American Economic Review · 2021 · Diego R. Känzig
中文摘要
本文研究石油供给预期的变化如何影响油价与宏观经济。我采用一种新颖的识别设计，利用OPEC的制度特征与高频数据，识别出石油供给消息冲击。这些冲击具有统计上和经济上显著的影响。负面消息导致油价立即上升、石油产量逐渐下降以及库存增加。这对美国经济产生了后果：经济活动下降，价格与通胀预期上升，美元贬值，从而为一条通过供给预期发挥作用的强有力渠道提供了证据。（JEL E31, E32, F31, Q35, Q38, Q43）
Abstract
This paper studies how changes in oil supply expectations affect the oil price and the macroeconomy. Using a novel identification design, exploiting institutional features of OPEC and high-frequency data, I identify an oil supply news shock. These shocks have statistically and economically significant effects. Negative news leads to an immediate increase in oil prices, a gradual fall in oil production, and an increase in inventories. This has consequences for the US economy: activity falls, prices and inflation expectations rise, and the dollar depreciates, providing evidence for a strong channel operating through supply expectations. (JEL E31, E32, F31, Q35, Q38, Q43)