How does the financial market update beliefs about the real economy? Evidence from the oil market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F21%3A00550730" target="_blank" >RIV/00216208:11640/21:00550730 - isvavai.cz</a>
Alternative codes found
RIV/67985998:_____/21:00553174
Result on the web
<a href="https://doi.org/10.1002/jae.2841" target="_blank" >https://doi.org/10.1002/jae.2841</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/jae.2841" target="_blank" >10.1002/jae.2841</a>
Alternative languages
Result language
angličtina
Original language name
How does the financial market update beliefs about the real economy? Evidence from the oil market
Original language description
Oil traders find it challenging to process all information and choose which sources to follow. Inventories represent a perfect source, as they provide important information regarding real agents' intertemporal decisions and can easily be observed in real time. However, inventories do not contain full information about the state of the oil market. We show that financial traders fail to acquire additional information and treat inventories as a sufficient statistic. As a result, the financial market fails to distinguish realized shocks from news shocks and treats all shocks as persistent. To confirm this hypothesis, we use oil inventory announcements to identify market inventory surprises, and we estimate a model of the joint dynamics of returns and return volatilities around announcements using high frequency data on oil futures contracts with short and long maturities.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GA17-27567S" target="_blank" >GA17-27567S: Information Acquisition and Speculation. Implications for the Shale Gas Development in the US</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Applied Econometrics
ISSN
0883-7252
e-ISSN
1099-1255
Volume of the periodical
36
Issue of the periodical within the volume
7
Country of publishing house
GB - UNITED KINGDOM
Number of pages
24
Pages from-to
938-961
UT code for WoS article
000710226900001
EID of the result in the Scopus database
2-s2.0-85117850263