Evaluation of a DSGE Model of Energy in the United Kingdom Using Stationary Data

Aminu, Nasir

doi:10.1007/s10614-017-9657-9

Cited by 9 publications

(7 citation statements)

References 33 publications

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“…The monetary policy shock contributions were consistent with the New-Keynesian assumption that monetary policies have a strong influence on economic activity. In contrast, Aminu (2018), found foreign shocks and productivity shock have little significance on key variables. This is explained by lower calibration values assigned to the model steady-state parameters.…”

Section: A Stochastic Variance Decompositionmentioning

confidence: 92%

“…e denotes the energy input in production where firms have the choice to use petroleum or other utilities without any restriction as ̂=̂, =̂, . Similar schedules to (8) have also been assumed by Harrison et al (2011), Dixon et al (2014) and Aminu (2018). The parameter explains the cost share of energy use in the final output of non-energy sector.…”

Section: Non-energy Sectormentioning

confidence: 97%

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Energy prices volatility and the United Kingdom: Evidence from a dynamic stochastic general equilibrium model

Aminu

2019

Energy

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This paper analyses the consequences and effects of volatile energy prices in the UK. The evidence provided are from an estimated DSGE model of energy. The model is applied on filtered data from 1981:Q1 to 2013:Q1 and evaluated by the indirect inference testing. In analysing the structural shocks, the study found higher volatility in energy prices shock during the Great Recession compared to the sample period. The high volatility of energy prices shock caused inflationary pressures in the economy. The study found energy prices shock amplified the Great Recession by significantly contributing to the fall in output. Thus, energy prices shock is an important driver of economic activity. However, given the shocks are stationary, energy prices shock is temporary. Therefore, all consequences of energy prices in the economy are short-term. By implication, when volatile energy prices create an output shortfall, monetary policy is the tool used to offset short-term falls in output. We find results persists with robustness check. The findings justified why the DSGE model is a policymakers' workhorse.

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Section: A Stochastic Variance Decompositionmentioning

confidence: 92%

Section: Non-energy Sectormentioning

confidence: 97%

Energy prices volatility and the United Kingdom: Evidence from a dynamic stochastic general equilibrium model

Aminu

2019

Energy

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“…Bouoiyour & Selmi (2017) observed that the technological and utilities sectors were the most negatively affected by this political event, whereas the healthcare, oil, gas and real estate sectors were instead positively affected. Recent studies (Aminu, 2017;Aminu, 2019) show that volatile energy prices amplify economic recessions. The degree of which the stock returns are affected varies significantly by industry, with a definite relationship present between these variable and stock return abnormalities.…”

Section: Literature Reviewmentioning

confidence: 99%

The Effect of Political Instability on the UK Stock Returns: Evidence from 2016 eferendum and the Major Events that Followed

Liu¹,

Hamdan²,

Whiteley³

et al. 2022

TEL

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This study examines the consequences of six events on the FTSE100 companies since the UK voted to leave the EU. These are the events that created political uncertainty leading to two General Elections within 30 months. The study examines the relationship between political instability and stock return abnormalities, using event study methodology and regression analysis to establish if such a link exists. Following each event, the UK stock market index declined except when Brexit was extended by six months (Event 5). The results of this study find a definite relationship between instability and return abnormalities, with the post-event abnormal returns proving to be the most significant over the event window. The industry variables were found to be most strongly linked with the CAR values out of all the independent variables, with the healthcare, utilities and basic materials industries exhibiting the most significant reactions. The findings of this study are an additional expectational tool for investors. It will be essential for investors during times of uncertainty.

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“…Argentiero et al ( 2018 ) develop a DSGE model that includes fossil and renewable energy sources to assess the effectiveness of renewable energy policies. Aminu ( 2018 ) develops a DSGE model that includes oil and gas to investigate the impact of oil price shocks and gas price shocks.…”

Section: Introductionmentioning

confidence: 99%

Effects of China’s low-carbon policy under stochastic shocks—a multi-agent DSGE model analysis

Guo

Xiao

2023

Environ Sci Pollut Res

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China has announced a target of achieving carbon peaking by 2030 and carbon neutrality by 2060. Therefore, it is important to assess the economic impacts and emission reduction effects of China’s low-carbon policies. In this paper, a multi-agent dynamic stochastic general equilibrium (DSGE) model is established. We analyze the effects of carbon tax and carbon cap-and-trade policies under both deterministic and stochastic conditions, as well as their ability to cope with stochastic shocks. We found that (1) from a deterministic perspective, these two policies have the same effect. Every 1% cut in CO 2 emissions will bring a 0.12% output loss, a 0.5% drop in demand for fossil fuels, and a 0.05% rise in demand for renewable energy; (2) from a stochastic perspective, effects of these two policies are different. This is mainly because economic uncertainty does not change the cost of CO 2 emissions under a carbon tax policy, but it does change the price of CO 2 quotas and the emission reduction behaviors under a carbon cap-and-trade policy; (3) from an economic volatility perspective, both two policies can act as automatic stabilizers. Compared to a carbon tax, a cap-and-trade policy can better ease economic fluctuations. The results of this study provide implications for policy-making.

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Evaluation of a DSGE Model of Energy in the United Kingdom Using Stationary Data

Cited by 9 publications

References 33 publications

Energy prices volatility and the United Kingdom: Evidence from a dynamic stochastic general equilibrium model

Energy prices volatility and the United Kingdom: Evidence from a dynamic stochastic general equilibrium model

The Effect of Political Instability on the UK Stock Returns: Evidence from 2016 eferendum and the Major Events that Followed

Effects of China’s low-carbon policy under stochastic shocks—a multi-agent DSGE model analysis

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