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Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises

  • Möbert, Jochen
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    Bis zum Amtsantritt von Gary Gensler ging die US Commodity Futures Trading Commission von einem geringen Einfluss der Spekulanten auf den Rohölpreis aus, während nun eine Neubewertung stattfindet.Dieser Artikel misst die Aktivität der Spekulanten mit Hilfe von Variablen der wöchentlichen CFTC-Marktberichte und untersucht den Einfluss von Spekulanten auf den Rohölpreis und die Rohölpreisvolatilität mit Hilfe ökonometrischer Verfahren. Die Ergebnisse legen einen Einfluss der unterschiedlichen Markteinschätzungen von Spekulanten sowohl auf den Rohölpreis als auch die Preisvolatilität nahe.

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    Paper provided by Deutsche Bank Research in its series Research Notes with number 32.

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    Date of creation: 2009
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    Handle: RePEc:zbw:dbrrns:32
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    1. James D. Hamilton, 2009. "Understanding Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 179-206.
    2. Gonzalo, J. & Lee, T.H., 1995. "Pitfalls in Testing for Long Run Relationships," Papers 38, Boston University - Department of Economics.
    3. Harrison, J Michael & Kreps, David M, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, MIT Press, vol. 92(2), pages 323-36, May.
    4. H. Henry Cao & Hui Ou-Yang, 2009. "Differences of Opinion of Public Information and Speculative Trading in Stocks and Options," Review of Financial Studies, Society for Financial Studies, vol. 22(1), pages 299-335, January.
    5. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
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