Showing papers on "Cointegration published in 2010"
TL;DR: In this paper, the relationship between renewable energy consumption and economic growth for a panel of twenty OECD countries over the period 1985-2005 within a multivariate framework was examined, where a panel cointegration and error correction model was employed to infer the causal relationship.
1,096 citations
TL;DR: In this paper, the authors examined the causal relationship between carbon dioxide emissions, energy consumption, and economic growth by using autoregressive distributed lag (ARDL) bounds testing approach of cointegration for nineteen European countries.
767 citations
TL;DR: In this article, the authors examined the long-run and the causal relationship between economic growth, pollutant emissions and energy consumption for South Africa for the period 1965-2006 in a multivariate framework which includes labour and capital as additional variables.
574 citations
TL;DR: In this article, the authors used the panel data of energy consumption (EC) and economic growth (GDP) for 51 countries from 1971 to 2005, and divided the countries into three groups: low income group, lower middle income group and upper middle income groups.
466 citations
TL;DR: In this paper, the authors investigated the cointegration and causality between carbon emissions and economic growth for India using ARDL bounds testing approach complemented by Johansen-Juselius maximum likelihood procedure in a multivariate framework by incorporating energy supply, investment and employment for time span 1971-2006.
407 citations
TL;DR: In this article, the authors analyzed the relationship between the crude oil price and the gold price with a positive correlation coefficient of 0.9295 during the sampling period, from January of 2000 to March of 2008.
371 citations
TL;DR: In this paper, the authors consider the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004, and find that health care is a necessity rather than a luxury.
Abstract: This paper reconsiders the long-run economic relationship between health care expenditure and income using a panel of 20 OECD countries observed over the period 1971-2004. In particular, the paper studies the non-stationarity and cointegration properties between health care spending and income. This is done in a panel data context controlling for both cross-section dependence and unobserved heterogeneity. Cross-section dependence is modelled through a common factor model and through spatial dependence. Heterogeneity is handled through fixed effects in a panel homogeneous model and through a panel heterogeneous model. Our findings suggest that health care is a necessity rather than a luxury, with an elasticity much smaller than that estimated in previous studies.
354 citations
TL;DR: In this article, the causal relationship between economy and energy was analyzed by adopting a vector error correction model for non-stationary and cointegrated panel data with a large sample of developed and developing countries and four distinct energy sectors.
339 citations
TL;DR: In this paper, the authors investigated the relationship between electricity consumption and real gross domestic product (GDP) for Malaysia in a bivariate and multivariate framework and found that electricity consumption, real GDP and price share a long-run relationship.
293 citations
TL;DR: This article examined the relationship between energy consumption and economic growth for a panel of nine South American countries over the period 1980-2005 within a multivariate framework, using a panel cointegration and error correction model to infer the causal relationship.
273 citations
TL;DR: In this article, the authors examined the long-term impact and short-term dynamics of macroeconomic variables on international housing prices and found that house prices to increase in the long run by 0.6% in response to a 1% increase in economic activity.
TL;DR: In this article, the causal relationship between energy and economic growth in Albania, Bulgaria, Hungary and Romania from 1980 to 2006 by employing energy use per capita, electric power consumption per capita and real GDP per capita variables.
TL;DR: In this paper, the authors examined the relationship among consumer price index, industrial production, stock market and oil prices in Greece and found that oil prices and the stock market exercise a positive effect on the Greek CPI, in the long run.
TL;DR: In this paper, the authors examined the long-run relationship between gold and oil spot and futures markets, and found that the two markets are jointly inefficient, at least for the sample period considered in this study.
TL;DR: In this paper, the cointegrating relationship between crude oil prices and global economic activity was investigated based on a supply-demand framework and cointegration theory, and it was shown that real futures prices of crude oil are cointegrated with the Kilian economic index and a trade weighted US dollar index.
TL;DR: In this article, the authors empirically established the direction of causality between electricity consumption and economic growth in Burkina Faso for the period 1968-2003 and showed that electricity consumption is a significant factor in socio-economic development in the country.
