The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts

Xiaohan Ma; Roberto Samaniego

doi:10.1016/j.eneco.2020.104832

The macroeconomic impact of oil earnings uncertainty: New evidence from analyst forecasts

Energy Econ. 2020 Aug:90:104832. doi: 10.1016/j.eneco.2020.104832. Epub 2020 Jun 27.

Authors

Xiaohan Ma¹, Roberto Samaniego²

Affiliations

¹ Texas Tech University, Department of Economics, P.O. Box 41014, Lubbock, TX 79409-1014, USA.
² Department of Economics, The George Washington University, 2115 G Street, NW Monroe Hall 340, Washington, DC 20052, USA.

Abstract

We develop measures of oil earnings uncertainty (OEU) using analyst forecasts drawn from a large firm-level dataset. OEU is related to future economic downturns, so some OEU measures may serve to forecast future downturns. An increase in OEU also has adverse effects on the US oil sector. The results are robust to conditioning on aggregate uncertainty. At the same time, OEU is related to increases in stock prices - unlike aggregate uncertainty, which has the opposite effect. OEU is thus an independent influence on both the oil industry and on economic aggregates.

Keywords: Analyst forecasts; Business cycles; Oil earnings uncertainty; Oil markets.