Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis

Nazlıoğlu, Şaban; Gormus, N. Alper; Soytaş, Uğur

doi:10.1016/j.eneco.2016.09.009

Cited by 321 publications

(225 citation statements)

References 56 publications

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“…Furthermore, to find the short‐run parameters of the model, the current paper uses error correction model (ECM). In addition, this study employs Fourier Toda–Yamamoto approach (hereafter, Fourier TY) which is developed by Nazlioglu et al () to examine the causal nexus between variables.…”

Section: Data Model and Methodsologymentioning

confidence: 99%

“…Nazlioglu et al () introduced a new Granger causality test based on Fourier approximation which is an extension of the standard causality procedure of Toda and Yamamoto (). This procedure estimates a VAR ( p + d max ) model where p is lag length while d max is the maximum integration order of the variables.…”

Section: Data Model and Methodsologymentioning

confidence: 99%

“…Enders and Jones () state that the Granger causality test results can be biased when the structural shifts are ignored in the VAR models. Thus, Nazlioglu et al () made an extension to the Toda–Yamamoto approach through using Fourier approximation to capture smooth structural shifts. The Fourier TY approach which uses cumulative frequencies can be modelled as follows:

y_{t} = β_{0} + β_{1} y_{t - 1} + \dots + β_{p + d_{truemax}} y_{t - (p + d_{truemax})} + {false\sum}_{k = 1}^{n} δ_{1 k} sin (\frac{2 k π t}{T}) + {false\sum}_{k = 1}^{n} δ_{2 k} cos (\frac{2 k π t}{T}) + ε_{t}

where n denotes the number of frequencies while

δ_{1 k}

and

δ_{2 k}

measure the amplitude and displacement of the frequency.…”

Section: Data Model and Methodsologymentioning

confidence: 99%

“…The Fourier TY approach tests the null hypothesis of non‐causality (

H_{0} : β_{1} = \dots = β_{p} = 0 false)

against the alternative (Nazlioglu et al , ; Gormus et al , ).…”

Section: Data Model and Methodsologymentioning

confidence: 99%

“…To examine the price and income elasticities of crude oil import demand and the causal linkages between variables in Turkey between 1996:1 and 2017:9, this study employs the recently developed cointegration and causality techniques proposed by Tsong et al () and Nazlioglu et al () in order. We choose Turkey, one of the world’s largest economies, as a sample to our empirical analysis with the aim to make inferences that could be further useful for the analysis of other large and energy‐dependent economies such as most of the Organisation for Economic Co‐operation and Development (OECD) and the Asia‐Pacific countries.…”

Section: Introductionmentioning

confidence: 99%

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The relationship between oil prices, oil imports and income level in Turkey: evidence from Fourier approximation

2019

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The study aims at examining possible impacts of the changes in oil prices and income on crude oil import demand in Turkey using monthly data between 1996:1 and 2017:9. To this end, the study uses a recently introduced Fourier Shin cointegration test of Tsong et al. (2016) and Fourier Toda–Yamamoto approach of Nazlioglu et al. (2016). The study also constructs error correction model to estimate the short‐run parameters. Our empirical findings detect that oil imports are more sensitive to changes in income relative to changes in oil price in the long‐run. Furthermore, 81.4 per cent of the disequilibrium of the shocks converges back to the equilibrium level within the next month. Also, the causality test results provide an evidence for conservation hypothesis in Turkey. Thus, energy conservative policies do not have adverse effects on real economic activity. These results include policy implications for future prospects.

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Section: Data Model and Methodsologymentioning

confidence: 99%

Section: Data Model and Methodsologymentioning

confidence: 99%

y_{t} = β_{0} + β_{1} y_{t - 1} + \dots + β_{p + d_{truemax}} y_{t - (p + d_{truemax})} + {false\sum}_{k = 1}^{n} δ_{1 k} sin (\frac{2 k π t}{T}) + {false\sum}_{k = 1}^{n} δ_{2 k} cos (\frac{2 k π t}{T}) + ε_{t}

where n denotes the number of frequencies while

δ_{1 k}

and

δ_{2 k}

measure the amplitude and displacement of the frequency.…”

Section: Data Model and Methodsologymentioning

confidence: 99%

“…The Fourier TY approach tests the null hypothesis of non‐causality (

H_{0} : β_{1} = \dots = β_{p} = 0 false)

against the alternative (Nazlioglu et al , ; Gormus et al , ).…”

Section: Data Model and Methodsologymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The relationship between oil prices, oil imports and income level in Turkey: evidence from Fourier approximation

2019

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Consumption‐based carbon emissions, renewable energy consumption, financial development and economic growth in Chile

2021

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This paper aims to investigate the effect of financial development and renewable energy consumption on consumption-based CO 2 emissions in Chile while controlling for economic growth and electricity consumption. Based on the aim of the paper, autoregressive distributed lag (ARDL) bounds with Kripfganz and Schneider's (2018) approximations, fully modified ordinary least square (FMOLS), dynamic ordinary least square (DOLS), and gradual shift causality tests are applied in this study. The outcomes clearly reveal that while financial development and renewable energy consumption reduce the consumption-based CO 2 emissions in Chile, economic growth and electricity consumption increase consumption-based carbon emissions. The gradual shift causality test provides consistent results with ARDL, FMOLS, and DOLS estimators. Therefore, policymakers in Chile should dynamically encourage the research and development of low-carbon technologies and renewable energy investments while imported nonrenewable energy sources level should be targeted, and especially those sectors which are more energy-intensive and causing to increase in consumption-based CO 2 emissions.

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New insights into economic expansion in the United Kingdom: Does energy mix specificity matter?

2021

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Summary This paper sheds light on the causality linkages between economic growth and energy production, that is, natural gas, bioenergy and waste, coal, nuclear, petroleum, wind, solar and hydro for the United Kingdom over the period 1998Q1 to 2017Q4. To this end, we apply time‐domain causality tests—Toda‐Yamamoto causality test and gradual shift causality test, and frequency domain causality (FDC) test for empirical analysis to sort out the causality among the outlined variables under consideration. Empirical findings from the spectral BC causality test reveal that (a) changes in energy production from natural gas and petroleum spur significant changes in economic growth in the United Kingdom; (b) economic growth causes energy production from natural gas, petroleum, wind, solar, hydro and nuclear and (c) it is worthy of mentioning that time and FDC tests provide consistent outcomes at different significance and frequency levels. On the causality analysis, the hypothesis that natural gas triggers economic growth is valid, while the result also reveals a feedback causality the variables of concern. Similarly, economic growth drives nuclear energy production one‐way as well as total energy drives economic growth. These results provide policy implications for energy and environmental sustainability in the United Kingdom where renewable energy sources drive economic growth. Thus, necessitates the need to maintain the current trajectory for more renewable energy promotion in energy mix relative to fossil‐fuel energy sources. Highlights Economic impact is revisited for the United Kingdom over the period 1998Q1 to 2017Q4. Toda‐Yamamoto, gradual shift and frequency domain causality tests were employed. Distinct roles of natural gas, fossil, nuclear and mix of renewables were explored. Changes in natural gas and petroleum significantly spur economic growth. Frequency domain causality tests offer consistent time and frequency changes.

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Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis

Cited by 321 publications

References 56 publications

The relationship between oil prices, oil imports and income level in Turkey: evidence from Fourier approximation

The relationship between oil prices, oil imports and income level in Turkey: evidence from Fourier approximation

Consumption‐based carbon emissions, renewable energy consumption, financial development and economic growth in Chile

New insights into economic expansion in the United Kingdom: Does energy mix specificity matter?

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