Working Paper Revision

Big Data Meets the Turbulent Oil Market

Abstract: This paper introduces novel news-based measures for tracking global energy markets. These measures compress thousands of news articles into a parsimonious set of real-time indicators and are successful in-sample forecasters of oil spot, futures, and energy company stock returns, and of changes in oil volatility, production, and inventories, complementing and extending traditional (non-text) predictors. In out-of-sample tests, text-based measures predict oil futures returns and changes in oil spot prices better than traditional predictors, although the latter are more useful for forecasting changes in oil volatility.

JEL Classification: C52; G14; G17; Q47; G10;

https://doi.org/10.18651/RWP2020-20

Bibliographic Information

Provider: Federal Reserve Bank of Kansas City

Part of Series: Research Working Paper

Publication Date: 2022-11

Number: RWP 20-20

Related Works

• Working Paper Revision (2022-11) : You are here.
• Working Paper Original (2020-12-23) : Mining for Oil Forecasts