We thank Arabinda Basistha, Harry Turtle, Chardin Wese Simen, seminar participants at the 2013 Eastern Finance Association Meetings, and an anonymous referee for helpful comments and suggestions. Special thanks to Jeremy Shockcor for his help with the inventory forecast data. Errors or omissions are our responsibility.
Noisy Inventory Announcements and Energy Prices
Article first published online: 12 JUL 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 10, pages 911–933, October 2014
How to Cite
Halova, M. W., Kurov, A. and Kucher, O. (2014), Noisy Inventory Announcements and Energy Prices. J. Fut. Mark., 34: 911–933. doi: 10.1002/fut.21633
- Issue published online: 26 AUG 2014
- Article first published online: 12 JUL 2013
- Manuscript Accepted: 8 JUN 2013
- Manuscript Received: 5 NOV 2012
This study examines the effect of oil and gas inventory announcements on energy prices. Previous estimates of this effect suffer from bias due to measurement error in inventory surprises. We utilize intraday futures data for three petroleum commodities and natural gas to estimate the price response coefficients using traditional event study regressions and the identification-through-censoring (ITC) technique proposed by Rigobon and Sack [Rigobon and Sack (2008). Asset prices and monetary policy (pp. 335–370). Chicago: University of Chicago Press]. The results show that the bias in OLS estimates of the price impact of inventory surprises is quite large. The ITC coefficient estimates are about twice as large as OLS estimates for petroleum commodities and about four times as large as OLS estimates for natural gas. These results imply that energy prices are more strongly influenced by unexpected changes in inventory than shown in previous research. © 2013 Wiley Periodicals, Inc. Jrl Fut Mark 34:911–933, 2014