15 results on '"VECM Granger Causality"'
Search Results
2. Fiscal and Monetary Policies Effect on Borsa Istanbul (BIST) Performance.
- Author
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GÜLCEMAL, Tuba
- Subjects
MONETARY policy ,MONEY supply ,FISCAL policy ,ECONOMIC indicators ,PUBLIC spending ,STOCK exchanges ,BUDGET deficits - Abstract
Copyright of Bartin University Journal of Faculty of Economics & Administrative Sciences / Bartın Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi is the property of Bartin University, Faculty of Economics & Administrative Sciences and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) more...
- Published
- 2021
- Full Text
- View/download PDF
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3. Revisiting the environmental Kuznets curve (EKC) hypothesis in India: the effects of energy consumption and democracy.
- Author
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Usman, Ojonugwa, Iorember, Paul Terhemba, and Olanipekun, Ifedolapo O.
- Subjects
ENERGY consumption ,KUZNETS curve ,AUTOREGRESSIVE models ,ENVIRONMENTAL degradation ,GRANGER causality test - Abstract
The study revisits the position of the environmental Kuznets curve (EKC) hypothesis in India by incorporating the role of energy consumption and democratic regime in the environmental degradation function for the period 1971–2014. Employing Zivot–Andrews nonstationarity test, Bayer–Hanck cointegration test, autoregressive distributed lag (ARDL) model, and vector autoregressive model (VECM) Granger causality test, the results found the integration order of I(1) and a stable cointegration among the series. The result validates the EKC hypothesis for India and further divulges that while energy consumption increases environmental degradation both in the long run and short run; the effect of democracy in reducing environmental degradation is weak (statistically insignificant) in the long run but strong (statistically significant) in the short run. The finding from the VECM Granger causality test indicates a long-run causality between the fundamental variables and environmental degradation. Furthermore, the results of the short run show a unidirectional Granger causality running from energy consumption to environmental degradation, energy consumption to real income, and energy consumption to square of real income. Therefore, our findings suggest that energy conservation policy should be prioritized towards harnessing energy from clean sources to mitigate environmental degradation and spur economic growth. [ABSTRACT FROM AUTHOR] more...
- Published
- 2019
- Full Text
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4. The impact of economic growth, energy consumption, trade openness, and financial development on carbon emissions: empirical evidence from Turkey.
- Author
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Cetin, Murat, Ecevit, Eyyup, and Yucel, Ali Gokhan
- Subjects
ATMOSPHERIC carbon dioxide ,ECONOMIC conditions in Turkey ,ECONOMIC development ,ENVIRONMENTAL economics ,ENERGY consumption & the environment ,ENERGY consumption - Abstract
This study examines the impact of economic growth, energy consumption, trade openness, financial development on carbon emissions for the case of Turkey by using annual time series data for the period of 1960-2013. The Lee and Strazicich test suggests that the variables are suitable for applying the bounds testing approach to cointegration. The cointegration analysis reveals that there exists a long-run relationship between the per capita real income, per capita energy consumption, trade openness, financial development, and per capita carbon emissions in the presence of structural breaks. The results show that in the long run, carbon emissions are mainly determined by economic growth, energy consumption, trade openness, and financial development. The VECM Granger causality analysis indicates a long-run unidirectional causality running from economic growth, energy consumption, trade openness, and financial development to carbon emissions. The findings also show that the EKC hypothesis is valid for Turkey both in the long run and short run. The study provides some implications for policy makers to decrease carbon emissions in Turkey. [ABSTRACT FROM AUTHOR] more...
- Published
- 2018
- Full Text
- View/download PDF
5. How Effective Are Renewable Energy in Addition of Economic Growth and Curbing CO2 Emissions in the Long Run? A Panel Data Analysis for Four Mediterranean Countries.
- Author
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Mbarek, Mounir Ben, Saidi, Kais, and Feki, Rochdi
- Abstract
This paper aims to examine the long-term causal relationship between renewable energy, CO
2 emissions, and economic growth in the four Mediterranean countries; including France, Spain, Italy, and Turkey over the 1980-2012 period. The results of Pedroni and Kao co-integration tests indicate a long-term relationship between these variables. In fact, the results of the long-term model show that the growth has a significant and positive impact on CO2 emissions in the four countries. VECM Granger causality analysis offer conflicting evidence on the links between renewable energy use and economic growth which supported the feedback hypothesis. This finding has vital consequences regarding energy and economic policy, as it suggests that renewable energy use do not seem to damage economic growth and development in these countries. [ABSTRACT FROM AUTHOR] more...- Published
- 2018
- Full Text
- View/download PDF
6. Environmental pollution, health expenditure and economic growth in the Sub-Saharan Africa countries: Panel ARDL approach.
