How does the financial market update beliefs about the real economy? Evidence from the oil market
研究发现石油交易商将库存视为充分统计量，未能获取额外信息，导致金融市场无法区分已实现冲击与新闻冲击，并将所有冲击视为持久性的。
Summary Oil traders find it challenging to process all information and choose which sources to follow. Inventories represent a perfect source, as they provide important information regarding real agents' intertemporal decisions and can easily be observed in real time. However, inventories do not contain full information about the state of the oil market. We show that financial traders fail to acquire additional information and treat inventories as a sufficient statistic. As a result, the financial market fails to distinguish realized shocks from news shocks and treats all shocks as persistent. To confirm this hypothesis, we use oil inventory announcements to identify market inventory surprises; and we estimate a model of the joint dynamics of returns and return volatilities around announcements using high frequency data on oil futures contracts with short and long maturities.