Date stamping historical oil price bubbles: 1876 - 2014

Stellenbosch Working Paper Series No. WP20/2014
 
Publication date: 2014
 
Author(s):
[protected email address] (Research Department, Bank of Israel)
[protected email address] (Department of Economics, University of Stellenbosch)
[protected email address] (Department of Economics, University of Pretoria)
 
Abstract:

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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BER Weekly

17 February 2020
Last Thursday, President Ramaphosa delivered his State of the Nation address (Sona) to parliament. The statement gave recognition to the economic challenges SA currently face, especially regarding electricity supply. More emphasis was placed on the role of the private sector to help solve these challenges. Read more in the Current affairs section. On...

Read the full issue