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Etudes économétriques récentes réalisées à partir des données de la CFTC

Listed author(s):
  • Julien Chevallier


    (EconomiX - UPOND - Université Paris Ouest Nanterre La Défense - CNRS - Centre National de la Recherche Scientifique)

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.

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Paper provided by HAL in its series Working Papers with number halshs-00458917.

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Date of creation: 22 Feb 2010
Handle: RePEc:hal:wpaper:halshs-00458917
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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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