via volatility spillover of CAD exchange rate during the U.S. financial crisis. Our findings shed light on the dynamic of volatility spillover channel during financial turmoil, which may facilitate the process of investments and policy decision-making, trading strategies of market participants, and the efficiency of stabilizing market volatility in a multilateral setting.

Name thesis:degree_name

M.Sc. Management

Level thesis:degree_level

Masters

Discipline thesis:degree_discipline

Faculty of Business

Department dc:contributor.department

Faculty of Business Programs

Grantor

Brock University

Year dc:date.issued

2018

Author dc:creator

• Yan, Xusheng

• WTI oil, CAD exchange rate, OPEC decisions, inventory announcements, macroeconomic news, Financial Crisis

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/10464/13773

OAI identifier oai:identifier

oai:brocku.scholaris.ca:10464/13773