Monika Papież

Economic Growth and Energy Consumption in Post-Communist Countries: a Bootstrap Panel Granger Causality Analysis

The aim of this paper is to identify Granger causality between energy consumption and economic growth in post-communist countries in the period 1993 to 2011. Bootstrap panel Granger causality test was used as a research tool in order to accommodate for countryspecific heterogeneity and to avoid the problem of cross-sectional dependence. The analysis allowed for the verification of the hypothesis regarding the links between economic growth and energy consumption in nine countries. The hypotheses were confirmed: the growth hypothesis in three countries and the feedback hypothesis in one country.

Uncovering the link between a flexible exchange rate and fundamentals: the case of Central and Eastern European economies

ABSTRACT This article examines the link between a nominal exchange rate and macrofundamentals in Central and Eastern European (CEE) countries. We use the model based on the monetary policy rule as a theoretical framework that explains the relations between the exchange rate and price level, risk premium, output gap, and expected inflation. It allows for endogeneity of the monetary policy – the issue ignored in the widely used monetary model. The sample covers the period January 2000 – December 2014, so the data are not plagued by high-inflation differentials characteristic for the early transition period and include countries with relatively flexible exchange rates. Our empirical strategy employs the panel error correction model that allows for cross-sectional dependence and a series of panel causality tests. The main finding is that the nominal exchange rates in CEE countries are not disconnected from macrofundamentals implied by the Taylor rule-based model. More specifically, we find that there is a strong cross-sectional dependence among CEE countries, exchange rates Granger-cause macrofundamentals and tend to revert to the long-run relation, and that the results are robust to the ‘extraordinary circumstances’ argument, i.e. do not rest on the dynamics during the global financial crisis.

Causality on the steam coal market

ABSTRACT The paper presents a detailed analysis of relationships between steam coal prices on the Atlantic and Pacific basins. The division took into account both the importers (Japan, Europe) and the exporters (South Africa and Australia). The data used in the analysis came from Argus Base and included time series from the period January 2002–August 2011. The analysis has revealed that there is a cointegration between the prices, which means that they are in a long-term equilibrium. The application of the Granger causality test has shown that the Pacific basin plays a dominant role in the process of shaping prices. Both the import prices and the pair Japan and Australia were causes for the remaining prices. Instantaneous causality was calculated using the directed acyclic graph (DAG) method. The results obtained indicate that there is no instantaneous causality for the pair of importers in Asia and Europe. The structural restrictions for the model yielded the impulse response function. All the analyses conducted indicate a dominant role of the Pacific basin in shaping the prices of steam coal.

The Impact of the Euro Area Macroeconomy on Global Commodity Prices

The aim of this paper is to analyse the links between real and financial processes in the euro area and energy and non-energy commodity prices. Monthly data spanning 1997:1 to 2013:12 and the structural VAR model are used to uncover the relationship between global commodity prices and the euro area economy. The analysis is performed for three sub-periods in order to capture potential changes in this relationship over time. The main finding is that commodity prices in the euro area do not respond to impulses from production (economic activity), whereas commodity prices strongly react to impulses from financial processes, i.e. interest rates in the euro area and the exchange rate of the dollar against the euro, especially in the run-up to the global financial crisis. The study also provides evidence of a tightening relationship between energy and non-energy commodity prices.

Energy consumption and economic growth in the light of meeting the targets of energy policy in the EU

The aim of the paper is to assess linkages between energy consumption and economic growth in the light of compliance with the EU energy policy targets stated in the climate and energy package for 2020 in the European Union member states in the period 1993-2011. The study is divided into two main stages. During the first one, using cluster analysis methods, four groups of countries which met three energy policy targets stated in the package at similar levels were identified. During the second stage, the bootstrap Granger panel causality approach proposed by Konya [9] was used to verify the hypothesis of energy-growth nexus in the countries from the groups. The results obtained reveal that the level of compliance with energy policy targets influences linkages between energy consumption and economic growth. Causal relations were found in the group of countries with the greatest improvements on the EU energy policy targets.