The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.
Staff research
Bank publications
Bank of Canada Review articles
June 9, 2010
Crude Oil Futures: A Crystal Ball?
Based on recent research, this article discusses three ways that oil-futures prices can improve our understanding of current conditions and future prospects in the global market for crude oil. First, the response of the oil-futures curve can be used to identify the persistence of oil-price shocks and to obtain an indicator of the rate at which they will diminish. Second, the spread between the current futures price and the spot price of oil can be interpreted as an indicator of the precautionary demand for oil. Third, because oil-futures prices are volatile, forecasts of the future spot price of oil using futures prices should be supplemented with other information to improve their accuracy.