Nonlinear oil price dynamics: a tale of heterogeneous speculators?

Stefan Reitz and Ulf Dieter Slopek

No 2008,10, Discussion Paper Series 1: Economic Studies from Deutsche Bundesbank

Abstract: While some of the recent surge of oil prices can be attributed to 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 WTI oil prices, our STR-GARCH estimates indicate that oil price cycles may indeed emerge due to the nonlinear interplay between different trader types.

Keywords: oil price dynamics; endogenous bubbles; STR GARCH model (search for similar items in EconPapers)
JEL-codes: D84 Q33 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (12)

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Related works:
Journal Article: Non‐Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators? (2009)
Journal Article: Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators? (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdp1:7552

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