Unspanned Macroeconomic Factors in Oil Futures
نویسنده
چکیده
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 futures markets which are material to the valuation of real options. ∗University of Utah. Email: [email protected]. Many thanks to Wayne Ferson, Scott Joslin, Gordon Phillips, Gerard Hoberg, and Kenneth Ahern for advice and encouragement. Thanks for comments and suggestions to Hank Bessembinder, Peter Bossaerts, Peter Christoffersen, Mike Cooper, Kris Jacobs, Nick Pan (discussant), Ken Singleton, Cynthia Wu (discussant), and seminar participants at Houston, Oregon, Toronto, USC, Utah, and the 2015 NBER Conference on Commodity Markets.
منابع مشابه
Unspanned Macroeconomic Risks in Oil Futures
This paper constructs a macro-finance model for commodity futures. I document a feedback relationship between crude oil prices and real economic activity. The channel from real activity to oil prices is unspanned – meaning not identified in current futures prices – consistent with oil futures as a hedge asset against supply shocks. Unspanned macroeconomic risks have first order effects on risk ...
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