The influence of investors’ expectations on oil prices

Q3 Economics, Econometrics and Finance Applied Econometrics Pub Date : 2021-01-01 DOI:10.22394/1993-7601-2021-63-76-90

B. Potanin, J. Trifonov

引用次数: 0

Abstract

This study applies various modifications of the GARCH-M process to model oil prices considering both the expectations of the investors and the risk premium. Futures contracts prices and volatility are used as a proxy for investors’ expectations and risk premium correspondingly. The advantage of the proposed approach is that the risk premium is modeled without accounting for exogenous factors, the selection of which, based on the literature, may be complicated. The results of the econometric analysis provide statistical evidence that volatility has a significant effect on the oil price, which justifies the usage of volatility as an indicator of the risk premium in the futures prices.

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投资者预期对油价的影响

本研究在考虑投资者预期和风险溢价的情况下，应用GARCH-M过程的各种修改来模拟石油价格。期货合约价格和波动率作为投资者预期和风险溢价的代表。该方法的优点是，风险溢价的建模不考虑外生因素，根据文献，外生因素的选择可能很复杂。计量经济学分析的结果提供了统计证据，波动性对油价有显著影响，这证明波动性作为期货价格风险溢价的指标是合理的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Econometrics Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

0.70

自引率

0.00%

发文量

期刊介绍： The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.