Nonlinear Oil Price Dynamics
Author | : Stefan Reitz |
Publisher | : |
Total Pages | : 40 |
Release | : 2016 |
ISBN-10 | : OCLC:1306165141 |
ISBN-13 | : |
Rating | : 4/5 (41 Downloads) |
Download or read book Nonlinear Oil Price Dynamics written by Stefan Reitz and published by . This book was released on 2016 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.