Testing and Modeling Speculative Oil Price Bubbles: US and Global Markets

Testing and Modeling Speculative Oil Price Bubbles: US and Global Markets

• Autor
• Wilfredo Fernando Leiva Maldonado
• Co-autores
• Luiz Eduardo Medeiros da Rocha
• Resumo

• This paper employs the model proposed by Scheinkman (1983), applied to oligopolistic competition among producers of storable goods, to establish the fundamental value of oil prices. Based on this value, we test for speculative bubbles in both Global and US market prices between July 1988 and May 2025. We examine explosive, multiple, periodic, and intrinsic bubbles, ultimately analyzing the dynamics of speculative bubbles under two unobservable regimes. Our findings confirm the existence of multiple bubbles in both markets, while periodic bubbles were found only in the US market. Given the presence of multiple bubbles, the regime-switching dynamics proved robust and consistent with periods where commodity prices deviated from their fundamental value at geometric rates. These results support the use of oil inventories as a key fundamental indicator for oil pricing.

• Palavras-chave
• WTI oil price; Brent oil price; Rational Bubbles; Fundamental value estimation
• Modalidade
• Comunicação oral
• Área Temática
• Macrofinanças

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