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

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  • Schalck, Christophe
  • Chenavaz, Régis

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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  • Schalck, Christophe & Chenavaz, Régis, 2015. "Oil commodity returns and macroeconomic factors: A time-varying approach," Research in International Business and Finance, Elsevier, vol. 33(C), pages 290-303.
    • Handle: RePEc:eee:riibaf:v:33:y:2015:i:c:p:290-303
    DOI: 10.1016/j.ribaf.2014.05.002
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    Cited by:

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    2. Han, Xu & Laing, Elaine & Lucey, Brian M. & Vigne, Samuel, 2023. "Corporate commodity exposure: A multi-country longitudinal study," Journal of Commodity Markets, Elsevier, vol. 30(C).
    3. 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.
    4. 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.
    5. Seiler, Volker, 2021. "China-to-FOB price transmission in the rare earth elements market and the end of Chinese export restrictions," Energy Economics, Elsevier, vol. 102(C).
    6. Mohammad Sharik Essa & Evangelos Giouvris, 2020. "Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors," JRFM, MDPI, vol. 13(4), pages 1-40, April.
    7. Yu, Xing & Li, Yanyan & Zhao, Qian, 2024. "Research on optimization strategy of futures hedging dependent on market state," Applied Energy, Elsevier, vol. 373(C).
    8. Brice V. Dupoyet & Corey A. Shank, 2018. "Oil prices implied volatility or direction: Which matters more to financial markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 275-295, August.

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    More about this item

    Keywords

    Commodity prices; Oil; Time-varying model; Kalman filter;
    All these keywords.

    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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