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

Itamar Caspi (), Nico Katzke and Rangan Gupta ()

Energy Economics, 2018, vol. 70, issue C, 582-587

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.

Keywords: Oil-prices; Date-stamping strategy; Periodically collapsing bubbles; Explosivity; Flexible window; GSADF test; Commodity price bubbles (search for similar items in EconPapers)
JEL-codes: C15 C22 (search for similar items in EconPapers)
Date: 2018
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