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Etudes économétriques récentes réalisées à partir des données de la CFTC

Author

Listed:
  • Julien Chevallier

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Cet article propose une revue des études économétriques récentes ayant fait usage des statistiques désagrégées de la Commodity Futures Trading Commission (CFTC) aux Etats-Unis concernant les positions ouvertes sur les marchés dérivés du pétrole par type d'acteur. La distinction plus fine entre agents « commerciaux » et « non-commerciaux » est discutée afin d'apprécier la qualité des données publiées par la CFTC en fréquence hebdomadaire. Cet article contribue également à la réflexion sur la notion de « spéculation » sur les marchés dérivés du pétrole, lorsque certains acteurs par leur taille ou le volume de leurs interventions sur le marché sont capables d'influencer les prix des dérivés pétrole.

Suggested Citation

  • Julien Chevallier, 2010. "Etudes économétriques récentes réalisées à partir des données de la CFTC," Working Papers halshs-00458917, HAL.
    • Handle: RePEc:hal:wpaper:halshs-00458917
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00458917
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    References listed on IDEAS

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    1. Möbert, Jochen, 2009. "Do speculators drive crude oil prices? Dispersion in beliefs as a price determinant," Research Notes 32e, Deutsche Bank Research.
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