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

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.
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Submitted on : Monday, February 6, 2017 - 1:51:34 PM
Last modification on : Tuesday, February 8, 2022 - 10:53:45 AM


  • HAL Id : hal-01457334, version 1


Christophe Schalck, Régis Chenavaz. Oil commodity returns and macroeconomic factors: A time-varying approach. Research in International Business and Finance, Elsevier, 2015, 33 (C), pp.290--303. ⟨hal-01457334⟩



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