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KÖMÜR, DOĞAL GAZ VE PETROL TÜKETİMİNİN DURAĞANLIK ÖZELLİKLERİNİN İNCELENMESİ: KIRILGAN BEŞLİ ÖRNEĞİ

Yıl 2021, Cilt: 22 Sayı: 1, 75 - 86, 01.01.2021

Ebru Çağalayan-akay Turgut Ün Hoşeng Bülbül

Öz

"Kırılgan Beşli" ülkeleri için birincil enerji tüketiminin birim kök özelliklerini analiz edip ve kömür, doğal gaz ve petrol tüketimi üzerindeki şokların kalıcı veya geçici olup olmadığı incelenmiştir. Bulgular, kömür tüketimi üzerindeki şokların Brezilya, Güney Afrika ve Türkiye için geçici, Hindistan ve Endonezya için kalıcı olduğunu göstermektedir. Ayrıca, şokların doğal gaz tüketimi üzerindeki etkisi Güney Afrika dışındaki beş kırılgan ülke için geçicidir. Son olarak, petrol tüketimindeki şokların sadece Hindistan ve Endonezya için geçici olduğu bulunmuştur

Anahtar Kelimeler

Birincil Enerji Tüketimi Fourier Birim Kök Testi

Kaynakça

  • Abadir, K. M. and Distaso, W. (2007). Testing joint hypotheses when one of the alternatives is one-sided. Journal of Econometrics, 140(2), 695-718.
  • Abid, M., & Alimi, M. (2019). Stochastic convergence in US disaggregated gas consumption at the sector level. Journal of Natural Gas Science and Engineering, 61, 357-368.
  • Akram, V., Rath, B. N. and Sahoo, P. K. (2020). Stochastic conditional convergence in per capita energy consumption in India. Economic Analysis and Policy, 65(2020), 224-240.
  • Apergis, N., Loomis, D. and Payne, J.E. (2010a). Are fluctuations in coal consumption transitory or permanent? Evidence from a panel of US states. Apply Energy, 87(7), 2424–2426.
  • Apergis, N. Loomis, D. and Payne, J.E. (2010b). Are shocks to natural gas consumption temporary or permanent? evidence from a panel of US states. Energy Policy, 38(8), 4734–4736.
  • Apergis, N. and Payne, J.E. (2010). Structural breaks and petroleum consumption in US states: are shock transitory or permanent? Energy Policy, 38(10), 6375– 6378.
  • Aslan, A. (2011). Does natural gas consumption follow a nonlinear path over time? evidence from 50 US states. Renewable & Sustainable Energy Reviews, 15(9), 4466–4469.
  • Aslan, A. and Kum, H. (2011). The stationary of energy consumption for Turkish disaggregate data by employing linear and nonlinear unit root tests. Energy, 36(7), 4256–4258.
  • Becker. R., Enders, W. and Lee, J. (2006). A stationarity test in the presence of an unknown number of breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Brock, W., Dechert, W. D. and Scheinkman, J. (1987). A test for independence based on the correlation dimension. Economics Working Paper, University of Winconsin at Madison, University of Houston, and University of Chicago.
  • Burakov, D. (2019). Are oil shocks permanent or temporary? Panel data evidence from crude oil production in 15 countries. International Journal of Energy Economics and Policy, 9(2), 295.
  • Cai, Y. and Magazzino, C. (2019). Are shocks to natural gas consumption transitory or permanent? a more powerful panel unit root test on the G7 countries. In Natural Resources Forum, Oxford, UK: Blackwell Publishing Ltd., 43(2), 111–120.
  • Chen, P. F. and Lee, C. C. (2007). Is energy consumption per capita broken stationary? new evidence from regional-based panels. Energy Policy, 35(6), 3526-3540.
  • Christopoulos, D. K. and Leon-Ledesma, M. A. (2010). Smooth breaks and non-linear mean reversion: post-bretton woods real exchange rates. Journal of International Money and Finance, 29(6), 1076–1093.
  • Congregado, E., Golpe, A. A. and Carmona, M. (2012). Looking for hysteresis in coal consumption in the US. Renewable and Sustainable Energy Reviews, 16(5), 3339-3343.
  • Destek, M. A. and Sarkodie, S. A. (2020). Are fluctuations in coal, oil and natural gas consumption countries. Heliyon, 6(2), e03391. or transitory? evidence from OECD
  • Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431.
  • Golpe, A.A., Carmona, M. and Congregado, E. (2012). Persistence in natural gas consumption in the US: an unobserved component model. Energy Policy, 46, 594–600.
  • Guris, B. (2019). A new nonlinear unit root test with Fourier function. Communications in Statistics-Simulation and Computation, 48(10), 3056- 3062.
  • Harvey, D.I., Leybourne, S.J. and Xiao, B. (2008). A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics & Econometrics,12(3), 1-24
  • Hasanov, M. and Telatar, E. (2011). A re-examination of stationarity of energy consumption: evidence from new unit root tests. Energy Policy, 39(12), 7726–7738.
  • Hendry, D. F. and Juselius, K. (2000). Explaining cointegration analysis: part 1. The Energy Journal, 21(1), 1-42