- Author
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Zaidi, Saida and Saidi, Kais
- Subjects
SUSTAINABLE development ,ECONOMIC development ,FOREIGN investments ,GROSS domestic product ,GRANGER causality test - Abstract
This paper is interested in modeling the nexus between health expenditure (HE), Environmental pollution (CO 2 emissions; Nitrous oxide emissions) and economic growth in the Sub-Saharan Africa countries using annual data over the period 1990–2015. We had applied the estimation method ARDL to model the long run and short run. In addition, we use the VECM Granger causality test for checking the direction of causality. Firstly, the results of ARDL test indicate that economic growth has positive impact on the HE while CO 2 emissions and NOE have negatives impact on the HE in the long run. The results show that a 1% increase in per capita GDP will lead to a 0.332% increase in the health expenditure, but an increase in CO 2 emissions and NOE of 1% will decrease the HE by 0.066% and 0.577%, respectively. On the other hand, the results of the VECM Granger causality show that there is a one-way relationship going from the HE to GDP per capita. On the contrary, a two-way causality relationship between CO 2 emissions and GDP per capita and also between the HE and CO 2 emissions is found. [ABSTRACT FROM AUTHOR] more...
- Published
- 2018
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7. Pakistan's safe nuclear energy generation: An essential source to target sustainable development.
- Author
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Sun, Chuanwang, Khan, Anwar, and Kakar, Sher Ali
- Subjects
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SUSTAINABLE development , *ENVIRONMENTAL degradation , *ENVIRONMENTAL indicators , *NUCLEAR energy , *POLLUTION , *ECONOMIC expansion , *ENERGY consumption - Abstract
This research examines the roles of nuclear energy generation, primary energy use, and finance on economic growth and environmental degradation in Pakistan using the extended period between 1972 and 2020. To this end, the study adopted a mix of conventional and third-generation econometric approaches that can counter structural breaks and also applied the VECM-based Granger causal test in the Seemingly Unrelated Regression (SUR) framework to detect the causal linkages. The Maki cointegration test supported an equilibrium association between the modelled variables. The coefficients of long-run estimates reveal that nuclear energy accelerates the country's economic growth. Similarly, it is a compelling element in curbing environmental pollution. Finance and trade openness support economic growth and are proven indicators of environmental degradation in Pakistan. The causal results indicated that nuclear energy is causing the environment and economic growth unidirectionally, while primary energy consumption bidirectionally causes the environment. Finally, the study results have proposed significant policy proposals for the policymakers for their theory, knowledge and practice. [ABSTRACT FROM AUTHOR] more...
- Published
- 2023
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8. Biofuel energy consumption-economic growth relationship: an empirical investigation of Brazil.
- Author
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Al‐Mulali, Usama, Solarin, Sakiru Adebola, and Ozturk, Ilhan
- Subjects
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ENERGY consumption & economics , *BIOMASS energy , *VECTOR error-correction models , *AUTOREGRESSIVE models ,ECONOMIC conditions in Brazil - Abstract
This study investigates the influence of biofuel energy consumption on Brazil's economic growth during the period 1980-2012 by employing the Autoregressive Distributed Lag ( ARDL) approach and the vector error correction model ( VECM) Granger causality. The results revealed two structural breaks during the early 1980s due to the Latin American debt crisis as well as the early 2000s due to the worries related to the increasing global spreads. Moreover, it was found that economic growth, biofuel energy consumption, capital, urbanization, and globalization are co-integrated. Additionally, it was found that biofuel energy consumption, capital, urbanization, and globalization increase Brazil's economic growth in the short run and in the long run. However, the two structural breaks have a significant negative influence on economic growth. The vector error correction model Granger causality revealed a feedback causal relationship between all the variables (with the exception of capital). However, a unidirectional causality was concluded from capital to economic growth, biofuel energy consumption, urbanization, and globalization. From the results of this study, a number of policy implications were provided. © 2016 Society of Chemical Industry and John Wiley & Sons, Ltd [ABSTRACT FROM AUTHOR] more...