TL;DR: In this paper, the authors investigated the long-run relationship and causality issues between electricity consumption and economic growth in 15 Transition countries (Albania, Belarus, Bulgaria, Czech Republic, Estonia, Latvia, Lithuania, Macedonia, Moldova, Poland, Romania, Russian Federation, Serbia, Slovak Republic and Ukraine) by using the Pedroni panel cointegration method for the 1990-2006 period.
TL;DR: In this paper, the authors investigated the long-run and the causality relationship between energy consumption and economic growth for seven Sub-Saharan African countries during the period 1970-2007 and found that energy consumption is cointegrated with economic growth in Cameroon, Cote d'Ivoire, Ghana, Nigeria and South Africa.
TL;DR: In this paper, the authors provide an empirical investigation of the evolution of the Spanish and Italian economies and their respective tourism sectors from the 1950s and 1960s, respectively, based on the literature on demand-based growth and the methodology adopted is that of integration, cointegration and multivariate Granger causality tests.
Abstract: There is an upsurge of literature investigating the relationship between inbound tourism expansion and economic growth with special emphasis on developing countries. Some countries – such as Spain and Italy – can be taken as examples of demonstrating such a successful trajectory. This paper provides an empirical investigation of the evolution of the Spanish and Italian economies and their respective tourism sectors from the 1950s and 1960s, respectively. This research is theoretically based on the literature on demand-based growth and the methodology adopted is that of the integration, cointegration and multivariate Granger causality tests. The results show the influencing role of inbound tourism for both economies.
TL;DR: In this paper, the structural determinants of two widely used measures of price discovery between multiple markets that trade closely related securities are analyzed using a structural cointegration model, and it is shown that both the information share (IS) and component share (CS) measures account for the relative avoidance of noise trading and liquidity shocks, but that only the IS can provide information on the relative informativeness of individual markets.
TL;DR: In this article, the authors examined the dynamic relationship between economic growth, nuclear energy consumption, labor and capital for India for the period 1969-2006 and found that there was a short-and a long-run relationship between nuclear consumption and economic growth.
TL;DR: In this article, the authors used multivariate cointegration analysis to estimate electricity demand elasticities at the subsectoral industry level, which enables the benefits of lower heterogeneity within the electricity consuming sectors investigated and of retaining additional information otherwise blurred by aggregation.
Abstract: In this paper we use multivariate cointegration analysis to estimate electricity demand elasticities at the subsectoral industry level. This enables us to reap the benefits of lower heterogeneity within the electricity-consuming sectors investigated and of retaining additional information otherwise blurred by aggregation. The annual data set used covers eight subsectors of the German economy for the period 1970-2007. By employing a cointegrated VAR model specification and accounting for structural breaks we find cointegration relationships for five of the eight subsectors studied. The long-run elasticities range between 0.70 and 1.90 for economic activity and between –0.52 and zero for the price of electricity. The short-run elasticities are estimated by single-equation error-correction modeling and found to be between 0.17 to 1.02 for economic activity and –0.57 to zero for electricity price. Granger-causality tests indicate that in the long term causality runs from both economic activity and electricity price to electricity consumption, while Granger-causality from electricity price and electricity consumption to economic activity is detected in only two subsectors. Electricity price is found to be Granger-caused neither in the long nor the short run. Finally, an impulse response analysis yields plausible results confirming the usefulness of the approach adopted.
TL;DR: This article examined the relationship between natural gas consumption and economic growth for a panel of 67 countries within a multivariate framework over the period 1992-2005 and found a long-run equilibrium relationship between real GDP, natural gas, consumption, real gross fixed capital formation, and the labor force.
TL;DR: In this paper, a time-varying vector error correction model is proposed, in which the cointegrating relationship varies smoothly over time, and a likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived.
Abstract: In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration.
TL;DR: In this article, the authors investigated the relationship between income inequality and economic growth, both in linear and nonlinear specifications, and provided empirical evidence for the existence of Kuznets inverted U as well as inverted S-shaped curve in Pakistan.
