Quantile cointegration in the autoregressive distributed-lag modeling framework

Cho, Jin Seo; Kim, So Yeon; Shin, Yongcheol

doi:10.1016/j.jeconom.2015.05.003

Cited by 374 publications

(289 citation statements)

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“…Many researchers consider this assumption incorrect and have provided evidence of asymmetric relationships among major macroeconomic variables (Park and Phillips, 2001;Schorderet, 2001;Saikkonen and Choi, 2004;Escribano et al, 2006;Bae and De Jong, 2007;Shin et al, 2013). Granger 12 This method has been cited in some of the recent studies such as Greenwood-Nimmo and Shin (2011), Karantininis, Katrakylidis andPersson (2011), Cho, Kim andShin (2012), Garz (2012), Katrakilidis, Lake and Trachanas (2012) and . Regime-switching models, on the other hand, are based on the view that linear models are inadequate to provide a strong inference, or to yield consistent and reliable forecasts, because the linearity assumption may be restrictive in most of the macroeconomic scenarios, hence leading to incorrect forecasts and inferences (Shin et al, 2013).…”

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confidence: 99%

Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis

Choudhry

Hassan

2015

Journal of International Financial Markets, Institutions and Mo

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confidence: 99%

Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis

Choudhry

Hassan

2015

Journal of International Financial Markets, Institutions and Mo

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“…All the variables in our models are transformed into logarithm form. Cho et al (2015) extended the model in Equation (2) to a quantile context and introduced the following basic form of the QARDL(p, q) model:…”

Section: Methodsmentioning

confidence: 99%

“…(1). The SIC information criterion is employed to determine the optimal length orders p and q for each model (Cho et al 2015). Then, we run the quantile estimation in order to apply the QARDL approach.…”

Section: Methodsmentioning

confidence: 99%

“…These tests allow testing parameters constancy across the eleven considered quantiles. Equivalently, the Wald tests check the nonlinearities in both the long-run and short-run parameters in order to evaluate locational asymmetries (Cho et al 2015).…”

Section: [Insert Figures 1 To 4 Here]mentioning

confidence: 99%

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Abstract: This paper investigates the relationship between S&P 500 prices, viewed as a US economic barometer, and a set of energy prices, including WTI, gasoline, heating, diesel and natural gas prices, using the Quantile Autoregressive Distributed Lags (QARDL) model recently developed by Cho et al (2015). The empirical results show a negative long-and shortrun relationship between WTI crude oil and Henry Hub natural gas prices on the one side and S&P 500 stock prices on the other side, only for medium and high quantiles.

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New insights into the US stock market reactions to energy price shocks

Benkraiem

Lahiani

Miloudi

et al. 2018

Journal of International Financial Markets, Institutions and Mo

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This paper investigates the relationship between S&P 500 prices, viewed as a US economic barometer, and a set of energy prices, including WTI, gasoline, heating, diesel and natural gas prices, using the Quantile Autoregressive Distributed Lags (QARDL) model recently developed by Cho et al. (2015). The empirical results show a negative long-and shortrun relationship between WTI crude oil and Henry Hub natural gas prices on the one side and S&P 500 stock prices on the other side, only for medium and high quantiles. The findings of Wald tests indicate a nonlinear and asymmetric pass-through from energy price shocks to aggregate US stock market prices. These results show that crude oil and natural gas are key economic variables to explain short run and long run stock market dynamics. They provide further insights into how energy price shocks are transmitted to stock market prices.

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The role of solar energy and eco‐innovation in reducing environmental degradation in China: Evidence from QARDL approach

Chien

Hsu

Andlib

et al. 2021

Integr Envir Assess & Manag

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In the past decade, researchers have shifted their interests to explore different ways to mitigate environmental degradation. In that context, the present study explores the role of solar energy and eco‐innovation in reducing environmental degradation in China. The study utilized data for the period 1990–2018 and applied the latest available econometric technique, a quantile autoregressive distributed lag model, to determine the impacts of solar energy and eco‐innovation on improving China's environmental quality. According to the empirical results, in the long term, solar energy is negatively and significantly associated with CO2 emissions at higher quantiles. Eco‐innovation has proven to be the most important channel to mitigate CO2 emissions in China. Eco‐innovation is exerting a negative and significant influence on CO2 emissions at all quantiles in the long term. In addition, the population size is causing CO2 emissions to surge significantly at lower quantiles. The empirical analysis reveals that per capita income (PI) is positively associated with CO2 emissions at all quantiles, but it is significant only at higher quantiles in China. We found evidence of unidirectional causality for eco‐innovation to CO2 emissions and solar energy to CO2 emissions. However, for population and CO2 emissions, per capita income, and CO2 emissions, we found bidirectional causality. As indicated by our empirical results, solar energy and eco‐innovation are the two most effective channels to control CO2 emissions in China. Therefore, policies based on the promotion of eco‐innovation and the initiation of new solar energy projects can control emissions and improve environmental quality in China. Integr Environ Assess Manag 2022;18:555–571. © 2021 SETAC

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Quantile cointegration in the autoregressive distributed-lag modeling framework

Cited by 374 publications

References 46 publications

Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis

Exchange rate volatility and UK imports from developing countries: The effect of the global financial crisis

New insights into the US stock market reactions to energy price shocks

The role of solar energy and eco‐innovation in reducing environmental degradation in China: Evidence from QARDL approach

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