aggregate demand for electricity in south africa an analysis using the bounds testing approach to cointegration abstract 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

forecasting residential electricity consumption in greece using monthly and quarterly data abstract this paper studies electricity consumption household use only in greece we explore the dynamic relationships among several potentially relevant time series variables and develop appropriate models for forecasting it is apparent that personal disposable income temperature and the price of electricity used by the households play an important role in the demand for electricity in this study we use both monthly and quarterly data and find that the performance of quarterly models may not be as good as that of the monthly ones for transfer function model identification we use the linear transfer function ltf method which is more efficient and easier to use than the traditional cross correlation ccf method

short and long run demand for energy in mexico a cointegration approach abstract the objective of this paper is to estimate the demands for the different types of energy consumption for the mexican economy over the period 1965 2001 these demands are modeled as a function of output and the own real price the johansen j econ dynamics control 12 1988 231 procedure and the likelihood ratio tests indicate the existence of long run and stable relationships between each type of energy demand and income with the exception of the industrial sector where the cointegrating vector also includes the relative prices the weak exogeneity tests indicate that energy consumption and income do not reject the null hypothesis of weak exogeneity when relative prices are weak exogenous the final econometric models show that relative prices in the short run are relevant in all cases with the exception of the residential sector these results indicate that in mexico the demand for energy is fundamentally driven by income and that the effect of the relative prices is basically concentrated on the short run with the exception of the industrial sector which also shows a long term price impact the strong dependence of energy consumption with respect to income and the price inelastic response indicates that it is necessary to introduce strong measures to decouple energy consumption from output in order to obtain sustainable economic growth in mexico

supply and demand driven oil price changes and their non linear impact on precious metal returns a markov regime switching approach abstract this paper examines the nonlinear effect of oil price shocks on precious metal returns using markov regime switching regression we use ready s 2018 approach to decompose oil price changes into supply demand and risk driven shocks results indicate a significant positive impact of demand and supply shocks and a negative impact of risk shocks on precious metal returns although we find evidence of switching between low and high volatility regimes we do not find strong regime effect on supply or demand shocks contemporaneous relationship with precious metal returns however risk shocks influence on precious metal returns is strongly regime dependent these results generally hold for different distributional specification of error terms

a comparison of petroleum futures versus spot prices as predictors of prices in the future abstract even though studies have indicated that the futures market leads the spot market in price discovery this paper hypothesizes that the predictive significance of each should be the same a number of different statistical tests are presented to test this hypothesis when deseasonalized data is employed the predictive significance of each series is found to be the same but when actual prices are employed futures prices did correctly anticipate the observed seasonal pattern

does oil move equity prices a global view many studies indicate that oil price shocks have an adverse effect on real output and hence an adverse effect on corporate profits where oil is used as a key input the present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns to this end we analyse 35 datastream global industry indices for the period from april 1983 to september 2005 our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining and oil and gas industries generally these results are consistent with economic theory and evidence provided by previous empirical studies little evidence of any asymmetry is detected in the oil price sensitivities in light of our findings we recommend that international portfolio investors consider hedging oil price risk

dynamic factor models with macro frailty and industry effects for u s default counts the credit crisis of 2008 we develop a high dimensional nonlinear and non gaussian dynamic factor model for the decomposition of systematic default risk conditions into latent components for 1 macroeconomic financial risk 2 autonomous default dynamics frailty and 3 industry specific effects we analyze discrete u s corporate default counts together with macroeconomic and financial variables in one unifying framework we find that approximately 35 of default rate variation is due to systematic and industry factors approximately one third of this systematic variation is captured by the macroeconomic and financial factors the remainder is captured by frailty 40 and industry 25 effects the default specific effects are particularly relevant before and during times of financial turbulence we detect a build up of systematic risk over the period preceding the 2008 credit crisis this article has online supplementary material

modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition based copula method abstract this study combines the variational mode decomposition vmd method and static and time varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets s p500 stoxx600 djpi and tsx indexes during bear normal and bull markets under different investment horizons furthermore it analyzes the upside and downside short and long run risk spillovers between oil and stock markets by quantifying three market risk measures namely the value at risk var conditional var covar and the delta covar covar the results show that there is a tail dependence between oil and all stock markets for the raw return series by considering time horizons we show that there is an average dependence between the considered markets for the short run horizons however the tail dependence is also found for the long run horizons between the oil and stock markets with the exception of the s p500 index which exhibits average dependence with the oil market moreover we find strong evidence of up and down risk asymmetric spillovers from oil to stock markets and vice versa in the short and long run horizons finally the market risk spillovers are asymmetric over the time and investment horizons

short and long run elasticities in energy demand a cointegration approach abstract short and long run energy demand elasticities are estimated on danish annual data for 1948 1990 energy consumption the real price of energy and real gdp appear to be non stationary variables cointegration and error correction methods are therefore applied all estimated parameters have the expected signs and magnitudes and no evidence is found of a structural break in energy demand caused by the increases in real energy prices since 1973 74

household and industrial electricity demand in europe abstract this paper examines the electricity demand and its determinants in 29 european countries during the liberalization of the electricity market based on panel data for these countries for the years 1995 2015 and using a dynamic partial adjustment model price elasticities are estimated for both residential and industrial electricity demand these elasticities and effects of other variables on electricity consumption are estimated using both gmm generalized method of moments and ml maximum likelihood approaches it is found that the price elasticities are very small especially in the short run while the income elasticities are relatively large especially for households and in the long run

electricity consumption employment and real income in australia evidence from multivariate granger causality tests this paper examines the relationship between electricity consumption employment and real income in australia within a cointegration and causality framework we find that electricity consumption employment and real income are cointegrated and that in the long run employment and real income granger cause electricity consumption while in the short run there is weak unidirectional granger causality running from income to electricity consumption and from income to employment

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

residential electricity demand dynamics in turkey abstract this article provides fresh empirical evidences for the income and price elasticies of the residential energy demand both in the short run and long run for turkey over the period 1968 2005 using the bounds testing procedure to cointegration the computed elasticities of income and price are consistent with the previous studies and as expected the long run elasticities are greater than the short run elasticities an augmented form of granger causality analysis is implemented among residential electricity income price and urbanization in the long run causality runs interactively through the error correction term from income price and urbanization to residential energy but the short run causality tests are inconclusive the parameter stability of the short run as well as long run coefficients in the residential energy demand function are tested the results of these tests display a stable pattern

the impact of oil shocks on exchange rates a markov switching approach abstract this paper uses markov switching models to investigate the impact of oil shocks on real exchange rates for a sample of oil exporting and oil importing countries this is an important topic to study because an oil shock can affect a country s terms of trade which can affect its competitiveness we detect significant exchange rate appreciation pressures in oil exporting economies after oil demand shocks we find limited evidence that oil supply shocks affect exchange rates global economic demand shocks affect exchange rates in both oil exporting and importing countries though there is no systematic pattern of appreciating and depreciating real exchange rates the results lend support to the presence of regime switching for the effects of oil shocks on real exchange rates

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

crude oil and the macroeconomy tests of some popular notions a note perhaps no other economic events in the post world war ii era have generated as much attention as the series of crude oil price shocks that have jolted the world economy since the opec boycott of 1973 a tremendous amount of space in the popular and professional literature has been devoted to analyzing the impacts of these shocks on the developed economies and the adjustments these shocks have induced one residual of this literature has been a general impression that since 1973 the functional relationship between crude oil prices and the developed macroeconomies has been dramatically and fundamentally altered yet to our knowledge no one has formally tested this impression recent evidence of hamilton 1983 suggests that crude oil prices had a strong impact on the u s business cycle well before 1973 further while textbook treatments of oil price shocks tend to highlight cost push inflationary effects the research of berndt and wood 1975 1979 and wilcox 1983 indicates the net complementarity between energy and capital in the u s economy is quite strong both before and after 1973 thus oil price shocks may have stronger real effects than generally believed in this paper we formally test three popular notions associated with the so called

