Konferenzbeitrag
Nonlinear Expectations in Speculative Markets
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.
- Language
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Englisch
- Bibliographic citation
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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
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Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Expectations; Speculations
Energy Forecasting
- Event
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Geistige Schöpfung
- (who)
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Reitz, Stefan
Rülke, Jan
Stadtmann, Georg
- Event
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Veröffentlichung
- (when)
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2012
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Konferenzbeitrag
Associated
- Reitz, Stefan
- Rülke, Jan
- Stadtmann, Georg
Time of origin
- 2012
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