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The North American Natural Gas Liquids Markets are Chaotic

Author

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  • Apostolos Serletis
  • Periklis Gogas

Abstract

In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas, hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas. In doing so, we use the Lyapunov exponent estimator of Nychka, Ellner, Gallant, and McCaffrey (1992). We conclude that there is evidence, consistent with a chaotic nonlinear generation process in all five natural gas liquids markets.

Suggested Citation

Handle: RePEc:sae:enejou:v:20:y:1999:i:1:p:83-103
DOI: 10.5547/ISSN0195-6574-EJ-Vol20-No1-5
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