全球智库信息集成服务系统(G2TT): Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics
	Marc Joëts
发表日期	2013
出处	Energy: Resources and Markets
出版年	2013
语种	英语
摘要	This paper proposes to investigate the impact of financialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme fluctuation periods through an original behavioral and emotional approach. To this aim, we propose a new theoretical and empirical framework based on a heterogeneous agents model in which fundamentalists and chartists co-exist and are subject to regret and uncertainty. We find significant evidence that energy markets are composed by heterogeneous traders which behave differently depending on the intensity of the price fluctuations and uncertainty context. In particular, energy prices are mainly governed by fundamental and chartist neutral agents during normal times whereas they face to irrational chartist averse investors during extreme fluctuations periods. In this context, the recent energy prices surge can be viewed as the consequence of irrational exhuberance. Our new theoretical model outperforms the random walk in out-of-sample predictive ability.
特色分类	Q43;G15;G02;D81
关键词	Energy Forward Prices Financialization Heterogeneous Agents Uncertainty Aversion Regret
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/heterogeneous-beliefs-regret-and-uncertainty-the-role-of-speculation-in-energy-price-dynamics/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118160
推荐引用方式 GB/T 7714	Marc Joëts. Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics. 2013.

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文件名称/大小	资源类型	版本类型	开放类型	使用许可
20134161514191Nota_d（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
201365945114NDL2013-（1003KB）	智库出版物		限制开放	CC BY-NC-SA	浏览