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Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures

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  • Chang, Chiu-Lan

Abstract

This paper examines the impacts of extreme events, economic uncertainty and speculation on price bubbles in crude oil futures. For better forecast and estimate the positive/negative price bubbles of crude oil futures, the log-periodic power law singularity confidence multi-scale indicators application is used. The panel probit model examines impacts of extreme events, economic uncertainty and speculation on price bubbles in crude oil. The results show that the recent extreme events including Corona Virus Disease 2019 and Russia-Ukraine war significantly affect both positive/negative bubbles in crude oil futures. Measures of economic uncertainty significantly affect both positive/negative bubbles in the crude oil. However, the results find that the speculation significantly affect the positive bubbles and does not significantly affect the negative bubbles. Overall, extreme events, economic uncertainty, and speculation can all contribute to the occurrences of price bubbles in crude oil futures markets. This study provides new insights for the policy makers and market participants to monitor the occurrence of price bubbles.

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  • Chang, Chiu-Lan, 2024. "Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures," Energy Economics, Elsevier, vol. 130(C).
    • Handle: RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000264
    DOI: 10.1016/j.eneco.2024.107318
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