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An application of models of speculative behaviour to oil prices

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  • Shi, Shuping
  • Arora, Vipin

Abstract

We estimate three different models of speculative behaviour using oil price data. Our findings provide support for the claim by Phillips and Yu (2011) and Gilbert (2010) that a bubble in oil prices existed for a short period in 2008.

Suggested Citation

  • Shi, Shuping & Arora, Vipin, 2012. "An application of models of speculative behaviour to oil prices," Economics Letters, Elsevier, vol. 115(3), pages 469-472.
    • Handle: RePEc:eee:ecolet:v:115:y:2012:i:3:p:469-472
    DOI: 10.1016/j.econlet.2011.12.126
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    References listed on IDEAS

    as
    1. Simon van Norden & Huntley Schaller, 2002. "Fads or bubbles?," Empirical Economics, Springer, vol. 27(2), pages 335-362.
    2. Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
    3. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    4. Chris Brooks & Apostolos Katsaris, 2005. "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index," Economic Journal, Royal Economic Society, vol. 115(505), pages 767-797, July.
    5. Pindyck, Robert S, 1993. "The Present Value Model of Rational Commodity Pricing," Economic Journal, Royal Economic Society, vol. 103(418), pages 511-530, May.
    6. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    7. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    8. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    More about this item

    Keywords

    Oil price; Bubble; Speculative behaviour; Three-regime; Estimation;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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