Oil prices, fundamentals and expectations
Oil prices, fundamentals and expectations
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DOI：
10.1016/j.eneco.2018.05.011
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发表时间：
2019-03
期刊：
影响因子：
12.8
通讯作者：
Joseph P. Byrne;Marco Lorusso;Bing Xu
中科院分区：
文献类型：
--
作者：
Joseph P. Byrne;Marco Lorusso;Bing Xu
本文实证研究了油价、传统基本面和预期之间的关系。信息摩擦可能会迫使油价与供应和/或需求冲击之间产生分歧，尤其是在风险规避和不确定性加剧的时期。在这种背景下，预期可能成为油价走势的关键驱动因素，其影响可能会随着时间的推移而变化。总体而言，我们发现传统石油基本面和前瞻性预期对油价都很重要。我们的研究结果表明，石油的实际价格对企业领导人、消费者和总体市场的预期冲击的反应不同。我们的 TVP-VAR 方法提供的证据表明，企业领导人的预期在油价波动中发挥着重要作用，并且在全球石油需求上升时期影响更大。从传统石油市场基本面来看，我们发现油价受到近期美国页岩油热潮的显着影响。此外，全球石油需求对石油价格产生了积极影响，特别是从 2000 年代中期开始。几个替代模型规范证明了我们分析的稳健性。
This paper empirically investigates the relationship between oil prices, traditional fundamentals and expectations. Informational frictions may force a wedge between oil prices and supply and/or demand shocks, especially during periods of elevated risk aversion and uncertainty. In such a context, expectations can be a key driver of oil price movements and their impact can vary over time. Overall, we find that both traditional oil fundamentals and forward-looking expectations matter for oil prices. Our findings show that the real price of oil responds differently to expectations shocks of business leaders, consumers and aggregate markets. Our TVP-VAR approach provides evidence that business leaders' expectations play an important role in terms of oil price fluctuations and the impact is stronger in periods of elevated global oil demand. In terms of traditional oil market fundamentals, we find that oil prices have been significantly affected by the recent US shale oil boom. Moreover, global oil demand had a positive impact upon oil prices, especially from the mid-2000s. Several alternative model specifications prove the robustness of our analysis.