期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：In this paper we analyse the relative importance of fundamental and speculative demand on oil futures price levels and volatility. In a rst 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 fundamentals and the presence of dierent types of agents. We distinguish between commercial traders (who are physically involved in oil) and non-commercial traders (who are not involved physically with oil). Based on the theoretical model we nd that a multiplicity of equilibria can exist. More specically, on the one hand, if we have high fundamental volatility, high uncertainty about future oil demand, and the oil price deviation from fundamentals or the price trend is small, we will only have commercial traders entering the market. On the other hand, if a large unexpected shock to the oil spot price occurs then all traders will enter the market. In a next step, we empirically test the model by estimating a markov-switching model with time-varying transition probabilities. We estimate the model over the period January 1992 - April 2011. We nd that up to 2004, movements in oil futures prices are best explained by underlying fundamentals. However, since 2004 regime switching has become more frequent and the chartist regime has been the most prominent.