time variation in the dynamics of worker flows evidence from north america and europe vector autoregressive methods have been used to model the interrelationships between job vacancy rates job separation rates and job finding rates using tools such as impulse response analysis we investigate whether such impulse responses change across the business cycle or over time by estimating time varying parameter vector autoregressions for data from north america the usa and canada and europe france spain and the uk while the adjustment process of the labour market to shocks in canada and the usa is similar we find the adjustment process differs much more across the european countries with greater persistence in shocks relative to the usa and canada

dynamics of worker flows and vacancies evidence from the sign restriction approach this paper establishes robust dynamic features of the worker reallocation process in the us labor market i use structural vars with sign restrictions which take the form of restricting the short run negative relationship between vacancies and unemployment i e beveridge curve despite the weakness of these restrictions they reveal a clear unambiguous pattern that when unemployment increases and vacancies drop i both the separation rate and gross separations rise quickly and remain persistently high ii the job finding rate and vacancies drop in a hump shaped manner and iii gross hires respond little initially but eventually rise these results point to the importance of job loss in understanding us labor market dynamics this pattern also holds with respect to different kinds of shocks that induce the same beveridge curve relationship this paper also considers the disaggregate model which uses data disaggregated into six demographic groups and incorporates transitions into and out of the labor force i show that the separation rate continues to play a dominant role among prime age male workers while for other groups changes in the job finding rate are more important copyright 2009 john wiley sons ltd

modeling oil price us stock nexus a varma bekk agarch approach abstract this study adds to the existing literature on oil price us stock nexus in three ways first it employs the varma agarch model developed by mcaleer et al 2009 within the context of bekk framework using west texas intermediate wti and brent as proxies for oil market and s p stocks as a proxy for us stock market secondly it modifies the model to include endogenously determined structural break using the general structure for analyzing breaks with unit roots in perron 2006 third it uses the adopted model to compute optimal portfolio weight and hedge ratios between oil price and us stocks using different sample data based on the break date on average our empirical evidence suggests a significant positive return spillover from us stock market to oil market and bi directional shock spillovers between the two markets in addition there is significant own asymmetric shock effect in both markets while volatility spillover from oil market to stock market became pronounced after the break which coincides with the period of global economic slowdown similarly the results of portfolio management differ across the sample data more importantly we find that ignoring structural break when it exists may exaggerate hedging effectiveness

bayesian dynamic factor models and portfolio allocation we discuss the development of dynamic factor models for multivariate financial time series and the incorporation of stochastic volatility components for latent factor processes bayesian inference and computation is developed and explored in a study of the dynamic factor structure of daily spot exchange rates for a selection of international currencies the models are direct generalizations of univariate stochastic volatility models and represent specific varieties of models recently discussed in the growing multivariate stochastic volatility literature we discuss model fitting based on retrospective data and sequential analysis for forward filtering and short term forecasting analyses are compared with results from the much simpler method of dynamic variance matrix discounting that for over a decade has been a standard approach in applied financial econometrics we study these models in analysis forecasting and sequential portfolio allocation for a selected set of international exchange rate retur

tourism and temperature effects on the electricity consumption of the hospitality sector abstract the european union has recently presented a strategic long term vision for a climate neutral economy by 2050 considering that climate change is a serious concern for europeans a great socio economic transformation is necessary affecting all economic sectors on the one hand the european union considers that it is necessary to achieve net zero greenhouse gas emissions by 2050 on the other hand sectors need to adapt to a warming climate focusing on the tourism sector and using panel data referring to 12 spanish mediterranean provinces and the 1999 2014 time period this study tests the tourist stays and temperature effects on the electricity consumption of the hospitality sector by estimating extended energy environmental kuznets curves for the sector the results show that this curve is not supported instead electricity consumption progressively increases as tourism grows in addition the results indicate that temperature variables have notable influence over electricity use with a positive influence of global warming on electricity consumption finally results also show positive relationships between overnight stays in hotels with higher star ratings and electricity use while no significant price effects are observed electricity saving measures and renewable electricity generation promotion are recommended especially in the highest energy consuming establishments

