The Role of Heterogeneous Agents in Fuel Markets: Testing Tales of Speculators in Oil Markets

Andreas Fritz (), Michael Stein () and Christoph Weber ()
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Christoph Weber: Chair for Management Sciences and Energy Economics, University of Duisburg-Essen

No 1505, EWL Working Papers from University of Duisburg-Essen, Chair for Management Science and Energy Economics

Abstract: This study investigates the role of heterogeneous agents in oil markets and tests tales of speculators in oil price formation. Results obtained from using a non-linear heterogeneous agent model suggest that oil market prices are driven by different groups of speculators, namely fundamentalists, chartists and the newly introduced contrarians. The latter enable us to disentangle stabilizing effects previously attributed solely to fundamentalists, and they are on average the most dominating group, whereas chartists exacerbate the huge price swings in 1990, 2008 and 2011. We also show how sensitive the model outcomes are to the specification of the fundamental value, what has strong economic implications.

Keywords: Energy (search for similar items in EconPapers)
JEL-codes: Q40 (search for similar items in EconPapers)
Pages: 21
Date: 2015-08, Revised 2015-08
New Economics Papers: this item is included in nep-ene and nep-ger
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http://www.wiwi.uni-due.de/fileadmin/fileupload/BW ... torsInOilMarkets.pdf First version, 2015

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Persistent link: https://EconPapers.repec.org/RePEc:dui:wpaper:1505

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