Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices
通过将每日能源价格变化与美国宏观经济数据发布新闻进行回归，检验能源价格是否对宏观新闻有即时反应，结果未发现显著反馈，支持能源价格预定的假设。
We propose a formal test of the hypothesis that energy prices are predetermined with respect to U.S. macroeconomic aggregates. The test is based on regressing changes in daily energy prices on daily news from U.S. macroeconomic data releases. Using a wide range of macroeconomic news, we find no compelling evidence of feedback at daily or monthly horizons, contradicting the view that energy prices respond instantaneously to macroeconomic news and consistent with the commonly used identifying assumption that there is no feedback from U.S. macroeconomic aggregates to monthly innovations in energy prices. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.