Regime switching effect of financial development on energy intensity: Evidence from Markov-switching vector error correction model

Energy Policy ◽  
2019 ◽  
Vol 135 ◽  
pp. 110995 ◽  
Author(s):  
Xiongfeng Pan ◽  
Md. Kamal Uddin ◽  
Umme Saima ◽  
Shucen Guo ◽  
Ranran Guo
Keyword(s):  
Error Correction ◽  
Financial Development ◽  
Regime Switching ◽  
Energy Intensity ◽  
Markov Switching ◽  
Vector Error Correction Model ◽  
Switching Effect ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

scholarly journals Financial Development and Energy Consumption in Sub-Saharan Africa: Evidence From Panel Vector Error Correction Model

SAGE Open ◽  
2020 ◽  
Vol 10 (3) ◽  
pp. 215824402093543
Author(s):  
Chigozie Nelson Nkalu ◽  
Samuel Chinwero Ugwu ◽  
Fredrick O. Asogwa ◽  
Mwuese Patricia Kuma ◽  
Queen O. Onyeke
Keyword(s):  
Energy Consumption ◽  
Error Correction ◽  
Granger Causality ◽  
Financial Development ◽  
Sub Saharan Africa ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Sub Saharan

This study examines the nexus between financial development and energy consumption/use in Sub-Saharan Africa (SSA) using a panel vector error correction model (VECM), cointegration, and Granger causality tests over the period ranging from 1975 to 2017. The annual panel time-series data generated from the World Bank database were tested for unit-roots processing using both the Levin–Lin–Chu and Im–Pesaran–Shin before proceeding to Johanson cointegration technique, the results of which motivated the choice of adopting the panel VECM rather than panel vector autoregression in the methodology. From the estimation result especially on the variables of interest, there exists a positive and statistically significant relationship between financial development and energy consumption in the long run, but not statistically significant in the short run. Further findings from the panel Granger causality test shows a unidirectional causality running from financial development to energy consumption, gross domestic product per capita, population growth to urbanization with no feedback. Among a series of policy recommendations, the monetary authorities in Sub-Saharan African countries should ensure optimal utilization of financial instruments and technologies available in the system to enhance more robust financial development to boost efficiency in energy consumption in the region in line with the sustainable growth theory.

scholarly journals The Relationship between Financial Sector Development and Economic Growth in Nigeria: Cointegration with Structural Break Approach

2019 ◽  
Vol 8 (5C) ◽  
pp. 1081-1088
Keyword(s):  
Economic Growth ◽  
Error Correction ◽  
Financial Development ◽  
Structural Break ◽  
Financial Sector ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Financial Sector Development ◽  
Vector Error

This research investigates the relationships between the financial sector development and economic growth in Nigeria, using annual time series data for the period between 1981 to 2015. This research examines the long-run relationship between the financial sector development and the economic growth in Nigeria, and applies the Gregory and Hansen (1996a, b) cointegration approach with one endogenously determined structural break and the vector error correction model. This research finds out that, there exist cointegration among the financial development, trade openness and economic growth with structural break date in 2010 and the results from the vector error correction model finds there is significant and negative relationship between financial development and the economic growth in Nigeria in the study period. In addition, the findings of this study indicate that accounting for structural break in VECM improves the significance and thus reliability of the model applied. The estimated model is found to have passed diagnostic tests and is found to be stable. The paper recommends that to achieve the desired economic growth level financial development should be supported with other proactive measures such as sound institution and basic infrastructure to complement the effort of financial sector reforms. Moreover, future analysis should always consider the structural breaks while conducting macroeconomic empirical analysis as it helps in avoiding having spurious results

scholarly journals A Markov Switching Vector Error Correction Model on Oil Price and Gold Price Effect on Stock Market Returns

2013 ◽  
Vol 5 (7) ◽  
pp. 331-336
Author(s):  
Seuk Wai Phoong ◽  
Siok Kun Sek .
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Markov Switching ◽  
Oil Price ◽  
Vector Error Correction Model ◽  
Stock Market Index ◽  
Correction Model ◽  
Vector Error Correction ◽  
Market Index ◽  
Vector Error

Stock market index represent a country growth and always as an interest for economist and statisticians. In this paper, the effect of oil price and gold price on stock market index on Malaysia, Singapore, Thailand and Indonesia are investigated and a two-regime Markov Switching Vector Error Correction model is used to examine the nonlinear properties model. Moreover, a two regime mean adjusted Markov Switching Vector Error Correction model is used in the study to capture the filtered and smoothed probabilities of the time series sequence in the economic model. Results found that the oil price and gold price affect the movement of the Malaysia, Singapore, Thailand and Indonesia stock market index and there is an asymmetric cycle since 97% of the total sample size is recorded in the growth state.

Sign in / Sign up

Export Citation Format

Share Document