Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

• 成果类型: Article
• 署名作者: Leduc, Sylvain; Moran, Kevin; Vigfusson, Robert J.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Laval University; Amazon.com
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01065
• 发表日期: 2023-03
• 页码: 392-407
• 关键词: price shocks; inflation; expectations; POLICY; RISK

摘要

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.