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Identification of expectational shocks in the oil market using OPEC announcements

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  • Riccardo Degasperi

    (Bank of Italy)

Abstract

OPEC announcements reveal unanticipated information about future oil supply but may also lead imperfectly informed markets to revise their beliefs about demand conditions. As a result, surprises in oil futures prices around these announcements capture both a supply and a demand shock. Imposing an additional restriction on the sign of the comovement between oil futures surprises and stock price surprises results in clean instruments that separately identify these two components. A negative oil supply news shock has deep and long-lasting stagflationary effects, stronger than previously reported. This poses a challenge for monetary authorities and underscores the importance of accounting for information effects when identifying news shocks.

Suggested Citation

  • Riccardo Degasperi, 2026. "Identification of expectational shocks in the oil market using OPEC announcements," Temi di discussione (Economic working papers) 1516, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_1516_26
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    References listed on IDEAS

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    3. Esmaeili, Parisa & Rafei, Meysam & Salari, Mahmoud & Balsalobre-Lorente, Daniel, 2024. "From oil surges to renewable shifts: Unveiling the dynamic impact of supply and demand shocks in global crude oil market on U.S. clean energy trends," Energy Policy, Elsevier, vol. 192(C).
    4. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 2155, DIW Berlin, German Institute for Economic Research.
    5. Zhu, Zixiang & Wen, Yake & Zhou, Weimin & Liu, Xintong, 2025. "The state-dependent effects of oil supply news shocks," Energy Economics, Elsevier, vol. 149(C).
    6. Kruse-Becher, Robinson & Letixerant, Philip, 2025. "Oil price expectations in explosive phases," Energy Economics, Elsevier, vol. 152(C).
    7. Sardar, Naafey & Qureshi, Irfan, 2024. "Revisiting the relationship between oil supply news shocks and U.S. economic activity: Role of the zero lower bound," Energy Economics, Elsevier, vol. 132(C).
    8. Martin Bruns & Helmut Lütkepohl, 2026. "Review of Proxy Vector and Autoregressive Analysis," University of East Anglia School of Economics Working Paper Series 2026-01, School of Economics, University of East Anglia, Norwich, UK..
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    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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