Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations

@inproceedings{Byrne2017OilPA,
  title={Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations},
  author={Joseph P Byrne and Marco Lorusso and Bing Sen Xu},
  year={2017}
}
This paper accounts for informational frictions when modelling the time-varying relationship between crude oil prices, traditional fundamentals and expectations. Informational frictions force a wedge between oil prices and supply and/or demand shocks, especially during periods of elevated risk aversion and uncertainty. In such a context expectations can be a key driver of oil price movements. We utilize a variety of proxies for forward-looking expectations, including business confidence… CONTINUE READING

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