Does final energy demand in Portugal exhibit long memory? A fractional integration analysis
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/15744 |
Resumo: | In this paper, we measure the degree of fractional integration in final energy demand in Portugal using an ARFIMA model with and without adjustments for seasonality. We consider aggregate energy demand as well as final demand for petroleum, electricity, coal, and natural gas. Our findings suggest the presence of long memory in all of the components of energy demand. All fractional-difference param- eters are positive and lower than 0.5 indicating that the series are stationary, although with mean reversion patterns slower than in the typical short-run processes. These results have important implications for the design of energy policies. As a result of the long-memory in final energy demand, the effects of temporary policy shocks will tend to disappear slowly. This means that even transitory shocks have long lasting effects. Given the temporary nature of these effects, however, permanent effects on final energy demand require permanent policies. This is unlike what would be suggested by the more standard, but much more limited, unit root approach, which would incorrectly indicate that even transitory policies would have permanent effects. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Does final energy demand in Portugal exhibit long memory? A fractional integration analysisLong memoryFinal energy demandARFIMA modelPortugalIn this paper, we measure the degree of fractional integration in final energy demand in Portugal using an ARFIMA model with and without adjustments for seasonality. We consider aggregate energy demand as well as final demand for petroleum, electricity, coal, and natural gas. Our findings suggest the presence of long memory in all of the components of energy demand. All fractional-difference param- eters are positive and lower than 0.5 indicating that the series are stationary, although with mean reversion patterns slower than in the typical short-run processes. These results have important implications for the design of energy policies. As a result of the long-memory in final energy demand, the effects of temporary policy shocks will tend to disappear slowly. This means that even transitory shocks have long lasting effects. Given the temporary nature of these effects, however, permanent effects on final energy demand require permanent policies. This is unlike what would be suggested by the more standard, but much more limited, unit root approach, which would incorrectly indicate that even transitory policies would have permanent effects.Springer VerlagRepositório da Universidade de LisboaBelbute, José ManuelPereira, Alfredo Marvão2018-06-28T12:35:40Z2016-082016-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15744engBelbute, José Manuel e Alfredo Marvão Pereira (2016). "Does final energy demand in Portugal exhibit long memory? A fractional integration analysis". Portuguese Economic Journal, 15(2):59-771617-982X (print)10.1007/s10258-016-0118-5metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-28T01:30:57Zoai:www.repository.utl.pt:10400.5/15744Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:20.216044Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis |
title |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis |
spellingShingle |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis Belbute, José Manuel Long memory Final energy demand ARFIMA model Portugal |
title_short |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis |
title_full |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis |
title_fullStr |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis |
title_full_unstemmed |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis |
title_sort |
Does final energy demand in Portugal exhibit long memory? A fractional integration analysis |
author |
Belbute, José Manuel |
author_facet |
Belbute, José Manuel Pereira, