An application of models of speculative behaviour to oil prices

Shu-ping Shi; Vipin Arora

We estimate three different models of speculative behaviour using oil price data. There are two major results: (i) The three-regime model of Brooks and Katsaris (2005) and a three-regime variant of van Norden and Schaller (2002) fit the oil price data reasonably well; and (ii) Both models show that the probabilities of being in a bubble collapsing state and a bubble expansion state spike in late-2008/early-2009. This provides some support for the claim by Phillips and Yu (2010) and Gilbert (2010) that a bubble in oil prices existed for short period in 2008

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Year of publication:	2011
Authors:	Shi, Shuping ; Arora, Vipin
Publisher:	Canberra : Centre for Applied Macroeconomic Analysis, the Australian National Univ.
Subject:	Ölpreis \| Oil price \| Spekulationsblase \| Bubbles \| Anlageverhalten \| Behavioural finance \| Schätzung \| Estimation \| Welt \| World \| 2008-2009