oil shock and economic growth in japan a nonlinear approach abstract this paper investigates the relationship between oil price shock and economic growth on the basis of the nonlinear approach developed by hamilton hamilton j 2001 a parametric approach to flexible nonlinear inference econometrica 537 573 we use the approach also in hamilton hamilton j 2003 what is an oil shock journal of econometrics 363 398 of capturing this relationship in japan in a nonlinear model the idea is that negative oil price shocks price increase tend to have larger impact on growth than positive shocks do our empirical evidence confirmed the existence of nonlinearity between these two variables and a flexible nonlinear model is estimated additionally several other form of nonlinearity are estimated and tested

employment fluctuations in u s regions and industries the roles of national region specific and industry specific shocks this study quantifies the roles of national region specific and industry specific shocks in aggregate employment fluctuations in u s regions and industries variation among the growth rates of major regions and industries is decomposed into unobserved national region and industry specific components the results reject the view that any heterogeneity in regional fluctuations is attributable to differences in industry composition after controlling for industry mix effects roughly 40 of the variance of the cyclical innovation in any region s growth rate is particular to that region in addition region specific shocks appear to propagate across regions over time

the causal nexus between oil prices and equity market in the u s a regime switching model abstract the aim of this paper is to analyse the causal link between monthly oil futures price changes and a sub grouping of s p 500 stock index changes the causal linkage between oil and stock markets is modelled using a vector autoregressive model with time varying parameters so as to reflect changes in granger causality over time a markov switching vector autoregressive ms var model in which causal link between the series is stochastic and governed by an unobservable markov chain is used for inferring time varying causality although we do not find any lead lag type granger causality the results based on the ms var model clearly show that oil futures price has strong regime prediction power for a sub grouping of s p 500 stock index during various sub periods in the sample while there is a weak evidence for the regime prediction power of a sub grouping of s p 500 stock indexes the regime prediction non causality tests on the ms var model show that both variables are useful for making inference about the regime process and that the evidence on regime prediction causality is primarily found in the equation describing a sub grouping of s p 500 stock market returns the evidence from the conditional non causality tests shows that past information on the other series fails to improve the one step ahead prediction for both oil futures and stock returns

do green investments react to oil price shocks implications for sustainable development abstract this study investigates whether green investments are connected to oil price shocks while earlier papers mainly investigate the linkage between clean energy stock and crude oil prices we consider recently introduced environmental indexes consisting of companies that use eco friendly production processes and develop green infrastructures using the markov regime switching regression approach we observe that the effect of crude oil prices on environmental investments appears to be statistically insignificant albeit positive in most of the cases one possible reason behind such a finding is that the oil dependence is limited to the case of eco friendly firms the results further indicate switching between low and high volatility regimes implying that there exist high and low volatility states for green assets given that growing concerns about climate change and energy security would inspire market participants shift towards ethical investments our results could be of interest to investors aiming at decarbonizing their portfolios by including more environmental assets one important finding of our empirical analysis is that green assets are found to be more susceptible to oil market volatility rather than to oil price fluctuations this is a novel finding given that prior literature focusing on the association of oil sectors and green assets mainly consider the information on oil prices rather than oil volatility hence our study aims to conceal an important void in the exiting literature

short and long run elasticities in us residential electricity demand a co integration approach abstract co integration techniques show promise in the analysis of short and long run effects of economic variables on energy use we use these techniques to develop an error correction model of annual us residential electricity demand we construct equipment stock indices and estimate the model for 1949 1993 our analysis suggests a structural shift in consumption during the 1960s we discuss reasons for this shift report the short and long run elasticities provide forecasts for 1994 1995 and compare the model s forecasts with other published forecasts

