Beyond Fundamentals: Crashes and Bubbles in Global Oil Prices from a FIMARX model

Gilles Dufrénot and Céline Gimet
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Gilles Dufrénot: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, IEP Aix-en-Provence - Sciences Po Aix - Institut d'études politiques d'Aix-en-Provence
Céline Gimet: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, IEP Aix-en-Provence - Sciences Po Aix - Institut d'études politiques d'Aix-en-Provence

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Abstract: This paper studies whether large swings in global crude oil prices reflect observable fundamentals alone or also embody forward-looking speculative dynamics. We develop a stylised asset-pricing model in which fundamentalists and sentimentdriven speculators coexist, which motivates a two-component equilibrium price: a backward-looking fundamental part and a forward-looking speculative part. Longmemory in the dividend process further motivates the use of fractional filtering. The theoretical model motivates our empirical specification: we combine fractional filtering with a mixed causal-noncausal autoregressive model to distinguish persistent movements from expectation-driven price dynamics in the oil prices, allowing speculative pressures to be two-sided and generate both upward bubble-like episodes and downward crash-like dislocations. We find that, even conditional on a rich set of oil-market, macro-financial, and geopolitical determinants, crude oil prices retain a forward-looking component. The results suggest that major oil-price fluctuations are shaped not only by fundamentals, but also by expectation-driven forces that amplify boom-bust dynamics.

Keywords: Overpricing; Crashes; Noncausal models; Long-memory; Oil prices (search for similar items in EconPapers)
Date: 2026
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