Oil sentiment and the U.S. inflation premium

Sultan Alturki and Eric Olson

Energy Economics, 2022, vol. 114, issue C

Abstract: In this paper, we employ a new dataset to measure the impact of investor sentiment regarding oil prices on the U.S. inflation premium. Our empirical analysis relies on Structural Vector Autoregression (SVAR) and out-of-sample forecasts. The results indicate that a one standard deviation positive shock to overall investor sentiment regarding oil prices results in a significant increase in the U.S. inflation premium by approximately 1.2% over the subsequent 10 weeks. Compared to individual investor sentiment, institutional investor sentiment regarding oil prices has a larger impact on the U.S. inflation premium. Finally, we find an out-of-sample evidence that the overall investor sentiment regarding oil prices has predictive power on the U.S. inflation premium.

Keywords: Oil sentiment; Inflation premium; Individual and institutional investors (search for similar items in EconPapers)
JEL-codes: C53 E30 E31 G13 G4 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322004467

DOI: 10.1016/j.eneco.2022.106317

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