Research Papers in Economics, Department of Economics, Stockholm University
Macroeconomic Factors and Oil Futures Prices: A Data-Rich Model
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; (follow links to similar papers)
JEL-Codes: C53; D51; E52; (follow links to similar papers)
27 pages, February 10, 2009
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