• Are shocks to natural gas consumption temporary or permanent? Evidence from a panel of U.S. states

      Apergis, Nicholas; Loomis, David; Payne, James; University of Piraeus; Illinois State University; Illinois State University (Elsevier, 2010-08)
      This short communication examines whether or not U.S. natural gas consumption follows a stationary process. Unlike previous research that has focused on regional country or industrial sector-based panel studies, this study undertakes a sub-national investigation of natural gas consumption for the 50 U.S. states. Levin et al. (2002), Im et al. (2003), Maddala and Wu (1999), and Hadri (2000) panel unit root and stationarity tests reveal that natural gas consumption is integrated of order one. However, once allowance is made for endogenously determined structural breaks, the Carrion-i-Silvestre et al. (2005), Im et al. (2005), and Westerlund (2005) panel unit root and stationarity tests indicate that natural gas consumption is integrated of order zero. Discussion of the structural breaks is briefly surveyed in relation to the natural gas industry’s response to legislative actions.
    • Carbon dioxide emissions intensity convergence: Evidence from central American countries

      Apergis, Nicholas; Payne, James; University of Derby; University of Texas, El Paso (Frontiers, 2020-01-08)
      This paper extends the literature on the convergence of carbon dioxide emissions intensity and its determinants (energy intensity and the carbonization index) for six Central American countries over the period 1971 to 2014. Using the Phillips-Sul club convergence approach, the results indicate two distinct convergence clubs with respect to carbon dioxide emissions intensity and energy intensity with the first convergence club consisting of Costa Rica, El Salvador, Guatemala, and Honduras and the second convergence club consisting of Nicaragua and Panama. However, in the case of the carbonization index, only one convergence club emerges that includes Costa Rica, El Salvador, Guatemala, Honduras, and Nicaragua with Panama exhibiting non-convergent behavior.
    • CO2 emissions, energy usage, and output in Central America

      Apergis, Nicholas; Payne, James; University of Piraeus; Illinois State University (Elsevier, 2009-08)
      This study extends the recent work of Ang (2007) [Ang, J.B., 2007. CO2 emissions, energy consumption, and output in France. Energy Policy 35, 4772–4778] in examining the causal relationship between carbon dioxide emissions, energy consumption, and output within a panel vector error correction model for six Central American countries over the period 1971–2004. In long-run equilibrium energy consumption has a positive and statistically significant impact on emissions while real output exhibits the inverted U-shape pattern associated with the Environmental Kuznets Curve (EKC) hypothesis. The short-run dynamics indicate unidirectional causality from energy consumption and real output, respectively, to emissions along with bidirectional causality between energy consumption and real output. In the long-run there appears to be bidirectional causality between energy consumption and emissions.
    • Coal consumption and economic growth: Evidence from a panel of OECD countries

      Apergis, Nicholas; Payne, James; University of Piraeus; Illinois State University (Elsevier, 2010-03)
      This study examines the relationship between coal consumption and economic growth for 25 OECD countries within a multivariate panel framework over period 1980–2005. The Larsson et al. (2001) panel cointegration test indicates there is a long-run equilibrium relationship between real GDP, coal consumption, real gross fixed capital formation, and the labor force. The respective coefficients for real gross fixed capital formation and the labor force are positive and statistically significant whereas the coefficient for coal consumption is negative and statistically significant. The results of the panel vector error correction model reveal bidirectional causality between coal consumption and economic growth in both the short- and long-run; however, the bidirectional causality in the short-run is negative.
    • Convergence in condominium prices of major U.S. metropolitan areas

