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EnglishI 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.
| Titolo: | Macroeconomic factors and oil futures prices: A data-rich model |
| Autore/i: | ZAGAGLIA, PAOLO |
| Autore/i Unibo: | |
| Anno: | 2010 |
| Rivista: | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.eneco.2009.11.003 |
| 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 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. |
| Data stato definitivo: | 2015-11-03T15:44:42Z |
| Appare nelle tipologie: | 1.01 Articolo in rivista |
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http://hdl.handle.net/11585/129980
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