The 2006-2008 oil bubble: Evidence of speculation, and prediction |
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Authors: | Didier Sornette Ryan Woodard |
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Institution: | a Chair of Entrepreneurial Risks, Department of Management, Technology and Economics, ETH Zurich, CH-8001 Zurich, Switzerland b Swiss Finance Institute, c/o University of Geneva, 40 blvd. Du Pont dArve, CH 1211 Geneva 4, Switzerland c School of Business, School of Science, and Research Center for Econophysics, East China University of Science and Technology, Shanghai 200237, China d Research Center on Fictitious Economics & Data Science, Chinese Academy of Sciences, Beijing 100080, China |
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Abstract: | We present an analysis of oil prices in USD and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up was amplified by speculative behavior of the type found during a bubble-like expansion. We also attempt to unravel the information hidden in the oil supply-demand data reported by two leading agencies, the US Energy Information Administration (EIA) and the International Energy Agency (IEA). We suggest that the found increasing discrepancy between the EIA and IEA figures provides a measure of the estimation errors. Rather than a clear transition to a supply restricted regime, we interpret the discrepancy between the IEA and EIA as a signature of uncertainty, and there is no better fuel than uncertainty to promote speculation! Our post-crash analysis confirms that the oil peak in July 2008 occurred within the expected 80% confidence interval predicted with data available in our pre-crash analysis. |
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Keywords: | 89 65 Gh 05 45 Tp 05 45 Df |
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