The influence of oil investors' sentiment on inflation dynamics and uncertainty

IF 13.6 2区 经济学 Q1 ECONOMICS
Dimitris Anastasiou , Zied Ftiti , Waël Louhichi , Anastasios Rizos , Artemis Stratopoulou
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Abstract

In recent years, inflation has surged significantly, and uncertainty surrounding energy prices has increased worldwide. This uncertainty, which has led to demand shocks during the post-pandemic recovery phase and has been exacerbated by recent geopolitical tensions, has impacted investor behaviour, leading to shifts in investment strategies and market sentiment. This study aimed to explore the connection between these two trends by examining whether investor sentiment related to oil markets affects inflation in the European Union (EU) utilising a comprehensive dataset and advanced econometric techniques. Our findings reveal that oil sentiment significantly affects inflation, with implications for both demand and supply dynamics. A positive relationship is observed between oil sentiment and headline Harmonised Index of Consumer Prices (HICP) inflation, and a negative relationship between oil volatility and inflation over a 12-month horizon. Additionally, our findings reveal that a model incorporating fundamentals and oil sentiment provides superior forecasting performance for EU inflation, suggesting that oil sentiment offers valuable insights into the future behaviour of EU inflation. Finally, our results demonstrate that EU inflation reacts positively and significantly to a positive oil sentiment shock only during low-sentiment periods, whereas an insignificant response is observed during high-sentiment periods. Our study highlights the importance of incorporating investor sentiment into policy frameworks, suggesting that understanding these psychological factors can enhance inflation management strategies. Overall, this research contributes to a deeper understanding of the complex interplay between investor sentiment and macroeconomic variables, offering valuable insights for policymakers and investors alike.
石油投资者情绪对通胀动态和不确定性的影响
近年来,通货膨胀率大幅上升,全球能源价格的不确定性也在增加。这种不确定性导致大流行后恢复阶段的需求冲击,并因最近的地缘政治紧张局势而加剧,影响了投资者行为,导致投资策略和市场情绪发生变化。本研究旨在利用综合数据集和先进的计量经济学技术,通过研究与石油市场相关的投资者情绪是否会影响欧盟(EU)的通货膨胀,探索这两种趋势之间的联系。我们的研究结果表明,油价情绪对通胀有显著影响,对需求和供应动态都有影响。研究发现,在未来12个月内,油价情绪与总体消费者价格协调指数(HICP)通胀呈正相关,而油价波动性与通胀呈负相关。此外,我们的研究结果表明,结合基本面和石油情绪的模型对欧盟通胀的预测效果更好,这表明石油情绪为欧盟通胀的未来行为提供了有价值的见解。最后,我们的结果表明,欧盟的通货膨胀仅在情绪低落时期对积极的石油情绪冲击作出积极而显著的反应,而在情绪高涨时期则观察到不显著的反应。我们的研究强调了将投资者情绪纳入政策框架的重要性,表明理解这些心理因素可以增强通胀管理策略。总体而言,本研究有助于更深入地了解投资者情绪与宏观经济变量之间复杂的相互作用,为政策制定者和投资者提供有价值的见解。
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来源期刊
Energy Economics
Energy Economics ECONOMICS-
CiteScore
18.60
自引率
12.50%
发文量
524
期刊介绍: Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.
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