Theodosios Perifanis

Oil prices have had considerable surges and bursts since the first oil crisis of 1973. Until then its price was stable, with almost zero volatility. Since then, apart from the two oil crises of 1973 and 1978/9, oil prices had consecutive bubble episodes like the surges up to 2008 and 2014 and their successive bursts, respectively. The trace of these bubble periods is of crucial importance for policymakers, since their drivers and consequences impact global economic developments. Phillips et al. and Phillips et al. methodologies are applied to detect whether West Texas Intermediate prices experienced bubble periods. Both methodologies suggest that WTI prices experienced explosive episodes, which could be fundamentally, speculatively, or politically attributed. Some suggested periods coincide for both methods, but the second methodology seems to be more sensitive than its predecessor is, leading to better bubble detection but also to identification of non-existent bubbles. The identif...

The paper examines both the time-varying price and volatility transmission between US natural gas and crude oil wholesale markets, over the period 1990–2017. Short iterations suggest that neither commodity determines other’s returns, but sub-periods with very short-lived causal relationships exist. It can be asserted that the markets are decoupled, where unconventional production further enhances the already established commodities’ independence. Using Momentum Threshold Autoregressive (MTAR) cointegration methodology, we find evidence of positive asymmetry from crude oil to natural gas prices, i.e., oil price increases cause faster adjustments to natural gas prices than decreases. We also find that an 1% change of oil price has positive and significantly larger long-term impact (between 0.01% to 0.02%) to the gas price, compared to the negligible impact of gas to oil. Volatility transmission is examined using the Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Condi...