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Deconstructing oil price surprises around OPEC announcements

Author

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  • Naafey Sardar

    (St. Olaf College)

Abstract

This paper revisits the identification of oil price shocks using high-frequency surprises around OPEC announcements. While previous studies have used changes in oil futures prices to proxy for supply shocks, recent evidence suggests that these surprises reflect a combination of demand factors. To address this identification challenge, I use a Bayesian structural vector autoregression (VAR) model and identify oil supply, inventory demand, and aggregate demand shocks by imposing sign-restrictions on high-frequency surprises in oil futures, the S&P 500, and the one-year U.S. bond yield. My analysis highlights that the response of bond yields to OPEC announcements may contain important information about the source of the oil shock.

Suggested Citation

  • Naafey Sardar, 2026. "Deconstructing oil price surprises around OPEC announcements," Economics Bulletin, AccessEcon, vol. 46(3), pages 982-993.
    • Handle: RePEc:ebl:ecbull:eb-26-00504
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    File URL: http://www.accessecon.com/Pubs/EB/2026/Volume46/EB-26-V46-I3-P80.pdf
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    JEL classification:

    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
    • G1 - Financial Economics - - General Financial Markets

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