In this paper, we employ a new dataset to measure the impact of investor sentiment regarding oil prices on the U.S. inflation premium. Our empirical analysis relies on Structural Vector Autoregression (SVAR) and out-of-sample forecasts. The results indicate that a one standard deviation positive shock to overall investor sentiment regarding oil prices results in a significant increase in the U.S. inflation premium by approximately 1.2% over the subsequent 10 weeks. Compared to individual investor sentiment, institutional investor sentiment regarding oil prices has a larger impact on the U.S. inflation premium. Finally, we find an out-of-sample evidence that the overall investor sentiment regarding oil prices has predictive power on the U.S. inflation premium.

在本文中，我们使用一个新的数据集来衡量投资者对油价的情绪对美国通胀溢价的影响。我们的实证分析依赖于结构向量自回归 (SVAR) 和样本外预测。结果表明，对整体投资者对油价的情绪产生一个标准偏差的正冲击会导致美国通胀溢价在随后的 10 周内显着增加约 1.2%。与个人投资者情绪相比，机构投资者对油价的情绪对美国通胀溢价的影响更大。最后，我们发现样本外证据表明，投资者对油价的整体情绪对美国通胀溢价具有预测能力。