Date stamping historical periods of oil price explosivity : 1876–2014
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Date
Authors
Caspi, Itamar
Katzke, Nico
Gupta, Rangan
Journal Title
Journal ISSN
Volume Title
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.
Description
Keywords
Oil-prices, Date-stamping strategy, Periodically collapsing bubbles, Explosivity, Flexible window, Commodity price bubbles, Generalized sup ADF (GSADF)
Sustainable Development Goals
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.