Purpose – The aim of this paper is to prove the validity of Wagner's hypothesis. Design/methodology/approach – The paper examines the validity of Wagner's hypothesis with annual data for Turkey over 1950-2005 period. Findings – The empirical results using the ARDL bounds tests of...

The paper examines the long-run relation and short-run dynamics between electricity prices and three fossil fuel prices - coal, natural gas and crude oil - using annual data for the U.S. for 1960-2007. The results suggest (1) a stable long-run relation between real prices for electricity and...

This paper examines the transmission of shocks across equity, mortgage, and hybrid real estate investment trusts (REITs). Though the augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski-Phillips-Schmidt-Shin unit root tests reveal that the respective REITs are integrated of order one,...

The recent deregulation of the electricity industry and reliance on competitive wholesale markets has generated significant volatility in wholesale electricity prices. Given the importance of short-term price forecasts in this new environment, this paper estimates and evaluates the forecasting...

We examine the usefulness of several ARIMA-GARCH models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in eleven international markets over the 1/2/1997-10/3/2009 period. In particular, we investigate the out-of-sample forecasting performance of...

Examination of the upstream-downstream pricing behavior in U.S. natural gas industry reveals that: (a) natural gas markets are integrated but subject to regime shifts and asymmetric adjustments, suggesting market imperfections. (b) Demand- and supply-side shocks play important roles in...

We test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship...

We test the validity of the Dutch disease hypothesis by examining the relationship between real oil prices and real exchange rates in a sample of fourteen oil exporting countries. Autoregressive distributed lag (ARDL) bounds tests of cointegration support the existence of a stable relationship...

We examine the long-run relation and short-run dynamics between energy consumption and output in a panel of 14 oil-exporting countries over 1980–2007. Panel unit root tests, which account for common cross-sectional factors, fail to reject non-stationarity in both variables. Thus, we explore...

Patterns of convergence in per-capita consumption of energy and electricity are studied from a large cross-country data set covering the period 1971–2007. Along with unconditional β-convergence, we use σ-convergence criterion and a simple model of conditional β-convergence. The exploration...