Impact of Foreign Investment on Economic Growth in OECD's Members: A Panel Data Model, 1977-2017

Motivation: This paper is aimed at analyzing the impact of foreign investment (FI) on economic growth (EG) in Australia, Canada, Germany, Spain, Finland, France, United Kingdom, Greece, Italy, Japan, Republic of Korea, Mexico, Netherlands, Norway, New Zealand, and USA.Novelty: The research is: 1) concentrated in countries belonging to the OECD; 2) based on a greater number of countries, variables and periods; and 3) addressed to correcting multicollinearity and autocorrelation of data.Methodology: A Granger causality analysis is carried out and both static and dynamic panel data models are estimated.Data and Empirical Analysis: Data is obtained from World Bank for the period 1977-2017. The causality of Granger reveals that during the first 10 years there is a unidirectional relationship from FI toward EG. In the following 15 years, there is empirical evidence of a bidirectional causal relationship. Moreover, during the whole period of study, 7 years have a unidirectional causality from EG toward FI. Finally, estimates of both static and dynamic panel data models show that FI has a positive impact on EG in all the studied economies.Policy Considerations: A set of recommendations for policy designers and decision makers is provided to build the appropriate instruments and incentives to encourage the attraction of FI to boost EG and, therefore, to enhance social welfare

Impact of Energy Consumption on Economic Growth in Major OECD Economies (1977-2014): A Panel Data Approach

This paper is aimed at assessing the impact of energy use growth on economic growth in the major economies of the Organization for Economic Cooperation and Development (OECD) during the period 1977-2014. To do this, a Granger causality analysis among relevant variables is carried out and, subsequently, a panel data model is estimated with the Generalized Method of Moments (GMM). The main empirical finding is that real GDP per capita growth is positively affected by the growth rate of energy use per capita in the following studied economies: Germany, Australia, Austria, Belgium, Canada, Denmark, Spain, USA, Finland, France, Greece, Holland, Italy, Luxembourg, Norway, Portugal, Sweden, and New Zealand. Keywords: energy consumption, economic growth, panel data analysis JEL Classifications: C23, O41, Q4

Is There a “Reverse Causality” from Nominal Financial Variables to Energy Prices?

This paper is aimed at examining the association between energy prices and financial variables, but, in contrast to previous works, it explores the possibility of a reverse causality from financial variables towards energy prices from a global perspective considering the world's four largest world economic poles (the United States, China, the European Union, and Japan), as well as the prices of oil (Brent) and Natural Gas. In order to study the interaction between energy prices and relevant nominal variables (stock market returns, interest rates, and exchange rates), a Panel Vector Autoregression Analysis (PVAR) is carried out. The empirical finding is that Brent Oil and Natural Gas price fluctuations are positively and highly significantly influenced by lagged interest rates, that is, energy markets are sensitive to monetary policy signals and, most likely, to economic agents' expectations about inflation. Other empirical results also reveal that: 1) lagged exchange rate fluctuations have a negative and significant effect over the stock market; 2) a positive performance of the stock market has a negative effect on the exchange rate, and: 3) that interest rate markets follow their own dynamics independently of the rest of the model variables. Keywords: Energy Prices, Stock Market Returns, Interest Rates, Exchange Rates. JEL Classifications: G10, G15, E43, F31 DOI: https://doi.org/10.32479/ijeep.752

On the Stock Market-Electricity Sector Nexus in Latin America: A Dynamic Panel Data Model

The aim of this paper is to assess the impact of the stock market on the consumption of electric power in the major economies of Latin America during the period 1995-2014. To do this, a dynamic panel data model is estimated through the generalized method of moments. The main empirical finding is that electric power consumption is positively affected by the stock market indices of Argentina, Brazil, Chile, Colombia, Ecuador, Mexico, Peru, and Costa Rica. Keywords: Electricity consumption, stock markets, dynamic panel data. JEL Classifications: G10, G15, C33, Q40. DOI: https://doi.org/10.32479/ijeep.712

Short- and Long-Term Relations among Prices of the Mexican Crude Oil Blend, West Texas Intermediate, and Brent: Market Trend and Risk Premia, 2005-2016

This paper uses a Vector Error Correction Model (VECM) to obtain the decomposition in permanent and transient components of prices of the Mexican Crude Oil Blend, the West Texas Intermediate (WTI) oil, and the Brent oil of the North Sea. Moreover, Granger causality tests, impulse-response analysis, and variance decomposition are carried out.  The main findings are: 1) there are long-term relationships among these oil prices, 2) Brent oil mainly sets the market trend for the Mexican Crude Oil Blend, and 3) the yield-risk analysis shows that the Mexican crude oil blend offers the highest average yield and Brent provides the highest average risk premium. Keywords: Oil prices; econometric modeling, yield-risk analysis JEL Classifications: Q41, C51, G8

Persistency of Price Patterns in the International Oil Industry, 2001-2016

This paper is aimed at studying price patterns and their persistency in selected international oil companies (Exxon Mobil, British Petroleum, Royal Dutch Shell, and China Petroleum Sinopec). The proposal uses a one-step counting of price patterns and a two-step counting derived from transition probabilities of price patterns both procedures based on Japanese candlesticks. An extension of Kolmogorov-Smirnov test for discrete variables, provided by Taylor and Emerson (2011), is used to measure the statistical significance of the obtained results. Furthermore, the persistence of patterns is examined via the correlation in two-step conditional probabilities by using Blomqvist's beta test. This method is useful to identify patterns even under market booms and busts, and in high and low volatility environments. Keywords: Oil industry, transition probabilities, persistent price patterns. JEL Classifications: G14, C81, G1

Impact of Oil Prices on Stock Markets in Major Latin American Countries (2000-2015)

This paper studies how sensitive are the stock market returns of Argentina, Brazil, Chile, Colombia, Mexico, and Peru to international oil price fluctuations (West Texas Intermediate). A Panel Data analysis with a Random Effects model, using the world stock market index (MSCWI), domestic money market rates, and currency exchange rates as control variables suggests that, after controlling for the individual countries non-observed characteristics, oil prices explain positively monthly returns of the stock markets. The rest of the control variables have the desired sign and statistical significance; the sample data includes monthly observations from 2000 to 2015. The main finding of this research is that it does not matter if countries are exporters (Brazil, México, Venezuela, Colombia and Argentina) or importers (Peru and Chile) of oil, in the region as a whole, an increase of oil prices has a positive effect on stock returns. Keywords: Oil prices, stock market, panel data analysis, Latin America. JEL Classifications: N26, C33, Q42