Showing papers on "Cointegration published in 2011"
TL;DR: In this paper, the authors investigated the impact of financial development, economic growth and energy consumption on environmental pollution in China from 1953 to 2006 using the Autoregressive Distributed Lag (ARDL) bounds testing procedure.
894 citations
TL;DR: In this article, the authors examined the important case where the unobserved common factors follow unit root processes and could be cointegrated and found that the presence of unit roots does not affect most theoretical results which continue to hold irrespective of the integration and the cointegration properties of the unob-served factors.
801 citations
TL;DR: In this article, the authors examined the dynamic causal relationships between carbon dioxide emissions, energy consumption, economic growth, trade openness and urbanization for the panel of newly industrialized countries (NIC) using the time series data for the period 1971-2007.
738 citations
TL;DR: In this article, the authors investigated the relationship between carbon emissions, income, energy consumption, and foreign trade in Pakistan for the period 1972-2008 and found that there is a quadratic long-run relationship between emissions and income, confirming the existence of Environmental Kuznets Curve for Pakistan.
486 citations
TL;DR: In this paper, the authors examined the relationship between renewable energy consumption and economic growth for a panel of six Central American countries over the period 1980-2006, and found a long-run equilibrium relationship between real GDP, renewable energy, real gross fixed capital formation, and the labor force with the respective coefficients positive and statistically significant.
483 citations
TL;DR: In this paper, the authors examined the long-run relationship between energy consumption and real GDP, including energy prices, for 25 OECD countries from 1981 to 2007, and found that energy consumption is price-inelastic.
450 citations
TL;DR: In this article, the authors studied the impacts on economic growth of a small tourism-driven economy caused by an increase in the growth rate of international tourism demand and presented a formal model and empirical evidence.
332 citations
TL;DR: In this article, the authors investigated the short-run and long-run causality issues between electricity consumption and economic growth in the selected 11 Middle East and North Africa (MENA) countries by using ARDL bounds testing approach of cointegration and vector error-correction models.
274 citations
TL;DR: In this paper, the authors re-examine the relationship between electricity consumption, economic growth, and employment in Portugal using the cointegration and Granger causality frameworks and find that electricity consumption and economic growth in Portugal are cointegrated and there is bi-directional Granger causal relation between the three variables in the long run.
266 citations
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TL;DR: In this article, the authors provided new empirical evidence on the relationship between energy consumption and economic growth for 21 African countries over the period from 1970 to 2006, using recently developed panel cointegration and causality tests.
Abstract: The aim of this paper is to provide new empirical evidence on the relationship between energy consumption and economic growth for 21 African countries over the period from 1970 to 2006, using recently developed panel cointegration and causality tests. The countries are divided into two groups: net energy importers and net energy exporters. It is found that there exists a long-run equilibrium relationship between energy consumption, real GDP, prices, labor and capital for each group of countries as well as for the whole set of countries. This result is robust to possible cross-country dependence and still holds when allowing for multiple endogenous structural breaks, which can differ among countries. Furthermore, we find that decreasing energy consumption decreases growth and vice versa, and that increasing energy consumption increases growth, and vice versa, and that this applies for both energy exporters and importers. Finally, there is a marked difference in the cointegration relationship when country groups are considered.
214 citations
TL;DR: In this paper, the authors examined the impact of oil consumption on the economic growth of the MENA countries during the period 1980-2009 and found that CO2 emission, and oil consumption has a long run relationship with economic growth.
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TL;DR: In this paper, the authors attempted to analyze the dynamics of renewable energy consumption, economic growth, and CO2 emissions using structural VAR approach using unit root tests and showed that all variables are non-stationary at their level form and stationary in first difference form and cointegration analysis.
Abstract: This study has attempted to analyze the dynamics of renewable energy consumption, economic growth, and CO2 emissions For the analysis, we used structural VAR approach Results of unit root tests show that all variables are non-stationary at their level form and stationary in first difference form and cointegration analysis, analyzed through Johansen-Juselius (1990), shows that there is no evidence of cointegration among the test variables The innovations analysis of study reveals that a positive shock on the consumption of renewable energy source increases GDP and decreases CO2 emissions and a positive shock on GDP have a very high positive impact on the CO2 emissions The variance decomposition shows the share of consumption of renewable energy source explained a significant part of the forecast error variance of GDP and a relatively smaller or negligible part of the forecast error variance of CO2 emissions
TL;DR: In this paper, a theory consistent econometric model was developed to investigate the long run relationship between real income, the investment rate, and the real value of oil production and showed that oil abundance has a positive effect on both long run income levels and short run economic growth.
