IDEAS home Printed from https://ideas.repec.org/a/wly/jfutmk/v46y2026i5p779-798.html

Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums

Author

Listed:
  • Haibo Jiang

Abstract

By decomposing West Texas Intermediate futures price changes into structural supply and demand shocks, this paper shows that dissecting the oil price significantly improves inflation forecasts. Empirically, demand‐driven shocks predict a negative real bond risk premium but a positive inflation risk premium; these opposing effects result in an insignificant net effect on the nominal bond risk premium. A two‐sector New Keynesian model formalizes the dynamics among oil shocks, inflation, and bond yields, reconciling two distinct historical episodes: anchored inflation during the 2000s oil crisis and the surge in tandem with oil prices following the 2022 Russian invasion of Ukraine.

Suggested Citation

  • Haibo Jiang, 2026. "Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(5), pages 779-798, May.
    • Handle: RePEc:wly:jfutmk:v:46:y:2026:i:5:p:779-798
    DOI: 10.1002/fut.70083
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/fut.70083
    Download Restriction: no
    File URL: https://libkey.io/10.1002/fut.70083?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:jfutmk:v:46:y:2026:i:5:p:779-798. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/0270-7314/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.