Research Interests: Macroeconomics, Energy Economics, Marco Finance, Monetary Economics, Macroeconometrics
Specializations: Time-series Forecasting Analysis, High-Frequency Data Analysis, Vector Autoregression Analysis
Papers and Theses:
I propose a set of new methods to measure the effects of investors' reactions and expectations on crude oil market dynamics. I measure investors’ reactions to unexpected events in the crude oil market using high-frequency changes in oil futures prices around significant event dates. I classify each unexpected event into one of three categories: supply shocks, demand shocks, and market influence shocks, and show how these shocks have statistically significant effects on crude oil prices, crude oil production, and economic activity. Moreover, I construct indexes of media coverage and investor interest of the crude oil market using Google Trends data and the New York Times article archives. I demonstrate that both indexes have statistically significant effects on crude oil prices, production, and economic activity. I thus identify statistically significant effects of investors’ reactions and expectations on crude oil market dynamics, which have largely been ignored in previous research.
I constructed two indexes to capture digital media coverage and investor interest in the crude oil market in this project. The digital media coverage index captures the changes in the digital media's attention to the crude oil market. It is constructed based on the number of crude oil market-related news articles presented in Google Search. The construction of the investor interest index is based on the number of searches by Google users related to the crude oil market for a specific period.
This paper focuses on checking the validity of the original Kilian (2009) Index and extends Kilian (2009) model to include future supply expectation shocks and future demand expectation shocks. The first part of this paper finds that the results have changed by applying the corrected Kilian index suggested by Hamilton (2018), as well as the index constructed using the OECD industrial production level. Though the results have changed, the conclusion of the original Kilian paper stays valid. The second part of this paper extends the Kilian (2009) model by replacing crude oil spot price with future contract ETF price, which increases the effects of oil market-specific shocks. The model is then further extended to include crude oil supply and demand forecast values from the OPEC monthly reports and has shown significant future supply and future demand expectation shocks on crude oil prices. Finally, this paper shows possible political and unanticipated events as part of crude oil market-specific shocks on crude oil prices.
This paper investigates the impact of the U.S. fracking boom and the lifting of the U.S. crude oil export ban on crude oil price spreads, pass-through effects on U.S. domestic inflation, and crude oil investors' reactions to petroleum data report releases. I find that the price spread between WTI and Brent became wider after the U.S. fracking boom started, and narrower after the lifting of the crude oil export ban. Further, I find the crude oil price pass-through effects are significant in the first month, and the effects are slower after the U.S. fracking boom started. Finally, I find that with the lifting of the crude oil export ban, WTI crude is more integrated with the global oil market, and the effects of the U.S. government weekly reports on WTI crude prices become smaller.