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- W1809052224 abstract "The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed producers and consumers will ensure that crude oil prices – and thus the prices of the corresponding futures contracts – fluctuate within a long run equilibrium range determined by market fundamentals. During the 2008 oil price upswing, however, shifts in positions in the futures markets by well informed optimizing agents, that usually dampen price changes, result in destabilizing positive feedback trading. Futures price changes that can be classified as speculative are due to hedgers’ reaction to movements in the variability of the return of their covered cash position." @default.
- W1809052224 created "2016-06-24" @default.
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- W1809052224 date "2011-01-01" @default.
- W1809052224 modified "2023-09-26" @default.
- W1809052224 title "Nonlinear Regime Shifts in Oil Price Hedging Dynamics" @default.
- W1809052224 doi "https://doi.org/10.2139/ssrn.1930905" @default.
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