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[10.03.2025]Der Artikel „Let’s switch again! Testing for speculative oil price bubbles based on rotated market expectations” von Robinson Kruse-Becher erscheint in der Fachzeitschrift Finance Research Letters . Link
Abstract:
Econometric tests for bubbles suffer from mis-specified and mis-measured fundamentals. However, such tests can be carried out without using any unobservable fundamental, but relying on financial market expectations instead. We revisit the case of oil price bubbles and investigate the role of expectations. While we still find no evidence for speculative bubbles when using rotated expectations, striking differences arise regarding implied risk premia. Using raw market expectations leads to explosive risk premia which are implausible, both theoretically and empirically, while the opposite is found for rotated market expectations.
