Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
利用石油期货数据研究投资者如何学习油价波动的持续性，并发现这种学习机制改变了宏观经济冲击的传导效果，使经济对冲击的反应随时间变化。
Abstract Using oil futures, we examine expectation formation and how it alters the macroeconomic transmission of shocks. Our empirical framework, where investors learn about the persistence of oil-price movements, successfully replicates the fluctuations in oil-price futures since the Late 1990s. By embedding this learning mechanism in an estimated model, we document that an increase in the persistence of TFP-driven fluctuations in oil demand largely accounts for investors' perceptions that oil-price movements became increasingly permanent during the 2000s. Learning alters the macroeconomic impact of shocks, making the responses time dependent and conditional on perceptions of shocks' likely persistence.