  • Hsu, Y. C., Lee, C. C. and Lee, C. C. (2008). Revisited: Are shocks to energy consumption permanent or temporary? new evidence from a panel SURADF approach. Energy Economics, 30(5), 2314-2330.
  • Im, K.S., Lee J. and Tieslau, M. (2005). Panel LM unit root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3) 393-419.
  • Im, K.S., Pesaran, H. and Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74.
  • International Energy Agency [IEA]. (2016a). World Energy Outlook Special Report. Erişim http://pure.iiasa.ac.at/id/eprint/13467/1/WorldEnergyOutlookSpecialReport 2016EnergyandAirPollution.pdf adresi
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359–79.
  • Keenan, D. M. (1985). A Tukey nonadditivity-type test for time series nonlinearity. Biometrika, 72(1), 39-44.
  • Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1-3), 159-178.
  • Lean, H. H. and Smyth, R. (2009). Long memory in US disaggregated petroleum consumption: evidence from univariate and multivariate LM tests for fractional integration. Energy Policy, 37(8), 3205-3211.
  • Lee, J. and Strazicich, M.C. (2003). Minimum LM unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • Lee, J. and Strazicich, M.C. (2004). Minimum LM unit root test with one structural break. Working Paper 04(17), Department of Economics, Appalachian State University.
  • Maslyuk, S. and Smyth, R. (2009). Non-linear unit root properties of crude oil production. Energy Economics, 31(1), 109–118.
  • McLeod, A. I. and Li, W. K. (1983) ‘Diagnostic checking ARMA time series models using squared residual autocorrelations’, Journal of Time Series Analysis, 4(4), 269-273
  • Narayan, P. K., and Smyth, R. (2007). Are shocks to energy consumption permanent or temporary? evidence from 182 countries. Energy Policy, 35(1), 333-341.
  • Narayan, P.K., Narayan, S. and Smyth, R. (2008). Are oil shocks permanent or temporary? panel data evidence from crude oil and NGL production in 60 countries. Energy Economics, 30(3), 919–936.
  • Narayan, P. K., Narayan, S. and Popp, S. (2010). Energy consumption at the state level: the unit root null hypothesis from Australia. Applied Energy, 87(6), 1953-1962.
  • Ozcan, B. (2013). Are shocks to energy consumption permanent or temporary? the case of 17 middle east countries. Energy Exploration & Exploitation, 31(4), 589-606.
  • Perron, P. (1989). The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57(6),1361–1401.
  • Phillips, P.C.B. and Perron, P. (1988). Testing for unit roots in time series regression. Biometrika, 75(2), 335–346.
  • Schwert, G.W. (1989). Tests for unit-roots: A Monte Carlo investigation. Journal of Business & Economic Statistics,7(2), 147–59.
  • Shahbaz, M., Tiwari, A. K., Jam, F. A., and Ozturk, I. (2014a). Are fluctuations in coal consumption per capita temporary? evidence from developed and developing economies. Renewable and Sustainable Energy Reviews, 33, 96- 101.
  • Shahbaz, M., Khraief, N., Mahalik, M. K., and Zaman, K. U. (2014b). Are fluctuations in natural gas consumption per capita transitory? Evidence from time series and panel unit root tests. Energy, 78, 183-195.
  • Solarin, S. A. and Lean, H. H. (2016). Are fluctuations in oil consumption permanent or transitory? evidence from linear and nonlinear unit root tests. Energy Policy, 88, 262-270.
  • Sollis, R. (2004). Asymmetric adjustment and smooth transitions: a combination of some unit root tests. Journal of Time Series Analysis, 25(3), 409–417.
  • Stanley, M. (2013). Currencies FX Pulse. Morgan Stanley Research, 1.
  • Tsay, R. S. (1986). Nonlinearity Tests for Time Series. Biometrika, 73(2), 461-466.
  • Zivot, E. and Andrews, D. (1992). Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business & Economic. Statistics, 10(3), 251-270.

INVESTIGATING THE STATIONARY PROPERTIES OF COAL, NATURAL GAS, AND OIL CONSUMPTION: THE CASE OF FRAGILE FIVE COUNTRIES

Yıl 2021, Cilt: 22 Sayı: 1, 75 - 86, 01.01.2021

Ebru Çağalayan-akay Turgut Ün Hoşeng Bülbül

Öz

We examine the stationarity properties of primary energy consumption for "Fragile Five" countries and assesses whether shocks on coal, natural gas, and oil consumption are permanent or temporary. The findings suggest that shocks on coal consumption are temporary for Brazil, South Africa, and Turkey, while are permanent for India and Indonesia. Moreover, the effect of shocks on natural gas consumption is temporary for five fragile countries except for South Africa. Finally, it is found that shocks on oil consumption are temporary for only India and Indonesia.

