Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/27637 
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dc.contributor.authorReitz, Stefanen
dc.contributor.authorSlopek, Ulf Dieteren
dc.date.accessioned2009-08-12T07:29:56Z-
dc.date.available2009-08-12T07:29:56Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2008,10en
dc.subject.jelQ33en
dc.subject.jelD84en
dc.subject.ddc330en
dc.subject.keywordoil price dynamicsen
dc.subject.keywordendogenous bubblesen
dc.subject.keywordSTR GARCH modelen
dc.subject.stwErdölpreisen
dc.subject.stwVolatilitäten
dc.subject.stwMineralölmarkten
dc.subject.stwSpekulationen
dc.subject.stwSchätzungen
dc.subject.stwWelten
dc.titleNonlinear oil price dynamics: a tale of heterogeneous speculators?-
dc.typeWorking Paperen
dc.identifier.ppn589830120en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:7552en

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