The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements

• 成果类型: Article
• 署名作者: Kanzig, Diego R.
• 署名单位: University of London; London Business School
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20190964
• 发表日期: 2021
• 页码: 1092-1125
• 关键词: income tax changes; monetary-policy; price shocks; sign restrictions; identification; expectations; inflation; responses; DYNAMICS; BEHAVIOR

摘要

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 US economy: activity falls, prices and inflation expectations rise, and the dollar depreciates, providing evidence for a strong channel operating through supply expectations.