Detection of multiple bubbles in South African electricity prices

dc.contributor.authorGupta, Rangan
dc.contributor.authorInglesi-Lotz, Roula
dc.contributor.emailroula.inglesi-lotz@up.ac.zaen_ZA
dc.date.accessioned2016-10-13T08:07:18Z
dc.date.issued2016-07
dc.description.abstractThis paper investigates the existence and dating of electricity price bubbles in South Africa from 1965 to 2013. In the literature, it is agreed that such a task is difficult due to the explosive nature of price bubbles and labeling their presence’s occurrence. To overcome the predicament, the authors followed the methodological approach suggested by Phillips et al. (2013): a recursive right-tailed Generalized Sup Augmented Dickey-Fuller (GSADF). Two significant bubbles were detected in the output-adjusted nominal prices: the first one was a long one from 1971 to 1998 and can be attributed to the monopolistic unregulated nature of the electricity market at the time, while the second one lasted for a shorter period of time (2008–2009) coinciding with the severe supply crisis of 2008, and the massive price hikes that followed it.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2017-07-31
dc.description.librarianhb2016en_ZA
dc.description.urihttp://www.tandfonline.com/loi/uesb20en_ZA
dc.identifier.citationRangan Gupta & Roula Inglesi-Lotz (2016) Detection of multiple bubbles in South African electricity prices, Energy Sources, Part B: Economics, Planning, and Policy, 11:7, 637-642, DOI:10.1080/15567249.2015.1079567.en_ZA
dc.identifier.issn1556-7249 (print)
dc.identifier.issn1556-7257 (online)
dc.identifier.other10.1080/15567249.2015.1079567
dc.identifier.urihttp://hdl.handle.net/2263/57141
dc.language.isoenen_ZA
dc.publisherTaylor and Francisen_ZA
dc.rights© 2016 Taylor & Francis Group, LLC. This is an electronic version of an article published in Energy Sources, Part B : Economics, Planning and Policy, vol. 11, no.7, pp. 637-642, 2016. doi : 10.1080/15567249.2015.1079567. Energy Sources, Part B: Economics, Planning and Policy is available online at : http://www.tandfonline.com/loi/uesb20.en_ZA
dc.subjectElectricity pricesen_ZA
dc.subjectSouth Africa (SA)en_ZA
dc.subjectGeneralized Sup Augmented Dickey-Fuller (GSADF)en_ZA
dc.subjectElectricity price bubblesen_ZA
dc.titleDetection of multiple bubbles in South African electricity pricesen_ZA
dc.typePostprint Articleen_ZA

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