Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
49 Pages Posted: 13 Sep 2016
Date Written: 2016-09
We show that a model where investors learn about the persistence of oil-price movements accounts well for the fluctuations in oil-price futures since the late 1990s. Using a DSGE model, we then show that this learning process alters the impact of oil shocks, making it time-dependent and consistent with the muted impact oil-price changes had on macroeconomic outcomes during the early 2000s and again over the past two years. The Spring 2008 increase in oil prices had a larger impact because market participants considered that it was likely driven by permanent shocks.
Keywords: Kalman filter, Time-variation, Inventories, Conditional response
JEL Classification: E32, E37, Q43
Suggested Citation: Suggested Citation