Date stamping historical periods of oil price explosivity : 1876–2014
| dc.contributor.author | Caspi, Itamar | |
| dc.contributor.author | Katzke, Nico | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2019-04-12T13:12:42Z | |
| dc.date.available | 2019-04-12T13:12:42Z | |
| dc.date.issued | 2018-02 | |
| dc.description.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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.librarian | hj2019 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/eneco | en_ZA |
| dc.identifier.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. | en_ZA |
| dc.identifier.issn | 0140-9883 (print) | |
| dc.identifier.issn | 1873-6181 (online) | |
| dc.identifier.other | 10.1016/j.eneco.2015.03.029 | |
| dc.identifier.uri | http://hdl.handle.net/2263/68972 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2018 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Energy Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Energy Economics, vol. 70, pp. 582-587, 2018. doi : 10.1016/j.eneco.2015.03.029. | en_ZA |
| dc.subject | Oil-prices | en_ZA |
| dc.subject | Date-stamping strategy | en_ZA |
| dc.subject | Periodically collapsing bubbles | en_ZA |
| dc.subject | Explosivity | en_ZA |
| dc.subject | Flexible window | en_ZA |
| dc.subject | Commodity price bubbles | en_ZA |
| dc.subject | Generalized sup ADF (GSADF) | en_ZA |
| dc.title | Date stamping historical periods of oil price explosivity : 1876–2014 | en_ZA |
| dc.type | Postprint Article | en_ZA |