Advertisement

Environmental Science and Pollution Research

, Volume 26, Issue 11, pp 10738–10745 | Cite as

Volatility of the alternative energy input prices and spillover effects: a VAR [MA]-MGARCH in BEKK approach for the Turkish economy

  • Salih KatircioğluEmail author
  • Tezcan Abasiz
  • Sevgi Sezer
  • Setareh Katırcıoglu
Research Article
  • 75 Downloads

Abstract

The interaction among the energy unit prices, which are considered as the most effective factor on the realization of economic growth, and the distribution of this interaction throughout the manufacturing process have become popular subjects in research recently. Especially, the scarcity of energy resources and the problems encountered in their supply make it necessary to utilize alternative energy resources. Thus, the realization of production using different energy inputs simultaneously results in an interaction between the factors and the spillover effect. Thus, in the study, alternative vector autoregressive M-GARCH (VAR [-MA] -MGARH) models would be predicted based on the spillover effect between the conditional variance and alternative energy input prices.

Keywords

Alternative energy Price Volatility Spillover effects Turkey 

Notes

References

  1. Altınay G, ve Karagöl E (2004) Structural break, unit root and the causality between energy consumption and GDP in Turkey. Energy Econ 26:985–994CrossRefGoogle Scholar
  2. Arouri M, Nguyen D (2010) Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy 38:4528–4539CrossRefGoogle Scholar
  3. Arouri M, Jouini J, Nguyen DK (2011) Volatility spillovers between oil prices and stock sector returns: implications for portfolio management. J Int Money Financ 30:1387–1405CrossRefGoogle Scholar
  4. Bollerslev T (1990) Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach. Rev Econ Stat 72:498–505CrossRefGoogle Scholar
  5. Chang C-L, McAleer M, Tansuchat R (2011) Crude oil hedging strategies using dynamic multivariate GARCH. Energy Econ 33:912–923CrossRefGoogle Scholar
  6. Engle RF (2002) Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J Bus Econ Stat 20:339–350CrossRefGoogle Scholar
  7. Erol U, Yu ESH (1987) On the causal relationship between energy and income for industrialized countries. J Energy Dev 13:113–122Google Scholar
  8. Ferguson R, Wilkinson W, Hill R (2000) Electricity use and economic development. Energy Policy 28:923–934CrossRefGoogle Scholar
  9. Ghali KH, El-Sakka MIT (2004) Energy use and output growth in Canada: a multivariate cointegration analysis. Energy Econ C.26(2):s225–s238CrossRefGoogle Scholar
  10. He Y, Wang S, Lani KK (2010) Global economic activity and crude oil prices: a cointegration analysis. Energy Econ 32:868–876 www.sciencedirect.com/science/article/pii/S014098830900245X, (ET 12.09.2015)CrossRefGoogle Scholar
  11. Heidari H, Katircioglu S, Bashiri S (2013) Inflation, inflation uncertainty and growth in the Iranian economy: an application of BGARCH-M model with BEKK approach. J Bus Econ Manag 14(5):819–832CrossRefGoogle Scholar
  12. Hondroyiannis G, Lolos S, ve Papapetrou E (2002) Energy consumption and economic growth: assessing the evidence from Greece. Energy Econ 24:319–336CrossRefGoogle Scholar
  13. Kashif S (2007) Modeling time varying volatility and asymmetry of Karachi stock exchange (KSE). International J Econ Perspect 1(1):1–9Google Scholar
  14. Katircioglu ST, Sertoglu K, Candemir M, Mercan M (2015) Oil price movements and macroeconomic performance: evidence from twenty-six OECD countries. Renew Sustain Energy Rev 44:257–270CrossRefGoogle Scholar
  15. Katircioglu S, Alkhazaleh MMH, Katircioglu S (2018a) Interactions between oil prices and financial sectors’ performances: empirical evidence from Amman stock exchange. Environ Sci Pollut Res 25:33702–33708CrossRefGoogle Scholar
  16. Katircioglu S, Katircioglu S, Altun O (2018b) The moderating role of oil price changes in the effects of services trade and tourism on growth: the case of Turkey. Environ Sci Pollut Res 25(35):35266–35275CrossRefGoogle Scholar
