The Review of Economics and Statistics Vol. 93 No. 2 2011

Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices

Lutz Kilian^1,2; Clara Vega^3,4

¹ Center for Economic and Policy Research · ² University of Michigan–Ann Arbor · ³ Federal Reserve · ⁴ Federal Reserve Board of Governors

Abstract

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.

DOI

10.1162/rest_a_00086

Volume

93

Issue

2

Pages

660-671

Language

en

Sources

openalex crossref

Cite

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