Topic
Cointegration
About: Cointegration is a research topic. Over the lifetime, 17130 publications have been published within this topic receiving 506215 citations.
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01 Jan 1993
188 citations
TL;DR: In this paper, the interaction between energy futures prices and exchange rates is investigated and it is shown that futures prices for crude oil, heating oil and unleaded gasoline are co-integrated with a trade-weighted index of exchange rates.
188 citations
TL;DR: Investigating the long-run and causal linkages between economic growth, CO2 emissions, renewable and non-renewable (fossil fuels) energy consumption, the Composite Trade Intensity (CTI) as a proxy for trade openness, and the Chinn-Ito index as aproxy for financial openness for a panel of the CIS region indicated that there is a unidirectional short-run panel causality.
Abstract: This article investigates the long-run and causal linkages between economic growth, CO2 emissions, renewable and non-renewable (fossil fuels) energy consumption, the Composite Trade Intensity (CTI) as a proxy for trade openness, and the Chinn-Ito index as a proxy for financial openness for a panel of the Commonwealth of Independent States (CIS) region including Armenia, Azerbaijan, Belarus, Georgia, Kazakhstan, Kyrgyzstan, Moldova, Russia, Tajikistan, Turkmenistan, Ukraine, and Uzbekistan over the period of 1992-2015. It is the first time that CTI and the Chinn-Ito indexes are used in an economic-pollution model. Employing three panel unit root tests, panel cointegration estimation methods (DOLS and FMOLS), and two panel causality tests, the main empirical results provided evidence for the bidirectional long-run relationship between all the variables in all 12 sampled countries except for economic growth-renewable energy use linkage. The findings of causality tests indicated that there is a unidirectional short-run panel causality running from economic growth, financial openness, and trade openness to CO2 emissions and from fossil fuel energy consumption to renewable energy use.
187 citations
TL;DR: In this paper, the authors estimate the long-run elasticities of the Namibian energy demand function at both aggregated level and by type of energy (electricity, petrol and diesel) for the period 1980-2002.
187 citations
TL;DR: The authors employ a Bayesian perspective to identify the type of prior needed to support the inference that most macroeconomic time series follow random walks, and show that for many of the series considered by Nelson and Plosser (1982) the required prior involves assigning very low probability to trend-stationary alternatives.
186 citations