Arbeitspapier
Nonlinear oil price dynamics: a tale of heterogeneous speculators?
While some of the recent surge of oil prices can be attributed to robust global demand at a time of tight production capacities, commentators occasionally also blame the impact of speculators for part of the price pressure. We propose an empirical oil market model with heterogeneous speculators. Whereas trend-extrapolating chartists may tend to destabilize the market, fundamentalists exercise a stabilizing effect on the price dynamics. Using monthly data for WTI oil prices, our STR-GARCH estimates indicate that oil price cycles may indeed emerge due to the nonlinear interplay between different trader types.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 1 ; No. 2008,10
- Klassifikation
-
Wirtschaft
Resource Booms
Expectations; Speculations
- Thema
-
oil price dynamics
endogenous bubbles
STR GARCH model
Erdölpreis
Volatilität
Mineralölmarkt
Spekulation
Schätzung
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Reitz, Stefan
Slopek, Ulf Dieter
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Reitz, Stefan
- Slopek, Ulf Dieter
- Deutsche Bundesbank
Entstanden
- 2008
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