IDEAS home Printed from https://ideas.repec.org/p/pre/wpaper/201445.html
   My bibliography  Save this paper

Date Stamping Historical Oil Price Bubbles: 1876-2014

Author

Listed:
  • Itamar Caspi

    (Research Department, Bank of Israel)

  • Nico Katzke

    (Department of Economics, Stellenbosch University, South Africa)

  • Rangan Gupta

    (Department of Economics, University of Pretoria)

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.

Suggested Citation

  • Itamar Caspi & Nico Katzke & Rangan Gupta, 2014. "Date Stamping Historical Oil Price Bubbles: 1876-2014," Working Papers 201445, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201445
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1043-1078, November.
    2. Bettendorf, Timo & Chen, Wenjuan, 2013. "Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests," Economics Letters, Elsevier, vol. 120(2), pages 350-353.
    3. William A. Branch & George W. Evans, 2011. "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 159-191, July.
    4. Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
    5. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    6. Areal, Francisco José & Balcombe, Kevin & Rapsomanikis, George, 2016. "Testing for bubbles in agriculture commodity markets," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 16(01), June.
    7. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-530, June.
    8. William A. Branch & George W. Evans, 2011. "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 159-191, July.
    9. Lammerding, Marc & Stephan, Patrick & Trede, Mark & Wilfling, Bernd, 2013. "Speculative bubbles in recent oil price dynamics: Evidence from a Bayesian Markov-switching state-space approach," Energy Economics, Elsevier, vol. 36(C), pages 491-502.
    10. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
    11. Shi, Shuping & Arora, Vipin, 2012. "An application of models of speculative behaviour to oil prices," Economics Letters, Elsevier, vol. 115(3), pages 469-472.
    12. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
    13. Caspi, Itamar, 2013. "Rtadf: Testing for Bubbles with EViews," MPRA Paper 58791, University Library of Munich, Germany, revised 06 Sep 2014.
    14. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014. "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 129-155.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Iliyasu, Jamilu & Rafindadi Sanusi, Aliyu & Suleiman, Dahiru, 2019. "Testing For Multiple Bubble Episodes In Nigerian Stock Exchange Market," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 6(6), pages 13-26, June.
    2. Panagiotis Petris & George Dotsis & Panayotis Alexakis, 2022. "Bubble tests in the London housing market: A borough level analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1044-1063, January.
    3. Figuerola-Ferretti, Isabel & McCrorie, J. Roderick & Paraskevopoulos, Ioannis, 2020. "Mild explosivity in recent crude oil prices," Energy Economics, Elsevier, vol. 87(C).
    4. Ayben Koy, 2022. "Regime Switching Mechanism during Energy Futures Price Bubbles," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 373-382.
    5. Gomis-Porqueras, Pedro & Shi, Shuping & Tan, David, 2022. "Gold as a financial instrument," Journal of Commodity Markets, Elsevier, vol. 27(C).
    6. Caramugan, Karlo Martin & Bayacag, Purisima, 2016. "Price Bubble in Selected ASEAN Agricultural Exports: An Application of the Generalized Supremum Augmented Dickey Fuller," MPRA Paper 74807, University Library of Munich, Germany.
    7. El Montasser, Ghassen & Gupta, Rangan & Martins, Andre Luis & Wanke, Peter, 2015. "Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 19-23.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Caspi, Itamar & Katzke, Nico & Gupta, Rangan, 2018. "Date stamping historical periods of oil price explosivity: 1876–2014," Energy Economics, Elsevier, vol. 70(C), pages 582-587.
    2. repec:ipg:wpaper:2014-586 is not listed on IDEAS
    3. Mehmet Balcilar & Rangan Gupta & Charl Jooste & Omid Ranjbar, 2015. "Characterising the South African Business Cycle: Is GDP Difference-Stationary or Trend-Stationary in a Markov-Switching Setup?," Working Papers 201529, University of Pretoria, Department of Economics.
    4. Mehmet Balcilar & Nico Katzke & Rangan Gupta, 2015. "Identifying Periods of US Housing Market Explosivity," Working Papers 08/2015, Stellenbosch University, Department of Economics.
    5. Balcilar, Mehmet & Katzke, Nico & Gupta, Rangan, 2018. "Date-stamping US housing market explosivity," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-33.
    6. Caramugan, Karlo Martin & Bayacag, Purisima, 2016. "Price Bubble in Selected ASEAN Agricultural Exports: An Application of the Generalized Supremum Augmented Dickey Fuller," MPRA Paper 74807, University Library of Munich, Germany.
    7. Tsvetanov, Daniel & Coakley, Jerry & Kellard, Neil, 2016. "Bubbling over! The behaviour of oil futures along the yield curve," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 516-533.
    8. Skrobotov Anton, 2023. "Testing for explosive bubbles: a review," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-26, January.
    9. Caspi, Itamar, 2013. "Rtadf: Testing for Bubbles with EViews," MPRA Paper 58791, University Library of Munich, Germany, revised 06 Sep 2014.
    10. Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli, 2023. "Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics," Tinbergen Institute Discussion Papers 23-065/III, Tinbergen Institute, revised 01 Mar 2024.
    11. Efthymios Pavlidis & Alisa Yusupova & Ivan Paya & David Peel & Enrique Martínez-García & Adrienne Mack & Valerie Grossman, 2016. "Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 419-449, November.
    12. Cretí, Anna & Joëts, Marc, 2017. "Multiple bubbles in the European Union Emission Trading Scheme," Energy Policy, Elsevier, vol. 107(C), pages 119-130.
    13. Su, Chi-Wei & Li, Zheng-Zheng & Tao, Ran & Si, Deng-Kui, 2018. "Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test," Japan and the World Economy, Elsevier, vol. 46(C), pages 56-63.
    14. Hansen, Jacob H. & Møller, Stig V. & Pedersen, Thomas Q. & Schütte, Christian M., 2024. "House price bubbles under the COVID-19 pandemic," Journal of Empirical Finance, Elsevier, vol. 75(C).
    15. Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Speculative behaviour and oil price predictability," Economic Modelling, Elsevier, vol. 47(C), pages 128-136.
    16. Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022. "A time-varying parameter model for local explosions," Journal of Econometrics, Elsevier, vol. 227(1), pages 65-84.
    17. Tsangyao Chang & Luis Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar, 2016. "Testing for bubbles in the BRICS stock markets," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(4), pages 646-660, September.
    18. El Montasser, Ghassen & Gupta, Rangan & Martins, Andre Luis & Wanke, Peter, 2015. "Are there multiple bubbles in the ethanol–gasoline price ratio of Brazil?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 52(C), pages 19-23.
    19. Tolhurst, Tor N., 2018. "A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines," 2018 Annual Meeting, August 5-7, Washington, D.C. 274387, Agricultural and Applied Economics Association.
    20. Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
    21. Wen-Yi Chen & Yia-Wun Liang & Yu-Hui Lin, 2016. "Is the United States in the middle of a healthcare bubble?," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 17(1), pages 99-111, January.

    More about this item

    Keywords

    Oil-prices; Date-Stamping Strategy; Periodically Collapsing Bubbles; Explosivity; Flexible Window; GSADF Test; Commodity Price Bubbles;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201445. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rangan Gupta (email available below). General contact details of provider: https://edirc.repec.org/data/decupza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.