کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7380073 1480157 2014 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Are there really bubbles in oil prices?
ترجمه فارسی عنوان
حباب های واقعا در قیمت نفت واقعا وجود دارد؟
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی
The aim of this paper is to identify bubbles in oil prices by using the “exponential fitting” methodology proposed by Watanabe et al. (2007)  [28], [29]. We use the daily US dollar closing crude oil prices of West Texas Intermediate (WTI) covering the 1986:01:02-2013:07:09 and the Brent for the 1987:05:20-2013:07:09 periods. The distinguishing feature of this study from the previous studies is that this is the first study in the literature showing the existence of bubbles in crude oil prices. We found that there are four distinct periods of persistent bubbles in the crude oil prices since 1986. Two of these persistent bubbles are before 2000 and two of them are after 2000. We conclude that further research is needed to understand better how futures markets may impact the oil price formation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 416, 15 December 2014, Pages 631-638
نویسندگان
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