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

16 September 2019
Despite weak incoming SA data for 2019Q3, the rand exchange rate and JSE benefitted from a global investor rotation in favour of riskier asset classes (see the markets section) last week. This was aided by the European Central Bank (ECB) announcing a widely expected stimulus package (for more, click here) and the US slightly delaying the imposition...

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