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http://hdl.handle.net/10419/27637
  

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dc.contributor.authorReitz, Stefanen_US
dc.contributor.authorSlopek, Ulf Dieteren_US
dc.coverage.temporal1986-2006en_US
dc.date.accessioned2009-08-12T07:29:56Z-
dc.date.available2009-08-12T07:29:56Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/27637-
dc.description.abstractWhile 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.isoengen_US
dc.relation.ispartofseriesDiscussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2008,10en_US
dc.subject.jelQ33en_US
dc.subject.jelD84en_US
dc.subject.ddc330en_US
dc.subject.keywordoil price dynamicsen_US
dc.subject.keywordendogenous bubblesen_US
dc.subject.keywordSTR GARCH modelen_US
dc.subject.stwErdölpreisen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwMineralölmarkten_US
dc.subject.stwSpekulationen_US
dc.subject.stwSchätzungen_US
dc.subject.stwWelten_US
dc.titleNonlinear oil price dynamics: a tale of heterogeneous speculators?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn589830120en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:7552-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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