Oil commodity returns and macroeconomic factors: A time-varying approach

Christophe Schalck and Régis Chenavaz

Research in International Business and Finance, 2015, vol. 33, issue C, 290-303

Abstract: This paper analyses the dynamic influence of macroeconomic factors on oil commodity returns (crude oil and heating oil) shown in monthly data over the period of 1990–2013. Using a time-varying parameter model via the Kalman filter, we find that macroeconomic factors are relevant for explaining oil commodity returns. We find that multilateral exchange rates have a negative effect on commodity returns. We confirm the existence of a strong linkage between energy and non-energy commodities. More importantly, we find shifts in global demand and SP500 effects that are not identified through the constant parameter model. These variables have had a progressively positive effect on oil commodity returns, especially since 2008.

Keywords: Commodity prices; Oil; Time-varying model; Kalman filter (search for similar items in EconPapers)
JEL-codes: C22 G13 Q43 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:33:y:2015:i:c:p:290-303

DOI: 10.1016/j.ribaf.2014.05.002

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