Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
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.
File(s): File format is application/pdf http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1179.pdf
Part of Series: International Finance Discussion Papers
Publication Date: 2016-09
Pages: 47 pages