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An application of models of speculative behaviour to oil prices

Shu-Ping Shi () and Vipin Arora ()

Economics Letters, 2012, vol. 115, issue 3, pages 469-472

Abstract: We estimate three different models of speculative behaviour using oil price data. Our findings provide support for the claim by Phillips and Yu (2011) and Gilbert (2010) that a bubble in oil prices existed for a short period in 2008.

Keywords: Oil price; Bubble; Speculative behaviour; Three-regime; Estimation (search for similar items in EconPapers)
JEL-codes: C5 Q4 (search for similar items in EconPapers)
Date: 2012
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Working Paper: AN APPLICATION OF MODELS OF SPECULATIVE BEHAVIOUR TO OIL PRICES (2011) Downloads
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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:3:p:469-472

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