On the effect of short-run and long-run US economic expectations on oil and gold volatilities

José Barrales-Ruiz; Gabriel Pino

doi:10.1016/j.resourpol.2024.104937

On the effect of short-run and long-run US economic expectations on oil and gold volatilities

José Barrales-Ruiz, Gabriel Pino^*

^*Corresponding author for this work

Universidad Católica de la Santísima Concepción

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

This paper investigates the effect of US Economic expectations on oil and gold volatilities, examining their formation across different time horizons. To this end, we compute expectations using a MS-VAR model from one (short run) to sixteen quarters ahead (long run). Then, we estimate the impact of an expectation shock on oil and gold volatility measures through an impulse response function estimating a VAR model from 1987Q1 to 2022Q1. Our results show that oil volatility is significantly affected by expectations in the short run, while gold volatility is affected by expectations in the long run. In particular, gold and oil volatilities exhibit a decrease following a positive expectation shock.

Translated title of the contribution	Sobre el efecto de las expectativas económicas estadounidenses a corto y largo plazo en las volatilidades del petróleo y el oro
Original language	English
Article number	104937
Journal	Resources Policy
Volume	91
DOIs	https://doi.org/10.1016/j.resourpol.2024.104937
State	Published - 2024

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© 2024 Elsevier Ltd

ASJC Scopus subject areas

Economics and Econometrics

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title = "On the effect of short-run and long-run US economic expectations on oil and gold volatilities",

abstract = "This paper investigates the effect of US Economic expectations on oil and gold volatilities, examining their formation across different time horizons. To this end, we compute expectations using a MS-VAR model from one (short run) to sixteen quarters ahead (long run). Then, we estimate the impact of an expectation shock on oil and gold volatility measures through an impulse response function estimating a VAR model from 1987Q1 to 2022Q1. Our results show that oil volatility is significantly affected by expectations in the short run, while gold volatility is affected by expectations in the long run. In particular, gold and oil volatilities exhibit a decrease following a positive expectation shock.",

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N2 - This paper investigates the effect of US Economic expectations on oil and gold volatilities, examining their formation across different time horizons. To this end, we compute expectations using a MS-VAR model from one (short run) to sixteen quarters ahead (long run). Then, we estimate the impact of an expectation shock on oil and gold volatility measures through an impulse response function estimating a VAR model from 1987Q1 to 2022Q1. Our results show that oil volatility is significantly affected by expectations in the short run, while gold volatility is affected by expectations in the long run. In particular, gold and oil volatilities exhibit a decrease following a positive expectation shock.

AB - This paper investigates the effect of US Economic expectations on oil and gold volatilities, examining their formation across different time horizons. To this end, we compute expectations using a MS-VAR model from one (short run) to sixteen quarters ahead (long run). Then, we estimate the impact of an expectation shock on oil and gold volatility measures through an impulse response function estimating a VAR model from 1987Q1 to 2022Q1. Our results show that oil volatility is significantly affected by expectations in the short run, while gold volatility is affected by expectations in the long run. In particular, gold and oil volatilities exhibit a decrease following a positive expectation shock.

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On the effect of short-run and long-run US economic expectations on oil and gold volatilities

Abstract

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ASJC Scopus subject areas

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