How does the financial market update beliefs about the real economy? Evidence from the oil market

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985998:_____/21:00553174

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

How does the financial market update beliefs about the real economy? Evidence from the oil market

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

How does the financial market update beliefs about the real economy? Evidence from the oil market

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA17-27567S" target="_blank" >GA17-27567S: Získávání informací a spekulace. Implikace pro rozvoj trhu s břidlicovým plynem v USA</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2021

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Applied Econometrics

ISSN

0883-7252

e-ISSN

1099-1255

Svazek periodika

36

Číslo periodika v rámci svazku

7

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

24

Strana od-do

938-961

Kód UT WoS článku

000710226900001

EID výsledku v databázi Scopus

2-s2.0-85117850263