- Published
- 2016
- Full Text
- View/download PDF
9. How Effective Are Renewable Energy in Addition of Economic Growth and Curbing CO2 Emissions in the Long Run? A Panel Data Analysis for Four Mediterranean Countries
- Author
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Mbarek, Mounir Ben, Saidi, Kais, and Feki, Rochdi
- Published
- 2018
- Full Text
- View/download PDF
10. BİST Endeksleri ile Kurumsal Yönetim Endeksi Arasındaki Volatilite İlişkisinin İncelenmesi Investigation of Volatility Relation Between BIST Indexes and Corporate Governance Index
- Author
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Emre Çevik, Ömer Faruk Güleç, and Raif Cergibozan
- Subjects
Volatilite ,ARCH-GARCH ,Cointegration ,Kurumsal Yönetim ,Corporate governance ,VECM Granger Causality ,lcsh:Business ,Johansen Eşbütünleşme ,VECM Granger Nedensellik ,Corporate Governance ,Granger causality ,Volatility ,Econometrics ,Unit root ,Johansen Cointegration ,Volatility (finance) ,lcsh:HF5001-6182 ,Johansen test ,Mathematics - Abstract
Bu çalışma temel Borsa İstanbul endeksleri ile kurumsal yönetim endeksi (XKURY) arasındaki volatilite yayılımı ve uzun dönemli ilişkiyi test etmektedir. Endeksler arasındaki uzun dönemli ilişki Johansen Eşbütünleşme testi ile sınanmış ve zaman serilerinin durağanlığı ADF ve PP birim kök testleri ile tespit edilmiştir. Çalışma sonuçlarına göre, en yüksek getiriye sahip endeks XKURY ve en yüksek volatiliteye sahip endeks BİST 30 olarak belirlenmiştir. XKURY, BİST100, BİST50 ve BİST30 endeksleri arasındaki eşbütünleşme ilişkileri ayrı olarak tahmin edilmiştir. Tahmin sonuçlarına göre, en yüksek ayarlama (yakınsama) hızına sahip değişkenler XKURY ve BİST50'dir. Granger nedensellik sonuçlarına göre, XKURY, BİST100'ün Granger nedeni değilken, BİST100 XKURY Granger nedenidir. Diğer değişkenler arasında iki yönlü bir nedensellik vardır. Nedenselliğin yönünün en güçlü olduğu ilişki BİST30’un XKURY üzerine olan ilişkisi üzerinedir. Kurumsal yönetim endeksine dâhil olan şirketler göreceli daha yüksek getiriye ve daha düşük volatiliteye sahiptir. This study tests the volatility spread and long-term relationship between Borsa Istanbul indexes and Corporate Governance Index (XKURY). The long-run relationship between the indexes is analyzed by the Johansen Cointegration test and the stationarity of time series is investigated by ADF and PP unit root tests. According to the study results, the index with the highest return is XKURY and the index with the highest volatility is BIST 30. The cointegration relations between XKURY, BIST100, BIST50 and BIST30 indexes are separately estimated. According to the estimation results, the variables with the highest speed of adjustment (cointegration) are XKURY and BIST50. According to the results of Granger Causality, XKURY is not the Granger cause of BIST100 but BIST100 is the Granger cause of XKURY. Among other variables, there is a two-way causality. Firms included in the corporate governance index have relatively higher return and lower volatility. more...
- Published
- 2018
11. The relationship between CO2 emission, energy consumption and economic growth in Malaysia: a three-way linkage approach
- Author
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Sulaiman, Chindo and Abdul-Rahim, A. S.
