The role of financial speculation in the energy future markets: A new time-varying coefficient approach

摘要: Abstract To study whether speculating behavior plays an important role in oil futures markets, this paper proposes a time-varying coefficient version of the model Llorente, Michaely, Saar, and Wang (2002) estimates effect using sieve maximum likelihood estimation method. Using data crude heating we find that neither speculative motive nor hedging dominates markets over whole sample period. However, one two motives some subsample periods. More importantly, speculation both around 2008. These empirical findings support argument significantly affected sharp rise price