Price relationships in crude oil futures: new evidence from CFTC disaggregated data
AbstractThis paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that investigates the hypothesis of speculative trading. To do so, we develop a Markov switching analysis based on the WTI crude oil futures price, CFTC disaggregated data, and fundamentals of the oil price. The benefits of this approach are twofold: (1) the model is able to track changes in the underlying business cycle, and (2) the model explicitly incorporates data on the net positions of money managers as a proxy for speculative activity. After verifying the sensitivity of our results to the inclusion of supply and demand factors on the oil market, we cannot eliminate statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize the influence of many other economic variables during that specific time period. Copyright Springer 2013
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Bibliographic InfoArticle provided by Society for Environmental Economics and Policy Studies - SEEPS in its journal Environmental Economics and Policy Studies.
Volume (Year): 15 (2013)
Issue (Month): 2 (April)
Other versions of this item:
- Chevallier, Julien, 2013. "Price relationships in crude oil futures: new evidence from CFTC disaggregated data," Economics Papers from University Paris Dauphine 123456789/11712, Paris Dauphine University.
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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