Research Article
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Year 2020, Volume: 1 Issue: 2, 63 - 75, 31.12.2020

Abstract

References

  • [1] Zhong, J., Hu, X., Yüksel, S., Dinçer, H., & Ubay, G. G. (2020). Analyzing the investments strategies for renewable energies based on multi-criteria decision model. IEEE Access, 8, 118818-118840.
  • [2] Qiu, D., Dinçer, H., Yüksel, S., & Ubay, G. G. (2020). Multi-Faceted Analysis of Systematic Risk-Based Wind Energy Investment Decisions in E7 Economies Using Modified Hybrid Modeling with IT2 Fuzzy Sets. Energies, 13(6), 1423.
  • [3] Liu, Y., Gong, X., Yüksel, S., Dinçer, H., & Aydın, R. (2021). A multidimensional outlook to energy investments for the countries with continental shelf in East Mediterranean Region with Hybrid Decision Making Model based on IVIF logic. Energy Reports, 7, 158-173.
  • [4] Du, L., Dinçer, H., Ersin, İ., & Yüksel, S. (2020). IT2 Fuzzy-Based Multidimensional Evaluation of Coal Energy for Sustainable Economic Development. Energies, 13(10), 2453.
  • [5] Dincer, H., Yüksel, S., & Martinez, L. (2019). Balanced scorecard-based Analysis about European Energy Investment Policies: A hybrid hesitant fuzzy decision-making approach with Quality Function Deployment. Expert Systems with Applications, 115, 152-171.
  • [6] Zhou, P., Zhou, P., Yüksel, S., Dinçer, H., & Uluer, G. S. (2020). Balanced scorecard-based evaluation of sustainable energy investment projects with it2 fuzzy hybrid decision making approach. Energies, 13(1), 82.
  • [7] Dinçer, H., & Yüksel, S. (2019). Multidimensional evaluation of global investments on the renewable energy with the integrated fuzzy decision‐making model under the hesitancy. International Journal of Energy Research, 43(5), 1775-1784.
  • [8] Yüksel, S., Ubay, G. G., & Sezer, D. (2020). Determining The Influence of Oil Prices On Economic Growth And Financial Development: An Analysis for Turkey with VAR Methodology. Ekonomik ve Sosyal Araştırmalar Dergisi, 1(1), 1-23.
  • [9] Qi, W., Huang, Z., Dinçer, H., Korsakienė, R., & Yüksel, S. (2020). Corporate Governance-Based Strategic Approach to Sustainability in Energy Industry of Emerging Economies with a Novel Interval-Valued Intuitionistic Fuzzy Hybrid Decision Making Model. Sustainability, 12(8), 3307.
  • [10] Mikayilov, J. I., Mukhtarov, S., Dinçer, H., Yüksel, S., & Aydın, R. (2020). Elasticity Analysis of Fossil Energy Sources for Sustainable Economies: A Case of Gasoline Consumption in Turkey. Energies, 13(3), 731.
  • [11] Jeong, H. Y., Song, B. D., & Lee, S. (2019). Truck-drone hybrid delivery routing: Payload-energy dependency and No-Fly zones. International Journal of Production Economics, 214, 220-233.
  • [12] Camprubí, L. (2019). Whose self-sufficiency? Energy dependency in Spain from 1939. Energy policy, 125, 227-234.
  • [13] Jarrett, U., Mohaddes, K., & Mohtadi, H. (2019). Oil price volatility, financial institutions and economic growth. Energy policy, 126, 131-144.
  • [14] Van Eyden, R., Difeto, M., Gupta, R., & Wohar, M. E. (2019). Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data. Applied energy, 233, 612-621.
  • [15] Taghizadeh-Hesary, F., Rasoulinezhad, E., & Yoshino, N. (2019). Energy and food security: Linkages through price volatility. Energy policy, 128, 796-806.
  • [16] Živkov, D., Đurašković, J., & Manić, S. (2019). How do oil price changes affect inflation in Central and Eastern European countries? A wavelet-based Markov switching approach. Baltic Journal of Economics, 19(1), 84-104.
  • [17] Ftiti, Z., & Jawadi, F. (2019). Forecasting inflation uncertainty in the United States and Euro Area. Computational Economics, 54(1), 455-476.
  • [18] Conrad, C., & Hartmann, M. (2019). On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies. European Journal of Political Economy, 56, 233-250.
  • [19] Shahrestani, P., & Rafei, M. (2020). The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. Resources Policy, 65, 101579.
  • [20] Al-hajj, E., Al-Mulali, U., & Solarin, S. A. (2020). Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia. Economic Change and Restructuring, 1-19.
  • [21] Nusair, S. A. (2019). Oil price and inflation dynamics in the Gulf Cooperation Council countries. Energy, 181, 997-1011.
