Rashid, Abdul and Kocaaslan, Ozge Kandemir (2013): Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK. Forthcoming in: International Journal of Energy Economics and Policy
Preview |
PDF
MPRA_paper_49580.pdf Download (695kB) | Preview |
Abstract
This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP) in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP volatility. The results from the Markov regime-switching model show that the variability of energy consumption has a significant role to play in determining the behavior of GDP volatilities. Moreover, the results suggest that the impacts of unpredictable variations in energy consumption on GDP volatility are asymmetric, depending on the intensity of volatility. In particular, we find that while there is no significant contemporaneous relationship between energy consumption volatility and GDP volatility in the first (low-volatility) regime, GDP volatility is significantly positively related to the volatility of energy utilization in the second (high-volatility) regime.
Item Type: | MPRA Paper |
---|---|
Original Title: | Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK |
English Title: | Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK |
Language: | English |
Keywords: | energy consumption volatility; GDP volatility; asymmetry; Markov switching ARCH models; Markov regime switching models |
Subjects: | C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles |
Item ID: | 49580 |
Depositing User: | Dr Abdul Rashid |
Date Deposited: | 08 Sep 2013 19:46 |
Last Modified: | 29 Sep 2019 02:09 |
References: | Altinay, G., Karagol, E. (2004), Structural Break, Unit Root, and the Causality between Energy Consumption and GDP in Turkey. Energy Economics, 26 (6), 985-994. Baum, C. F. and Hristakeva, S. (2011), Denton: Stata Module to Interpolate a Flow or Stock Series from Low-Frequency Totals via Proportional Denton Method. Available from: http://ideas.repec.org/c/boc/bocode/s422501.html. Beaudreau, B.C. (2005), Engineering and Economic Growth. Structural Change and Economic Dynamics, 16, 211-220. Belloumi, M. (2009), Energy Consumption and GDP in Tunisia: Cointegration and Causality Analysis. Energy Policy, 37 (7), 2745-2753. Bowden, N., Payne, J. E. (2009), The Causal Relationship between US Energy Consumption and Real Output: A Disaggregated Analysis. Journal of Policy Modeling, 31 (2), 180-188. Chiou-Wei, S., Chen, C. and Zhu, Z. (2008), Economic Growth and Energy Consumption Revisited-Evidence from Linear and Nonlinear Granger Causality. Energy Economics, 30(6), 3063-3076. Chontanawat, J., Hunt, L. and Pierse, R. (2006), Causality between Energy Consumption and GDP: Evidence from 30 OECD and 78 Non-OECD Countries. Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS). Davis, S. and Haltiwanger, J. (2001), Sectoral Job Creation and Destruction Responses to Oil Price Changes. Journal of Monetary Economics, 48(3), 465-512. Erdal, G., Erdal, H., Esengun, K. (2008), The Causality between Energy Consumption and Economic Growth in Turkey. Energy Policy, 36(10), 3838-3842. Erol, U. and Yu, E. (1987), On the Causal Relationship between Energy and Income for Industrialized Countries. Journal of Energy and Development 13(1), 113-122. Fallahi, F. (2011), Causal Relationship between Energy Consumption and GDP: A Markov Switching Causality. Energy, 36(7), 4165-4170. Glasure, Y.U. (2002), Energy and National Income in Korea: Further Evidence on the Role of Omitted Variables. Energy Economics, 24, 355-365. Gray, S. (1996), Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process. Journal of Financial Economics, 42(1), 27-62. Halicioglu, F. (2009), An Econometric Study of CO2 Emissions, Energy Consumption, Income and Foreign Trade in Turkey. Energy Policy, 37, 1156-1164. Hamilton, J.D. (1996), This Is What Happened to the Oil Price-Macroeconomy Relationship. Journal