scholarly journals Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

2021 ◽  
pp. 1-45
Author(s):  
Sylvain Leduc ◽  
Kevin Moran ◽  
Robert J. Vigfusson
Keyword(s):  
Futures Markets ◽  
Oil Price ◽  
Oil Futures ◽  
Learning Mechanism ◽  
Expectation Formation ◽  
Macroeconomic Impact ◽  
Oil Demand ◽  
Price Movements ◽  
Macroeconomic Implications ◽  
Empirical Framework

Abstract Using oil futures, we examine expectation formation and how it alters the macroeconomic transmission of shocks. Our empirical framework, where investors learn about the persistence of oil-price movements, successfully replicates the fluctuations in oil-price futures since the late 1990s. By embedding this learning mechanism in an estimated model, we document that an increase in the persistence of TFP-driven fluctuations in oil demand largely accounts for investors’ perceptions that oil-price movements became increasingly permanent during the 2000s. Learning alters the macroeconomic impact of shocks, making the responses time-dependent and conditional on perceptions of shocks’ likely persistence.

scholarly journals Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

2020 ◽  
pp. 1.000-67.00
Author(s):  
Kevin Moran ◽  
◽  
Robert J. Vigfusson ◽  
Sylvain Leduc ◽  
◽  
...  
Keyword(s):  
Futures Markets ◽  
Oil Price ◽  
Oil Futures ◽  
Learning Mechanism ◽  
Economic Agents ◽  
Macroeconomic Impact ◽  
Oil Demand ◽  
Price Movements ◽  
Macroeconomic Implications ◽  
And Storage

Working Papers 2020-33 October 2020 Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications Sylvain Leduc, Kevin Moran, Robert J. Vigfusson Using expectations embodied in oil futures prices, we examine how expectations are formed and how they affect the macroeconomic transmission of shocks. We show that an empirical framework in which investors form expectations by learning about the persistence of oil-price movements successfully replicates the fluctuations in oil-price futures since the late 1990s. We then embed this learning mechanism in a model with oil usage and storage. Estimating the model, we document that an increase in the persistence of TFP-driven fluctuations in oil demand largely account for investors' perceptions that oil-price movements became increasingly permanent during the 2000s before declining thereafter. We show that the presence of learning alters the macroeconomic impact of shocks, making the responses time-dependent and conditional on the views of economic agents about the shocks' likely persistence.

Cheap oil will have mixed effect on the Maghreb

2015 ◽  
Keyword(s):  
Futures Markets ◽  
Price Impact ◽  
Oil Price ◽  
Foreseeable Future ◽  
Foreign Reserves ◽  
Mixed Effect ◽  
Oil Futures ◽  
Content Type ◽  
Profound Impact ◽  
Significant Production

Subject Low oil price impact on Maghreb states. Significance With oil futures markets indicating that crude will remain around 60 dollars a barrel in the foreseeable future, the sharp fall in oil prices since mid-2014 will continue to have a profound impact on the economies of the Maghreb. Oil producing Algeria must confront a serious deterioration in its revenues, but oil importing Morocco gains from the dramatic cut in its import bill. Tunisia will feel an easing of the pressure on its fiscal and external accounts. However, the price fall compounds the damage to Libya of significant production stoppages. Impacts Algeria's abundant financial reserves will enable it to cope with high fiscal and external deficits for a few years. The Moroccan economy is set to achieve growth rates of 4.5-5.0% over the next two years. Tunisia's external accounts will benefit from decreased import costs, which should help lessen the pressure on foreign reserves. The massive cut in Libya's export revenues increases the risk of a currency crisis.

scholarly journals Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

2016 ◽  
Vol 2016 (1179) ◽  
pp. 1-47 ◽  
Author(s):  
Sylvain Leduc ◽  
◽  
Kevin Moran ◽  
Robert J. Vigfusson
Keyword(s):  
Futures Markets ◽  
Oil Futures ◽  
Macroeconomic Implications

Markets are overreacting to US price and rates risks

2021 ◽  
Keyword(s):  
Federal Reserve ◽  
Futures Markets ◽  
The United States ◽  
Oil Price ◽  
Bond Markets ◽  
Crude Oil Price ◽  
Bond Yields ◽  
Content Type ◽  
Bond Yield ◽  
Ongoing Support

Significance The continuation of the modest manufacturing downturn follows the recent report of slower third-quarter GDP growth. Despite slower growth, bond markets are challenging an attempt by the Federal Reserve (Fed) to delink tapering from tightening by bringing forward their forecasts for rate increases: futures markets are pricing in two 25-basis-point rate hikes by end-2022. Impacts Equities are at a record high in the United States; providing ongoing support for this, real US bond yields remain in negative territory. The Brent crude oil price is near its highest since 2014; further upside will be limited but it is likely to stay high well into 2022. Germany’s ten-year bond yield, negative since April 2019, has risen by 40 basis points since end-August and will soon turn positive.

scholarly journals The Response of Macro Variables of Emerging and Developed Oil Importers to Oil Price Movements

2015 ◽  
Author(s):  
Farhad Taghizadeh Hesary ◽  
Naoyuki Yoshino ◽  
Majid Mohammadi Hossein Abadi ◽  
Rosa Farboudmanesh
Keyword(s):  
Oil Price ◽  
Price Movements ◽  
Macro Variables

Macroeconomic Factors in Oil Futures Markets

2019 ◽  
Vol 65 (9) ◽  
pp. 4407-4421 ◽  
Author(s):  
Davidson Heath
Keyword(s):  
Economic Activity ◽  
Futures Markets ◽  
Price Shocks ◽  
Productivity Shocks ◽  
Macroeconomic Factors ◽  
Oil Futures ◽  
Risk Premiums ◽  
Crude Oil Futures ◽  
Future Consumption ◽  
New Evidence

This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and strongly procyclical, which suggests that previous models miss the majority of variation in oil risk premiums. The estimates reveal a dynamic two-way relationship between oil futures and economic activity: productivity shocks are associated with higher oil prices, while oil price shocks affect economic activity by lowering future consumption spending. Unspanned macro factors also affect the valuation of real options. This paper was accepted by Karl Diether, finance.

Covariance breakdowns and connectedness of crude oil futures markets with non-synchronous data

2018 ◽  
Vol 51 (5) ◽  
pp. 422-443 ◽  
Author(s):  
Jiawen Luo ◽  
Langnan Chen ◽  
Weiguo Zhang
Keyword(s):  
Crude Oil ◽  
Futures Markets ◽  
Oil Futures ◽  
Crude Oil Futures
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