Energy Sector Pricing: On the Role of Neglected Nonlinearity

34 Pages Posted: 12 Feb 2009

See all articles by Catherine Kyrtsou

Catherine Kyrtsou

University of Macedonia - Department of Economics; University of Strasbourg - BETA

A. (Tassos) G. Malliaris

Loyola University of Chicago - Department of Economics

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: June 2, 2008

Abstract

Modern economies have been subjected to a number of shocks during the past several years such as the burst of the Internet bubble, terrorist attacks, corporate scandals, the war in Iraq, the uncertainty about energy prices, and the recent subprime mortgage crisis. In particular, during the last few years, the energy shock has caused concerns for potential stagflation for both the United States and numerous other countries. We perform numerous univariate tests for non-linearity and chaotic structure using price data from the energy sector to resolve whether the sector's fundamentals or exogenous shocks drive these prices.

Keywords: Energy, Nonlinearity, Chaotic Dynamics

JEL Classification: C22, C45, D40, G10, Q40

Suggested Citation

Kyrtsou, Catherine and Malliaris, A. (Tassos) G. and Serletis, Apostolos, Energy Sector Pricing: On the Role of Neglected Nonlinearity (June 2, 2008). Available at SSRN: https://ssrn.com/abstract=1341297 or http://dx.doi.org/10.2139/ssrn.1341297

Catherine Kyrtsou

University of Macedonia - Department of Economics ( email )

Egnatia str., 156
Thessaloniki 54006
Greece

HOME PAGE: http://www.uom.gr/index.php?newlang=eng&tmima=3&categorymenu=2

University of Strasbourg - BETA

61 avenue de la Forêt Noire
67085 Strasbourg Cedex
France

HOME PAGE: http://cournot2.u-strasbg.fr/users/beta/

A. (Tassos) G. Malliaris (Contact Author)

Loyola University of Chicago - Department of Economics ( email )

16 E. Pearson Ave
Quinlan School of Business
Chicago, IL 60611
United States
312-915-6063 (Phone)

Apostolos Serletis

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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