      Apergis, Nicholas; Payne, James; University of Piraeus; Benedictine University (Emerald, 2019-11-04)
      The purpose of the study is to examine the long-run convergence properties of condominium prices based on the ripple effect for five major U.S. metropolitan areas (Boston, Chicago, Los Angeles, New York, and San Francisco). Specifically, we test for both overall convergence in condominium prices and the possibility of distinct convergence clubs to ascertain the interdependence of geographically dispersed metropolitan condominium markets. Our analysis employs two approaches to identify the convergence properties of condominium prices: the Lee and Strazicich (2003) unit root test with endogenous structural breaks and the Phillips and Sul (2007; 2009) time-varying nonlinear club convergence tests. The Lee and Strazicich (2003) unit root tests identify two structural breaks in 2006 and 2008 with rejection of the null hypothesis of a unit root and long-run convergence in condominium prices in the cases of Boston and New York. The Phillips and Sul 92007; 2009) club convergence test reveals the absence of overall convergence in condominium prices across all metropolitan areas, but the emergence of two distinct convergence clubs with clear geographical segmentation: on the east coast with Boston and New York and the west coast with Los Angeles and San Francisco while Chicago exhibits a non-converging path. The results highlight the distinct geographical segmentation of metropolitan condominium markets, which provides useful information to local policymakers, financial institutions, real estate developers, and real estate portfolio managers. The limitations of the research is the identification of the underlying sources for the convergence clubs identified due to the availability of monthly data for a number of potential variables. The absence of overall convergence in condominium prices, but the emergence of distinct convergence clubs that reflects the geographical segmentation of metropolitan condominium markets raises the potential for portfolio diversification. Unlike previous studies that have focused on single-family housing, this is the first study to examine the convergence of metropolitan area condominium prices.
    • Convergence in cryptocurrency prices? The role of market microstructure

      Apergis, Nicholas; Koutmos, Dimitrios; Payne, James; University of Derby; Worcester Polytechnic Institute; University of Texas, El Paso (Elsevier, 2020-07-04)
      Do we observe convergence between cryptocurrencies over time? This study explores this question with eight major cryptocurrencies in circulation and posits a framework to evaluate whether shifts in their market microstructures drive convergence. Three main findings emerge. First, convergence can emerge between cryptocurrencies with distinct technological functions and classifications. Second, market microstructure behavior drives convergence. Third, estimated transition paths show tighter convergence for half of our sampled cryptocurrencies during the time when the Chicago Board of Exchange (CBOE) introduced bitcoin futures contracts.
    • Convergence in U.S. house prices by state: evidence from the club convergence and clustering procedure

      Apergis, Nicholas; Payne, James; University of Piraeus; University of South Florida Polytechnic (Springer, 2012-07)
      This study examines the convergence of U.S. house prices by state over the quarterly period 1975:1 to 2010:4 through the club convergence and clustering procedure of Phillips and Sul (Econometrica 75:1771–1855, 2007). The results indicate the presence of three convergence clubs with the first convergence club consisting of 29 states inclusive of the entire BEA regions of the Mideast, New England, and Rocky Mountain as well as several states from the other BEA regions. The second convergence club consists of 19 states primarily in the Southeast and Plains regions along with a few states from the Far West, Southwest, and Great Lakes regions. The third convergence club comprises two states in the Southeast region (Arkansas and Mississippi).
    • Convergence of per capita carbon dioxide emissions among developing countries: evidence from stochastic and club convergence tests

      Apergis, Nicholas; Payne, James; University of Derby; University of Texas, El Paso (Springer, 2020-06-19)
      This exploratory study extends the literature on the convergence of per capita carbon dioxide emissions in analyzing the stochastic and club convergence within a panel framework for developing countries. The results from Pesaran (2007) and Bai and Carrion-i-Silvestre (2009) panel unit root tests with allowance for cross-sectional dependence confirm stochastic convergence for low-income, lower-middle income, and combined country panels. Further analysis using the nonlinear time-varying factor model of Phillips and Sul (2007; 2009) to test for convergence reveals the emergence of multiple convergence clubs within each of the three country panels examined. We observe geographic proximity among many of the countries within the respective convergence clubs.
    • Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts.

      Apergis, Nicholas; Bowden, Nicholas; Payne, James; University of Piraeus; Illinois State University; Georgia College & State University (Elsevier, 2015-02-16)
      This study examines the cointegration between city-gate and residential retail natural gas prices at the U.S. state level using monthly data from 1989:1 to 2012:12. Both price series are tested for unit roots using the Harris (2009) procedure to endogenously identify structural breaks related to deregulation associated with FERC Order No. 636. The endogenously determined structural breaks are then used in the Saikkonen and Lütkepohl (2000a, 2000b, 2000c) maximum likelihood approach to test cointegration of the series. Tests show cointegration of the two price series for all 50 states. Estimates of the long-run relationship in the pre- and post-structural break periods result in mixed evidence about the degree of perfect market integration induced by deregulation, although the magnitude and variation of parameters indicate increased integration. A vector error correction model is used to infer causality in the short and long-run dynamics for the pre and post-structural break periods for each state. The post-break period exhibits bidirectional causality in both short and long-run dynamics for all states, an indication of greater downstream integration of the natural gas market.
    • Dynamics of U.S. state cigarette consumption: evidence from panel error correction modeling.

