Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators?

Stefan Reitz and Slopek Ulf
Additional contact information
Slopek Ulf: Deutsche Bundesbank,Frankfurt, Germany

German Economic Review, 2009, vol. 10, issue 3, 270-283

Abstract: While some of the recent surges in oil prices can be attributed to a 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 West Texas Intermediate oil prices, our STR-GARCH estimates indicate that oil price cycles may indeed emerge due to the non-linear interplay between different trader types.

Keywords: Oil price dynamics; endogenous bubbles; STR-GARCH model (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1468-0475.2008.00456.x (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Journal Article: Non‐Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators? (2009)
Working Paper: Nonlinear oil price dynamics: a tale of heterogeneous speculators? (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:germec:v:10:y:2009:i:3:p:270-283

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/ger/html

DOI: 10.1111/j.1468-0475.2008.00456.x

Access Statistics for this article

German Economic Review is currently edited by Peter Egger, Almut Balleer, Jesus Crespo-Cuaresma, Mario Larch, Aderonke Osikominu and Georg Wamser

More articles in German Economic Review from De Gruyter
Bibliographic data for series maintained by Peter Golla ().