Document Type : Article-Based Dissertations
Authors
1 Ph.D Candidate in Economics, Dehaghan Branch, Islamic Azad University, Esfahan, Iran
2 Assistant professor, Dehaghan Branch, Islamic Azad University, Esfahan, Iran
Abstract
Oil occupies an important part of the world economy, as one of the main and vital sources of energy and chemical production that the economy of many countries is dependent on it, especially the producing countries. Accordingly, an increase (or decrease in oil prices) always affects the economies of countries on a large scale and creates special conditions for them. The oil crisis will affect the international economy through any factor that causes a disturbance in the demand or supply side of oil and subsequently in the oil market. Especially, the fact that this substance is a production input and store of value creates a political and strategic role for oil. The main purpose of the research is to investigate the existence of price bubbles in the international oil markets using recursive unit root tests (GSADF, RADF, SADF).
In this regard, the monthly data of Brent, West Texas, Iran and Oman oil prices were used in the period of 1980:01 to 2018:06. The results showed that Iran, Brent, Oman and West Texas oil prices have experienced nine, ten, nine and eight bubble periods, respectively. Also, although the history of the bubbles are somewhat close to each other, but they differ from each other from the point of view of the bubble structure, so that the bubble structure of Iran, Brent, Oman and West Texas oil prices is 44%, 50%, 37% and 25% respectively. It is multiple bubbles.
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