Cifter, Atilla and Ozun, Alper (2007): Multiscale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey.

PDF
MPRA_paper_2483.pdf Download (175kB)  Preview 
Abstract
Tests results for causality between energy consumption and economic growth do not have a consensus in the financial economics literature. Empirical evidence varies on the economies examined and methodology employed. This paper proposes a wavelet analysis as a semi parametric model for detecting multiscale causality between electricity consumption and growth in emerging economies. Using wavelet analysis we find that in the short run there is feedback relationship between GNP and energy consumption, while in the long run GNP leads to energy consumption. Wavelet correlation between GNP and energy consumption is maximum at 3rd timescale(58 years) and this shows that GNP effects electricity consumption maximally around 58 years later in the longrun. We also find that the magnitude of the wavelet correlation changes based on timescales for GNP and energy consumption and thus indicate that GNP and energy consumption are fundamentally different in the long run.
Item Type:  MPRA Paper 

Institution:  Marmara University 
Original Title:  Multiscale Causality between Energy Consumption and GNP in Emerging Markets: Evidence from Turkey 
Language:  English 
Keywords:  Economic Growth; Energy Consumption; Employment; Wavelets; Causality 
Subjects:  Q  Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4  Energy > Q43  Energy and the Macroeconomy C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models 
Item ID:  2483 
Depositing User:  Atilla Cifter 
Date Deposited:  03. Apr 2007 
Last Modified:  14. Feb 2013 04:08 
References:  AsafuAdjaye, J. (2000) The relationship between energy consumption, energy prices and economic growth: time series evidence from Asian developing countries, Energy Economics 22, pp.615–625. Almasri, A. and Shukur, G. (2003) An Illustration of the Causality Relationship Between Government Spending and Revenue Using Wavelets Analysis on Finnish Data, Journal of Applied Statistics, 30(5), pp.571584 Cheng, B. S. (1996) An Investigation of Cointegration and Causality between Energy Consumption and Economic Growth, The Journal of Energy and Development 21(1), pp.7384 Chontanawat, J., Hunt, L. and Pierse, R. (2006), Causality between energy consumption and GDP: Evidence 30 OECD and 78 nonOECD countries, SEEDS, Working Papers, 113. Dalkir, M. (2004) A new approach to causality in the frequency domain, Economics Bulletin, Economics Bulletin, 3(44), pp.114. Dunkerly,J. (1982) Estimation of energy demand: the developing counties, Journal of Energy,1982, (3), pp.7999. Dickey, D. A. and Fuller, W. A. (1981) Likelihood Ratio Statistics for an Autoregressive Time Series with a Unit Root, Econometrica, 49, pp.105772. Eden, H.Y., Choi, J.Y., and Jang, J. (2002) Technical Progress, Urban Unemployment, Outputs, and Welfare under Variable Returns to Scale, International Review of Economics and Finance, 11(4), pp.411425 Engle, R.F., Granger, C.W.J., (1987) Cointegration and error correction: representation, estimation, and testing, Econometrica, 55, pp.251–276. Erol, U., and Yu, E.S.H. (1987) On the causal relationship between energy and income for industrialized countries, Journal of Energy and Development, 13, pp.113–122. Ghali, K.H., and ElSakka, M.I.T. (2004) Energy use and output growth in Canada: a multivariate cointegration analysis, Energy Economics, 26 (2), pp. 225–238. Granger, C. W. J. (1969) Investigating Causal Relations by Econometric Models and CrossSpectral Methods, Econometrica, 37, pp.42438. Granger, C.W.J. (1988) Causality, cointegration, and control, Journal of Economic Dynamics and Control, 12, pp.551–559. Gençay, R., Selcuk, F., and Whitcher, B. (2002) An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (Academic Press). Gallegati, M. (2005) A Wavelet Analysis of MENA Stock Markets, Mimeo, Universita Politecnica Delle Marche Working Papers, Ancona, Italy. In, F. and Kim, S. (2006) The Hedge Ratio and the Empirical Relationship Between the Stock and Futures Markets: A New Approach Using Wavelets, The Journal of Business, 79, pp.799820 Johansen, S. 1988. Statistical analysis of cointegration vectors, Journal of Economic Dynamic and Control, 12, pp.231254 Johansen, S. and Juselius, K. (1990) Maximum Likelihood Estimation and Inference on Cointegrationwith Application to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, pp.169210 Jumbe, C. B. L. (2004) Cointegration and Causality between Electricity Consumption and GDP: Empirical Evidence from Malawi, Energy Economics, 26, pp.6168. İleri A, and Gurer T. (1998) Energy and exergy utilization in Turkey during 1995 Energy, 23(12), pp.1099–106. Oğulata RT. (2002) Sectoral energy consumption in Turkey, Renewable Sustainable Energy Review, 6, pp.471–80. Kilic, M. (2006) Turkey's natural gas necessity, consumption and future perspectives, Energy Policy, 34, pp.19281934 Kim, S., and In, H.F. (2003) The Relationship Between Financial Variables and Real Economic Activity: Evidence from Spectral and Wavelet Analyses, Studies in Nonlinear Dynamic&Econometrics, 7( 4). Masih, A.M.M., Masih, R. (1996) Energy consumption, real income and temporal causality: results from a multicountry study based on cointegration and errorcorrection modeling techniques, Energy Economics, 18, pp.165–183. Percival, D.B., and Walden, A.T. (2000) Wavelet Methods for Time Series Analysis (Cambridge University Press). Ramsey, J.B. and Lampart, C. (1998) Decomposition of Economic Relationships by Timescale Using Wavelets, Macroeconomic Dynamics, 2(1), pp.49–71. Samouilidis, J. E. and Mitropoulos C.S. (1984) Energy and economic growth in industrializing countries: The case of Greece, Energy Economics, 6, pp.191201. Sari, R. and Soytas, U. (2004) Disaggregate energy consumption, employment, and income in Turkey, Energy Economics, 26, pp.335–344. Shanmugam, B., Nair, M. and O.W. Li (2003) The Endogenous Money Hypothesis: Empirical Evidence from Malaysia (19852000), Journal of Post Keynesian Economics, 25(4), pp.599611. Soytas, U., and Sari, R. (2003) Energy consumption and GDP: causality relationship in G7 countries and emerging markets, Energy Economics, 25, pp.33–37. Soytas, U., and Sari, R., (2006) The relationship between energy and production:Evidence from Turkish manufacturing industry, Fortcoming in Energy Economics Stern, D.I. (2000) A multivariate cointegration analysis of the role of energy in the US macroeconomy, Energy Economics, 22, pp.267–283. Tkacz, G. (2001) Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator, Studies in Nonlinear Dynamics&Econometrics, 5(1), pp.1932 Zhang, C., ve Farley, A. (2004), A Multiscaling Test of Causality Effects Among International Stock Markets, Neural, Parellel and Scientific Computations, 12(1), pp.91112 Yong, L., and Lee, K. (1998) Geometric detail suppression by the Fourier transform, ComputerAided Design, 30(9), pp.677693. 
URI:  https://mpra.ub.unimuenchen.de/id/eprint/2483 