Macroeconomic factors and oil futures prices: A data-rich model
Energy Economics, 2010, vol. 32, issue 2, 409-417
I study the dynamics of oil futures prices in the NYMEX using a large panel dataset that includes global macroeconomic indicators, financial market indices, quantities and prices of energy products. I extract common factors from the panel data series and estimate a Factor-Augmented Vector Autoregression for the maturity structure of oil futures prices. I find that latent factors generate information that, once combined with that of the yields, improves the forecasting performance for oil prices. Furthermore, I show that a factor correlated to purely financial developments contributes to the model performance, in addition to factors related to energy quantities and prices.
Keywords: Crude; oil; Futures; markets; Factor; models (search for similar items in EconPapers)
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Working Paper: Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:32:y:2010:i:2:p:409-417
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