Petrol Tüketiminin Durağanlık Özelliklerinin Araştırılması: OECD Ülkeleri için Ampirik Bir Analiz

Yıl 2022, , 121 - 137, 27.01.2022

Fatma Kızılkaya

https://doi.org/10.26650/JEPR1030877

Öz

Değişen ve gelişen dünyada üretim faaliyetleri enerji kaynaklarına bağımlıdır. Dünyada enerji ihtiyacının önemli bir bölümü fosil yakıtlardan elde edilmektedir. Ulaşım, inşaat, sanayi, konut ve elektrik üretimi gibi çeşitli ekonomik faaliyetlerde sıklıkla kullanılan petrol, doğal gaz ve kömür ile beraber üç ana fosil yakıt türünden biridir. Geniş kullanım alanı olan petrolün rezervlerinin sınırlı olması önemli bir sorundur. Enerji tüketimi ile makroekonomik değişkenler arasındaki yakın ilişki nedeniyle, enerji tüketiminin durağanlık özelliğinin araştırılması politika yapıcılar için oldukça önemlidir. Enerji tüketimi serisinin durağan olması durumunda, enerji tüketimine gelen bir şok geçici olacaktır. Ancak enerji tüketimi durağan değilse, şokların etkisi kalıcı olacaktır. Bu çalışmada OECD ülkeleri için petrol tüketiminin durağanlık özelliği gösterip göstermediği araştırılmaktadır. Analizlerde 1965-2019 dönemleri ele alınmış ve hem keskin hem de yumuşak ve pürüzsüz kırılmaları göz önünde bulunduran panel durağanlık testi kullanılmıştır. Çalışmada kullanılan panel durağanlık testinde keskin kırılmalar, kırılma tarihlerinin içsel olarak belirlendiği kukla değişkenler ile dikkate alınırken, yumuşak kırılmalar ise Fourier yaklaşımı ile dikkate alınmıştır. Elde edilen bulgular panelin geneli için petrol tüketimi serisinin durağan olduğunu ortaya koymaktadır. Petrol tüketimi serisi birim kök içermediğinden petrol tüketimine yönelik şokların geçici olduğu ve zamanla eski haline geri döneceği anlaşılmaktadır. Bireysel durağanlık testi sonuçlarına göre 23 ülke için petrol tüketimi serisi durağan olarak elde edilmiştir. Bu sonuçlara göre, OECD ülkelerinde sürdürülebilir kalkınma hedefleri için uygulanacak politikaların her ülke üzerinde farklı etkileri olabileceğini söylemek mümkündür.

Anahtar Kelimeler

Petrol tüketimi, Panel durağanlık testi, Fourier, Enerji, OECD ülkeleri

Investigating the Stationarity Properties of Oil Consumption: an Empirical Analysis for OECD Countries

Öz

In a changing and developing world, production activities are dependent on energy resources. A significant part of the energy needed in the world is obtained from fossil fuels. Petroleum is one of the three main types of fossil fuels, along with natural gas and coal, widely used in various economic activities such as transportation, construction, industry, housing, and electricity generation. The limited reserves of petroleum, which have a wide usage area, is a significant problem. Due to the close relationship between energy consumption and macroeconomic variables, policymakers must investigate the stationarity properties of energy consumption. If energy consumption is stationary, a shock to energy consumption will be temporary. However, if the energy consumption is not stationary, the effect of the shocks will be permanent. This study investigates whether oil consumption is stationary for OECD countries. The analyses are carried out using a panel stationarity test with sharp and smooth breaks for 1965-2019. In this test procedure, dummy variables, in which the break dates are determined endogenously, are used for sharp breaks, while the Fourier approach captures smooth breaks. The findings reveal that the oil consumption series is stationary for the panel. Since the oil consumption series does not include a unit root, it is understood that the shocks to oil consumption are temporary and will return to their previous state in time. According to the individual stationarity test results, the oil consumption series for 23 countries is obtained as stationary. According to these results, it is possible to say that the policies to be implemented for sustainable development goals in OECD countries may have different effects on each country.

