Financialization and Learning About the Persistence of Shocks
研究了金融化如何通过非基本面噪声干扰石油市场参与者从库存数据中学习冲击的持续性，发现金融化使暂时性冲击更易被误判为持久性冲击。
Oil market participants depend on inventories data to learn about the current and future oil market conditions, and thus infer the persistence of realized shocks. We argue that financialization has made such learning more challenging. When financial investors trade oil for reasons unrelated to oil fundamentals, they introduce non-fundamental noise to the futures market, creating a wedge between futures and spot prices. Exploiting this wedge, arbitrageurs simultaneously trade futures contracts and store physical oil, thus propagating non-fundamental noise to inventories and making them a nosier indicator of oil market fundamentals. We develop a tractable dynamic model that features permanent and temporary fundamental shocks, storage, and a complex oil financial market. Using the model, we show that financialization makes temporary shocks more likely to be perceived as persistent. We also establish a connection between the maturity of futures contracts targeted by naive investors and the informativeness of futures prices and inventories. We believe that our mechanism played a key role in amplifying oversupply fears in 2015.