volatility spillovers among oil and stock markets in the us and saudi arabia in this article we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the us and saudi arabian stock markets we doc

efficient market hypothesis evidence from a small open economy this article studies the efficient market hypothesis for the istanbul stock exchange national 100 isen 100 price index within the lumsdaine and papell two structural breaks unit root test framework the main finding of the article shows that the isen 100 index is characterized by a unit root with two structural breaks which is consistent with the efficient market hypothesis in addition the article applies the augmented dickey fuller test runs test and the variance ratio test to test the weak form efficiency of the isen 100 the analyses are repeated for three sub periods delineated in view of the endogenously determined break points

price discovery in oil markets a time varying analysis of the 1990 1991 gulf conflict abstract this study examines the behaviour of crude oil spot and futures markets in the uk and usa during the 1990 1991 gulf conflict the objective is to investigate the relative ability of spot and futures markets to impound information this is achieved with the use of a generalized model of price discovery which represents a synthesis of the two most commonly used methodologies in its field emphasis is placed on the time varying nature of price discovery relationships results indicate that such relationships are strongly temporal these findings offer new insights into the nature of relationships between spot and futures markets

electricity demand in tunisia this paper examines the global electricity demand in tunisia as a function of gross domestic product in constant price the degree of urbanization the average annual temperature and the real electricity price per kwh this demand will be examined employing annual data over a period spanning almost thirty one years from 1976 to 2006 a long run relationship between the variables under consideration is determined using the vector autoregressive regression the empirical results suggest that the electricity demand in tunisia is sensitive to its past value any changes in gross domestic product and electricity price the electricity price effects have a negative impact on long run electricity consumption however the gross domestic product and the past value of electricity consumption have a positive effect moreover the causality test reveals a unidirectional relationship between price and electricity consumption our empirical findings are effective to policy makers to maintain the electricity consumption in tunisia by using the appropriate strategy

asymmetric effects of oil price shocks on stock returns evidence from a two stage markov regime switching approach abstractthe asymmetric effects of oil price shocks on stock returns have attracted the attention of many researchers in the past several decades most of these researchers studies however do not separate out the sources of oil price shocks when examining the asymmetric effects in this article we address this limitation using a two stage markov regime switching approach our results indicate that oil supply and demand shocks have a null or minimal impact on stock returns in a low volatility regime and a statistically significant impact in a high volatility regime we observe that oil demand shocks affect stock returns significantly more than oil supply shocks a positive aggregate demand shock significantly increases stock returns whereas a positive oil specific demand shock markedly decreases stock returns these results have important implications for policymakers and investors

the dependence and risk spillover between crude oil market and china stock market new evidence from a variational mode decomposition based copula method abstract this paper examines the dependence structure between crude oil market and china stock market over different investment horizons before and after the recent financial crisis by combining the variational mode decomposition vmd method with various static and time varying copulas based on the decomposed time series and the copula dependence the value at risk var conditional var covar and delta covar covar are quantified to analyze the upside and downside risk spillovers from oil market to china stock market in raw short and long run investment horizons before and after the financial crisis the empirical results show that first the recent financial crisis enhances the dependences between the crude oil market and china stock market and the long run dependence increases more significantly than that of short run for the raw return series there are symmetric upper and lower tail dependencies in full sample and pre crisis subsample periods but an average dependence in post crisis subsample period second the var of china stock market increases heavily around the financial crisis but the average var after the crisis deceases compared to the risk before the crisis third the risk spillovers from crude oil price to china stock market are found in each sample periods before the crisis however it mainly exists in long run horizon while after the crisis it happens in both short and long run horizons finally the risk spillovers from oil price to china stock market display strong asymmetric features with larger long term downside risk spillovers in post crisis subsample

