THE SURVEY OF EXISTENCE OF PRICE BUBBLES IN OIL MARKET OF IRAN

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JALALI OMOLBANIN; HATEFI MADJUMERD MADJID

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Journal: IRANIAN ENERGY ECONOMICS Year:2016 | Volume:5 | Issue:20 Page(s): 227-260

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Title

THE SURVEY OF EXISTENCE OF PRICE BUBBLES IN OIL MARKET OF IRAN

Author(s)

JALALI OMOLBANIN | HATEFI MADJUMERD MADJID | Issue Writer Certificate

Keywords

OILQ2

SINGLE AND MULTIPLE BUBBLESQ1

MILDLY EXPLOSIVE BEHAVIORQ1

ROLLING WINDOW ADFQ1

GENERALIZED SUP ADFQ1

Abstract

The government budget dependency on OIL revenues, in Iranian economy, make the OIL price important; so the OIL price is one of the most important pillars of the policy for policymakers. The existence of bubble in the OIL market makes OIL prices more important than before because in these conditions, decision-making is difficult for policy makers. The purpose of this study is applying a recursive unit root tests (GSADF, RADF, SADF) to investigate whether there exist multiple bubbles in Iranian crude OIL market. The method delivers a consistent date stamping strategy for origination and termination of bubbles. Our results indicate that these tests are approximately overlapped and their results are relatively the same. The results of GSADF test indicate that there exists 7 bubbles in the period of 01/1980 to 03/2014, in which an average of the bubbles period (almost 15 months) is from 06/2007 to 09/2008 and the lowest bubble period (approximately 1 month) is from 02/2012 to 03/2012.Specifically, the results show that OIL price contains the fundamentals and bubble components; the dates of the bubbles correspond to specific events in the politics and financial markets. These findings have important implications to recognize the cause of bubbles and take corresponding measures to reduce the impact on the real sector of economy.

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APA: Copy

JALALI, OMOLBANIN, & HATEFI MADJUMERD, MADJID. (2016). THE SURVEY OF EXISTENCE OF PRICE BUBBLES IN OIL MARKET OF IRAN. IRANIAN ENERGY ECONOMICS, 5(20 ), 227-260. SID. https://sid.ir/paper/244843/en

Vancouver: Copy

JALALI OMOLBANIN, HATEFI MADJUMERD MADJID. THE SURVEY OF EXISTENCE OF PRICE BUBBLES IN OIL MARKET OF IRAN. IRANIAN ENERGY ECONOMICS[Internet]. 2016;5(20 ):227-260. Available from: https://sid.ir/paper/244843/en

IEEE: Copy

OMOLBANIN JALALI, and MADJID HATEFI MADJUMERD, “THE SURVEY OF EXISTENCE OF PRICE BUBBLES IN OIL MARKET OF IRAN,” IRANIAN ENERGY ECONOMICS, vol. 5, no. 20 , pp. 227–260, 2016, [Online]. Available: https://sid.ir/paper/244843/en

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