Abstract: Purpose – The purpose of this paper is to investigate the relationship between income inequality and economic growth, both in linear and non‐linear specifications.Design/methodology/approach – The paper has employed annual time series data over the period of 1971 up to 2005. Autoregressive distributed lag model (ARDL) bounds testing approach has been used for cointegration and error correction model for short run behavior. Unit root problem is handled by the use of augmented Dickey‐Fuller unit root test.Findings – The analysis findings are sharply contrasted to the significant association between income inequality and economic growth found in 1994 by Alesina and Roderick and by Persson and Tabellini. The empirical evidence provides support for the existence of Kuznets inverted‐U as well as inverted S‐shaped curve in Pakistan.Practical implications – This paper opens up new directions for policy‐making authorities to equalize income distribution in the case of a small transition economy like Pakistan.Origi...
TL;DR: In this article, the authors investigated the long-run and causal relationship between electricity consumption and real GDP for a set of 12 European countries using annual data for the period 1970-2007.
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TL;DR: In this article, the authors examined the extent to which several theoretically founded factors including, economic growth, energy prices and weather conditions determine the expected prices of the European Union CO2 allowances during the 2005 through to the 2009 period.
Abstract: The European Union’s Emissions Trading Scheme (ETS) is the key policy instrument of the European Commission’s Climate Change Program aimed at reducing greenhouse gas emissions to eight percent below 1990 levels by 2012. A critically important element of the EU ETS is the establishment of a market determined price for EU allowances. This article examines the extent to which several theoretically founded factors including, economic growth, energy prices and weather conditions determine the expected prices of the European Union CO2 allowances during the 2005 through to the 2009 period. The novel aspect of our study is that we examine heavily traded futures instruments that have an expiry date in Phase 2 of the EU ETS. Our study adopts both static and recursive versions of the Johansen multivariate cointegration likelihood ratio test as well as a variation on this test with a view to controlling for time varying volatility effects. Our results are indicative of a new pricing regime emerging in Phase 2 and point to a maturing market driven by the fundamentals. These results are valuable both for traders of EU allowances and for those policy makers seeking to improve the design of the European Union ETS.
TL;DR: In this article, the authors examined the relationship between coal consumption and economic growth for 25 OECD countries within a multivariate panel framework over period 1980-2005 and found a long-run equilibrium relationship between real GDP, coal consumption, real gross fixed capital formation and the labor force.
TL;DR: In this article, the authors examined the impact of exchange rate volatility on real exports of five emerging East Asian countries among themselves as well as to 13 industrialised countries and employed a generalised gravity model.
Abstract: This paper examines the impact of bilateral real exchange rate volatility on real exports of five emerging East Asian countries among themselves as well as to 13 industrialised countries. We recognise the specificity of the exports between the emerging East Asian and industrialised countries and employ a generalised gravity model. In the empirical analysis we use a panel comprising 25 years of quarterly data and perform unit-root and cointegration tests to verify the long-run relationship among the variables. The results provide strong evidence that exchange rate volatility has a negative impact on the exports of emerging East Asian countries. In addition, the results suggest that the pattern of bilateral exports is influenced by third-country variables. An increase in the price competitiveness of other emerging East Asian countries has a negative impact on a country?s exports to a destination market, but the magnitude of the impact is relatively small. These results are robust across different estimation techniques and do not depend on the variable chosen to proxy exchange rate uncertainty. The results of the GMM-IV estimation also confirm the negative impact of exchange rate volatility on exports and suggest that this negative relationship is not driven by simultaneous causality bias.
TL;DR: In this paper, the authors apply panel unit root, panel cointegration, and panel causality techniques to re-examine the total energy and electricity demand functions of 25 selected OECD countries during the 1978-2004 period.
Abstract: This paper applies panel unit root, panel cointegration, and panel causality techniques to re-examine the total energy and electricity demand functions of25 selected OECD countries during the 1978-2004 period. The panel results indicate that total energy demand is income inelastic and price inelastic, whereas electricity demand is income elastic and price inelastic. Based on the results of the panel causality test, there are reciprocal causal relationships among real income, real energy price, and total energy consumption. Furthermore, a uni-directional causality runs from income and electricity price to electricity consumption. The results for the panel as a whole suggest that the demand for total energy and electricity in the OECD countries is driven largely by strong economic growth, while consumers are largely insensitive to price changes.