Anahtar Kelimeler

Oil consumption, Panel stationarity test, Fourier, Energy, OECD countries

Kaynakça

• Ajlouni, S. A., Ghazo, A. M., & Abu-Lila, Z. M. (2021). Are shocks to petroleum products consumption permanent or temporary: A new evidence from LM unit root tests with structural breaks. Emerging Science Journal, 5(3), 322329. google scholar
• Apergis, N. & Payne, J.E. (2010). Structural breaks and petroleum consumption in US states: Are shock transitory or permanent?. Energy Policy, 38(10), 6375-6378. google scholar
• Bahmani-Oskooee, M., Chang, T., & Wu, T. (2014). Revisiting purchasing power parity in African countries: panel stationary test with sharp and smooth breaks. Applied Financial Economics, 24(22), 1429-1438. google scholar
• Bai, J. & Perron, P. (1998). Estimating and testing linear models with multiple structural changes. Econometrica, 66, 47-78. google scholar
• Becker, R., Enders, W., & Lee, J. (2006) . A stationarity test in the presence of an unknown number of smooth breaks. Journal of Time Series Analysis, 27(3), 381-409. google scholar
• Bozoklu, S., Yilanci, V., & Gorus, M. S. (2020). Persistence in per capita energy consumption: a fractional integration approach with a Fourier function. Energy Economics, 91, 104926. google scholar
• Bp (2020). Statistical Review of World Energy 2020 | 69th edition. https://www.bp.com/content/dam/bp/business-sites/en/global/corporate/pdfs/energy- economics/statistical-review/bp-stats-review-2020-full-report.pdf google scholar
• Bp (2021). Statistical Review of World Energy 2021 | 70th edition. https://www.bp.com/content/dam/bp/business-sites/en/global/corporate/pdfs/energy-economics/statistical- review/bp-stats-review-2021-full-report.pdf google scholar
• Breusch, T. S. & Pagan, A. R. (1980). The lagrange multiplier test and its applications to model specification in econometrics. The Review of Economic Studies, 47(1), 239-253. google scholar
• Carrion-i-Silvestre, J., L., Barrio-Castro, D., & Lopez-Bazo, E. (2005). Breaking the panels: An application to the gdp per capita. The Econometrics Journal, 8(2), 159-175. google scholar
• 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. google scholar
• Destek, M. A., & Sarkodie, S. A. (2020). Are fluctuations in coal, oil and natural gas consumption permanent or transitory? Evidence from OECD countries. Heliyon, 6(2), e03391, 1-6. google scholar
• Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. google scholar
• Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49, 1057-1072. google scholar
• Enders, W. & Lee, J. (2012). A unit root test using a Fourier series to approximate smooth breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574-599. google scholar
• Erdogan, S., Akalin, G., & Oypan, O. (2020). Are shocks to disaggregated energy consumption transitory or permanent in Turkey? New evidence from fourier panel KPSS test. Energy, 197, 117174. google scholar
• Hsueh, S. J., Hu, Y. H. & Tu, C. H. (2013). Economic growth and financial development in Asian countries: A bootstrap panel Granger causality analysis. Economic Modelling, 32, 294-301. google scholar
• Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53-74. google scholar
• Jones, P. M., & Enders, W. (2014). On the use of the flexible Fourier form in unit root tests, endogenous breaks, and parameter instability. In Recent Advances in Estimating Nonlinear Models, 59-83. google scholar
• Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root?. Journal of Econometrics, 54(1-3), 159-178. google scholar
• Lean, H.H. & 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. google scholar
• Lee, J., & Strazicich, M. C. (2003). Minimum lagrange multiplier unit root test with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089. google scholar
• Li, J. P., Ranjbar, O., & Chang, T. (2015). Unemployment hysteresis in PIIGS countries: A new test with both sharp and smooth breaks. The Singapore Economic Review, 60(4) 1-13. google scholar
• Mishra, V., Sharma, S., & Smyth, R. (2009). Are fluctuations in energy consumption per capita transitory? Evidence from a panel of Pacific Island countries. Energy Policy, 37(6), 2318-2326. google scholar
• Narayan, P. K., & Smyth, R. (2007). Are shocks to energy consumption permanent or temporary? Evidence from 182 countries. Energy Policy, 35(1), 333-341. google scholar
• Narayan, P. K., & Popp, S. (2010). A new unit root test with two structural breaks in level and slope at unknown time. Journal of Applied Statistics, 37(9), 1425-1438. google scholar
• Ozcan, B., & Ozturk, I. (2016). A new approach to energy consumption per capita stationarity: Evidence from OECD countries. Renewable and Sustainable Energy Reviews, 65, 332- 344. google scholar
• Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 57(6), 1361-1401. google scholar
• Pesaran, M. H. (2004). General diagnostic tests for cross section dependence in panels. CESifo Working Paper 1229. IZA Discussion Paper, 1240. google scholar
• Pesaran, M. H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, 74(4), 967-1012. google scholar
• Pesaran, M., H., Ullah, A. & Yamagata, T. (2008). A bias-adjusted LM test of error cross-section İndependence. Econometrics Journal, 11, 105-127. google scholar
• Solarin, S. A., & 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. google scholar
• Yalçın Erik, N., & Koşaroğlu, Ş. M. (2016). Tarihsel süreç boyunca değişen petrol fiyatları; Şeyl gazı etkisi ve bazı öngörüler. Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi, 17(2), 119-143. google scholar