      Apergis, Nicholas; Goel, Rajeev; Payne, James; University of Piraeus; Illinois State University; University of New Orleans (Springer., 2014-01-10)
      This study uses state-level data for nearly four decades to study the dynamic demand for cigarettes, focusing especially on the long-run equilibrium relationship between cigarette consumption and its determinants as well as the short-run and long-run causal dynamics. We find the presence of cointegration with the long-run equilibrium, indicating the price elasticity of cigarette demand to be negative and inelastic, the income elasticity is positive and the border smuggling effects are significant, with substantial variations across individual states. Of the various smoking control policies considered, questions remain as to the effectiveness of aggregate anti-smoking initiatives that treat all states alike. Furthermore, the causal dynamics reveal bi-directional causality between cigarette consumption and its determinants. Some policy implications are discussed.
    • The emissions, energy consumption, and growth nexus: Evidence from the commonwealth of independent states

      Apergis, Nicholas; Payne, James; University of Piraeus; Illinois State University (Elsevier, 2010-01)
      This study examines the causal relationship between carbon dioxide emissions, energy consumption, and real output within a panel vector error correction model for eleven countries of the Commonwealth of Independent States over the period 1992–2004. In the long-run, energy consumption has a positive and statistically significant impact on carbon dioxide emissions while real output follows an inverted U-shape pattern associated with the Environmental Kuznets Curve (EKC) hypothesis. The short-run dynamics indicate unidirectional causality from energy consumption and real output, respectively, to carbon dioxide emissions along with bidirectional causality between energy consumption and real output. In the long-run there appears to be bidirectional causality between energy consumption and carbon dioxide emissions.
    • An empirical note on entrepreneurship and unemployment: Further evidence from U.S. States

      Apergis, Nicholas; Payne, James; University of Piraeus; Georgia College & State University (Emerald, 2016-11-04)
      The purpose of this paper is to extend the existing literature on the causal dynamics between entrepreneurship and the unemployment rate (UR) in the use of the Kauffman Foundation index of entrepreneurial activity. Recently developed panel unit root tests with recognition of cross-sectional dependence and panel cointegration/error correction modeling techniques are applied to US States. The results indicate that the rate of entrepreneurship, the UR, and real per capita personal income are cointegrated. The panel error correction model reveals that bidirectional causality exists among the variables in both the short run and long run. With respect to entrepreneurship, an increase in the UR increases the rate of entrepreneurship, in turn, an increase in the rate of entrepreneurship lowers the UR. Moreover, the results also show a positive bidirectional relationship between the rate of entrepreneurship and real per capita personal income.
    • Florida metropolitan housing markets: examining club convergence and geographical market segmentation

      Apergis, Nicholas; Payne, James; University of Derby; University of Texas at El Paso (Taylor and Francis, 2020-06-10)
      This study explores the convergence of housing prices for 21 metropolitan areas within the state of Florida for the quarterly period 1987:2 to 2017:3. The examination of house price differentials between metropolitan and state-level house prices using a battery of univariate and panel unit root testing approaches yielded mixed results with respect to the presence of convergence. However, the Phillips-Sul (2007; 2009) club convergence approach identifies four distinct convergence clubs for metropolitan area house prices within Florida with a relatively clear geographical segmentation of the housing market.
    • The influence of economic policy uncertainty and geopolitical risk on U.S. citizens overseas air passenger travel by regional destination

      Apergis, Nicholas; Payne, James; University of Derby; University of Texas at El Paso (SAGE, 2020-12-22)
      This research note extends the literature on the role of economic policy uncertainty and geopolitical risk on U.S. citizens overseas air travel through the examination of the forecast error variance decomposition of total overseas air travel and by regional destination. Our empirical findings indicate that across regional destinations U.S. economic policy uncertainty explains more of the forecast error variance of U.S. overseas air travel followed by geopolitical risk with global economic policy uncertainty explaining a much smaller percentage of the forecast error variance.
    • Live free or bribe: On the causal dynamics between economic freedom and corruption in U.S. states