estimation of electricity demand function for algeria revisit of time series analysis abstract this paper aims to empirically re examine whether economic growth has effect on electricity consumption for algerian economy we have incorporated urbanization and trade openness in electricity demand function as additional determinants of electricity consumption for the period of 1971 2012 for empirical purpose we have applied the recently developed combined cointegration test proposed by bayer and hanck 2013 and bounds testing approach to cointegration by pesaran et al 2001 for establishing the cointegration between the variables by accommodating structural breaks the results expose that income growth leads to higher electricity demand along with urbanization being another major contributing factor of rising electricity demand in contrast trade openness leads to reduce electricity demand the causal association between the variables is further examined with the application of innovation accounting approach of vector autoregressive var the empirical evidence indicates the presence of the neutral effect between income growth and electricity use urbanization causes electricity use and electricity use causes urbanization in granger sense

unbiasedness and time varying risk premia in the crude oil futures market abstract this paper presents some empirical evidence on market efficiency and unbiasedness in the crude oil futures market and some related issues on the basis of monthly observations on spot and futures prices of the west texas intermediate wti crude oil several tests are carried out on the relevant hypotheses the evidence suggests that futures prices are neither unbiased nor efficient forecasters of spot prices furthermore a garch m 1 1 model reveals the existence of a time varying risk premium

volatility spillovers for energy prices a diagonal bekk approach abstract we examine the relationship between return and volatility as well as the covolatility spillover for energy foreign currency and stock markets using the diagonal bekk model using daily crude oil natural gas and the coal prices as proxies for energy prices the s p500 index as a proxy for the u s stock market and the eur usd exchange rate as a proxy for the exchange rate we find robust evidence for the volatility spillover effects among the three markets also in the 16 out of 20 pairwise relationships in the five markets there are significant negative covolatility spillover effects in the four pairs involving coal there are positive and significant covolatility spillover effects we conclude that the energy markets and the stock market have stronger covolatility spillovers than others

an inquiry into the sources of macroeconomic fluctuations abstract this paper attempts to decompose the sources of fluctuations in quarterly employment by industry and region into 1 an aggregate national shock 2 region specific shocks 3 industry specific shocks and 4 idiosyncratic factors the empirical analysis is motivated by a dynamic theory of the business cycle the empirical methodology is the engle watson dynamic mimic model implemented via the em algorithm the work is motivated as an attempt to compare empirically aggregate single factor theories of the cycle with real business cycle theories emphasizing industrial or regional shocks

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

the long run price sensitivity dynamics of industrial and residential electricity demand the impact of deregulating electricity prices abstract this study examines the demand side of ghana s electricity sector we test two important related hypotheses 1 deregulation of electricity price does not promote energy conservation and 2 demand price relationship is not an inverted u shaped the stock and watson dynamic ols is used to address the so called second order bias the result showed that deregulation of electricity price in ghana has induced behaviours that are more consistent with energy conservation improvements the demand price relationship is an inverted u which suggests that there is a price range that end users can tolerate further price rise and still increase their consumption of electricity however the degree of price tolerability is higher for residential consumers than industrial consumers the simulation results showed that further economic growth is likely to compromise energy conservation but more in the industrial sector than the residential sector on the other hand future crude oil price is likely to deteriorate energy conservation in the initial years after 2016 but this trend is likely to reverse after the year 2020 pricing mechanisms are potent to induce energy conservation but inadequate the results suggest that they should be complemented with other stringent policies such as a mandatory energy reduction policy investment in renewables and personalization of energy efficiency programs

residential demand for electricity the case of greece this paper examines the determinants of residential electricity consumption in greece over the period 1961 86 the paper presents first a brief description of the evolution of residential electricity consumption then it proceeds in the estimation of elasticities of residential demand for electricity using a single equation model with the ridge regression method the paper concludes that i the residential demand for electricity is price inelastic and income elastic ii there is high substitutability between electricity and lpg iii during the examined period the number of consumers played a very important role in the expansion of electricity consumption in greece and iv there is no regional variation in residential electricity demand