- Published
- 2017
- Full Text
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12. Impacts of wholesale electricity price under varying carbon price levels on carbon emissions and economic output in Australia
- Author
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Nepal, Rabindra and Paija, Nirash
- Subjects
C51 ,Q54 ,P22 ,N57 ,VECM Granger causality ,ddc:330 ,Australia ,carbon emissions ,carbon prices - Abstract
Reducing global carbon emissions and mitigating the adverse impacts of climate change is a fundamental environmental challenge. Australia's target is to reduce carbon emissions by between 26% and 28% by 2030 compared to 2005 emission levels. Carbon pricing can be an effective market-based instrument for reducing carbon emissions. This paper examines the impact of varying carbon price levels on carbon emissions by incorporating the different carbon price levels in the electricity prices and eventually employing time series econometrics based on an autoregressive distributed lagged (ARDL) model. We use quarterly data spanning the period 2001 Q3 to 2019 Q1 and undertake varying scenario analysis. First, we design a scenario with a low and high carbon tax where we test and confirm the existence of a long-run equilibrium relationship among economic output, wholesale electricity price, and emissions under the high carbon tax scenario based on cointegration relationships. Our empirical results reveal that a stable wholesale electricity pricing with a carbon price and carbon emission nexus exists in the long run where a 1% hike in wholesale electricity price under a high carbon price scenario reduces carbon emissions by 0.57%. The vector error correction modeling-based Granger causality test suggests the presence of a bidirectional causality among electricity pricing, carbon prices, and carbon emissions in the long run. Therefore, Australia needs to implement a carbon emissions mitigation scheme that places a high tax rate on polluters such as fossil-based electricity generators to achieve reduced emissions and a sustainable economy. more...
- Published
- 2020
13. Faiz oranları, bist-100 endeksi ve bist sektör endeksleri arasındaki ilişki
- Author
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Çulha, Emre and Mehmet İvrendi
- Subjects
Hata Düzeltme Modelleri ,Johansen Cointegration Model ,Error Correction Models ,VECM Granger Causality ,Interest Rates ,VECM’e Dayalı Granger Nedensellik Testi ,BIST Sektör Endeksleri ,Johansen Eş Bütünleşme Testi ,BIST Sector Indices ,Faiz Oranı - Abstract
Yaygın yatırım araçlarından biri olan hisse senetleri ve bu hisse senetlerinin toplulaştırılmış değerlerini veren endeksler yatırımcıların yatırım kararlarını etkileyen etmenlerdendir. BIST100 endeksi ülkemizde varlık piyasasının gidişatını gösterirken, borsa sektör endekslerinin seyri başta endekslerin bünyesinde bulunan şirketlerin kârlılığı ve istikrarlılığı hakkında bilgi verirken söz konusu sektörün gidişatı hakkında da ipuçları vermektedir. Faiz oranlarının, sektör endekslerine olan etkisi bünyesinde bulundurduğu payların da para politikasına olan hassasiyetini temsil etmektedir. Bu sektörlere yatırım yapmak isteyenlerin faiz oranlarını göz önünde bulundurduğu, yatırım kararlarında ve varlık taleplerinde bu oranların etkisinin olduğu anlamına gelmektedir. Şirketlerin sermaye ihtiyaçlarını gidermek için önemli araçlardan biri ise hisse senetleridir. Faiz oranından kaynaklanan hisse senedi talebindeki olası bir düşüş şirketlerin sermaye ihtiyaçlarının giderilememesine neden olmaktadır. Bu durum şirketlerin karlılığını ve gücünü etkilerken, sektörlerin gidişatları reel ekonomi açısından önemli bir durumdur. Bu çalışmada BIST100 ve BIST Sektör Endeksleri ile faiz oranı arasındaki ilişki Mayıs 2010 ve Nisan 2018 dönemleri arasındaki ilişki eş bütünleşme ve nedensellik testleri ile analiz edilmeye çalışılmıştır. Bulgularımızda faiz oranının Banka, Bilişim, Elektrik, İletişim ve Mali Sektör Endeksleri üzerinde negatif bir etki yarattığı sonucuna varılırken, Bankacılık, Mali ve Bilişim Sektör Endekslerinden faiz oranına doğru bir nedensellik ilişkisi saptanmıştır. Equities which are one of the common investment instruments and the aggregates that give the aggregated values of these stocks are the factors affecting the investment decisions of the investors. While BIST100 index shows the course of the asset market in our country, the course of the stock market indices gives information about the profitability and stability of the companies within the indices and gives some clues about the course of the sector in question. The share of interest rates within the sector indices represents the sensitivity of monetary policy stance. It means that those who want to invest in these sectors take interest rates into consideration, and that these rates have an effect on investment decisions and asset demands. One of the important tools to meet the capital needs of companies is their shares. A possible decrease in the demand for interest on the interest rate causes the capital needs of the companies not to be eliminated. In this study, the relationship between the BIST100 and BIST Sector indices and the interest rate was analyzed in the relationship between the periods of May 2010 and April 2018 by means of co-integration and causality tests. In our findings, it was concluded that the interest rate had a negative effect on the Bank, IT, Electricity, Communication and Financial Indices. A causality relationship was determined from the Banking, Financial and Informatics Sector Indices to interest rate. more...
