عنوان انگلیسی مقاله:

Wath is driving oil futures prices? fundamentaks versus speculation

ترجمه عنوان مقاله: عوامل مؤثر بر قیمت نفت در آینده: عوامل بنیادی در مقابل سوداگری

رشته: اقتصاد

سال انتشار: 2011

تعداد صفحات مقاله انگلیسی: 29 صفحه

منبع: ecb.europa.eu

نوع فایل: pdf

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مقاله انگلیسی عوامل مؤثر بر قیمت نفت در آینده

Abstract Wath is driving oil futures prices? fundamentaks versus speculation

In this paper we analyse the relative importance of fundamental and speculative demand on oil futures price levels and volatility. In a first step, we present a theoretical heterogeneous agent model of the oil futures market based on noise trading. We use the model to study the interaction between the oil futures price, volatility, developments in underlying fundamentals and the presence of difierent types of agents. We distinguish between commercial traders (who are physically involved in oil) and non-commercial traders (who are not involved physically with oil).

Based on the theoretical model we and that a multiplicity of equilibria can exist. More specifically, on the one hand, if we have high fundamental volatility, high uncertainty about future oil demand, and the oil price deviation from fundamentals or the price trend is small, we will only have commercial traders entering the market. On the other hand, if a large unexpected shock to the oil spot price occurs then all traders will enter the market. In a next step, we empirically test the model by estimating a markov-switching model with time-varying transition probabilities. We estimate the model over the period January 1992 – April 2011. We find that up to 2004, movements in oil futures prices are best explained by underlying fundamentals. However, since 2004 regime switching has become more frequent and the chartist regime has been the most prominent.

Keywords: Markov switching models, oil prices, speculation.

Non-technical summary

The importance of oil to the modern world is unique in character and far-reaching in scope.It is a singularly autonomous variable in the world economy and it is used inter alia for trans-portation, heating and production. As such, oil availability and prices thus a‑ect the globaloutput capacity, rate of growth and level of ination and hence oil priceuctuations canhave important macroeconomic repercussions. Indeed, sharply higher oil prices can set di!-cult economic challenges for oil importing economies as it can simultaneously slow economicgrowth while stoking ination. For these reasons, already almost a century ago, academicsstarted to study oil prices (see for instance Working, 1948).

During the eighties and nineties, however, interest in understanding oil price developmentsfell mainly because prices remained relatively low and stable in nominal and real terms. How-ever, since 2000, interest in oil price developments resurfaced as prices started to experience asteady upward trend. Since 2005, this upward movement became more rapid and then, in thecourse of 2008, oil prices climbed to unprecedented highs of USD 140 per barrel in July, onlyto fall dramatically in a very short period of time to a low of US 40 per barrel in December2008. Since the end of 2008, oil prices have picked up again.

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