English, Article, Journal or magazine article edition: Nonlinear oil price dynamics: a tale of heterogeneous speculators? Reitz, Stefan; Slopek, Ulf Dieter

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Bookmark: http://trove.nla.gov.au/version/191908
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Nonlinear oil price dynamics: a tale of heterogeneous speculators?
Author
  • Reitz, Stefan
  • Slopek, Ulf Dieter
Physical Description
  • preprint
Notes
  • 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.
  • oil price dynamics, endogenous bubbles, STR GARCH model
  • RePEc:zbw:bubdp1:7552
Language
  • English
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