Opin vísindi

Bubble identification in the emerging economy fuel price series: : Evidence from a generalized sup augmented Dickey–Fuller test

Bubble identification in the emerging economy fuel price series: : Evidence from a generalized sup augmented Dickey–Fuller test


Title: Bubble identification in the emerging economy fuel price series: : Evidence from a generalized sup augmented Dickey–Fuller test
Author: Ahmed, Mumtaz
Irfan, Muhammad
Meero, Abdelrhman
Tariq, Maryam
Comite, Ubaldo
Rahman, Abdul Aziz Abdul
Sial, Muhammad Safdar
Gunnlaugsson, Stefan B.
Date: 2021-12-29
Language: English
Scope: 18
University/Institute: University of Akureyri
Series: Processes; 10(1)
ISSN: 2227-9717
DOI: https://doi.org/10.3390/pr10010065
Subject: Verðlag; Efnahagsmál; Eldsneyti; Price bubble; Bubble length; Petroleum products
URI: https://hdl.handle.net/20.500.11815/3249

Show full item record

Citation:

Ahmed , M , Irfan , M , Meero , A , Tariq , M , Comite , U , Rahman , A A A , Sial , M S & Gunnlaugsson , S B 2021 , ' Bubble identification in the emerging economy fuel price series: Evidence from a generalized sup augmented Dickey–Fuller test ' , Processes , vol. 10 , no. 1 , 65 . https://doi.org/10.3390/pr10010065

Abstract:

n the recent past, the world in general and Pakistan in particular faced a drastic fuel price change, affecting the economic productivity of the country. This has drawn the attention of empirical researchers to analyze the abrupt change in fuel prices. This study takes a lead and investigates for the first time, in the literature related to Pakistan, the presence of multiple fuel price bubbles, with the purpose of knowing if the price driver is due to demand or it is exuberant consumer behavior that prevails and contributes to a sudden boom in fuel price series. The empirical analysis is performed through a recently proposed state-of-the-art generalized sup ADF (GSADF) approach on six commonly used fuel price series, namely, LDO (light diesel oil), HSD (high-speed diesel), petrol, natural gas, kerosene, and MS (motor spirit). The bubble analysis for each of the six fuel price series is based on monthly data from July 2005 to August 2020. The findings provide evidence of the existence of multiple bubbles in all series considered. Specifically, four bubbles are detected in each of the kerosene and natural gas price series, whereas three bubbles are noted in each of the HSD, LDO, petrol and MS price series. The maximum duration of occurrence of bubbles is of 12 months for kerosene. The date-stamping of the bubbles shows that the financial crisis of 2008 contributed to the emergence of bubbles that pushed oil prices upward and caused a depreciation in the national currency.

Files in this item

This item appears in the following Collection(s)