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Essays on the role of speculation in the volatility of oil prices and oil futures risk premia.

机译：关于投机活动在油价和石油期货价格波动中的作用的文章有风险溢价。

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摘要

The greater volatility and higher prices in the oil market after 2003 suggest the possibility of increased speculation. Many researchers have investigated the origin of this change in oil price dynamics. The literature, however, lacks a comprehensive empirical model of oil price dynamics that incorporates both fundamentals and the influence of all economic agents who behave speculatively, and is also able to distinguish between speculation which is necessary for the oil market and "excess speculation".;The first chapter introduces a comprehensive empirical model which incorporates all of these elements, and uses it to examine the contribution of fundamentals and excess speculation to oil price fluctuations. I do this by introducing three novel features to the literature. First, I introduce an operational definition for excess speculation. Second, using a dynamic common factor model, I extract orthogonal factors from monthly time-series data that are specific to economic fundamentals and purely speculative activities, respectively, and decompose the variance of oil prices using these orthogonal factors. Third, I employ a larger set of underlying variables to represent speculative activities. My results show that the contribution of excess speculation in this market increased to 28% after 2003 compared to 1% before 2003, which shows a structural break in speculators' contribution after 2003.;Moreover, one of the six strands of the literature considers variation in oil risk premia to address the existence of speculative activities in oil futures market, and a structural change in oil futures markets in recent years. The literature, however, lacks a general model of time-varying risk premia that incorporates all of the possible explanatory variables of oil price fluctuations.;The second chapter employs this approach, time-varying oil risk premia, to investigate the role of speculative activity in this market, by introducing two novel features to the literature. First, I consider the notion of time-varying risk premia along with other explanations of oil price fluctuations. Second, I provide evidence of excess speculation based on these models. My results verify the variation of oil futures risk premia in recent years.
机译：2003年以后，石油市场更大的动荡和更高的价格暗示了投机活动的可能性。许多研究人员调查了油价动态变化的起因。然而，文献缺乏油价动态的综合经验模型，该模型既包含基本面又包括所有进行投机行为的经济主体的影响，并且也无法区分对石油市场必要的投机和“过度投机”。第一章介绍了一个综合的经验模型，该模型综合了所有这些要素，并用它来检验基本面和过度投机对石油价格波动的贡献。为此，我向文献介绍了三个新颖的特征。首先，我介绍了过度投机的操作定义。其次，使用动态公共因子模型，我分别从特定于经济基本面和纯粹投机活动的每月时间序列数据中提取正交因子，并使用这些正交因子分解油价的方差。第三，我使用了更多的基础变量来表示投机活动。我的结果表明，该市场中过度投机的贡献从2003年之前的1％增加到2003年以后的28％，这表明投机者在2003年之后的贡献出现了结构性断裂。此外，文献的六大类之一认为变化石油风险溢价方面的问题，以解决石油期货市场中投机活动的存在以及近年来石油期货市场的结构性变化。然而，文献缺乏时变风险溢价的通用模型，该模型没有包含油价波动的所有可能解释变量。第二章采用这种方法，即时变石油风险溢价，来研究投机活动的作用。在这个市场上，通过向文献介绍两个新颖的特征。首先，我考虑时变风险溢价的概念以及对石油价格波动的其他解释。其次，我提供了基于这些模型的过度投机的证据。我的结果证实了近年来石油期货风险溢价的变化。

著录项

  • 作者

    Asghari, Mahboobeh.;

  • 作者单位

    University of Houston.;

  • 授予单位 University of Houston.;
  • 学科 Economics.;Finance.
  • 学位 Ph.D.
  • 年度 2015
  • 页码 91 p.
  • 总页数 91
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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