Survey_BK_2012

Abstract

Our dataset is monthly and includes some raw data that are available in real time and not subject to data revisions such as (1) the WTI spot price of crude oil, (2) NYMEX oil futures prices at various maturities, (3) an index of the spot price of industrial raw materials, and (4) an index of bulk dry cargo ocean shipping freight rates [such as the Baltic Dry Cargo Index (BDI)]. Our dataset also includes many time series that are not available in real time. The latter time series include: (1) the nominal U.S. refiners’ acquisition cost for crude oil imports, (2) world crude oil production, (3) U.S. crude oil inventories, (4) U.S. petroleum inventories, and (5) OECD petroleum inventories. Finally, we collected data for the U.S. consumer price index for all urban consumers and the U.S. producer price index for crude oil. Monthly averages of the daily WTI spot price were obtained from the FRED database (mnemonic: OILPRICE). The corresponding average NYMEX oil futures prices are from Bloomberg. The spot price index of industrial raw materials is from the Commodity Research Bureau. All other oil market data were obtained from the Monthly Energy Review published by the U.S. Energy Information Administration (EIA). Prior to 1996.1, this publication is not available in electronic form. The construction of the real-time dataset from the historical issues of the Monthly Energy Review is described in detail below. The nominal shipping rate data are obtained from Kilian (2009) for 1973.1 through 1984.12 and are extrapolated through 2.12 using the BDI from Bloomberg. Real-time data for the monthly seasonally adjusted U.S. consumer price index for all urban consumers are obtained from the Economic Indicators published by the Council of Economic Advisers. These data are made available by the FRASER database of the Federal Reserve Bank of St. Louis. Additional real-time consumer price index (CPI) data were obtained from the macroeconomic realtime database of the Federal Reserve Bank of Philadelphia. The U.S. producer price index for crude oil is not required in real time for our analysis and is from the Bureau of Labor Statistics.