Stanislav Anatolyev, Sergei Seleznev, and Veronika Selezneva, "How Does the Financial Market Update Beliefs about the Real Economy? Evidence from the Oil Market", Journal of Applied Econometrics, Vol. 26, No. 7, 2021, pp. 938-961. The intraday transaction data on the Light Crude Oil FuturesÂNYMEX (CL) used in the article were purchased from Tick Data. The data are proprietary and therefore redistribution of these data is not permitted. The data can be purchased from Tick Data https://www.tickdata.com/product/historical-futures-data/ and enquiries about data can be directed to Scott Mayster smayster [AT] tickdata.com The sample covers the period from 2010 to 2019 and contains 521 announcement days. Only transactions recorded withing half an hour before and after EIA announcements are kept. The sampling is done at a 5-second frequency by picking the last available transaction in each 5-second interval. The transaction prices are used to calculate 5-second returns. The data on the total crude oil inventories in the US are published by the Energy Information Administration. We use weekly U.S. ending stocks excluding SPR and including lease stocks of crude oil before September 2016 and U.S. ending stocks excluding SPR afterwards. The second source of information about the total crude oil inventories in the US is the Weekly Statistical Bulletin published by the American Petroleum Institute. Access options can be found at https://www.api.org/products-and-services/statistics/api-weekly-statistical-bulletin. The sample bulletin is available at https://www.api.org/products-and-services/statistics/api-weekly-statistical-bulletin#tab-release-schedule. The variable of interest is the Crude Oil Stocks. The median consensus forecast is taken from the Bloomberg survey of analysts. Access options to the Bloomberg terminal can be found at https://bba.bloomberg.net/. The variable of interest is the Survey Median Forecast of the DOE total change in crude oil inventories (DOEASCRD).