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

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dc.contributor University of Akureyri
dc.contributor.author Ahmed, Mumtaz
dc.contributor.author Irfan, Muhammad
dc.contributor.author Meero, Abdelrhman
dc.contributor.author Tariq, Maryam
dc.contributor.author Comite, Ubaldo
dc.contributor.author Rahman, Abdul Aziz Abdul
dc.contributor.author Sial, Muhammad Safdar
dc.contributor.author Gunnlaugsson, Stefan B.
dc.date.accessioned 2022-06-17T01:03:45Z
dc.date.available 2022-06-17T01:03:45Z
dc.date.issued 2021-12-29
dc.identifier.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
dc.identifier.issn 2227-9717
dc.identifier.other PURE: 50980659
dc.identifier.other PURE UUID: 2b5df65c-4b76-4501-b872-e64d50b2f6ba
dc.identifier.other unpaywall: 10.3390/pr10010065
dc.identifier.other Scopus: 85122251905
dc.identifier.uri https://hdl.handle.net/20.500.11815/3249
dc.description.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.
dc.format.extent 18
dc.format.extent
dc.language.iso en
dc.relation.ispartofseries Processes; 10(1)
dc.rights info:eu-repo/semantics/openAccess
dc.subject Verðlag
dc.subject Efnahagsmál
dc.subject Eldsneyti
dc.subject Price bubble
dc.subject Bubble length
dc.subject Petroleum products
dc.title Bubble identification in the emerging economy fuel price series: : Evidence from a generalized sup augmented Dickey–Fuller test
dc.type /dk/atira/pure/researchoutput/researchoutputtypes/contributiontojournal/article
dc.description.version Peer reviewed
dc.identifier.doi https://doi.org/10.3390/pr10010065
dc.relation.url https://www.mdpi.com/2227-9717/10/1/65/pdf


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