a r t i c l e i n f o JEL classification: C23 E44 Q43 Keywords: Crude oil shocks Stock market prices Panel data Asymmetric adjustment Granger causality This paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009. Nonlinear cointegration is confirmed for ...

the natural gas consumption in iran has been continuously increasing due to several reasons including low prices of natural gas, development of gas supply networks, people’s salary increase, incorrect consumption culture and the increase of national economy growth.  although, the global natural gas consumption has increased by 38% since 2001, the national consumption in iran has increased by 11...

JEL Classification: F16, F43 This study examines the impacts of CO2 emissions on economic growth of Vietnam for the period 1986-2015 by using Autogressive Distributed Lag (ARDL) model. The results reveal that there is cointegration relationship between CO2 emissions and economic growth. In the long run carbon dioxide emissions have a significant negative impact on Vietnam economic growth. There...

China has witnessed a fast economic growth in the recent two decades. However, the heavy energy exploitation seems to show a negative relation to regional economic growth. Thus, the issue is whether the energy production is a curse or blessing for the regional economic growth in China. The present study deploys a comprehensive approach to rigorously prove the validity of a proposed panel data m...

We introduce the multivariate Ornstein-Uhlenbeck process, solve it analytically, and discuss how it generalizes a vast class of continuous-time and discretetime multivariate processes. Relying on the simple geometrical interpretation of the dynamics of the Ornstein-Uhlenbeck process we introduce cointegration and its relationship to statistical arbitrage. We illustrate an application to swap co...

We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for shortterm maturities, when market-specific he...

this paper focuses on the residential sector demand for electricity, natural gas and petroleum products (kerosene, gas oil and lpg) in iran in the context of a popular locally flexible functional forms - “the almost ideal demand system (aids)”. we pay explicit attention to the theoretical regularity conditions of positivity, monotonicity, and curvature. we treat the curvature property as a main...

the main objective of this paper is to study the relationship between the energy consumption (energy use intensity), economic growth, and co2 emission in iran. to that end, we use time series data of iran during 1967–2004. in order to examine the long-run relationship among these variables, the johanson-juselius cointegration method is used along with vecm. the main finding of this study shows ...