Energy Sector Pricing: On the Role of Neglected Nonlinearity
34 Pages Posted: 12 Feb 2009
Date Written: June 2, 2008
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: Suggested Citation
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