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Price relationships in crude oil futures: new evidence from CFTC disaggregated data

dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.date.accessioned2013-09-25T13:07:38Z
dc.date.available2013-09-25T13:07:38Z
dc.date.issued2013-04
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11712
dc.language.isoenen
dc.subjectCrude oil futuresen
dc.subjectspeculationen
dc.subjectCFTC disaggregated dataen
dc.subjectMarkov-switching modelen
dc.subject.ddc332en
dc.subject.classificationjelQ43en
dc.subject.classificationjelG15en
dc.subject.classificationjelG12en
dc.subject.classificationjelC32en
dc.titlePrice relationships in crude oil futures: new evidence from CFTC disaggregated dataen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that investigates the hypothesis of speculative trading. To do so, we develop a Markov switching analysis based on the WTI crude oil futures price, CFTC disaggregated data, and fundamentals of the oil price. The benefits of this approach are twofold: (1) the model is able to track changes in the underlying business cycle, and (2) the model explicitly incorporates data on the net positions of money managers as a proxy for speculative activity. After verifying the sensitivity of our results to the inclusion of supply and demand factors on the oil market, we cannot eliminate statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize the influence of many other economic variables during that specific time period.This paper attempts to reconcile two strands of literature on oil and speculation: one that posits the predominance of supply/demand fundamentals, and one that investigates the hypothesis of speculative trading. To do so, we develop a Markov switching analysis based on the WTI crude oil futures price, CFTC disaggregated data, and fundamentals of the oil price. The benefits of this approach are twofold: (1) the model is able to track changes in the underlying business cycle, and (2) the model explicitly incorporates data on the net positions of money managers as a proxy for speculative activity. After verifying the sensitivity of our results to the inclusion of supply and demand factors on the oil market, we cannot eliminate statistically the possibility of speculation among the main reasons behind the 2008 oil price swing. We also explicitly recognize the influence of many other economic variables during that specific time period.en
dc.relation.isversionofjnlnameEnvironmental Economics and Policy Studies
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2013-04
dc.relation.isversionofjnlpages133-170en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s10018-012-0045-3en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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