@unpublished{tran_opecnn,
  author = {Paul L. Tran},
  month = {02},
  year = {2025},
  title = {Deciphering Financial Market Reactions to OPEC Announcements: A Neural Network Approach},
  doi = {10.2139/ssrn.4968664},
  url = {https://dx.doi.org/10.2139/ssrn.4968664},
  note = {SSRN Working Paper No 4968664},
  abstract = {\textit{Abstract}: This paper shows that OPEC communications affect oil supply expectations, oil prices, and the macroeconomy beyond the effects of setting production limits and changing current production. Using neural network methods for text analysis, I create a new oil supply expectations ``text shock'' from OPEC statements that is derived from variation in oil futures prices purified of noise, demand information, and endogenous responses to global economic activity. The ``purified surprises'' correlate with 74\% of the observed supply surprises. Impulse responses from vector autoregressions using my shock do not exhibit output puzzles and are more consistent with theory than those previously reported.}
}