  • [22] Albulescu, C. T., Oros, C., & Tiwari, A. K. (2017). Oil price–inflation pass-through in Romania during the inflation targeting regime. Applied Economics, 49(15), 1527-1542.
  • [23] Hegerty, S. W. (2016). Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets. The North American Journal of Economics and Finance, 35, 23-37.
  • [24] Degirmen, S., & Saltik, O. (2017). Impacts of realized volatility of oil price over foreign trade related activities in Turkey. Economic Change and Restructuring, 50(3), 193-209.
  • [25] Salisu, A. A., Isah, K. O., Oyewole, O. J., & Akanni, L. O. (2017). Modelling oil price-inflation nexus: The role of asymmetries. Energy, 125, 97-106.
  • [26] Bec, F., & De Gaye, A. (2016). How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts. Economic Modelling, 53, 75-88.
  • [27] Choi, S., Furceri, D., Loungani, P., Mishra, S., & Poplawski-Ribeiro, M. (2018). Oil prices and inflation dynamics: Evidence from advanced and developing economies. Journal of International Money and Finance, 82, 71-96.
  • [28] Luo, X., & Qin, S. (2017). Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index. Finance Research Letters, 20, 29-34.
  • [29] Aydoğan, B., Tunç, G., & Yelkenci, T. (2017). The impact of oil price volatility on net-oil exporter and importer countries’ stock markets. Eurasian Economic Review, 7(2), 231-253.
  • [30] Diaz, E. M., Molero, J. C., & de Gracia, F. P. (2016). Oil price volatility and stock returns in the G7 economies. Energy Economics, 54, 417-430.
  • [31] Kristjanpoller, W., & Minutolo, M. C. (2016). Forecasting volatility of oil price using an artificial neural network-GARCH model. Expert Systems with Applications, 65, 233-241.
  • [32] Yu, Z., Liu, W., Chen, L., Eti, S., Dinçer, H., & Yüksel, S. (2019). The effects of electricity production on industrial development and sustainable economic growth: A VAR analysis for BRICS countries. Sustainability, 11(21), 5895.
  • [33] Kalkavan, H., Eti., S., & Yüksel, S. (2020). Türkiye’deki Bankacılık Sektörü, Sanayi Gelişimi ve Ekonomik Büyüme Arasındaki İlişkinin VAR Analizi İle İncelenmesi. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 12(22), 56-74.
  • [34] Gupta, R., Lau, C. K. M., & Wohar, M. E. (2019). The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model. Empirica, 46(2), 353-368.
  • [35] Gupta, R., Lau, C. K. M., Plakandaras, V., & Wong, W. K. (2019). The role of housing sentiment in forecasting US home sales growth: evidence from a Bayesian compressed vector autoregressive model. Economic research-Ekonomska istraživanja, 32(1), 2554-2567.
  • [36] Koop, G., & Korobilis, D. (2016). Model uncertainty in panel vector autoregressive models. European Economic Review, 81, 115-131.
  • [37] Khraief, N., Shahbaz, M., Heshmati, A., & Azam, M. (2020). Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests. The North American Journal of Economics and Finance, 51, 100838.
  • [38] Dinçer, H., Yüksel, S., Eti, S., & Tula, A. (2019). Effects of demographic characteristics on business success: an evidence from Turkish banking sector. In Handbook of research on business models in modern competitive scenarios (pp. 304-324). IGI Global.
  • [39] Das, P. (2019). Panel Unit Root Test. In Econometrics in Theory and Practice (pp. 513-540). Springer, Singapore.
  • [40] Yüksel, S., Dinçer, H., & Uluer, G. S. (2020). The Role of Technological Development on Renewable Energy Usage: An Econometric Analysis for G7 Countries. In Handbook of Research on Sustainable Supply Chain Management for the Global Economy (pp. 136-153). IGI Global.
  • [41] Dutta, U. P., Gupta, A., & Sengupta, P. P. (2019). Exploring the Nexus Between Mobile Phone Penetration and Economic Growth in 13 Asian Countries: Evidence from Panel Cointegration Analysis. In Soft Computing and Signal Processing (pp. 337-346). Springer, Singapore.
  • [42] Yüksel, S., Dinçer, H., Karakuş, H., & Ubay, G. G. (2020). The Negative Effects of Carbon Emission on FDI: A Comparative Analysis Between E7 and G7 Countries. In Handbook of Research on Sustainable Supply Chain Management for the Global Economy (pp. 20-35). IGI Global.

