000148918 001__ 148918
000148918 005__ 20250221175445.0
000148918 0247_ $$2doi$$a10.22004/ag.econ.148918
000148918 037__ $$a830-2016-55305
000148918 041__ $$aeng
000148918 084__ $$aQ43
000148918 084__ $$aG15
000148918 084__ $$aG02
000148918 084__ $$aD81
000148918 245__ $$aHeterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics
000148918 260__ $$c2013-04
000148918 269__ $$a2013-04
000148918 270__ $$mmarc.joets@u-paris10.fr$$pJoëts,   Marc
000148918 300__ $$a45
000148918 336__ $$aWorking or Discussion Paper
000148918 490__ $$aERM
000148918 490__ $$a32.2013
000148918 520__ $$aThis 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.
000148918 546__ $$aEnglish
000148918 650__ $$aEnvironmental Economics and Policy
000148918 650__ $$aResource/Energy Economics and Policy
000148918 6531_ $$aEnergy Forward Prices
000148918 6531_ $$aFinancialization
000148918 6531_ $$aHeterogeneous Agents
000148918 6531_ $$aUncertainty Aversion
000148918 6531_ $$aRegret
000148918 700__ $$aJoëts, Marc
000148918 8564_ $$955322d33-feab-4c93-b1d1-014578c19889$$s1065944$$uhttps://ageconsearch.umn.edu/record/148918/files/NDL2013-032.pdf
000148918 887__ $$ahttp://purl.umn.edu/148918
000148918 909CO $$ooai:ageconsearch.umn.edu:148918$$pGLOBAL_SET
000148918 912__ $$nSubmitted by Nancy Elera (nancy.elera@feem.it) on 2013-05-10T08:21:17Z
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  Previous issue date: 2013-04
000148918 913__ $$aLicense granted by Nancy Elera (nancy.elera@feem.it) on 2013-05-10T08:10:37Z (GMT):

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000148918 980__ $$a830
000148918 982__ $$gFondazione Eni Enrico Mattei (FEEM)>Energy: Resources and Markets