Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

Sylvain Leduc, Kevin Moran and Robert Vigfusson

No 1179, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We show that a model where investors learn about the persistence of oil-price movements accounts well for the fluctuations in oil-price futures since the late 1990s. Using a DSGE model, we then show that this learning process alters the impact of oil shocks, making it time-dependent and consistent with the muted impact oil-price changes had on macroeconomic outcomes during the early 2000s and again over the past two years. The Spring 2008 increase in oil prices had a larger impact because market participants considered that it was likely driven by permanent shocks.

Keywords: Kalman filter; Time-variation; Inventories; Conditional response (search for similar items in EconPapers)
JEL-codes: E32 E37 Q43 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2016-09
New Economics Papers: this item is included in nep-dge, nep-ene, nep-mac, nep-opm and nep-sog
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1179.pdf (application/pdf)

Related works:
Journal Article: Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications (2023)
Working Paper: Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications (2020)
Working Paper: Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1179

DOI: 10.17016/IFDP.2016.1179

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