Identification of expectational shocks in the oil market using OPEC announcements

Riccardo Degasperi ()
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Riccardo Degasperi: Bank of Italy

No 1516, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: OPEC announcements reveal unanticipated information about future oil supply but may also lead imperfectly informed markets to revise their beliefs about demand conditions. As a result, surprises in oil futures prices around these announcements capture both a supply and a demand shock. Imposing an additional restriction on the sign of the comovement between oil futures surprises and stock price surprises results in clean instruments that separately identify these two components. A negative oil supply news shock has deep and long-lasting stagflationary effects, stronger than previously reported. This poses a challenge for monetary authorities and underscores the importance of accounting for information effects when identifying news shocks.

Keywords: oil supply news shocks; information frictions; information effects; OPEC announcements; high-frequency identification; external instruments; international transmission (search for similar items in EconPapers)
JEL-codes: C3 E3 Q4 (search for similar items in EconPapers)
Date: 2026-02
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1516_26

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