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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27637
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Reitz, Stefan | | en_US |
| dc.contributor.author | | Slopek, Ulf Dieter | | en_US |
| dc.coverage.temporal | | 1986-2006 | | en_US |
| dc.date.accessioned | | 2009-08-12T07:29:56Z | | - |
| dc.date.available | | 2009-08-12T07:29:56Z | | - |
| dc.date.issued | | 2008 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/27637 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2008,10 | | en_US |
| dc.subject.jel | | Q33 | | en_US |
| dc.subject.jel | | D84 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | oil price dynamics | | en_US |
| dc.subject.keyword | | endogenous bubbles | | en_US |
| dc.subject.keyword | | STR GARCH model | | en_US |
| dc.subject.stw | | Erdölpreis | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Mineralölmarkt | | en_US |
| dc.subject.stw | | Spekulation | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Welt | | en_US |
| dc.title | | Nonlinear oil price dynamics: a tale of heterogeneous speculators? | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 589830120 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:bubdp1:7552 | | - |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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