Pré-Publication, Document De Travail (Working Paper) Année : 2023

Reading the Future of Oil: A Noncausal Approach to Supply News Shocks

Résumé

This paper proposes a new strategy to identify oil supply news shocks by combining a Bayesian noncausal structural VAR with a Max-Share approach. The framework jointly resolves the problems of non-fundamentalness and recoverability that undermine standard (proxy) SVAR methods. Exploiting non-Gaussianity in a multivariate Student−t specification, we recover structural shocks from a two sided moving average representation and isolate the expectation driven component of oil supply innovations without external instruments. Applied to global oil market data, the model supports a non fundamental representation and detects anticipatory price and inventory movements consistent with rational expectations storage behavior. The identified shocks explain a substantial fraction of real oil price fluctuations, notably in the late 1970s–1980s and during the 2014–15 collapse, while the COVID-19 episode is predominantly demand driven. Decomposing global supply shows that these shocks are primarily OPEC-driven and generate stagflationary responses in output and inflation, underscoring the central role of expectations in oil market dynamics.

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Dates et versions

hal-04333455 , version 1 (11-12-2023)
hal-04333455 , version 2 (14-01-2026)

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  • HAL Id : hal-04333455 , version 2

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Stéphane Auray, Zakaria Moussa, Arthur Thomas. Reading the Future of Oil: A Noncausal Approach to Supply News Shocks. 2026. ⟨hal-04333455v2⟩
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