Date stamping historical oil price bubbles: 1876 - 2014
Stellenbosch Working Paper Series No. WP20/2014Publication date: 2014
Author(s):
[protected email address] (Department of Economics, University of Stellenbosch)
[protected email address] (Department of Economics, University of Pretoria)
This paper sets out to date-stamp periods of historic oil price explosivity (or bubbles) using the Generalized sup ADF (GSADF) test procedure suggested by Phillips et al. (2013). The date-stamping strategy used in this paper is effective at identifying periodically collapsing bubbles; a feature found lacking with previous bubble detecting methods. We set out to identify bubbles in the real price and the nominal price-supply ratio of oil for the period 1876 - 2014. The recursive identification algorithms used in this study identifies several periods of significant explosivity, and as such provides future researchers with a reference for studying the macroeconomic impact of historical periods of significant oil price build-ups.
JEL Classification:C15, C22
Keywords:Oil-prices, Date-Stamping Strategy, Periodically Collapsing Bubbles, Explosivity, Flexible Window, GSADF Test, Commodity Price Bubbles
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12 Apr 2024In the lead-up to the national election, local news remained focused on political developments. On the international front, newsfeeds were dominated by the currency and commodity markets. The US dollar strengthened significantly last week while the gold price reached another record high. ...
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