Oil volatility risk

• 成果类型: Article
• 署名作者: Gao, Lin; Hitzemann, Steffen; Shaliastovich, Ivan; Xu, Lai
• 署名单位: Rutgers University System; Rutgers University New Brunswick; University of Wisconsin System; University of Wisconsin Madison; Syracuse University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.08.016
• 发表日期: 2022
• 页码: 456-491
• 关键词: Oil volatility; Oil inventory; Production economy

摘要

The option-implied oil price volatility is a strong negative predictor of economic growth beyond traditional uncertainty measures. A rise in oil volatility also predicts an increase in oil inventories and a reduction in oil consumption, in line with a propagation channel through the oil sector. We explain these findings within a macro-finance model featuring stochastic uncertainties and precautionary oil inventories: firms increase oil inventories when oil volatility rises, which curbs oil use for production and depresses economic activity. In the model and the data, aggregate equity prices fall at times of high oil volatility, with differential exposures across economic sectors.(c) 2021 Elsevier B.V. All rights reserved.