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Macroeconomic factors and oil futures prices: A data-rich model

  • Zagaglia, Paolo

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 the panel data 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.

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Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 32 (2010)
Issue (Month): 2 (March)
Pages: 409-417

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Handle: RePEc:eee:eneeco:v:32:y:2010:i:2:p:409-417
Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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