Anahtar Kelimeler

PPrimary Energy Consumption Fourier Unit Root Test

Kaynakça

  • Abadir, K. M. and Distaso, W. (2007). Testing joint hypotheses when one of the alternatives is one-sided. Journal of Econometrics, 140(2), 695-718.
  • Abid, M., & Alimi, M. (2019). Stochastic convergence in US disaggregated gas consumption at the sector level. Journal of Natural Gas Science and Engineering, 61, 357-368.
  • Akram, V., Rath, B. N. and Sahoo, P. K. (2020). Stochastic conditional convergence in per capita energy consumption in India. Economic Analysis and Policy, 65(2020), 224-240.
  • Apergis, N., Loomis, D. and Payne, J.E. (2010a). Are fluctuations in coal consumption transitory or permanent? Evidence from a panel of US states. Apply Energy, 87(7), 2424–2426.
  • Apergis, N. Loomis, D. and Payne, J.E. (2010b). Are shocks to natural gas consumption temporary or permanent? evidence from a panel of US states. Energy Policy, 38(8), 4734–4736.
  • Apergis, N. and Payne, J.E. (2010). Structural breaks and petroleum consumption in US states: are shock transitory or permanent? Energy Policy, 38(10), 6375– 6378.
  • Aslan, A. (2011). Does natural gas consumption follow a nonlinear path over time? evidence from 50 US states. Renewable & Sustainable Energy Reviews, 15(9), 4466–4469.
  • Aslan, A. and Kum, H. (2011). The stationary of energy consumption for Turkish disaggregate data by employing linear and nonlinear unit root tests. Energy, 36(7), 4256–4258.
  • Becker. R., Enders, W. and Lee, J. (2006). A stationarity test in the presence of an unknown number of breaks. Journal of Time Series Analysis, 27(3), 381-409.
  • Brock, W., Dechert, W. D. and Scheinkman, J. (1987). A test for independence based on the correlation dimension. Economics Working Paper, University of Winconsin at Madison, University of Houston, and University of Chicago.
  • Burakov, D. (2019). Are oil shocks permanent or temporary? Panel data evidence from crude oil production in 15 countries. International Journal of Energy Economics and Policy, 9(2), 295.
  • Cai, Y. and Magazzino, C. (2019). Are shocks to natural gas consumption transitory or permanent? a more powerful panel unit root test on the G7 countries. In Natural Resources Forum, Oxford, UK: Blackwell Publishing Ltd., 43(2), 111–120.
  • Chen, P. F. and Lee, C. C. (2007). Is energy consumption per capita broken stationary? new evidence from regional-based panels. Energy Policy, 35(6), 3526-3540.
  • Christopoulos, D. K. and Leon-Ledesma, M. A. (2010). Smooth breaks and non-linear mean reversion: post-bretton woods real exchange rates. Journal of International Money and Finance, 29(6), 1076–1093.
  • Congregado, E., Golpe, A. A. and Carmona, M. (2012). Looking for hysteresis in coal consumption in the US. Renewable and Sustainable Energy Reviews, 16(5), 3339-3343.
  • Destek, M. A. and Sarkodie, S. A. (2020). Are fluctuations in coal, oil and natural gas consumption countries. Heliyon, 6(2), e03391. or transitory? evidence from OECD
  • Dickey, D.A. and Fuller, W.A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427–431.
  • Golpe, A.A., Carmona, M. and Congregado, E. (2012). Persistence in natural gas consumption in the US: an unobserved component model. Energy Policy, 46, 594–600.
  • Guris, B. (2019). A new nonlinear unit root test with Fourier function. Communications in Statistics-Simulation and Computation, 48(10), 3056- 3062.
  • Harvey, D.I., Leybourne, S.J. and Xiao, B. (2008). A powerful test for linearity when the order of integration is unknown. Studies in Nonlinear Dynamics & Econometrics,12(3), 1-24
  • Hasanov, M. and Telatar, E. (2011). A re-examination of stationarity of energy consumption: evidence from new unit root tests. Energy Policy, 39(12), 7726–7738.
  • Hendry, D. F. and Juselius, K. (2000). Explaining cointegration analysis: part 1. The Energy Journal, 21(1), 1-42
  • Hsu, Y. C., Lee, C. C. and Lee, C. C. (2008). Revisited: Are shocks to energy consumption permanent or temporary? new evidence from a panel SURADF approach. Energy Economics, 30(5), 2314-2330.
  • Im, K.S., Lee J. and Tieslau, M. (2005). Panel LM unit root tests with level shifts. Oxford Bulletin of Economics and Statistics, 67(3) 393-419.