      Apergis, Nicholas; Dincer, Oguzhan; Payne, James; University of Piraeus; Illinois State University; University of South Florida Polytechnic (Elsevier, 2012-06)
      We investigate the relationship between economic freedom and corruption using data from U.S. states covering almost a quarter of a century. Our study advances the existing literature on several fronts. First, instead of using subjective cross-country corruption indices assembled by various investment risk services, we use a more objective measure of corruption: the number of government officials convicted in a state for crimes related to corruption. Second, unlike previous studies, we exploit both time series and cross-sectional variation in the data in the estimation of a panel error correction model. The panel error correction model results show that in the long-run economic freedom, per capita income, and education have a negative and statistically significant impact on corruption whereas income inequality has a positive and statistically significant impact. The causality tests associated with the panel error correction model reveal bidirectional causality between economic freedom and corruption in both the short-run and long-run.
    • Modeling the time varying volatility of housing returns: Further evidence from the U.S. Metropolitan condominium markets

      Apergis, Nicholas; Payne, James; University of Derby; University of Texas, El Paso (Wiley, 2019-04-22)
      This study extends the literature on modeling the volatility of housing returns to the case of condominium returns for five major U.S. metropolitan areas (Boston, Chicago, Los Angeles, New York, and San Francisco). Through the estimation of ARMA models for the respective condominium returns, we find volatility clustering of the residuals. The results from an ARMA-TGARCH-M model reveal the absence of asymmetry in the conditional variance. Dummy variables associated with the housing market collapse unique to each metropolitan area were statistically insignificant in the conditional variance equation, but negative and statistically significant in the mean equation. Condominium markets in Los Angeles and San Francisco exhibit the greatest persistence to volatility shocks.
    • Monetary policy rules and the equity risk premium: Evidence from the US experience.

      Apergis, Nicholas; Payne, James; University of Piraeus; Benedictine University (Wiley., 2018-04-23)
      This study explores the role of monetary policy rules and central bank actions originating from such rules that directly affects the equity risk premium. The results indicate that monetary policy rules have a direct impact on the equity risk premium through investors’ appetite for risk and greater uncertainty faced by market participants. The analysis includes the pre‐ and post‐2008 financial crisis periods in finding that monetary policy actions had a much greater impact on the equity risk premium in the post‐2008 crisis period due in part to the funding conditions of banking intermediaries, thus exerting a greater impact on credit conditions during this period.
    • New Evidence on the Information and Predictive Content of the Baltic Dry Index

      Apergis, Nicholas; Payne, James; University of Piraeus; University of New Orleans (MDPI, 2013-07-24)
      This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint predictability capacity of the BDI for both financial assets and industrial production. The results reveal the role of the BDI in predicting the future course of the real economy, yielding a link between financial asset markets and the macroeconomy.
    • The oil curse, institutional quality, and growth in MENA countries: Evidence from time-varying cointegration

      Apergis, Nicholas; Payne, James; University of Piraeus; Georgia College & State University (Elsevier, 2014-09-16)
      This study re-examines the impact of oil abundance on economic growth in a number of MENA (Middle East and North African) countries for the period 1990–2013. Given the number of economic and institutional reforms undertaken by these countries in recent years, we incorporate measures of institutional quality to evaluate if oil abundance impacts economic growth differently. The results from time-varying cointegration reveal that better institutional quality reduces the unfavorable effect of oil reserves on the performance of the real economy.
    • Oil reserve life and the influence of crude oil prices: An analysis of Texas reserves.

      Apergis, Nicholas; Ewing, Bradley; Payne, James; University of Piraeus; Texas Tech University; Georgia College & State University (Elsevier., 2016-02-27)
      Oil producing exploration and production companies generate revenue from reserves which, from any given well, are depleting over time. The reserve life index measures how long reserves would last at the current production rate if there were no additions to reserves. In this study, we examine the time series behavior of the reserve life index for each of the twelve onshore oil producing districts in Texas. Specifically, we model the relationship between reserve life and the real price of oil within a nonlinear ARDL framework. Among the results, we find evidence of both long-run and short-run asymmetries in the response of reserve life to increases/decreases in real oil prices. Further, the magnitude of the effect is greater for positive changes in real oil prices than for negative changes in real oil prices. The findings are important to operators, investors and policymakers interested in sustainability.