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Date Stamping Historical Oil Price Bubbles: 1876-2014

Itamar Caspi, Nico Katzke () and Rangan Gupta

No 201445, Working Papers from University of Pretoria, Department of Economics

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.

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)
Pages: 17 pages
Date: 2014-08
New Economics Papers: this item is included in nep-ene, nep-his and nep-rmg
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