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...

We show that US consumer inflation expectations are formed using a variant of adaptive expectations proposed by Mankiw et al. (2004). In particular, expectations behave differently when food and energy prices rise sharply relative to other prices. Using the recently proposed test of Homm and...