Oil commodity returns and macroeconomic factors: A time-varying approach |
| |
| Institution: | 1. ESG Management School, France;2. KEDGE Business School, Aix-Marseille School of Economics, CNRS & EHESS, France;1. Department of Economics, Westfälische Wilhelms-Universität Münster, Am Stadtgraben 9, 48143 Münster, Germany;2. Lazaridis School of Business & Economics, Wilfrid Laurier University, 75 University Avenue West, Waterloo, ON N2L 3C5, Canada;3. Department of Economics, Westfälische Wilhelms-Universität Münster, Am Stadtgraben 9, 48143 Münster, Germany |
| |
| 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 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
