DO ENERGY PRICES RESPOND TO U.S. MACROECONOMIC NEWS? A TEST OF THE HYPOTHESIS OF PREDETERMINED ENERGY PRICES

• 成果类型: Article
• 署名作者: Kilian, Lutz; Vega, Clara
• 署名单位: University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00086
• 发表日期: 2011-05
• 页码: 660-671
• 关键词: systematic monetary-policy; oil shocks; STOCK; announcements; DISCOVERY; BEHAVIOR

摘要

We propose a formal test of the hypothesis that energy prices are predetermined with respect to U.S. macroeconomic aggregates. The test is based on regressing changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and consistent with the commonly used identifying assumption that there is no feedback from U.S. macroeconomic aggregates to monthly innovations in energy prices.