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What is Driving Oil Futures Prices? Fundamentals Versus Speculation

Vansteenkiste, Isabel - 2021

volatility. In a first step, we present a theoretical heterogeneous agent model of the oil futures market based on noise trading …. We use the model to study the interaction between the oil futures price, volatility, developments in underlying … that a multiplicity of equilibria can exist. More specifically, on the one hand, if we have high fundamental volatility …

Persistent link: https://www.econbiz.de/10013315988

Stock market volatility and learning

Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008

and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …

Persistent link: https://www.econbiz.de/10011604908

Forecasting the Brent Oil Price : Addressing Time-Variation in Forecast Performance

Manescu, Cristiana - 2015

This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes over time. We find considerable instability in the performance of all models evaluated and argue that relying on average forecasting statistics might hide important information on...

Persistent link: https://www.econbiz.de/10013032606

Macroeconomic Uncertainty and the Impact of Oil Shocks

Van Robays, Ine - 2014

demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial … production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

Persistent link: https://www.econbiz.de/10013065408

Global Commodity Cycles and Linkages : A FAVAR Approach

Lombardi, Marco - 2010

In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...

Persistent link: https://www.econbiz.de/10013146204

How Important are Common Factors in Driving Non-Fuel Commodity Prices? A Dynamic Factor Analysis

Vansteenkiste, Isabel - 2009

This paper analyses the importance of common factors in shaping non-fuel commodity price movements for the period 1957-2008. For this purpose, a dynamic factor model is estimated using Kalman Filtering techniques. Based on this set-up we are able to separate common and idiosyncratic developments...

Persistent link: https://www.econbiz.de/10013158161

Learning from experience in the stock market

Nakov, Anton; Nuño, Galo - 2011

We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...

Persistent link: https://www.econbiz.de/10011605442

Learning From Experience in the Stock Market

Nakov, Anton - 2011

Persistent link: https://www.econbiz.de/10013119137

Stock Market Volatility and Learning

Adam, Klaus - 2009

and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium …

Persistent link: https://www.econbiz.de/10012766646

Central Bank Communication with the General Public : Promise or False Hope?

Blinder, Alan S.; Ehrmann, Michael; Haan, Jakob de; … - 2022

Central banks are increasingly reaching out to the general public to motivate and explain their monetary policy actions. One major aim of this outreach is to guide inflation expectations; another is to ensure accountability and create trust. This article surveys a rapidly-growing literature on...

Persistent link: https://www.econbiz.de/10014079351