Speculative trading and oil price dynamic: A study of the WTI market
作者： Emmanuel Hache , Frédéric Lantz
DOI: 10.1016/J.ENECO.2012.09.002
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摘要: Abstract The aim of this paper is to study the oil price dynamic in West Texas Intermediate (WTI) market US. By using statistical and econometric tools, we first attempt identify long term relationship between WTI spot prices futures contracts on New York Mercantile Exchange (NYMEX). Subsequently model short these two analysis points up several breaks. On basis, a Markov Switching Vectorial Error Correction (MS-VECM) with distinct states ( standard state crisis state) has been estimated. Finally introduce volumes transactions observed NYMEX for estimate influence non-commercial players. We conclude that hypothesis an players probability being cannot be rejected. In addition, show rise liquidity financial contracts, as measured by volume open interest, key element understand dynamics prices.
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