What if Energy Time Series are not Independent? Implications for Energy-GDP Causality Analysis

Stephan Bruns and Christian Gross

No 10/2013, FCN Working Papers from E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN)

Abstract: Time series of electricity, petroleum products, and renewables are found to be highly correlated with total energy consumption. Applying this insight to the huge literature on energy-GDP causality explains that the results of energy-GDP causality tests frequently coincide with the results of energy type-GDP tests. Using the test by Toda-Yamamoto in combination with a cointegration-based testing approach, we detect such cases of concordance for 92 per cent of the countries in our sample of 65 countries. As a consequence, it is difficult to draw specific economic conclusions regarding single types of energy from bivariate causality analysis.

Keywords: Energy; GDP; Granger causality; Correlation; Electricity; Petroleum products; Renewables; Toda-Yamamoto; Johansen-Juselius (search for similar items in EconPapers)
JEL-codes: C32 C52 Q43 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2013-09-26
New Economics Papers: this item is included in nep-cwa and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:fcnwpa:2013_010

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