Oil traders find it challenging to process all information and choose which sources to follow. Inventories represent a perfect source, as they provide important information regarding real agents' intertemporal decisions and can easily be observed in real time. However, inventories do not contain full information about the state of the oil market. We show that financial traders fail to acquire additional information and treat inventories as a sufficient statistic. As a result, the financial market fails to distinguish realized shocks from news shocks and treats all shocks as persistent. To confirm this hypothesis, we use oil inventory announcements to identify market inventory surprises; and we estimate a model of the joint dynamics of returns and return volatilities around announcements using high frequency data on oil futures contracts with short and long maturities.

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金融市场如何更新对实体经济的看法？来自石油市场的证据

石油贸易商发现处理所有信息并选择要遵循的来源具有挑战性。库存是一个完美的来源，因为它们提供了有关真实代理人跨期决策的重要信息，并且可以很容易地实时观察到。但是，库存不包含有关石油市场状况的完整信息。我们表明，金融交易者无法获取额外信息并将库存视为足够的统计数据。因此，金融市场无法区分已实现的冲击与新闻冲击，并将所有冲击视为持续存在。为了证实这一假设，我们使用石油库存公告来识别市场库存意外；