Analyzing Multiple Bubbles in the WTI Crude Oil Prices Using the GSADF Test

<p class="p1" style="margin-bottom: 0px; font-variant-numeric: normal; font-variant-east-asian: normal; font-variant-alternates: normal; font-size-adjust: none; font-kerning: auto; font-optical-sizing: auto; font-feature-settings: normal; font-variation-settings: normal; font-variant-position: normal; font-variant-emoji: normal; font-stretch: normal; font-size: 11px; line-height: normal; font-family: Helvetica;">Since most of the financial crisis caused by the bursting bubble of financial assets, the investigation of bubble behaviors and the early detection for the prevention of adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in WTI crude oil prices on the basis of a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015), as well as to determine date stamps of the price bubbles. In this regard, GSADF test performed by using weekly closing prices of the WTI spot prices for the period between 03.01.2016 to 13.12.2024 (468 observations). Empirical findings show that, although price inflations were detected in WTI crude oil prices during the analysis period, these price inflations did not turn into a price bubble because they did not last long.