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Crude oil, natural gas, and economic growth: impact and causality analysis in Caspian Sea region

S M Rashed Jahangir
S M Rashed Jahangir
 and 
Betul Yuce Dural
Betul Yuce Dural
   | Sep 30, 2018
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Article Category: Research Article
Published Online: Sep 30, 2018
Page range: 169 - 184
Received: Jun 08, 2018
Accepted: Sep 12, 2018
DOI: https://doi.org/10.2478/ijme-2018-0019
Keywords
© 2018 S M Rashed Jahangir, Betul Yuce Dural published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Graph 1.1

Percentage of crude oil production by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency
Percentage of crude oil production by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency

Graph 1.2

Percentage of natural gas production by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency
Percentage of natural gas production by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency

Graph 1.3

Percentage of crude oil export by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency
Percentage of crude oil export by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency

Graph 1.4

Percentage of natural gas export by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency
Percentage of natural gas export by region in 2015. Source: IEA (authors’ computation) Abbreviation: IEA, International Energy Agency

Granger causality test of GDP and natural gas export

Pairwise Granger causality tests
Sample: 1997–2015
Lags: 5
Null hypothesisObsF-statisticProb
NGEX does not Granger cause GDP1338.19120.025
GDP does not Granger cause NGEX1.802520.394

Granger causality test of GDP and crude oil price

Pairwise Granger causality tests
Sample: 1997–2015
Lags: 2
Null hypothesisObsF-statisticProb
COP does not Granger cause GDP163.668130.06
GDP does not Granger cause COP4.060090.04

ADF test results

Variablest-ADF statisticCritical (1%)Critical (5%)Con.
GDP-2.065634*-2.708094-1.962813S. (D1)
COR-3.567248*-3.920350-3.065585S. (D1)
COPRO-2.965859**-2.792154-1.977738S. (D1)
COP-3.245009*-3.886751-3.052169S. (D1)
COEX-1.976553*-2.708094-1.962813S. (D1)
NGR-4.768303**-3.886751-3.052169S. (D1)
NGPRO-3.965802**-3.886751-3.052169S. (D1)
NGP-5.384605**-3.886751-3.052169S. (D1)
NGEX-4.875451**-3.886751-3.052169S. (D1)

Regression analysis of GDP and crude oil variables

Dependent variable: GDP
Method: Least squares
Included observations18 after adjustments
VariableCoefficientStandard errort-statisticProb
C4.60E+104.32E+101.0649250.3063
COR3.85E+092.87E+091.3381450.2038
COPRO-92,240,2641.12E+08-0.8244050.4246
COP1.86E+102.31E+098.0625390.0000
COEX423,908.51,376,9890.3078520.7631
R20.893604
Adjusted R20.860867
F-statistic27.29624
Prob(F-statistic)0.000003

Granger causality test of GDP and natural gas price

Pairwise Granger causality tests
Sample: 1997–2015
Lags: 3
Null hypothesisObsF-statisticProb
NGP does not Granger cause GDP154.477300.040
GDP does not Granger cause NGP0.196800.895

Granger causality test of GDP and crude oil export

Pairwise Granger causality tests
Sample: 1997–2015
Lags: 2
Null hypothesisObsF-statisticProb
COEX does not Granger cause GDP160.585340.573
GDP does not Granger cause COEX4.934290.029

Regression analysis of GDP and natural gas variables

Dependent variable: GDP
Method: least squares
Included observations: 18 after adjustments
VariableCoefficientStandard errort-statisticProb
C9.00E+095.94E+100.1515320.8819
NGR-9.10E+089.56E+08-0.9526070.3582
NGPRO255,242.556,828.794.4914300.0006
NGP-2.72E+104.06E+10-0.6685110.5155
NGEX-131,583.6107,041.2-1.2292800.2408
R20.721312
Adjusted R20.635562
F-statistic8.411799
Prob (F-statistic)0.001407
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