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| Naafey Sardar |
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| ''Deconstructing oil price surprises around OPEC announcements'' |
| ( 2026, Vol. 0 No.0 ) |
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| This paper revisits the identification of oil price shocks using high-frequency surprises around OPEC announcements. While previous studies have used changes in oil futures prices to proxy for supply shocks, recent evidence suggests that these surprises reflect a combination of demand factors. To address this identification challenge, I use a Bayesian structural vector autoregression (VAR) model and identify oil supply, inventory demand, and aggregate demand shocks by imposing sign-restrictions on high-frequency surprises in oil futures, the S&P 500, and the one-year U.S. bond yield. My analysis highlights that the response of bond yields to OPEC announcements may contain important information about the source of the oil shock. |
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| Keywords: Oil shocks, OPEC, inventory, demand, supply |
JEL: Q4 - Energy: General
G1 - General Financial Markets |
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| Manuscript Received : Jun 30 2026 | | Manuscript Accepted : Oct 10 2026 |
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