is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters although the link between oil prices and dollar exchange rates has been frequently analyzed a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided in addition previous studies have mostly neglected nonlinearities which for example may stem from exogenous oil price shocks using monthly data for various oil exporting and oil importing countries this study contributes to the clarification of those issues we discriminate between long run and time varying short run dynamics using a markov switching vector error correction model in terms of causality the results differ between the economies under observation but suggest that the most important causality runs from exchange rates to oil prices with a depreciation of the dollar triggering an increase in oil prices on the other hand changes in nominal oil prices are responsible for ambiguous real exchange rate effects mostly through the price differential and partly also through a direct influence on the nominal exchange rate overall the fact that the adjustment pattern frequently differs between regimes underlines the fact that the relationships are subject to changes over time suggesting that nonlinearities are an important issue when analyzing oil prices and exchange rates

residential electricity demand in taiwan this paper examines the residential demand for electricity in taiwan as a function of household disposable income population growth the price of electricity and the degree of urbanization short and long term effects are separated through the use of an error correction model in the long run the income elasticity is unit elastic the own price effect is negative and inelastic in an error correction framework the short run income and price effects are small and less than the long run effects cooling degree day effects have a positive impact on short run consumption we have used a proxy variable urbanization to capture economic development characteristics and changes in electricity using capital stocks not explained by income the variable provides significant explanatory power to the model both in the short and long run we interpret it as controlling for economic development factors not captured by the pure income effect and we think it holds promise for explaining residential electricity consumption in other developing countries

common cycles and common trends in the stock and oil markets evidence from more than 150 years of data abstract this paper investigates the role of permanent and transitory shocks within the framework of common cycles and common trends in explaining stock and oil prices we perform a multivariate variance decomposition analysis of monthly data on the west texas intermediate wti oil price and the s p 500 the dataset used in the study spans a long period of 150 years and therefore contains a rich history to examine both the short and long run comovement properties of oil and stock prices given that the oil and stock markets might comove both in the short and long run it is of interest to see the relative impacts of transitory and permanent shocks on both variables we find that log oil price and log s p 500 share a common stochastic trend for our full sample of september 1859 to july 2015 but a common cycle only exists during the post ww ii period full and post ww ii samples have quite different common feature estimates in terms of the impact of permanent and transitory shocks as measured by the impulse responses and forecast error variance decompositions we also find that in the short run oil is driven mostly by cycles transitory shocks and stock market is mostly driven by permanent shocks but permanent shocks dominate in the long run

canadian labour market performance in international perspective my objective is to assess canadian labour market outcomes in recent decades and to compare canada s performance with that experienced in other industrialized countries the focus is on three key dimensions employment unemployment and the structure of earnings although my main purpose in the paper is to examine the canadian record i also ask what we can learn from canada s experience about the causes of some of the salient economic developments in oecd countries the rise and persistence of unemployment in europe and the growth of income inequality in countries such as the united states the united kingdom canada and australia let s begin with the question how well has the canadian economy performed during the past three decades if our reference point is the 1950s and 1960s the answer is likely to be poorly indeed the first twenty five years following the second world war now appear as a golden era since that period real income growth has been slow earnings have become more unequally distributed and unemployment has trended upward reaching levels that would have been considered outside the range of plausibility in the 1960s however most of the advanced countries have experienced a sharp deterioration in their economic performance since the early 1970s the turbulent world economic environment has made it difficult to sustain the kind of outcomes ob

sectoral shocks and metropolitan employment growth abstract in this paper we study the sources of industry employment growth in each of five metropolitan statistical areas msas the objective is to understand the relative importance of aggregate disturbances versus local sectoral shocks in generating observed employment fluctuations at the msa level the empirical evidence presented in this paper derives from structural vector autoregressions svars estimated for each of the five msas estimations use monthly employment data covering nine one digit industrial categories for the period 1951 1 1999 8 as well as two variables that capture the influences of aggregate i e national shocks on msas we find that within msa industry shocks explain considerably more of the forecast error variance in industry employment growth than do aggregate shocks sectoral shocks account for between 87 and 94 of the 36 month ahead forecast error variance among individual local sectors shocks to msa specific government manufacturing and service sector employment growth are the predominate sources of variability

