Regime dependent causality relationship between energy consumption and GDP growth: evidence from OECD countries


Emirmahmutoğlu F., Denaux Z., Omay T., Tiwari A. K.

Applied Economics, vol.53, no.19, pp.2230-2241, 2021 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 53 Issue: 19
  • Publication Date: 2021
  • Doi Number: 10.1080/00036846.2020.1857330
  • Journal Name: Applied Economics
  • Journal Indexes: Social Sciences Citation Index
  • Page Numbers: pp.2230-2241
  • Keywords: Residual and ECM-based panel nonlinear cointegration tests, energy Consumption and GDP Growth, panel threshold causality test

Abstract

© 2020 Informa UK Limited, trading as Taylor & Francis Group.This study empirically investigates the energy consumption-GDP growth nexus for the period from 1971 to 2016 for 26 OECD countries. The prevailing studies in the literature use limited econometric methodologies, which may wrongly model the underlying relationship and lead to misleading policy conclusions. Our study utilizes the newest econometric methods to reveal the nonlinear relationships in the long-run. Furthermore, to capture the asymmetric behaviour of regime changes, four residual-based nonlinear cointegration tests are implemented. Finally, a two-regime TAR type of panel threshold VECM model (PTVAR) is estimated for testing the presence of nonlinear short- and long-run causality. Our findings indicate a state-dependent causality between energy consumption and GDP growth.