Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148212
Authors: 
Fritz, Andreas
Stein, Michael
Weber, Christoph
Year of Publication: 
2015
Series/Report no.: 
EWL Working Paper 05/15
Abstract: 
This study investigates the role of heterogeneous agents in oil markets and tests tales of speculators in oil price formation. Results obtained from using a non-linear heterogeneous agent model suggest that oil market prices are driven by different groups of speculators, namely fundamentalists, chartists and the newly introduced contrarians. The latter enable us to disentangle stabilizing effects previously attributed solely to fundamentalists, and they are on average the most dominating group, whereas chartists exacerbate the huge price swings in 1990, 2008 and 2011. We also show how sensitive the model outcomes are to the specification of the fundamental value, what has strong economic implications.
Subjects: 
Energy
JEL: 
Q40
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.