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Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories

Kilian, Lutz; Lee, Thomas K - C.E.P.R. Discussion Papers - 2013

crude oil inventories affects the empirical evidence for speculation. Notwithstanding some differences, overall these …

Persistent link: https://www.econbiz.de/10011083911

Juvenal, Luciana; Petrella, Ivan - C.E.P.R. Discussion Papers - 2014

comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient … demand. However, speculation played a significant role in the oil price increase between 2004 and 2008, and its subsequent …

Persistent link: https://www.econbiz.de/10011084143

The Role of Speculation in Oil Markets: What Have We Learned So Far?

Fattouh, Bassam; Kilian, Lutz; Mahadeva, Lavan - C.E.P.R. Discussion Papers - 2012

was caused by the increased financialization of oil futures markets, which in turn allowed speculation to become a major … empirical methodologies and discuss to what extent each approach sheds light on the role of speculation. We find that the … existing evidence is not supportive of an important role of speculation in driving the spot price of oil after 2003. Instead …

Persistent link: https://www.econbiz.de/10011084244

Speculation, Risk Premia and Expectations in the Yield Curve

Barillas, Francisco; Nimark, Kristoffer P - C.E.P.R. Discussion Papers - 2013

An affine asset pricing model in which agents have rational but heterogeneous expectations about future asset prices is developed. We estimate the model using data on bond yields and individual survey responses from the Survey of Professional Forecasters and perform a novel three-way...

Persistent link: https://www.econbiz.de/10011084555

The Advantage to Hiding One's Hand: Speculation and Central Bank Intervention in the Foreign Exchange Market

Bhattacharya, Utpal; Weller, Paul - C.E.P.R. Discussion Papers - 1992

Using a portfolio balance model of exchange rate determination, this paper develops a theoretical explanation of why central banks do not make precise announcements of their exchange rate targets. In foreign exchange markets, where it is common knowledge that the central bank intervenes to...

Persistent link: https://www.econbiz.de/10005661690

Commodity Prices, Financial Markets and World Income: A Structural Rational Expectations Model

Ramanujam, Prathap; Vines, David - C.E.P.R. Discussion Papers - 1989

In this we specify and jointly estimate supply, demand and price equations for four aggregate commodity groups: food, beverages, agricultural raw materials and metals. This simple structural model allows us, for each group of commodities, to incorporate stock data for the first time, and to...

Persistent link: https://www.econbiz.de/10005667071

Regulating Insider Trading when Investment Matters

Medrano, Luis Angel; Vives, Xavier - C.E.P.R. Discussion Papers - 2002

We analyse the effects of insider trading on real investment and welfare, and the consequences of different regulatory policies: a disclose-or-abstain rule, ‘fair’ disclosure, laissez-faire and forbidding insider trades based on ‘precise’ information. We perform the analysis in a model...

Persistent link: https://www.econbiz.de/10005791877

Why Have a Target Zone?

Krugman, Paul; Miller, Marcus - C.E.P.R. Discussion Papers - 1992

what target zones might accomplish in this context. The principal result is that the speculation of informed traders shifts …

Persistent link: https://www.econbiz.de/10005792196

The Role of Inventories and Speculative Trading in the Global Market for Crude Oil

Kilian, Lutz; Murphy, Daniel P - C.E.P.R. Discussion Papers - 2010

eliminates speculation as an explanation of the 2003-08 oil price surge. …

Persistent link: https://www.econbiz.de/10008530341

Riding the South Sea Bubble

Temin, Peter; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2004

The efficient markets hypothesis implies that, in the presence of rational investors, bubbles cannot develop. We analyse the trading behaviour of a sophisticated investor, a London goldsmith bank, during the South Sea bubble in 1720. The bank believed the stock to be overvalued, yet found it...

Persistent link: https://www.econbiz.de/10005136583