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Energy Sources, Part B: Economics, Planning, and Policy Volume 11, 2016 - Issue 7
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Articles

Detection of multiple bubbles in South African electricity prices

Rangan GuptaDepartment of Economics, University of Pretoria, Pretoria, South Africa
&
Roula Inglesi-LotzDepartment of Economics, University of Pretoria, Pretoria, South AfricaCorrespondence[email protected]
Pages 637-642 | Published online: 23 Aug 2016

References

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  • Dickey, D. A., and Fuller, W. A. 1979. Distribution of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc. 74:427–431.
  • Inglesi, R. 2010. Aggregate electricity demand in South Africa: conditional forecasts to 2030. Appl. Energy 87:197–204.
  • Inglesi-Lotz, R. 2014. The sensitivity of the South African industrial sector’s electricity consumption to electricity price fluctuations. J. Energy South Afr. 25:2–9.
  • Inglesi-Lotz, R. 2011. Evolution of price elasticity demand in South Africa: a Kalman filter application. Energy Policy 39:3690–3696.
  • Inglesi-Lotz, R., and Blignaut, J. N. 2011. Estimating the price elasticity of demand for electricity by sector in South Africa. South Afr. J. Econ. Manage. Sci. 14:449–465.
  • Inglesi-Lotz, R., and Pouris, A. 2016. On the causality and determinants of energy and electricity consumption in South Africa: A review. Energy Sources Part B 11:628–638.
  • National Energy Council (NEC). 1990. South African Energy Statistics 1950–1989. Pretoria: National Energy Council.
  • Phillips, P. C. B., and Magdalinos, T. 2007. Limit theory for moderate deviations from unity. J Econometrics, 136:115–130.
  • Phillips, P. C. B., and Yu, J. 2011. Dating the timeline of financial bubbles during the subprime crisis. Quant. Econ. 2:455–491.
  • Phillips, P. C. B., Shi, S., and Yu, J. 2013. Testing for multiple bubbles 1: historical episodes of Exuberance and Collapse in the S&P 500. Singapore Management University Working paper No. 04–2013.
  • Phillips, P. C. B., Shi, S.-P., and Yu, J. 2012. Testing for multiple bubbles. Cowles Foundation Discussion paper No. 1843. Yale University.
  • Phillips, P. C. B., Wu, Y., and Yu, J., 2011. Explosive behavior in the 1990s Nasdaq: when did exuberance escalate asset values? Int. Econ. Rev. 52:210–226.
  • Rudebusch, G. 2005. Monetary Policy and Asset Price Bubbles. Economic Letter 2005–18, Federal Reserve Bank of San Francisco, August 2005. These views are echoed in a 2007 speech by Fed governor Frederic Mishkin. See Frederic Mishkin, “The Role of House Prices in Formulating Monetary Policy,” remarks at the Forecasters Club of New York, January 17, 2007.
  • Thopil, G. A., and Pouris, A. 2013. International positioning of South African electricity prices and commodity differentiated pricing. S. Afr. J. Sci. 109:1–4.
  • Ziramba, E. 2008. The demand for residential electricity in South Africa. Energy Policy, 36:3460–6.

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