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...

This study investigated impact of Crude Oil shrinkage (COS) on stock market returns (SMRs) in Nigeria. The spanned for a period twenty-one years (2000-2020). SMRs which was proxy by capitalization while COS with CO price, inflation rate, balance trade and exchange rate. specific objectives are: the connection between price Nigeria; Nigeria's rate; co-existence link Nigeria rate SMRs. data sourc...

This paper considers a time-varying parameter vector autoregression model to analyze the varying impact of three types structural oil shocks (the supply-side shock, aggregate demand and oil-specific shock) on European stock market since 1990s. Our findings show that heterogeneously influence returns in euro area, this considerably changes over time during period considered. First, an unexpected...