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An application of models of speculative behaviour to oil prices

Authors:	Shuping Shi Vipin Arora

Affiliation:	^a School of Finance, Actuarial Studies and Applied Statistics and Centre for Applied Macroeconomic Analysis (CAMA), The Australian National University, Canberra ACT 0200, Australia ^b US Energy Information Administration, 1000 Independence Ave., SW, Washington, DC 20585, United States

Abstract:	We estimate three different models of speculative behaviour using oil price data. Our findings provide support for the claim by Phillips and Yu (2011) and Gilbert (2010) that a bubble in oil prices existed for a short period in 2008.

Keywords:	C5 Q4
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