Does the Price of Crude Oil Respond to Macroeconomic News?

摘要

In a recent study, Kilian L. and Vega C. (2011) indicate that the daily price of crude oil is mostly unresponsive to macroeconomic news, and at times exhibits response-coefficients that are counterintuitive. The authors conclude that the price of crude oil is predetermined to macro aggregates, and hence determined in a flow demand/supply framework. We make the argument that inferences on commodity price determination should be drawn from news responses only after the standard tests are subject to inventory (or stock) controls. Using daily and intraday price data and proxies for inventory levels, we reexamine the responsiveness of crude prices to macroeconomic news. Our evidence suggests a very limited role for stock levels in the responsiveness of crude oil. The prior conclusion that crude oil is priced primarily in a flow-environment is supported by our data.