Date stamping historical periods of oil price explosivity : 1876–2014

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Authors

Caspi, Itamar
Katzke, Nico
Gupta, Rangan

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Journal ISSN

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Publisher

Elsevier

Abstract

This paper sets out to date-stamp periods of historic oil price explosivity using the Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (2013). The date-stamping procedure used in this paper is effective at identifying periodically collapsing bubbles; a feature found lacking with previous bubble detection methods. We set out to identify periods of oil price explosivity relative to the general price level and oil inventory supplies in the US since 1876 and 1920, respectively. The recursive identification algorithms used in this study identify multiple periods of price explosivity, and as such provides future researchers with a reference for studying the macroeconomic impact of historical periods of significant oil price build-ups.

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Keywords

Oil-prices, Date-stamping strategy, Periodically collapsing bubbles, Explosivity, Flexible window, Commodity price bubbles, Generalized sup ADF (GSADF)

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Citation

Caspi, I., Katzke, N. & Gupta, R. 2018, 'Date stamping historical periods of oil price explosivity : 1876–2014', Energy Economics, vol. 70, pp. 582-587.