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Causality between energy and output in the long-run

Stern, David I; Enflo, Kerstin
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: 7 pages
Português
Relevância na Pesquisa
56.84%
Though there is a very large literature examining whether energy use Granger causes economic output or vice versa, it is fairly inconclusive. Almost all existing studies use relatively short time series, or panels with a relatively small time dimension. We apply Granger causality and cointegration techniques to a Swedish time series dataset spanning 150 years to test whether increases in energy use and energy quality have driven economic growth or vice versa. We show that these techniques are very sensitive to variable definition, choice of additional variables in the model, sample periods and size, and the introduction of structural breaks. The relationship between energy and growth may also have changed over time – energy causes output in the full sample while output causes energy use in recent smaller samples. Energy prices have a more robust causal impact on both energy use and output.; David Stern acknowledges funding from the Australian Research Council under Discovery Project DP120101088.

Causality between energy and output in the long-run

Stern, David I; Enflo, Kerstin
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica Formato: 12 pages
Português
Relevância na Pesquisa
56.78%
Though there is a very large literature examining whether energy use Granger causes economic output or vice versa, it is fairly inconclusive. Almost all existing studies use relatively short time series, or panels with a relatively small time dimension. We apply Granger causality and cointegration techniques to a Swedish time series dataset spanning 150 years to test whether increases in energy use and energy quality have driven economic growth or vice versa. We show that these techniques are very sensitive to variable definition, choice of additional variables in the model, sample periods and size, and the introduction of structural breaks. The relationship between energy and growth may also have changed over time – energy causes output in the full sample while output causes energy use in recent smaller samples. Energy prices have a more robust causal impact on both energy use and output.; David Stern acknowledges funding from the Australian Research Council under Discovery Project DP120101088 and Kerstin Enflo acknowledges funding from the Wallander Research Foundation, grant number W2008:0357-1.

Cointegration and causality in the Asian and emerging foreign exchange markets: Evidence from the 1990s financial crises

Au Yong, HH; Gan, C; Treepongkaruna, Sirimon
Fonte: Elsevier Publicador: Elsevier
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
56.82%
This article examines the cointegration level, changes in the existence and directions of causality of the foreign exchange (FX) rates in the Asian and emerging markets during the 1990s financial crises. Engle and Granger's simple bivariate and Johansen's multivariate cointegrations are applied to the FX rates for the 1994 Mexican, 1997 Asian, 1998 Russian, and 1999 Brazilian crises. In addition, the article conducts the Granger causality test and impulse response analysis to examine the causality pattern in all the FX rates. The analysis shows most of the pre-Mexican causality disappears and significant numbers of new causality emerge in the 1994 Mexican crisis while the 1997 Asian crisis generates significant spillover effects into the later part of the 1998 Russian and 1999 Brazilian crises.