AN APPLICATION OF MODELS OF SPECULATIVE BEHAVIOUR TO OIL PRICES

Shu-Ping 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)
Date: 2011-05
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Journal Article: An application of models of speculative behaviour to oil prices (2012)
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Persistent link: http://EconPapers.repec.org/RePEc:een:camaaa:2011-11

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