Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil
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.
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Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics
Citation
Published In
DOI
ISSN
Publication Date
Volume
Start / End Page
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
- 1403 Econometrics
- 1402 Applied Economics