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

Christophe Schalck and Régis Chenavaz

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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; Kalman filter; Oil; Time-varying model (search for similar items in EconPapers)
Date: 2015-01
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Citations: View citations in EconPapers (8)

Published in Research in International Business and Finance, 2015, 33 (C), pp.290-303. ⟨10.1016/j.ribaf.2014.05.002⟩

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Journal Article: Oil commodity returns and macroeconomic factors: A time-varying approach (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01457334

DOI: 10.1016/j.ribaf.2014.05.002

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