Macroeconomic factors and oil futures prices: A data-rich model
نویسندگان
چکیده
منابع مشابه
Unspanned Macroeconomic Factors in Oil Futures
This paper constructs a macro-finance model for commodity futures, and documents a new empirical fact that real economic activity forecasts oil futures returns and prices. The model generalizes previous futures pricing models and indicates a time-varying oil risk premium that covaries strongly with the business cycle. Model estimates reveal rich dynamics between economic activity and oil future...
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If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their positions. We show that this interaction can produce an affine factor structure to commodity futures prices,...
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ژورنال
عنوان ژورنال: Energy Economics
سال: 2010
ISSN: 0140-9883
DOI: 10.1016/j.eneco.2009.11.003