Oil Consumption, Economic Growth, and Oil Futures: The Impact of Long-Run Oil Supply Uncertainty on Asset Prices Internet Appendix: Not For Publication

Data on total U.S. oil consumption and worldwide oil production comes from the Energy Information Association (EIA). Data on household consumption and GDP come from the BEA’s NIPA surveys. Data on TFP, hours worked, and capital supply are from the San Francisco Federal Reserve.1 Data on oil futures are for the NYMEX West Texas Intermediate (WTI) contract, and come from the Commodity Research Bureau.2 All data are for the U.S. economy. Data on miles per gallon of the U.S. passenger car fleet are from the National Transportation Safety Board. Data on oil price forecasts come from the European Central Bank’s Survey of Professional Forecasters. Data on news articles comes from Factiva, and internet search data comes from Google Trends. Industry returns are taken from Ken French’s website. The macroeconomic data and oil spot price are typically available for longer time series. To be consistent with other macroeconomic studies of oil prices, I report data for 1970-2012. The structural change in open interest generally attributed to financialization is usually identified as occurring near the end of 2004 (Hamilton and Wu (2013)).