A stochastic process model for sustainable energy markets of advanced economies

Year 2020, Volume: 1 Issue: 2, 63 - 75, 31.12.2020

Abstract

This study aims to evaluate the sustainability in energy markets. For this purpose, oil price volatility is considered with respect to the stability in these markets. On the other side, stock market data and inflation rate are taken into account regarding the financial stability and sustainable macroeconomic performance. Additionally, a stochastic process model is proposed by using VAR analysis for G7 countries so that it is intended to examine this relationship for advanced economies. The findings reveal that the increase in oil prices in G7 countries has no significant effect on stock prices and inflation rate. Considering these results, it is determined that volatility in oil prices does not seriously threaten the financial markets and macroeconomic stability of these countries. This situation shows that G7 countries have a stable financial and economic structure. Therefore, it is understood that in a situation where oil prices increase excessively, these countries will not cause serious problems. These results will also guide the financial and macroeconomic policies that G7 countries will implement. For example, while aiming to control inflation in these countries, it would be appropriate to focus on variables other than oil prices. In addition to the issues mentioned, it is understood that factors other than oil price should be taken into consideration while aiming to increase the efficiency of financial markets.

References

  • [1] Zhong, J., Hu, X., Yüksel, S., Dinçer, H., & Ubay, G. G. (2020). Analyzing the investments strategies for renewable energies based on multi-criteria decision model. IEEE Access, 8, 118818-118840.
  • [2] Qiu, D., Dinçer, H., Yüksel, S., & Ubay, G. G. (2020). Multi-Faceted Analysis of Systematic Risk-Based Wind Energy Investment Decisions in E7 Economies Using Modified Hybrid Modeling with IT2 Fuzzy Sets. Energies, 13(6), 1423.
  • [3] Liu, Y., Gong, X., Yüksel, S., Dinçer, H., & Aydın, R. (2021). A multidimensional outlook to energy investments for the countries with continental shelf in East Mediterranean Region with Hybrid Decision Making Model based on IVIF logic. Energy Reports, 7, 158-173.
  • [4] Du, L., Dinçer, H., Ersin, İ., & Yüksel, S. (2020). IT2 Fuzzy-Based Multidimensional Evaluation of Coal Energy for Sustainable Economic Development. Energies, 13(10), 2453.
  • [5] Dincer, H., Yüksel, S., & Martinez, L. (2019). Balanced scorecard-based Analysis about European Energy Investment Policies: A hybrid hesitant fuzzy decision-making approach with Quality Function Deployment. Expert Systems with Applications, 115, 152-171.
  • [6] Zhou, P., Zhou, P., Yüksel, S., Dinçer, H., & Uluer, G. S. (2020). Balanced scorecard-based evaluation of sustainable energy investment projects with it2 fuzzy hybrid decision making approach. Energies, 13(1), 82.
  • [7] Dinçer, H., & Yüksel, S. (2019). Multidimensional evaluation of global investments on the renewable energy with the integrated fuzzy decision‐making model under the hesitancy. International Journal of Energy Research, 43(5), 1775-1784.
  • [8] Yüksel, S., Ubay, G. G., & Sezer, D. (2020). Determining The Influence of Oil Prices On Economic Growth And Financial Development: An Analysis for Turkey with VAR Methodology. Ekonomik ve Sosyal Araştırmalar Dergisi, 1(1), 1-23.
  • [9] Qi, W., Huang, Z., Dinçer, H., Korsakienė, R., & Yüksel, S. (2020). Corporate Governance-Based Strategic Approach to Sustainability in Energy Industry of Emerging Economies with a Novel Interval-Valued Intuitionistic Fuzzy Hybrid Decision Making Model. Sustainability, 12(8), 3307.
  • [10] Mikayilov, J. I., Mukhtarov, S., Dinçer, H., Yüksel, S., & Aydın, R. (2020). Elasticity Analysis of Fossil Energy Sources for Sustainable Economies: A Case of Gasoline Consumption in Turkey. Energies, 13(3), 731.
  • [11] Jeong, H. Y., Song, B. D., & Lee, S. (2019). Truck-drone hybrid delivery routing: Payload-energy dependency and No-Fly zones. International Journal of Production Economics, 214, 220-233.
  • [12] Camprubí, L. (2019). Whose self-sufficiency? Energy dependency in Spain from 1939. Energy policy, 125, 227-234.
  • [13] Jarrett, U., Mohaddes, K., & Mohtadi, H. (2019). Oil price volatility, financial institutions and economic growth. Energy policy, 126, 131-144.
  • [14] Van Eyden, R., Difeto, M., Gupta, R., & Wohar, M. E. (2019). Oil price volatility and economic growth: Evidence from advanced economies using more than a century’s data. Applied energy, 233, 612-621.
  • [15] Taghizadeh-Hesary, F., Rasoulinezhad, E., & Yoshino, N. (2019). Energy and food security: Linkages through price volatility. Energy policy, 128, 796-806.
  • [16] Živkov, D., Đurašković, J., & Manić, S. (2019). How do oil price changes affect inflation in Central and Eastern European countries? A wavelet-based Markov switching approach. Baltic Journal of Economics, 19(1), 84-104.
  • [17] Ftiti, Z., & Jawadi, F. (2019). Forecasting inflation uncertainty in the United States and Euro Area. Computational Economics, 54(1), 455-476.
  • [18] Conrad, C., & Hartmann, M. (2019). On the determinants of long-run inflation uncertainty: Evidence from a panel of 17 developed economies. European Journal of Political Economy, 56, 233-250.
  • [19] Shahrestani, P., & Rafei, M. (2020). The impact of oil price shocks on Tehran Stock Exchange returns: Application of the Markov switching vector autoregressive models. Resources Policy, 65, 101579.
  • [20] Al-hajj, E., Al-Mulali, U., & Solarin, S. A. (2020). Exploring the nexus between oil price shocks and sectoral stock returns: a new evidence from stock exchange in Malaysia. Economic Change and Restructuring, 1-19.
  • [21] Nusair, S. A. (2019). Oil price and inflation dynamics in the Gulf Cooperation Council countries. Energy, 181, 997-1011.
  • [22] Albulescu, C. T., Oros, C., & Tiwari, A. K. (2017). Oil price–inflation pass-through in Romania during the inflation targeting regime. Applied Economics, 49(15), 1527-1542.
  • [23] Hegerty, S. W. (2016). Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets. The North American Journal of Economics and Finance, 35, 23-37.
  • [24] Degirmen, S., & Saltik, O. (2017). Impacts of realized volatility of oil price over foreign trade related activities in Turkey. Economic Change and Restructuring, 50(3), 193-209.
  • [25] Salisu, A. A., Isah, K. O., Oyewole, O. J., & Akanni, L. O. (2017). Modelling oil price-inflation nexus: The role of asymmetries. Energy, 125, 97-106.
  • [26] Bec, F., & De Gaye, A. (2016). How do oil price forecast errors impact inflation forecast errors? An empirical analysis from US, French and UK inflation forecasts. Economic Modelling, 53, 75-88.
  • [27] Choi, S., Furceri, D., Loungani, P., Mishra, S., & Poplawski-Ribeiro, M. (2018). Oil prices and inflation dynamics: Evidence from advanced and developing economies. Journal of International Money and Finance, 82, 71-96.