Abstract: This paper explores whether natural resource abundance is a curse or a blessing. In order to do so, we firstly develop a theory consistent econometric model, in which we show that there is a long run relationship between real income, the investment rate, and the real value of oil production. Secondly, we investigate the long-run (level) effects of natural resource abundance on domestic output as well as the short-run (growth) effects. Thirdly, we make use of a non-stationary panel approach which explicitly estimates the long-run relationships from annual data as opposed to the dynamic and static panel approaches which might in fact estimate the high-frequency relationships. Fourthly, we account for cross-country dependencies that arise potentially from oil price shocks and other unobserved common factors, and allow countries to respond differently to these shocks. Finally, we explicitly recognize that there is a substantial heterogeneity in our sample, consisting of 53 oil exporting and importing countries with annual data between 1980-2006, and adopt the methodology developed by Pesaran (2006) for estimation. This approach considers different dynamics for each country and is consistent under both cross-sectional dependence and cross-country heterogeneity. We also check the robustness of these results by using the fully modified OLS method of Pedroni (2000). Our non-stationary approach also allows for country-specific unobserved factors, such as social and human capital, to be captured in the fixed effects and the heterogeneous trends together with any omitted factors. Our estimation results, using the real value of oil production, rent or reserves as a proxy for resource endowment, reveal that oil abundance has a positive effect on both long run income levels and short run economic growth. While we accept that oil rich countries could benefit more from their natural wealth by adopting growth and welfare enhancing policies and institutions, we challenge the common view that oil abundance affects economic growth negatively.
TL;DR: In this article, the authors provided new empirical evidence on the relationship between energy consumption and economic growth for 21 African countries over the period from 1970 to 2006, using recently developed panel cointegration and causality tests.
TL;DR: In this paper, the concept of cointegration is introduced for the analysis of non-stationary time series, as a promising new approach for dealing with the problem of environmental variation in monitored features.
Abstract: Before structural health monitoring (SHM) technologies can be reliably implemented on structures outside laboratory conditions, the problem of environmental variability in monitored features must be first addressed. Structures that are subjected to changing environmental or operational conditions will often exhibit inherently non-stationary dynamic and quasi-static responses, which can mask any changes caused by the occurrence of damage. The current work introduces the concept of cointegration , a tool for the analysis of non-stationary time series, as a promising new approach for dealing with the problem of environmental variation in monitored features. If two or more monitored variables from an SHM system are cointegrated, then some linear combination of them will be a stationary residual purged of the common trends in the original dataset. The stationary residual created from the cointegration procedure can be used as a damage-sensitive feature that is independent of the normal environmental and operational conditions.
TL;DR: In this article, a comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed to show that comovement is a dynamic concept and that some economic and policy development may change the relationship between commodities.
TL;DR: In this paper, the causal relationship between the electric power industry and the economic growth of Cote d'Ivoire was examined using the data from 1971 to 2008, and a test was conducted for the cointegration and Granger causality within an error correction model.
TL;DR: In this paper, a multivariate causality framework was proposed by incorporating capital and labor variables into the model between energy consumption and economic growth based on neo-classical aggregate production theory, and a long run equilibrium cointegration relationship was found between economic growth and the explanatory variables: energy consumption, capital and employment.
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TL;DR: In this paper, a comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed to show that comovement is a dynamic concept and that some economic and policy development may change the relationship between commodities.
Abstract: Even though significant attempts have appeared in literature, the current perception of co-movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co-movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co-movement of crude oil and corn futures until the crude oil prices surpass a certain threshold.
TL;DR: In this article, the authors investigated the relationship between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India.
Abstract: This paper investigates the relationships between stock market indices and four macroeconomics variables, namely crude oil price (COP), money supply (M2), industrial production (IP) and inflation rate (IR) in China and India. The period covers in this study is between January 1999 to January 2009. Using the Augmented Dickey-Fuller unit root test, the underlying series are tested as non-stationary at the level but stationary in first difference. The use of Johansen-Juselius (1990) Multivariate Cointegration and Vector Error Correction Model technique, indicate that there are both long and short run linkages between macroeconomic variable and stock market index in each of these two countries.
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TL;DR: In this article, the Toda and Yomamoto Granger Causality Test was used to carry out the test of causality between electricity consumption and economic growth from 1971 to 2008.
Abstract: Research into the electricity-economic growth nexus has important implications for energy conservation measures and environmental policy. However, results from the energy-economic growth nexus have been mixed in the literature on Ghana. This posses serious problems for the country’s energy policy. Much research is thus, required to establish the direction of causality between energy and economic growth. Nonetheless, less evidence is available for Ghana. It is against this background that this study seeks to investigate the direction of causality between a type of energy, electricity, and economic growth to add to the existing argument in the literature. The Toda and Yomamoto Granger Causality Test was used to carry out the test of causality between electricity consumption and economic growth from 1971 to 2008. The results obtained herein revealed that there exists a unidirectional causality running from economic growth to electricity consumption. Thus, data on Ghana supports the Growth-led-Energy Hypothesis. The results imply that electricity conservation measures are a viable option for Ghana. Keywords : Ghana; Real GDP per capita; Electricity consumption; Toda and Yomamoto; Granger Causality Test; Bounds cointegration JEL Classifications: Q400; Q430
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TL;DR: In this paper, the authors investigated the impact of equity markets and top incomes on art prices and found that both same-year and lagged equity market returns have a significant impact on the price level in the art market.
