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Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market

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  • EFTHYMIOS G. PAVLIDIS
  • IVAN PAYA
  • DAVID A. PEEL

Abstract

The wide fluctuations of oil prices from 2003 to 2008 have attracted the interest of academics and policymakers. A popular view is that these fluctuations were caused by speculative bubbles due to the increased financialization of oil futures markets. This hypothesis, however, is difficult to examine since the fundamental price of oil is unobservable and, therefore, econometric evidence in favor of bubbles may actually be due to misspecified market fundamentals. In this paper, we extend two recently proposed methodologies for bubble detection that alleviate this problem by using market expectations of future prices. Both methodologies provide no evidence of speculative bubbles.

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  • Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2018. "Using Market Expectations to Test for Speculative Bubbles in the Crude Oil Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 833-856, August.
    • Handle: RePEc:wly:jmoncb:v:50:y:2018:i:5:p:833-856
    DOI: 10.1111/jmcb.12525
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