کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5053566 | 1476514 | 2016 | 15 صفحه PDF | دانلود رایگان |
- We investigate the drivers of crude oil, diesel and gasoline price rise.
- We employ the LPPL model to identify the specific growing forms of oil prices.
- The price overshooting of crude oil and diesel is mainly influenced by bubbles.
- The gasoline price boom is not determined by bubbles but by fundamentals.
- The predicted crash time of price bubbles is near to that in the historical data.
Based on the historical data of crude oil, diesel and gasoline markets during November 2001-December 2015, this paper employs the state-space model and log-periodic power law (LPPL) model to explore the dynamic bubbles of oil prices and predict their crash time. The results indicate that, first, oil price bubbles only exist during November 2001-July 2008, and crude oil and diesel prices are significantly driven by bubbles, whereas gasoline prices are mainly driven by fundamentals. Second, the state-space model captures the time-varying bubbles of crude oil and diesel prices. Finally, the LPPL model well predicts the crash time of bubbles.
Journal: Economic Modelling - Volume 55, June 2016, Pages 226-240