Are there really bubbles in oil prices?

Balcılar, Mehmet; Özdemir, Zeynel Abidin; Yetkiner, I. Hakan

doi:10.1016/j.physa.2014.09.020

Cited by 27 publications

(10 citation statements)

References 28 publications

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“…The sampling period includes the Gulf War broke out in August 1990, Asian financial crisis (1997) and sub-prime crisis (2008), which may lead to furious price fluctuation and bubbles. Each of these exponential growth periods ends with a sudden crash in prices (Balcilar, 2014). All these features point towards the possible existence of bubbles.…”

Section: Data and Empirical Resultsmentioning

confidence: 92%

When Will Occur the Crude Oil Bubbles?

Chang

et al. 2017

Energy Policy

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Section: Data and Empirical Resultsmentioning

confidence: 92%

When Will Occur the Crude Oil Bubbles?

Chang

et al. 2017

Energy Policy

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“…Balcilar et al (2014) and Deviren et al (2014) use the EXCF method to identify bubbles in exchange rates and oil prices. The EXCF method is based on fitting the following exponential curve:…”

Section: Comparison With Other Methodsmentioning

confidence: 99%

LPPLS bubble indicators over two centuries of the S&P 500 index

Zhang

Sornette

Balcılar

et al. 2016

Physica A: Statistical Mechanics and its Applications

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The aim of this paper is to present novel tests for the early causal diagnostic of positive and negative bubbles in the S&P 500 index and the detection of End-of-Bubble signals with their corresponding confidence levels. We use monthly S&P 500 data covering the period from August 1791 to August 2014. This study is the first work in the literature showing the possibility to develop reliable ex-ante diagnostics of the frequent regime shifts over two centuries of data. We show that the DS LPPLS (log-periodic power law singularity) approach successfully diagnoses positive and negative bubbles, constructs efficient End-of-Bubble signals for all of the well-documented bubbles, and obtains for the first time new statistical evidence of bubbles for some other events. We also compare the DS LPPLS method to the exponential curve fitting and the generalized sup ADF test approaches and find that DS LPPLS system is more accurate in identifying well-known bubble events, with significantly smaller numbers of false negatives and false positives.

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“…Balcilar et al [58] aimed to identify bubbles in oil prices in their study. The authors employed the daily closing prices of crude oil denominated in US dollars for West Texas Intermediate (WTI) spanning from 2 January 1986 to 9 July 2013, and for Brent spanning from 20 May 1987 to 9 July 2013.…”

Section: Literature Reviewmentioning

confidence: 99%

Food Price Bubbles: Food Price Indices of Turkey, the FAO, the OECD, and the IMF

Özcan

2023

Sustainability

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Food price bubbles are a phenomenon in which the cost of some food items or food commodities climbs quickly and unreasonably before collapsing due to reasons such as speculation, supply and demand imbalances, meteorological occurrences, and governmental actions. Governments and academics keep an eye on food prices to spot and address these bubbles. The aim of this paper is to analyze the food price bubble phenomenon despite the global slowdown by examining its origins, consequences, and policy solutions. The study’s contribution lies in its investigation of the presence of a potential bubble formation in food prices, which have experienced a surge globally and particularly in Turkey in recent years. The research examines the behavior of bubble formation in food prices in Turkey, the FAO, the OECD, and the IMF between 1992 and 2022 using the ADF, SADF, and GSADF tests. These tests can help identify when asset prices deviate significantly from their fundamental values and may be at risk of a sharp correction. The TUR, FAO, OECD, and IMF variables all show distinct bubble formations, with the TUR variable having 130 periods from 1995 to 2006, the FAO having 8 price bubble occurrences, the OECD having 12 different bubble formations, and the IMF having 4 distinct bubble formations. The results indicate the existence of food price bubbles that demonstrate disparities from their inherent values grounded in market fundamentals.

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Are there really bubbles in oil prices?

Abstract: The aim of this paper is to identify bubbles in oil prices by using the "exponential fitting" methodology proposed by Watanabe et al. [28,29]. We use the daily US dollar closing crude oil prices of West Texas Intermediate (WTI) covering the

Cited by 27 publications

References 28 publications

When Will Occur the Crude Oil Bubbles?

When Will Occur the Crude Oil Bubbles?

LPPLS bubble indicators over two centuries of the S&P 500 index

Food Price Bubbles: Food Price Indices of Turkey, the FAO, the OECD, and the IMF

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