  • [28] Luo, X., & Qin, S. (2017). Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index. Finance Research Letters, 20, 29-34.
  • [29] Aydoğan, B., Tunç, G., & Yelkenci, T. (2017). The impact of oil price volatility on net-oil exporter and importer countries’ stock markets. Eurasian Economic Review, 7(2), 231-253.
  • [30] Diaz, E. M., Molero, J. C., & de Gracia, F. P. (2016). Oil price volatility and stock returns in the G7 economies. Energy Economics, 54, 417-430.
  • [31] Kristjanpoller, W., & Minutolo, M. C. (2016). Forecasting volatility of oil price using an artificial neural network-GARCH model. Expert Systems with Applications, 65, 233-241.
  • [32] Yu, Z., Liu, W., Chen, L., Eti, S., Dinçer, H., & Yüksel, S. (2019). The effects of electricity production on industrial development and sustainable economic growth: A VAR analysis for BRICS countries. Sustainability, 11(21), 5895.
  • [33] Kalkavan, H., Eti., S., & Yüksel, S. (2020). Türkiye’deki Bankacılık Sektörü, Sanayi Gelişimi ve Ekonomik Büyüme Arasındaki İlişkinin VAR Analizi İle İncelenmesi. Akademik Araştırmalar ve Çalışmalar Dergisi (AKAD), 12(22), 56-74.
  • [34] Gupta, R., Lau, C. K. M., & Wohar, M. E. (2019). The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model. Empirica, 46(2), 353-368.
  • [35] Gupta, R., Lau, C. K. M., Plakandaras, V., & Wong, W. K. (2019). The role of housing sentiment in forecasting US home sales growth: evidence from a Bayesian compressed vector autoregressive model. Economic research-Ekonomska istraživanja, 32(1), 2554-2567.
  • [36] Koop, G., & Korobilis, D. (2016). Model uncertainty in panel vector autoregressive models. European Economic Review, 81, 115-131.
  • [37] Khraief, N., Shahbaz, M., Heshmati, A., & Azam, M. (2020). Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests. The North American Journal of Economics and Finance, 51, 100838.
  • [38] Dinçer, H., Yüksel, S., Eti, S., & Tula, A. (2019). Effects of demographic characteristics on business success: an evidence from Turkish banking sector. In Handbook of research on business models in modern competitive scenarios (pp. 304-324). IGI Global.
  • [39] Das, P. (2019). Panel Unit Root Test. In Econometrics in Theory and Practice (pp. 513-540). Springer, Singapore.
  • [40] Yüksel, S., Dinçer, H., & Uluer, G. S. (2020). The Role of Technological Development on Renewable Energy Usage: An Econometric Analysis for G7 Countries. In Handbook of Research on Sustainable Supply Chain Management for the Global Economy (pp. 136-153). IGI Global.
  • [41] Dutta, U. P., Gupta, A., & Sengupta, P. P. (2019). Exploring the Nexus Between Mobile Phone Penetration and Economic Growth in 13 Asian Countries: Evidence from Panel Cointegration Analysis. In Soft Computing and Signal Processing (pp. 337-346). Springer, Singapore.
  • [42] Yüksel, S., Dinçer, H., Karakuş, H., & Ubay, G. G. (2020). The Negative Effects of Carbon Emission on FDI: A Comparative Analysis Between E7 and G7 Countries. In Handbook of Research on Sustainable Supply Chain Management for the Global Economy (pp. 20-35). IGI Global.
There are 42 citations in total.

Details

Primary Language English
Subjects Finance
Journal Section Research Articles
Authors

Hasan Dinçer 0000-0002-8072-031X

Serhat Yuksel

Publication Date December 31, 2020
Published in Issue Year 2020 Volume: 1 Issue: 2

Cite

IEEE H. Dinçer and S. Yuksel, “A stochastic process model for sustainable energy markets of advanced economies”, JSAS, vol. 1, no. 2, pp. 63–75, 2020.