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Speculation in the Oil Market
Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014
comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient … demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent …
Persistent link: https://www.econbiz.de/10011084143
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Quantifying the speculative component in the real price of oil: The role of global oil inventories
Kilian, Lutz; Lee, Thomas K. - In: Journal of International Money and Finance 42 (2014) C, pp. 71-87
crude oil inventories affects the empirical evidence for speculation. Notwithstanding some differences, overall these …
Persistent link: https://www.econbiz.de/10011048456
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Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories
Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2013
crude oil inventories affects the empirical evidence for speculation. Notwithstanding some differences, overall these …
Persistent link: https://www.econbiz.de/10011083911
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The Role of Speculation in Oil Markets: What Have We Learned So Far?
Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - C.E.P.R. Discussion Papers - 2012
was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major … empirical methodologies and discuss to what extent each approach sheds light on the role of speculation. We find that the … existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003. Instead …
Persistent link: https://www.econbiz.de/10011084244
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Kim - Department of Economics and Finance, College of … - 2013
Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fash-ion and financial market...
Persistent link: https://www.econbiz.de/10010907422
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The role of financial investments in agricultural commodity derivatives markets
Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012
This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index...
Persistent link: https://www.econbiz.de/10009645788
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Herding, Information Cascades and Volatility Spillovers in Futures Markets
McAleer, Michael; Radalj, Radalj, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...
Persistent link: https://www.econbiz.de/10010731573
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Stochastic Behavioral Asset Pricing Models and the Stylized Facts
Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10005755238
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Allowance Price Drivers in the First Phase of the EU ETS
Hintermann, Beat - CER-ETH Center of Economic Research, Department of … - 2009
In the first phase of the EU Emissions Trading Scheme (EU ETS), the price per ton of CO2 rose to over €30 before decreasing to zero by mid 2007. I examine to what extent this variation can be explained by marginal abatement costs by deriving a structural model of the allowance price under the...
Persistent link: https://www.econbiz.de/10008500740
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Precios de productos almacenables: implicaciones del modelo de inventarios
Eugenio S.A. Bodenrieth H. - In: Estudios de Economia 31, 1 Year 2004, pp. 67-78
Las variaciones de inventarios son reconocidas, por participantes del mercado y por la literatura, como relevantes en la determinación de precios de activos almacenables. Este artículo presenta resultados de la literatura en modelos dinámicos de expectativas racionales basados en variaciones...
Persistent link: https://www.econbiz.de/10005687721