Kevin Moran publie dans The Review of Economics and Statistics

6 mars 2023

Le professeur Kevin Moran a vu l'un de ses articles (co-écrit avec Sylvain Leduc et Robert J. Vigfusson) être publié dans le journal The Review of Economics and Statistics.
L'article, intitulé "Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications" est disponible ici : https://direct.mit.edu/rest/article-abstract/105/2/392/102837/Learning-in-the-Oil-Futures-Markets-Evidence-and?redirectedFrom=fulltext

Résumé (en anglais) : 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.