Paolo Zagaglia ()
Additional contact information
Paolo Zagaglia: Dept. of Economics, Stockholm University, Postal: Department of Economics, Stockholm University, S-106 91 Stockholm, Sweden
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
27 pages, February 10, 2009
Full text files
wp09_07.pdf
Questions (including download problems) about the papers in this series should be directed to Anne Jensen ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2024-02-05 17:13:48.