Dynamic impact of the U.S. monetary policy on oil market returns and volatility

In this paper, we assess the dynamic impact of U.S. monetary policy announcements on oil market futures returns and volatility. We use intra-day data for West Texas Intermediate (WTI) together with a time-varying modeling approach to study nature impact. addition, also control macroeconomic news shocks separately response good bad realized Evidence suggests that there is significant time variation in returns, as well its volatility Federal Reserve announcements. Broadly, find higher (lower) uncertainty about actions associated weaker (stronger) surprise