The macroeconomic effects of oil supply news: Evidence from OPEC announcements
Diego Känzig
MPRA Paper from University Library of Munich, Germany
Abstract:
This paper studies how changes in oil supply expectations affect the oil price and the macroeconomy. Using a novel identification design, exploiting institutional features of OPEC and high-frequency data, I identify an oil supply news shock. These shocks have statistically and economically significant effects. Negative news leads to an immediate increase in oil prices, a gradual fall in oil production and an increase in inventories. This has consequences for the U.S. economy: activity falls, prices and inflation expectations rise, and the dollar depreciates—providing evidence for a strong channel operating through supply expectations.
Keywords: Business cycles; oil supply; news shocks; external instruments; high-frequency identification; OPEC announcements (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 Q43 (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-ene and nep-mac
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Citations: View citations in EconPapers (2)
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Related works:
Journal Article: The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements (2021) 
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:106249
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