The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements
نویسندگان
چکیده
This paper studies how changes in oil supply expectations affect the price and macroeconomy. Using a novel identification design, exploiting institutional features of OPEC high-frequency data, I identify an news shock. These shocks have statistically economically significant effects. Negative leads to immediate increase prices, gradual fall production, inventories. has consequences for US economy: activity falls, prices inflation rise, dollar depreciates, providing evidence strong channel operating through expectations. (JEL E31, E32, F31, Q35, Q38, Q43)
منابع مشابه
OPEC news announcements: Effects on oil price expectation and volatility
a r t i c l e i n f o JEL classifications: C51 N70 Keywords: Crude oil price volatility GARCH Covariates Modified dummy variables OPEC announcements WTI crude oil Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (n...
متن کاملSophisticated Trading and Market Efficiency: Evidence from Macroeconomic News Announcements
This paper studies how the views of sophisticated traders are impounded into stocks and bonds around macroeconomic news announcements. I find evidence that sophisticated traders trade on predictions of macroeconomic news reports before announcements and obtain their informational advantage using public information. Specifically, consensus forecasts of upcoming data releases suffer from anchorin...
متن کاملMacroeconomic Effects of the Terms of Trade Shocks: Evidence from OPEC
This paper evaluates the impact of the positive terms of trade (TOT) Shock on macroeconomic variables, using panel data for the six OPEC major oil exporting countries during 1989-2005. The findings indicate that the positive TOT shocks have the small and negative impact on savings and on the trade balance. Nevertheless, it has a positive impact on investment (specifically private investment) an...
متن کاملOPEC announcements and their effects on crude oil prices
We investigate evidence on the effects of OPEC announcements on world oil prices by examining announcements from both official conferences and ministerial meetings on major international crudes, including the key benchmarks and several other heavy and light grades. With data from 1982 to 2008, we use event study methodology and find differentiation in the magnitude and significance of market re...
متن کاملMacroeconomic News Announcements, Financial Market Volatility and Jumps
This paper studies the financial market responses to macroeconomic news announcements, in the form of volatility and jumps. The traditional empirical literature using daily or lower-frequency data finds mixed or relatively weak evidence of big price movements during the announcement periods, which seems to falsify the efficient market hypothesis. However, with the advance of high frequency data...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The American Economic Review
سال: 2021
ISSN: ['2640-205X', '2640-2068']
DOI: https://doi.org/10.1257/aer.20190964