The failure of decreases in oil prices to produce expansions that mirror the contractions associated with higher oil prices has been a topic of considerable interest. We investigate for the G-7 one explanation for this feature - the role of uncertainty about oil prices. In particular, we examine...

This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second frequency, we find that WTI maintains a dominant role in price...

Previous research has been unable to identify a strong link between oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology that we use to estimate jumps in oil prices. We find a surprisingly strong relation between high...