  • Im, K.S., Pesaran, H. and Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74.
  • International Energy Agency [IEA]. (2016a). World Energy Outlook Special Report. Erişim http://pure.iiasa.ac.at/id/eprint/13467/1/WorldEnergyOutlookSpecialReport 2016EnergyandAirPollution.pdf adresi
  • Kapetanios, G., Shin, Y. and Snell, A. (2003). Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics, 112(2), 359–79.
  • Keenan, D. M. (1985). A Tukey nonadditivity-type test for time series nonlinearity. Biometrika, 72(1), 39-44.
  • Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85.
  • Kwiatkowski, D., Phillips, P. C., Schmidt, P. and Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54(1-3), 159-178.
  • Lean, H. H. and Smyth, R. (2009). Long memory in US disaggregated petroleum consumption: evidence from univariate and multivariate LM tests for fractional integration. Energy Policy, 37(8), 3205-3211.
  • Lee, J. and Strazicich, M.C. (2003). Minimum LM unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089.
  • Lee, J. and Strazicich, M.C. (2004). Minimum LM unit root test with one structural break. Working Paper 04(17), Department of Economics, Appalachian State University.
  • Maslyuk, S. and Smyth, R. (2009). Non-linear unit root properties of crude oil production. Energy Economics, 31(1), 109–118.
  • McLeod, A. I. and Li, W. K. (1983) ‘Diagnostic checking ARMA time series models using squared residual autocorrelations’, Journal of Time Series Analysis, 4(4), 269-273
  • Narayan, P. K., and Smyth, R. (2007). Are shocks to energy consumption permanent or temporary? evidence from 182 countries. Energy Policy, 35(1), 333-341.
  • Narayan, P.K., Narayan, S. and Smyth, R. (2008). Are oil shocks permanent or temporary? panel data evidence from crude oil and NGL production in 60 countries. Energy Economics, 30(3), 919–936.
  • Narayan, P. K., Narayan, S. and Popp, S. (2010). Energy consumption at the state level: the unit root null hypothesis from Australia. Applied Energy, 87(6), 1953-1962.
  • Ozcan, B. (2013). Are shocks to energy consumption permanent or temporary? the case of 17 middle east countries. Energy Exploration & Exploitation, 31(4), 589-606.
  • Perron, P. (1989). The great crash, the oil price shock and the unit root hypothesis. Econometrica, 57(6),1361–1401.
  • Phillips, P.C.B. and Perron, P. (1988). Testing for unit roots in time series regression. Biometrika, 75(2), 335–346.
  • Schwert, G.W. (1989). Tests for unit-roots: A Monte Carlo investigation. Journal of Business & Economic Statistics,7(2), 147–59.
  • Shahbaz, M., Tiwari, A. K., Jam, F. A., and Ozturk, I. (2014a). Are fluctuations in coal consumption per capita temporary? evidence from developed and developing economies. Renewable and Sustainable Energy Reviews, 33, 96- 101.
  • Shahbaz, M., Khraief, N., Mahalik, M. K., and Zaman, K. U. (2014b). Are fluctuations in natural gas consumption per capita transitory? Evidence from time series and panel unit root tests. Energy, 78, 183-195.
  • Solarin, S. A. and Lean, H. H. (2016). Are fluctuations in oil consumption permanent or transitory? evidence from linear and nonlinear unit root tests. Energy Policy, 88, 262-270.
  • Sollis, R. (2004). Asymmetric adjustment and smooth transitions: a combination of some unit root tests. Journal of Time Series Analysis, 25(3), 409–417.
  • Stanley, M. (2013). Currencies FX Pulse. Morgan Stanley Research, 1.
  • Tsay, R. S. (1986). Nonlinearity Tests for Time Series. Biometrika, 73(2), 461-466.
  • Zivot, E. and Andrews, D. (1992). Further evidence on the great crash, the oil price shock, and the unit root hypothesis. Journal of Business & Economic. Statistics, 10(3), 251-270.
Toplam 49 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Araştırma Makalesi
Yazarlar

Ebru Çağalayan-akay Bu kişi benim

Turgut Ün Bu kişi benim

Hoşeng Bülbül Bu kişi benim

Yayımlanma Tarihi 1 Ocak 2021
Yayımlandığı Sayı Yıl 2021 Cilt: 22 Sayı: 1

Kaynak Göster

APA Çağalayan-akay, E., Ün, T., & Bülbül, H. (2021). INVESTIGATING THE STATIONARY PROPERTIES OF COAL, NATURAL GAS, AND OIL CONSUMPTION: THE CASE OF FRAGILE FIVE COUNTRIES. Doğuş Üniversitesi Dergisi, 22(1), 75-86.