我国电力产出对经济增长拉动作用的实证分析

运用了单整和协整技术、向量自回归模型、Granger影响关系检验、脉冲响应函数等分析方法,对我国电力产出和国内总产出1970～2007年的水平值(对数变量)时间序列和增长率(同比增长率)时间序列进行了计量研究.研究结果表明我国电力产出与经济增长存在明显的长期协整关系,并且电力产出对国内产出具有"正的贡献";从二者增长率的关系上看,我国电力产出增长率与经济增长率存在明显的正向协同变化过程.     

房地产与粮食价格对通货膨胀的影响——基于VAR模型的实证研究

为了分析研究我国房地产价格和粮食价格对通货膨胀的影响,选取2000年第1季度至2010年第4季度数据,基于VAR模型进行了实证检验。结果表明,房地产价格、粮食价格和通货膨胀之间具有长期稳定的协整关系,且房地产价格和粮食价格的上涨对通货膨胀的发生均具有推动作用。但是,相比较而言,房地产价格的上涨对通货膨胀的贡献更大;粮食价格的上涨对通货膨胀的影响持续时间更长。     

Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

We consider the fractional cointegrated vector autoregressive (CVAR) model of Johansen and Nielsen (2012a) and make two distinct contributions. First, in their consistency proof, Johansen and Nielsen (2012a) imposed moment conditions on the errors that depend on the parameter space, such that when the parameter space is larger, stronger moment conditions are required. We show that these moment conditions can be relaxed, and for consistency we require just eight moments regardless of the parameter space. Second, Johansen and Nielsen (2012a) assumed that the cointegrating vectors are stationary, and we extend the analysis to include the possibility that the cointegrating vectors are non‐stationary. Both contributions require new analysis and results for the asymptotic properties of the likelihood function of the fractional CVAR model, which we provide. Finally, our analysis follows recent research and applies a parameter space large enough that the usual (non‐fractional) CVAR model constitutes an interior point and hence can be tested against the fractional model using a Chi‐squared‐test.     

CO2 emissions,GDP and energy intensity: A multivariate cointegration and causality analysis for Greece, 1977–2007

This paper deals with the causal relationship analysis between Gross Domestic Product, Energy Intensity and CO₂ emissions in Greece from 1977 to 2007, by means of Johansen cointegration tests and Granger-causality tests based on a multivariate Vector Error Correction Modeling. Results indicate that there is a set of uni-directional and bi-directional causalities among the selected time series. We performed a model Variance Decomposition Analysis using Choleski technique and we provided a comparison with other studies. The findings of the study have significant policy implications for countries like Greece as the decoupling of CO₂ emissions and economic growth seems quite unlikely.     

Environmental Kuznets Curve for carbon emissions in Pakistan: An empirical investigation

This study investigates the relationship between carbon emissions, income, energy consumption, and foreign trade in Pakistan for the period 1972–2008. By employing the Johansen method of cointegration, the study finds that there is a quadratic long-run relationship between carbon emissions and income, confirming the existence of Environmental Kuznets Curve for Pakistan. Moreover, both energy consumption and foreign trade are found to have positive effects on emissions. The short-run results have, however, denied the existence of the Environmental Kuznets Curve. The short-run results are unique to the existing literature in the sense that none of the long-run determinants of emissions is significant. The contradictory results of short- and long-run give policy makers the opportunity to formulate different types of growth policies for the two terms taking environmental issues into consideration. In addition, the uni-directional causality from growth to energy consumption suggests that the policy makers should not only focus on forecasting future demand for energy with different growth scenarios but also on obtaining the least cost energy. Furthermore, the absence of causality from emissions to growth suggests that Pakistan can curb its carbon emissions without disturbing its economic growth.     

Aggregate demand for electricity in South Africa: An analysis using the bounds testing approach to cointegration

Electricity demand in South Africa has grown at a very rapid rate over the past decade. As part of reform initiatives to enhance long-term sustainability of the country's electricity industry, South Africa's authorities have in recent years sought to develop an electricity pricing framework that is cost reflective and forms the cornerstone of demand management schemes meant to foster changes in consumption behaviour and enhance efficiency in resource use. The effects of any pricing policy on aggregate electricity consumption will depend on a useful understanding of the factors that influence electricity demand, and the magnitude to which electricity demand responds to changes in such factors. In this context, this paper applies the bounds testing approach to cointegration within an autoregressive distributed lag framework to examine the aggregate demand for electricity in South Africa during the period 1960–2007. The results indicate that in the long run, income is the main determinant of electricity demand. With electricity prices having an insignificant effect on aggregate electricity demand, future pricing policies will need to ensure that electricity prices are cost reflective and enhance efficiency of electricity supply and use.     

Modelling interstate tourism demand in Australia: A cointegration approach

Interstate tourism is an important component of the domestic tourism business in Australia. However, empirical analyses of interstate tourism demand have not been previously undertaken. The motivation for this paper is to investigate the short- and long-run causal relationships between economic factors and interstate tourism demand in Australia. Using a cointegration approach, this study discovers two distinct results. First, Australian household income, accommodation prices, prices of recreation and restaurants, and domestic airfares have significant impacts on the demand in the short-run. Second, some of the long-run economic coefficients show incorrect signs, which contradict the theory of consumer demand.     

The relationship between electricity consumption,electricity prices and GDP in Pakistan

This study analyzes the relationship among electricity consumption, its price and real GDP at the aggregate and sectoral level in Pakistan. Using annual data for the period 1960–2008, the study finds the presence of unidirectional causality from real economic activity to electricity consumption. In particular, growth in output in commercial, manufacturing and agricultural sectors tend to increase electricity consumption, while in residential sector, growth in private expenditures is the cause of rising electricity consumption. The study concludes that electricity production and management needs to be better integrated with overall economic planning exercises. This is essential to avoid electricity shortfalls and unplanned load shedding.     

The demand for residential electricity in South Africa

This paper examines the residential demand for electricity in South Africa as a function of real gross domestic product per capita, and the price of electricity during the period 1978–2005. We make use of the bounds testing approach to cointegration within an autoregressive distributed framework, suggested by Pesaran et al. [2001. Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics 16(3) 289–326]. Following the literature, we use a linear double-logarithmic form using income and price as independent variables in the empirical analysis. In the long run, we find that income is the main determinant of electricity demand, while electricity price is insignificant.     

Electricity demand analysis using cointegration and ARIMA modelling: A case study of Turkey

In the early 2000s, the Republic of Turkey has initiated an ambitious reform program in her electricity market, which requires privatization, liberalization as well as a radical restructuring. The most controversial reason behind, or justification for, recent reforms has been the rapid electricity demand growth; that is to say, the whole reform process has been a part of the endeavors to avoid the so-called “energy crisis”. Using cointegration analysis and autoregressive integrated moving average (ARIMA) modelling, the present article focuses on this issue by both providing an electricity demand estimation and forecast, and comparing the results with official projections. The study concludes, first, that consumers’ respond to price and income changes is quite limited and therefore there is a need for economic regulation in Turkish electricity market; and second, that the current official electricity demand projections highly overestimate the electricity demand, which may endanger the development of both a coherent energy policy in general and a healthy electricity market in particular.