Are the macroeconomic effects on oil price asymmetric? An asymmetric quantile regression approach

Alqaralleh, Huthaifa

doi:10.1108/ijesm-02-2021-0017

Cited by 6 publications

(7 citation statements)

References 56 publications

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“…To offer information when the cointegrating vectors were time-varying, the asymmetric quantile approach (AQA henceforward) proposed by Alqaralleh (2022) was employed. The proposed AQA procedure can easily be carried out in two steps.…”

Section: Data Model Specification and Empirical Methodologymentioning

confidence: 99%

“…To address these issues, the current paper firstly ascertains the presence of the macroeconomic effects in the ASEAN countries of four countries' EF and investigates the potential locational asymmetric causality through the quantile causality test of Troster (2018) under the null hypothesis of no Granger causality. Next, a novel asymmetric quantile model developed by Alqaralleh (2022) is employed, which is a fresh adjunct to the literature in capturing locational asymmetries (i.e. how the situation of the dependent variables is encircled by its conditional distribution) as well as the potential of asymmetric consequences from positive and negative changes in the examined variables on the environmental degradation.…”

Section: Introductionmentioning

confidence: 99%

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On the factors influencing the ecological footprint: using an asymmetric quantile regression approach

Alqaralleh

2023

MEQ

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PurposeIn the new global economy, environmental degradation is still among the crucial struggles braving policymakers. The intention of the current analysis, therefore, is to investigate the asymmetric impact of energy use, trade openness, population changes and urbanization, on the ecological footprint (EF) in four ASEAN countries by using time span data extending from 1972 to 2018.Design/methodology/approachThe stationarity of the variables was first demonstrated by using a quantile autoregression unit root test. Then the cointegration relationship among quantiles was verified. In the third step, this study investigated the pattern of causality in quantiles which allowed them to model any locational asymmetry in such a relationship. In the final part of the paper, the asymmetric quantile approaches the methods adopted to address the ways in which the considered variables impacted on the EF.FindingsThe outcomes demonstrated that the estimated coefficient of the variables was generally found significant and in line with the expected impact sign. Likewise, locational asymmetry was detected from the fact that the considered variables at the upper tails did not operate in the same way as those in the lower ones. In this case, the results suggest that a rise in energy consumption, as well as a negative shock to economic growth and/or trade openness, all diminish environmental quality. In contrast, promoting economic growth, a positive shock to trade openness, and human capital reduce environmental degradation.Originality/valueAs far as is known, the current study among the early attempt to explore the asymmetric impact of trade openness, energy use, population changes and urbanization, on the EF in the ASEAN countries.

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Section: Data Model Specification and Empirical Methodologymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

On the factors influencing the ecological footprint: using an asymmetric quantile regression approach

Alqaralleh

2023

MEQ

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“…A plethora of studies examine the nexus between these two commodities; however, asymmetric linkage and nonlinearities are not yet significantly examined (Chowdhury, Meo, Uddin, and Haque, 2021). Using the asymmetric quantile regression analysis approach Alqaralleh (2022) shows that oil prices and macroeconomics fundamentals have implications for each other. Ahmed and Singla (2014) argue that crude oil prices significantly explain the variations in food prices in India.…”

Section: Econometric Methods To Examine the Relationship Between Oil ...mentioning

confidence: 99%

Modeling the dynamics of oil and agricultural commodity price nexus in linear and nonlinear frameworks: A case of emerging economy

Khan

Sharma

Ansari

2022

Review Development Economics

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This paper aims at modeling the dynamics of oil and agricultural commodity price nexus in linear and nonlinear frameworks in the Indian context. Monthly prices of agricultural commodities from 1982:M04 to 2021:M05 for 37 agricultural commodities under 12 clusters have been considered in the study. For the symmetric and asymmetric impacts of oil prices on agricultural commodity prices, advanced econometric approaches, autoregressive distributed lag and nonlinear autoregressive distributed lag, have been applied, respectively. The results reveal that in the case of aggregate analysis, oil prices have an asymmetric impact on 10 clusters of agricultural commodities in the long run, while disaggregate analysis suggests that oil prices have a long-run positive elasticity with 29 of 37 agricultural commodity prices. Further, the asymmetric causality approach indicates that positive and negative shocks in oil prices Granger cause the prices of 34 agricultural commodities in the short run. The study has significant implications for policymakers, individual and institutional investors, wholesale producers, and primary producers (farmers).

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Section: Econometric Modelling Frameworkmentioning

confidence: 99%

“…To provide comprehensive information when the positive shock is different from the negative one, we used the asymmetric quantile approach (AQA henceforward) proposed by Alqaralleh (2022), and following Granger and Yoon (2002), we replaced the targeted regressors in equation (1) (in this case RE and NRE) by its positive and negative sum as: where max(·) and min(·) stand for the positive and negative change in the considered variables, respectively. Doing so allowed us to fully characterise the distribution and obtain a comprehensive analysis, especially when the considered variables were left-skewed or right-skewed.…”

Section: Econometric Modelling Frameworkmentioning

confidence: 99%

Revisiting the effects of renewable and non-renewable energy consumption on economic growth for eight countries: asymmetric panel quantile approach

Alqaralleh

Hatemi‐J

2023

IJESM

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Purpose This study aims to investigate the dynamic relationship between renewable and non-renewable energy sources on the economic growth of eight countries, the capital stock and labour force being used as control variables in each case. Questions that need to be asked include the following: Is there is an asymmetric and, hence, a non-linear relationship between variables? If yes, how does economic growth interact with both renewable and non-renewable energy consumption (EC)? How different are these relationships in the countries highly rated in the performance of renewable EC compared to those lowly rated? Design/methodology/approach This paper uses asymmetric quantile-based methods to extract possible asymmetric and, hence, non-linear relationships between the underlying variables. Findings A newly developed asymmetric panel quantile approach suggests that EC has a significant effect on economic growth in both directions of shocks as well as for the considered sample. The results further support the findings in recent literature on renewable energy deployment, given the importance of renewable EC for economic growth with the increased levels of renewable EC, although the initial investments may have a negative effect on economic growth for some countries. Originality/value This study contributes to the literature in twofold. Firstly, it aims to contribute to the ongoing debate in literature by incorporating both renewable and non-renewable energy resources in the production function with labour and capital to test their asymmetric impact on economic growth. Secondly, this paper uses asymmetric quantile-based methods to extract possible asymmetric and, hence, non-linear relationships between the underlying variables. Another point that should be emphasised in this study is the need for studies analysing economic growth and EC for a sample of G20 countries based on a comparative view for the renewable and non-renewable EC in literature.

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Are the macroeconomic effects on oil price asymmetric? An asymmetric quantile regression approach

Cited by 6 publications

References 56 publications

On the factors influencing the ecological footprint: using an asymmetric quantile regression approach

On the factors influencing the ecological footprint: using an asymmetric quantile regression approach

Modeling the dynamics of oil and agricultural commodity price nexus in linear and nonlinear frameworks: A case of emerging economy

Revisiting the effects of renewable and non-renewable energy consumption on economic growth for eight countries: asymmetric panel quantile approach

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