Noisy Inventory Announcements and Energy Prices

Forthcoming, The Journal of Futures Markets

39 Pages Posted: 7 Jun 2013 Last revised: 24 Jun 2013

See all articles by Marketa Wolfe

Marketa Wolfe

Skidmore College - Department of Economics

Alexander Kurov

West Virginia University - College of Business & Economics

Oleg Kucher

Frostburg State University - Department of Economics

Date Written: June 1, 2013

Abstract

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 (2008). 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.

Keywords: futures markets, energy prices, inventory announcements, event study, measurement error

JEL Classification: C49, G14, Q49

Suggested Citation

Wolfe, Marketa and Kurov, Alexander and Kucher, Oleg, Noisy Inventory Announcements and Energy Prices (June 1, 2013). Forthcoming, The Journal of Futures Markets. Available at SSRN: https://ssrn.com/abstract=2275354

Marketa Wolfe

Skidmore College - Department of Economics ( email )

815 N Broadway
Saratoga Springs, NY 12866
United States
+1-518-580-8374 (Phone)

Alexander Kurov (Contact Author)

West Virginia University - College of Business & Economics ( email )

P.O. Box 6025
Morgantown, WV 26506
United States

Oleg Kucher

Frostburg State University - Department of Economics ( email )

Guild Center 101 Braddock Road
Frostburg, MD 21532-2303
United States

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