The option-implied oil price volatility is a strong negative predictor of economic growth beyond traditional uncertainty measures. A rise in oil volatility also predicts an increase in oil inventories and a reduction in oil consumption, in line with a propagation channel through the oil sector. We explain these findings within a macro-finance model featuring stochastic uncertainties and precautionary oil inventories: firms increase oil inventories when oil volatility rises, which curbs oil use for production and depresses economic activity. In the model and the data, aggregate equity prices fall at times of high oil volatility, with differential exposures across economic sectors.

期权隐含的油价波动是超越传统不确定性衡量标准的经济增长的强烈负面预测因素。石油波动性的上升也预示着石油库存的增加和石油消费的减少，这与通过石油部门的传播渠道相一致。我们在具有随机不确定性和预防性石油库存的宏观金融模型中解释了这些发现：当石油波动性上升时，公司会增加石油库存，这会抑制石油用于生产并抑制经济活动。在模型和数据中，总股票价格在石油高度波动时下跌，不同经济部门的风险敞口不同。