Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

Sylvain Leduc, Kevin Moran and Robert Vigfusson
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Sylvain Leduc: Federal Reserve Bank of San Francisco

The Review of Economics and Statistics, 2023, vol. 105, issue 2, 392-407

Abstract: Using oil futures, we examine expectation formation and how it alters the macroeconomic transmission of shocks. Our empirical framework, where investors learn about the persistence of oil-price movements, successfully replicates the fluctuations in oil-price futures since the Late 1990s. By embedding this learning mechanism in an estimated model, we document that an increase in the persistence of TFP-driven fluctuations in oil demand largely accounts for investors' perceptions that oil-price movements became increasingly permanent during the 2000s. Learning alters the macroeconomic impact of shocks, making the responses time dependent and conditional on perceptions of shocks' likely persistence.

Date: 2023
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https://doi.org/10.1162/rest_a_01065
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Related works:
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)
Working Paper: Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications (2016)
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