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dc.contributor.authorReitz, Stefanen_US
dc.contributor.authorRülke, Janen_US
dc.contributor.authorStadtmann, Georgen_US
dc.date.accessioned2012-09-04T08:15:20Z-
dc.date.available2012-09-04T08:15:20Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/62045-
dc.description.abstractHeterogenous agents models have proven to be capable of explaining price dynamics on speculative markets. In general, this is achieved by allowing time series properties to be state dependent. This paper investigates whether market participants' expectations already reflect these time varying nonlinearities. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.en_US
dc.language.isoengen_US
dc.publisherZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft Kiel und Hamburgen_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jahrhunderts - Session: Estimated Macro Models F18-V1en_US
dc.subject.jelC33en_US
dc.subject.jelD84en_US
dc.subject.jelQ47en_US
dc.subject.ddc330en_US
dc.titleNonlinear Expectations in Speculative Marketsen_US
dc.typeConference Paperen_US
dc.identifier.ppn730542041-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:vfsc12:62045-
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jh.

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