No. 1516 - Identification of expectational shocks in the oil market using OPEC announcements
Surprises in the price of oil futures computed on the days of OPEC announcements, which are commonly used in the literature to identify shocks to oil supply expectations, cannot be employed for this purpose without imposing additional restrictions, as they also capture information about aggregate demand expectations. This paper proposes a new methodology to identify the effects of oil shocks on the real economy and analyses their transmission channels.
The estimates indicate that a negative shock to oil supply expectations has deep and persistent stagflationary effects on global economic conditions, substantially stronger than previously assessed. The effects on the real economy also reflect adverse spillovers to financial markets, including contractions in equity prices, widening credit spreads, and heightened financial uncertainty.
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06 February 2026
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