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Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises


  • Möbert, Jochen


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.

Suggested Citation

  • Möbert, Jochen, 2009. "Unterschiedliche Markteinschätzungen von Spekulanten als Determinante des Rohölpreises," Research Notes 32, Deutsche Bank Research.
  • Handle: RePEc:zbw:dbrrns:32

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    References listed on IDEAS

    1. 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.
    2. James D. Hamilton, 2009. "Understanding Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 179-206.
    3. Gonzalo, Jesus & Lee, Tae-Hwy, 1998. "Pitfalls in testing for long run relationships," Journal of Econometrics, Elsevier, vol. 86(1), pages 129-154, June.
    4. 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.
    5. J. Michael Harrison & David M. Kreps, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, Oxford University Press, vol. 92(2), pages 323-336.
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    More about this item


    crude oil market; futures market; speculation;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices


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