of Monetary Economics, 38(2), 215-220. Hamilton, J.D. (2009), Causes and Consequences of the Oil Shock of 2007-08. NBER Working Paper, No. 15002. Hwang, D., Gum, B. (1991), The Causal Relationship between Energy and GNP: The Case of Taiwan. Journal of Energy Development, 16, 219-226. Jobert, T., Karanfil, F. (2007), Sectoral Energy Consumption by Source and Economic Growth in Turkey. Energy Policy, 35, 5447-5456. Karanfil, F. (2008), Energy Consumption and Economic Growth Revisited: Does the Size of Unrecorded Economy Matter?. Energy Policy, 36 (8), 3029-3035. Kraft, J., Kraft, A. (1978), On the Relationship Between Energy and GNP. Journal of Energy and Development, 3, 401-403. Lee, C. C. (2006), The Causality Relationship between Energy Consumption and GDP in G-11 Countries Revisited. Energy Policy, 34(9), 1086-1093. Lee, C.C., Chang, C.P. (2005), Structural Breaks, Energy Consumption, and Economic Growth Revisited: Evidence from Taiwan. Energy Economics, 27, 857-872. Lee, K., Ni, S. and Ratti, R. (1995), Oil Shocks and the Macroeconomy: The Role of Price Variability. The Energy Journal, 16(4), 39-56. Masih, A.M.M., Masih, R. (1996), Energy Consumption, Real Income and Temporal Causality: Results from a Multi-Country Study based on Cointegration and Error-Correction Modeling Techniques. Energy Economics, 18, 165-183. Mork, K. (1989), Oil and the Macroeconomy when Prices Go Up and Down: An Extension of Hamilton’s Results. The Journal of Political Economy, 97(3), 740-744. Murry, D. and Gehuang, D. (1996), A Definition of the Gross Domestic Product- Electrification Interrelationship. Journal of Energy and Development, 19, 275-283. Nachane, D. M., Nadkarni, R. M. and Karnik A. V. (1988), Co-Integration and Causality Testing of the Energy-GDP Relationship: A Cross-Country Study. Applied Economics, 20(11), 1511-1531. Narayan, P. and Prasad, A. (2008), Electricity Consumption-Real GDP Causality Nexus: Evidence from a Bootstrapped Causality Test for 30 OECD Countries. Energy Policy, 36(2), 910-918. Narayan, P. and Smyth, R. (2008), Energy Consumption and Real GDP in G7 Countries: New Evidence from Panel Cointegration with Structural Breaks. Energy Economics, 30(5), 2331-2341. Owyang, M. T., Piger, J. and Wall, H. J. (2008), A State-Level Analysis of the Great Moderation. Regional Science and Urban Economics, 38(6), 578-589. Soytas, U. and Sari, R. (2003), Energy Consumption and GDP: Causality Relationship in G-7 Countries and Emerging Markets. Energy Economics 25(1), 33-37. Soytas, U. and Sari, R. (2006), Energy Consumption and Income in G-7 Countries. Journal of Policy Modeling, 28(7), 739-750. Sari, R., Soytas, U. (2007), The Growth of Income and Energy Consumption in Six Developing Countries. Energy Policy, 35, 889–898. Soytas, U., Sari, R. (2009), Energy Consumption, Economic Growth, and Carbon Emissions: Challenges Faced by an EU Candidate member. Ecological Economics, 68 (6), 1667-1675. Stern, D.I. (1993), Energy Use and Economic Growth in the USA: A Multivariate Approach. Energy Economics, 15, 137-150. Stern, D.I. (1997), Limits to Substitution and Irreversibility in Production and Consumption: A Neoclassical Interpretation of Ecological Economics. Ecological Economics, 21, 197-215. Stern, D.I., Cleveland, C.J. (2003), Energy and Economic Growth. Rensselaer Working Papers in Economics, 0410. Wolde-Rufael, Y. (2004), Disaggregated Energy Consumption and GDP, the Experience of Shangai 1952-1999. Energy Economics, 26, 69-75. Yu, E.S.H., Choi, J.Y. (1985), The Causal Relationship between Energy and GNP: An International Comparison. Journal of Energy and Development, 10, 249-272. Zachariadis, T. (2007), Exploring the Relationship between Energy Use and Economic Growth with Bivariate Models: New Evidence from G-7 Countries. Energy Economics, 29(6), 1233-1253. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/49580 |