Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

Sylvain Leduc, Kevin Moran and Robert Vigfusson

Abstract: 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.

Date: 2016-10-06
New Economics Papers: this item is included in nep-dge and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://cirano.qc.ca/files/publications/2016s-53.pdf

Related works:
Journal Article: Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications (2023)
Working Paper: Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications (2020)
Working Paper: Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:2016s-53

Access Statistics for this paper

More papers in CIRANO Working Papers from CIRANO Contact information at EDIRC.
Bibliographic data for series maintained by Webmaster ().