This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market,both in their means and in their conditional volatilities,to investigate whether the association is lin...This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market,both in their means and in their conditional volatilities,to investigate whether the association is linear or not.The novelty of this work is based on intraday data from both markets.The empirical findings indicate the presence of nonlinearities both in means and conditional volatilities.Moreover,non-linear causality estimations both in means and in volatilities reveal the presence of bi-directional causality,a fact that provides additional support to the hypothesis that both markets are driven by the same information sets.展开更多
This study investigates the dynamic causal relationship between energy consumption and economic growth in the U.S. at different time scales. The main novelty of the study is that this paper complements the existing st...This study investigates the dynamic causal relationship between energy consumption and economic growth in the U.S. at different time scales. The main novelty of the study is that this paper complements the existing studies on the nexus between energy consumption and economic growth by employing the wavelet transfor- mation to obtain different time scales in order to investigate causality between energy consumption and economic growth. This method is first developed by Ramsey and Lampart. Their approach consists of first decomposing the series into time scales by wavelet filters and testing causality of each time scale with the pertinent time scale of the other series separately. The data span from 1973ql to 2012ql on a quarterly basis. The main empirical insight is that the causal relationship is stronger at finer time scales, whereas the relationship is less and less apparent at longer time horizons. The results indicate that energy consump- tion causes economic growth, while the reverse is not true at the original frequency of the data. At the very finest scale the same result arises. However, at coarser scales feedback is observed. In particular, at intermediate time scales the evidence indicates that energy consumption causes economic growth, while the reverse is also true. These empirical findings are expected to be of high importance in terms of the effective design and implementation of energy and environmental policies, especially when a number of countries in the pursuit of high economic growth targets do not pay any serious attention on environmental issues.展开更多
文摘This paper builds on the literature of the relationship between oil spot and futures prices from the NYNEX market,both in their means and in their conditional volatilities,to investigate whether the association is linear or not.The novelty of this work is based on intraday data from both markets.The empirical findings indicate the presence of nonlinearities both in means and conditional volatilities.Moreover,non-linear causality estimations both in means and in volatilities reveal the presence of bi-directional causality,a fact that provides additional support to the hypothesis that both markets are driven by the same information sets.
文摘This study investigates the dynamic causal relationship between energy consumption and economic growth in the U.S. at different time scales. The main novelty of the study is that this paper complements the existing studies on the nexus between energy consumption and economic growth by employing the wavelet transfor- mation to obtain different time scales in order to investigate causality between energy consumption and economic growth. This method is first developed by Ramsey and Lampart. Their approach consists of first decomposing the series into time scales by wavelet filters and testing causality of each time scale with the pertinent time scale of the other series separately. The data span from 1973ql to 2012ql on a quarterly basis. The main empirical insight is that the causal relationship is stronger at finer time scales, whereas the relationship is less and less apparent at longer time horizons. The results indicate that energy consump- tion causes economic growth, while the reverse is not true at the original frequency of the data. At the very finest scale the same result arises. However, at coarser scales feedback is observed. In particular, at intermediate time scales the evidence indicates that energy consumption causes economic growth, while the reverse is also true. These empirical findings are expected to be of high importance in terms of the effective design and implementation of energy and environmental policies, especially when a number of countries in the pursuit of high economic growth targets do not pay any serious attention on environmental issues.
