Advanced SearchSearch Tips
Investigation on Granger Causality between Economic Growth and Demand for Electricity in Korea: Using Quarterly Data
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Investigation on Granger Causality between Economic Growth and Demand for Electricity in Korea: Using Quarterly Data
Baek, Moon-Young; Kim, Woo-Hwan;
  PDF(new window)
This study investigates the Granger-causality between economic growth and demand for electricity in Korea, using two quarterly time-series data (real GDP and electricity consumption) for 1970:Q1 through 2009:Q4. We apply Hsiao`s sequential procedure to identify a vector autoregressive model to a decision of the optimal lags in the vector error-correction model because the two time-series data contain unit roots respectively and they are cointegrated. According to the empirical results in this study, we find that Hsiao`s approach to the Granger-causality indicates a bidirectional causal relation between economic growth and demand for electricity in Korea. Following the Granger and Engle`s approach, we also find the statistical evidence on (1) short-run bidirectional causality between real GDP and electricity consumption, (2) bidirectional strong causality between them, and (3) long-run unidirectional causality running from demand for electricity to economic growth. Our results show an inconsistency with the existing studies on Korea`s case; however, the results appear to provide more meaningful policy implications for the Korean economy and its strategy of sustainable growth.
Economic growth;demand for electricity;Granger-causality;cointegration;error-correction model;Hsiao`s sequential procedure;Granger-causality test;
 Cited by
실질 성장의 미래 변화 예측을 위한 정보변수,김태호;정재화;김민정;

응용통계연구, 2013. vol.26. 2, pp.253-265 crossref(new window)
닭-달걀 간 통계적 인과성 논란의 판별,김태호;김민정;이진완;

응용통계연구, 2013. vol.26. 3, pp.401-411 crossref(new window)
제조업 생산활동과 전력소비 간의 인과관계 분석,임재규;김종익;

자원환경경제연구, 2014. vol.23. 2, pp.349-364 crossref(new window)
소비자 기대심리의 미래 성장 예측력,김태호;임라희;이승은;

응용통계연구, 2015. vol.28. 3, pp.457-465 crossref(new window)
한국의 산업별 전력소비와 경제성장간 인과관계 분석,박민혁;노건기;이승은;

조명전기설비학회논문지, 2016. vol.30. 3, pp.39-45 crossref(new window)
Information Variables for the Predictability of Future Changes in Real Growth, Korean Journal of Applied Statistics, 2013, 26, 2, 253  crossref(new windwow)
An Analysis on the Causality between Production Activity and Electricity Consumption in Manufacturing Sector, Environmental and Resource Economics Review, 2014, 23, 2, 349  crossref(new windwow)
Identifying the Chickens-Eggs Statistical Lead-Lag Dilemma, Korean Journal of Applied Statistics, 2013, 26, 3, 401  crossref(new windwow)
An Analysis on the Causal Relation Between Electricity Consumption and GDP by industries in KOREA, Journal of the Korean Institute of Illuminating and Electrical Installation Engineers, 2016, 30, 3, 39  crossref(new windwow)
Predictability of Consumer Expectations for Future Changes in Real Growth, Korean Journal of Applied Statistics, 2015, 28, 3, 457  crossref(new windwow)
Akaike, H. (1969). Fitting autoregressive for prediction, Annals of the Institute of Statistical Mathematics, 21, 243-247. crossref(new window)

Chen, S. T., Cuo, H. I. and Chen, C. C. (2007). The relationship between GDP and electricity consumption in 10 Asian countries, Energy Policy, 35, 2611-2621. crossref(new window)

Dickey, D. A. and Fuller, W. F. (1979). Distribution of the estimations for AR time series with a unit root, Journal of the American Statistical Association, 74, 427-431.

Engle, R. F. and Granger, C. W. (1983). Cointegration and error correction: Representation, estimation, and testing, Econometrica, 55, 251-276. crossref(new window)

Glasure, Y. U. and Lee, A. (1998). Cointegration, error-correction, and the relationship between GDP and energy: The case of South Korea and Singapore, Resource and Energy Economics, 20, 17-25. crossref(new window)

Granger, C. W. (1988). Some recent developments in a concept of casuality, Journal of Econometrics, 39, 383-397.

Hsiao, C. (1979). Autoregressive modeling of Canadian money and income data, Journal of the American Statistical Association, 74, 553-560. crossref(new window)

Johansen, S. and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210. crossref(new window)

Narayan, P. K. and Prasad, A. (2008). Electricity consumption-real GDP causality nexus: Evidence from a bootstrapped causality test for 30 OECD countries, Energy Policy, 33, 1109-1116. crossref(new window)

Oh, W. and Lee, K. (2004). Casual relationship between energy consumption and GDP revisited: The case of Korea 1970-1999, Energy Economics, 26, 51-59. crossref(new window)

Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression, Biometrica, 75, 335-346. crossref(new window)

Yoo, S.-H. (2005). Electrcity consumption and economic growth: Evidence from Korea, Energy Policy, 33, 1627-1632. crossref(new window)

Yoo, S.-H. (2006). The causal relationship between electricity consumption and economic growth in the ASEAN countries, Energy Policy, 34, 3573-3582. crossref(new window)

Yu, E. S. H. and Choi, J. Y. (1985). The causal relationship between energey and GNP: An international comparison, Journal of Energy and Development, 10, 249-272. crossref(new window)