Research
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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