Nonlinear Expectations in Speculative Markets

Konferenzbeitrag

Heterogenous agents models have proven to be capable of explaining price dynamics on speculative markets. In general, this is achieved by allowing time series properties to be state dependent. This paper investigates whether market participants' expectations already reflect these time varying nonlinearities. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jahrhunderts - Session: Estimated Macro Models ; No. F18-V1

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Expectations; Speculations ; Energy Forecasting

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Reitz, Stefan ; Rülke, Jan ; Stadtmann, Georg
• Event: Veröffentlichung
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/62045
• Last update: 10.03.2025, 11:44 AM CET