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

Abstract

This paper date-stamps periods of oil-price explosivity relative to the general price and oil inventory levels in the US, respectively, for the period 1876 – 2014. We make use of the multiple bubble detection strategy outlined by Phillips, Shi & Yu (2013). We identify for each series multiple periods of oil price explosivity. We contextualize the contemporaneous events surrounding the periods of explosivity identified by the estimation procedure used.

Publication
Energy Economics (70: 582 - 587)
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Nico Katzke
Senior Quant

Quantitative Analyst