Keywords
petróleo crudo, commodities, mercados de futuros, Oil VIX, VIX, burbujas financieras, crude oil futures, OVX, VIX, mild explosivity, fundamentals
Mild explosivity in recent crude oil prices
Abstract
burbujas en el precio del petróleo
This paper uses the recent technology developed by Phillips, Shi and Yu (2015, International Economic Review) to test for bubble behavior in WTI crude oil front month futures prices over the last decade. Our sample encompasses both the pre-crisis period, in which there was a substantial run-up in crude oil prices, and the recent period in which prices have fallen significantly. Results using the raw series suggest there were two bubbles, a positive bubble in 2008 and a negative bubble from November 2014 to January 2015. The PSY test, however, makes the assumption of constant volatility across regimes. Here, to adjust for this, we apply the test to the raw series deflated by CBOE crude oil VIX volatility, and show there no evidence to support bubble behavior in the deflated series. Our results suggest that when we account for forward looking option market volatility, there is no evidence to suggest there were bubbles in crude oil contrary to popular belief.
This paper uses the recent technology developed by Phillips, Shi and Yu (2015, International Economic Review) to test for bubble behavior in WTI crude oil front month futures prices over the last decade. Our sample encompasses both the pre-crisis period, in which there was a substantial run-up in crude oil prices, and the recent period in which prices have fallen significantly. Results using the raw series suggest there were two bubbles, a positive bubble in 2008 and a negative bubble from November 2014 to January 2015. The PSY test, however, makes the assumption of constant volatility across regimes. Here, to adjust for this, we apply the test to the raw series deflated by CBOE crude oil VIX volatility, and show there no evidence to support bubble behavior in the deflated series. Our results suggest that when we account for forward looking option market volatility, there is no evidence to suggest there were bubbles in crude oil contrary to popular belief.
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