- Published
- 2019
14. Investigation of Volatility Relation Between BIST Indexes and Corporate Governance Index
- Author
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Güleç, Ömer Faruk, Cergibozan, Raif, and Çevik, Emre
- Subjects
Volatilite ,Corporate Governance ,ARCH-GARCH ,Kurumsal Yönetim ,Volatility ,VECM Granger Causality ,Johansen Cointegration ,Johansen Eşbütünleşme ,VECM Granger Nedensellik - Abstract
Bu çalışma temel Borsa İstanbul endeksleri ile kurumsal yönetim endeksi (XKURY) arasındaki volatilite yayılımı ve uzun dönemli ilişkiyi test etmektedir. Endeksler arasındaki uzun dönemli ilişki Johansen Eşbütünleşme testi ile sınanmış ve zaman serilerinin durağanlığı ADF ve PP birim kök testleri ile tespit edilmiştir. Çalışma sonuçlarına göre, en yüksek getiriye sahip endeks XKURY ve en yüksek volatiliteye sahip endeks BİST 30 olarak belirlenmiştir. XKURY, BİST100, BİST50 ve BİST30 endeksleri arasındaki eşbütünleşme ilişkileri ayrı olarak tahmin edilmiştir. Tahmin sonuçlarına göre, en yüksek ayarlama (yakınsama) hızına sahip değişkenler XKURY ve BİST50'dir. Granger nedensellik sonuçlarına göre, XKURY, BİST100'ün Granger nedeni değilken, BİST100 XKURY Granger nedenidir. Diğer değişkenler arasında iki yönlü bir nedensellik vardır. Nedenselliğin yönünün en güçlü olduğu ilişki BİST30’un XKURY üzerine olan ilişkisi üzerinedir. Kurumsal yönetim endeksine dâhil olan şirketler göreceli daha yüksek getiriye ve daha düşük volatiliteye sahiptir. This study tests the volatility spread and long-term relationship between Borsa Istanbul indexes and Corporate Governance Index (XKURY). The long-run relationship between the indexes is analyzed by the Johansen Cointegration test and the stationarity of time series is investigated by ADF and PP unit root tests. According to the study results, the index with the highest return is XKURY and the index with the highest volatility is BIST 30. The cointegration relations between XKURY, BIST100, BIST50 and BIST30 indexes are separately estimated. According to the estimation results, the variables with the highest speed of adjustment (cointegration) are XKURY and BIST50. According to the results of Granger Causality, XKURY is not the Granger cause of BIST100 but BIST100 is the Granger cause of XKURY. Among other variables, there is a two-way causality. Firms included in the corporate governance index have relatively higher return and lower volatility. more...
- Published
- 2018
15. Biofuel energy consumption-economic growth relationship: an empirical investigation of Brazil
- Author
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Al-Mulali, Usama, Solarin, Sakiru Adebola, Öztürk, İlhan, Meslek Yüksekokulu, Al-mulali, Usama -- 0000-0001-6431-7873, and Ozturk, Ilhan -- 0000-0002-6521-0901
- Subjects
Biofuel Energy Consumption ,ARDL Approach ,VECM Granger Causality ,Brazil Economic Growth - Abstract
WOS: 000387076800016, This study investigates the influence of biofuel energy consumption on Brazil's economic growth during the period 1980-2012 by employing the Autoregressive Distributed Lag (ARDL) approach and the vector error correction model (VECM) Granger causality. The results revealed two structural breaks during the early 1980s due to the Latin American debt crisis as well as the early 2000s due to the worries related to the increasing global spreads. Moreover, it was found that economic growth, biofuel energy consumption, capital, urbanization, and globalization are co-integrated. Additionally, it was found that biofuel energy consumption, capital, urbanization, and globalization increase Brazil's economic growth in the short run and in the long run. However, the two structural breaks have a significant negative influence on economic growth. The vector error correction model Granger causality revealed a feedback causal relationship between all the variables (with the exception of capital). However, a unidirectional causality was concluded from capital to economic growth, biofuel energy consumption, urbanization, and globalization. From the results of this study, a number of policy implications were provided. more...
- Published
- 2016
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