Abstract: This paper investigates the impact of equity markets and top incomes on art prices. Using a long-term art market index that incorporates information on repeated sales since the eighteenth century, we demonstrate that both same-year and lagged equity market returns have a significant impact on the price level in the art market. Over a shorter time frame, we also find empirical evidence that an increase in income inequality may lead to higher prices for art, in line with the results of a numerical simulation analysis. Finally, the results of Johansen cointegration tests strongly suggest the existence of a long-term relation between top incomes and art prices.
TL;DR: In this article, the authors investigated the validity of tourism-led growth hypothesis for Malaysia based on the data set of 12 different tourism markets from January 1995 to February 2009, and the error-correction modelling-based cointegration test showed that economic growth and international tourist arrivals are cointegrated for all tourism markets.
Abstract: This research note attempts to re-investigate the validity of tourism-led growth hypothesis for Malaysia based on the data set of 12 different tourism markets from January 1995 to February 2009. The error-correction modelling-based cointegration test shows that economic growth and international tourist arrivals are cointegrated for all tourism markets. Nevertheless, the Granger causality results demonstrate that not all international tourism markets Granger-cause economic growth. Therefore, identification of potential tourism markets is vital for implementing effective tourism marketing policies. Copyright © 2010 John Wiley & Sons, Ltd.
09 Oct 2011
TL;DR: In this paper, the authors explore the apparent contradiction between these two views and find that recognition of the statistical fact of cointegration needs to be tempered with two additional points: there is an enormous amount of unexplained volatility in natural gas prices at short horizons and any simple formulaic relationship between the prices will leave a large portion of the natural gas price unexplained.
Abstract: Several recent studies establish that crude oil and natural gas prices are cointegrated Yet at times in the past, and very powerfully in the last two years, many voices have noted that the two price series appear to have “decoupled” We explore the apparent contradiction between these two views We find that recognition of the statistical fact of cointegration needs to be tempered with two additional points First, there is an enormous amount of unexplained volatility in natural gas prices at short horizons Hence, any simple formulaic relationship between the prices will leave a large portion of the natural gas price unexplained Second, the cointegrating relationship does not appear to be stable through time The prices may be tied, but the relationship can shift dramatically over time Therefore, although the two price series may be cointegrated, the confidence intervals for both short and long time horizons are large
Journal Article•
TL;DR: In this paper, a multivariate cointegration and causality analysis for Greece's CO2 emissions, GDP, and energy intensity is presented, with a focus on Greece's economy.
TL;DR: In this article, the authors examined the extent to which several theoretically founded factors including, economic growth, energy prices and weather conditions determined the expected prices of the European Union CO 2 allowances during the 2005 through to the 2009 period.
TL;DR: In this paper, the authors examined long-run relationships among five Balkan emerging stock markets (Turkey, Romania, Bulgaria, Croatia, Serbia), the United States and three developed European markets (UK, Germany, Greece), during the period 2000-2009.
TL;DR: In this article, the authors applied panel cointegration and Granger causality testing to a data set consisting of eighteen countries in the cross-sectional dimension and the years 1981-2008 in the time domain.
Abstract: In this paper we estimate residential electricity demand elasticities and conduct an analysis of the causal relationship between electricity demand, disposable income and electricity price for a group of several OECD members We apply panel cointegration and Granger causality testing to a data set consisting of eighteen countries in the cross-sectional dimension and the years 1981–2008 in the time domain Our results for the whole panel indicate a near unity income elasticity and an inelastic price elasticity of approximately –04 in the long run These results are robust with regard to the estimation methods employed (group-means panel FMOLS and DOLS) In the short run, our estimates from an ECM indicate an income elasticity of 02 and a price elasticity of approximately –01 Moreover, our tests on Granger causality provide an indication for a bidirectional causal relationship between electricity consumption and economic growth Hence, our findings are in favor of the feedback hypothesis
TL;DR: In this article, the authors examined the relationship between financial development and income inequality, and also explored if the Greenwood and Jovianvich (GJ) hypothesis applies to Pakistan.
Abstract: The paper examines the relationship between financial development and income inequality; and
also explores if the Greenwood and Jovianvich (GJ) hypothesis applies to Pakistan. Using data
from 1971 to 2005, the paper implements the Auto Regressive Distributed Lag (ARDL) bounds
testing approach to cointegration to examine the existence of long run; and the error correction
model (ECM) for the short run relationships. Stationarity properties of the series are checked by
the ADF method. The findings indicate that financial development reduces income inequality
while financial instability aggravates it. Contrary to the conventional wisdom, we find economic
growth worsens income distribution and that the latter is deteriorated further by trade openness.
The paper does not find support for the GJ relation. Appropriate reforms aimed at developing a
well-organized financial sector in Pakistan can help reduce income inequality.
TL;DR: In this paper, the causal relationship analysis between Gross Domestic Product, Energy Intensity and CO2 emissions in Greece from 1977 to 2007, by means of Johansen cointegration tests and Granger-causality tests based on a multivariate Vector Error Correction Modeling.