Data and Code for: The macroeconomic effects of oil supply news: Evidence from OPEC announcements

Principal Investigator(s):  View help for Principal Investigator(s) Diego R. Känzig, London Business School

Version:  View help for Version V1

Name File Type Size Last Modified
  Kaenzig_replication 12/16/2020 11:41:AM

Project Citation: 

Känzig, Diego R. Data and Code for: The macroeconomic effects of oil supply news: Evidence from OPEC announcements. Nashville, TN: American Economic Association [publisher], 2021. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2021-03-19. https://doi.org/10.3886/E122886V1

Project Description

Summary:  View help for Summary This repository contains the replication files for “The macroeconomic effects of oil supply news: Evidence from OPEC announcements”. The files are stored in the following folders:
  • codes
  • data
  • instrument
  • results
For detailed information on the data used as well as instructions on how to use the replication codes, see the README pdf file.

The main results of the project can be summarized as follows:

This paper studies how changes in oil supply expectations affect the oil price and the macroeconomy. Using a novel identifi cation design, exploiting institutional features of OPEC and high-frequency data, I identify an oil supply news shock. These shocks have statistically and economically significant effects. Negative news leads to an immediate increase in oil prices, a gradual fall in oil production and an increase in inventories. This has consequences for the U.S. economy: activity falls, prices and inflation expectations rise, and the dollar depreciates - providing evidence for a strong channel operating through supply expectations.



Scope of Project

Subject Terms:  View help for Subject Terms business cycles; oil supply; news shocks; external instruments; high-frequency identification; OPEC announcements
JEL Classification:  View help for JEL Classification
      C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
      E31 Price Level; Inflation; Deflation
      E32 Business Fluctuations; Cycles
      Q43 Energy and the Macroeconomy
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1/1974 – 12/2017
Collection Date(s):  View help for Collection Date(s) 3/2018 – 12/2019
Universe:  View help for Universe The global oil market and the U.S. economy between 1974 to 2017
Data Type(s):  View help for Data Type(s) aggregate data

Methodology

Data Source:  View help for Data Source Macroeconomic and financial data retrieved via FRED, Datastream, and the IFS. Please see the README file for detailed data references.
Unit(s) of Observation:  View help for Unit(s) of Observation Monthly data
Geographic Unit:  View help for Geographic Unit Country

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Published Versions

V1 [2021-03-19]

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