Počet záznamů: 1
How does the financial market update beliefs about the real economy? Evidence from the oil market
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SYSNO ASEP 0553174 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název How does the financial market update beliefs about the real economy? Evidence from the oil market Tvůrce(i) Anatolyev, Stanislav (NHU-N)
Seleznev, S. (RU)
Selezneva, Veronika (NHU-N)Zdroj.dok. Journal of Applied Econometrics. - : Wiley - ISSN 0883-7252
Roč. 36, č. 7 (2021), s. 938-961Poč.str. 24 s. Jazyk dok. eng - angličtina Země vyd. GB - Velká Británie Klíč. slova oil market ; ultra high frequency data ; futures returns Vědní obor RIV AH - Ekonomie Obor OECD Applied Economics, Econometrics Způsob publikování Omezený přístup Institucionální podpora NHU-N - RVO:67985998 UT WOS 000710226900001 EID SCOPUS 85117850263 DOI 10.1002/jae.2841 Anotace Oil traders find it challenging to process all information and choose which sources to follow. Inventories represent a perfect source, as they provide important information regarding real agents' intertemporal decisions and can easily be observed in real time. However, inventories do not contain full information about the state of the oil market. We show that financial traders fail to acquire additional information and treat inventories as a sufficient statistic. As a result, the financial market fails to distinguish realized shocks from news shocks and treats all shocks as persistent. To confirm this hypothesis, we use oil inventory announcements to identify market inventory surprises, and we estimate a model of the joint dynamics of returns and return volatilities around announcements using high frequency data on oil futures contracts with short and long maturities. Pracoviště Národohospodářský ústav Kontakt Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Rok sběru 2022 Elektronická adresa https://doi.org/10.1002/jae.2841
Počet záznamů: 1