AN APPLICATION OF MODELS OF SPECULATIVE BEHAVIOUR TO OIL PRICES

Shuping Shi and Vipin Arora ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We estimate three different models of speculative behaviour using oil price data. There are two major results: (i) The three-regime model of Brooks and Katsaris (2005) and a three-regime variant of van Norden and Schaller (2002) fit the oil price data reasonably well; and (ii) Both models show that the probabilities of being in a bubble collapsing state and a bubble expansion state spike in late-2008/early-2009. This provides some support for the claim by Phillips and Yu (2010) and Gilbert (2010) that a bubble in oil prices existed for short period in 2008.

JEL-codes: C5 Q4 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2011-05
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: An application of models of speculative behaviour to oil prices (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2011-11

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