Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model

Paolo Zagaglia

No 2009:7, Research Papers in Economics from Stockholm University, Department of Economics

Abstract: 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 these 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)
JEL-codes: C53 D51 E52 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2009-02-10
New Economics Papers: this item is included in nep-ene, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Macroeconomic factors and oil futures prices: A data-rich model (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:sunrpe:2009_0007

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