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Title: The role of information demand in oil and gas markets Authors:  Georgios Bampinas - University of Macedonia (Greece)
Theodore Panagiotidis - University of Macedonia (Greece)
Georgios Papapanagiotou - University of Macedonia (Greece) [presenting]
Abstract: Two indices are presented that reflect the information demand for oil and shale gas. They are employed to analyse the behaviour of the energy commodities market. To construct the two indices we use the Search Volume Index data from Google search data for a set of search terms related to oil and shale gas. A two-step dynamic factor model is used that is based on Kalman filtering which captures the main bulk of co-movement between the data. Next, we employ a Bayesian time varying parameter VAR (TVP-VAR) to study the response of the energy commodities market to shocks in information demand and vice versa.