  17. Kraft J, Kraft A (1978) On the relationship between energy and GNP. J Energy Dev 3(2, Spring):401–403Google Scholar
  18. Ling S, McAleer M (2003) Asymptotic theory for a vector ARMA-GARCH model. Economic Theory 19:278–308Google Scholar
  19. McAleer M, Hoti S, Chan F (2009) Structure and asymptotic theory for multivariate asymmetric conditional volatility. Econ Rev 28:422–440CrossRefGoogle Scholar
  20. Moravalle A (2013) Oil shocks and the US terms of trade: gauging the role of the trade channel. Appl Econ Lett 20(2):152–156.  https://doi.org/10.1080/13504851.2012.684779#preview. Routledge (Taylor & Francis Group) (ET 3.10.2015)
  21. Mucuk ve Uysal (2009) “Türkiye Ekonomisinde Enerji Tüketimi ve Ekonomik Büyüme”. Maliye Dergisi, Sayı 157:105–115Google Scholar
  22. Nakatani T, Teräsvirta T (2008) Positivity constraints on the conditional variances in the family of conditional correlation GARCH models, Financ Res Lett 5(2):88–95Google Scholar
  23. Odhiambo NM (2009) Energy consumption and economic growth Nexus in Tanzania: an ARDL bounds testing approach. Energy Policy 37:617–622CrossRefGoogle Scholar
  24. Öksüzler O, ve İpek E (2011) Dünya Petrol Fiyatlarındaki Değişimin Büyüme ve Enflasyon Üzerindeki Etkisi: Türkiye Örneği. Uluslararası Yönetim, İktisat ve İşletme Dergisi. Zonguldak Karaelmas Üniversitesi Sosyal Bilimler Dergisi C.7(S.14 Zonguldak):15–34Google Scholar
  25. Rufael YW (2006) Electricity consumption and economic growth: a time series experience for 17 African countries. Energy Policy 34:1106–1114CrossRefGoogle Scholar
  26. Sadorsky P (2014) Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat. Energy Econ 43:72–81CrossRefGoogle Scholar
  27. Şengül S, ve Tuncer İ (2006) Türkiye’de Enerji Tüketimi ve Ekonomik Büyüme: 1960-2000, İktisat, İşletme ve Finans, Mayıs. 69- 80Google Scholar
  28. Shaeri K, Katircioglu S (2018) The Nexus between oil prices and stock prices of oil, technology and transportation companies under multiple regime shifts. Ekon Istraž 31(1):681–702Google Scholar
  29. Shaeri K, Adaoglu C, Katircioglu S (2016) Oil price risk exposure: a comparison of financial and non-financial subsectors. Energy 109:712–723CrossRefGoogle Scholar
  30. Shiu A, ve Lam PL (2004) Electricity consumption and economic growth in China. Energy Policy 32:47–54CrossRefGoogle Scholar
  31. Sodeyfi S, Katircioglu S (2016) Interactions between business conditions, economic growth, and crude oil prices. Economic Research - Ekonomska Istraživanja 29(1):980–990CrossRefGoogle Scholar
  32. Srinivasan K (2010) “Forecasting stock market volatility in India-using linear and non-linear models”. International J Econ Perspect 4(4):617–622Google Scholar
  33. Steiner F (2001) Regulation, industry structure and performance in the electricity supply industry. OECD Econ Stud 32:143–182Google Scholar
  34. Stern DI (1993) Energy and economic growth in the USA: a multivariate approach. Energy Econ 15:137–150CrossRefGoogle Scholar
  35. Stern DI (1999) Is energy cost an accurate indicator natural resource quality ? Ecol Econ 31:381–394CrossRefGoogle Scholar
  36. Wang YS (2013) Oil price effects on personal consumption expenditures. Energy Economics 36:198–204 www.sciencedirect.com/science/article/pii/S0140988312001776. (ET 27.09.2015)CrossRefGoogle Scholar
  37. Yang L, ve Hamori S (2014) The Phillips curve in the United States and Canada: a GARCHDCC analysis. Journal of Reviews on Global Economics 3:1–16Google Scholar
  38. Yücel B (1994) Enerji Ekonomisi. Febel Ltd. Şti, İstanbulGoogle Scholar

Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of Banking and FinanceEastern Mediterranean UniversityFamagustaTurkey
  2. 2.Department of Economics, Faculty of Economics & ManagementKyrgyz-Turkish Manas UniversityBishkekKyrgyzstan
  3. 3.Department of Banking and Finance, Burhaniye School of Applied SciencesBalıkesir UniversityBalıkesirTurkey
  4. 4.Faculty of Economics and Administrative SciencesUniversity of KyreniaKyreniaTurkey

Personalised recommendations