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Oil commodity returns and macroeconomic factors: A time-varying approach

Author

Listed:
  • Christophe Schalck
  • Régis Chenavaz

    (LTCI - Laboratoire Traitement et Communication de l'Information - Télécom ParisTech - IMT - Institut Mines-Télécom [Paris] - CNRS - Centre National de la Recherche Scientifique, GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - ECM - Ecole Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique - AMU - Aix Marseille Université - EHESS - École des hautes études en sciences sociales)

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.

Suggested Citation

  • Christophe Schalck & Régis Chenavaz, 2015. "Oil commodity returns and macroeconomic factors: A time-varying approach," Post-Print hal-01457334, HAL.
  • Handle: RePEc:hal:journl:hal-01457334
    Note: View the original document on HAL open archive server: https://hal-amu.archives-ouvertes.fr/hal-01457334
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    References listed on IDEAS

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    Cited by:

    1. Aboura, Sofiane & Chevallier, Julien, 2017. "Oil vs. gasoline: The dark side of volatility and taxation," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 976-989.
    2. Huchet, Nicolas & Fam, Papa Gueye, 2016. "The role of speculation in international futures markets on commodity prices," Research in International Business and Finance, Elsevier, vol. 37(C), pages 49-65.
    3. repec:kap:fmktpm:v:32:y:2018:i:3:d:10.1007_s11408-018-0314-7 is not listed on IDEAS

    More about this item

    Keywords

    Commodity prices; Kalman filter; Oil; Time-varying model;

    JEL classification:

    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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