the impact of the asian crisis on the behavior of us and international petroleum prices the strong long run relationships among the petroleum spot and futures prices have weakened after the asian crisis as manifested in less co integration among these prices in the post crisis period the directional causal relationships have either changed the direction as in the case of wti crude or weakened somewhat as in the case of nymex gasoline and heating oil these changes should complicate the job of those who try to benefit from predicting the movements of petroleum prices after the asian crisis in the international gasoline spot markets movements in the nymex gasoline price are found to precede movements in the gulf coast and rotterdam gasoline prices in the pre crisis period and the movements of these prices and those of the singapore price in the post crisis period implying that the nymex price is the gasoline leader in both periods the monday friday day of the week effect is only significant for the nymex gasoline 1 month and 3 month futures prices and the gulf coast gasoline spot economic and political shocks related to the spot prices have greater impacts on all prices than shocks related to the futures prices regardless of the petroleum type and the time period

a new look at variation in employment growth in canada the role of industry provincial national and external factors we examine fluctuations in employment growth using canadian data from 1976 to 2010 we consider a wide range of models and examine the sensitivity of our findings to modelling assumptions the results from our most preferred model which we selected using the bayesian information criteria indicate that most of the variance in employment growth that is not due to the idiosyncratic error comes from domestic sources with most of this coming from industry and provincial factors overall we find that external and national factors play a much smaller role in employment fluctuations than in earlier research we provide some possible explanations for these differences and discuss the implications of our findings for public policy and theory

estimating residential demand for electricity in the united states 1965 2006 abstract this paper examines the residential demand for electricity in the us economy as a function of the per capita income the price of electricity the price of oil for heating purposes the weather conditions and the stock of occupied housing over the period 1965 2006 this paper has two novelties first the occupied stock of houses as a proxy for the stock of electrical appliances and second the identification of a possible equilibrium relationship among the variables is ascertained through the recently advanced ardl approach to cointegration our empirical findings give support to a stable long run relationship implying also short run and long run elasticities whose size and sign are comparable to other similar studies

sectoral versus aggregate shocks a structural factor analysis of industrial production using factor methods we decompose industrial production ip into components arising from aggregate and sector specific shocks an approximate factor model finds that nearly all of ip variability is associated with common factors we then use a multisector growth model to adjust for the effects of input output linkages in the factor analysis thus a structural factor analysis indicates that the great moderation was characterized by a fall in the importance of aggregate shocks while the volatility of sectoral shocks was essentially unchanged consequently the role of idiosyncratic shocks increased considerably after the mid 1980s explaining half of the quarterly variation in ip

variation in employment growth in canada the role of external national regional and industrial factors this article investigates the effect of external national and sectoral shocks on canadian employment fluctuations at the national industrial and provincial levels we assume that employment growth in each industry province pair depends on u s growth lagged canadian growth at the national industrial and provincial levels an aggregate shock and shocks specific to each industry province and industry province pair we estimate that the u s and canadian shocks account for two thirds and a quarter respectively of aggregate variation sectoral shocks account for only one tenth of aggregate variation but represent 30 of the variation from canadian sources

oil and the macroeconomy when prices go up and down an extension of hamilton s results in an important paper hamilton 1983 demonstrated a strong correlation between oil price changes and gross national product growth in u s data however his study pertained to a period in which all the large oil price movements were upward and thus it left unanswered the question whether the correlation persists in periods of price decline moreover the price variable he used was somewhat distorted by price controls in the 1970s this note investigates whether hamilton s results continue to hold when the sample is extended to include the recent oil market collapse and the oil price variable is corrected for the effects of price controls particular attention is given to the possibility of asymmetric responses to oil price increases and decreases as suggested in the structural employment literature loungani 1986 davis 1987 hamilton 1988 like hamilton i based my investigation on the gnp equation in sims s 1 980b six variable quarterly vector autoregressive model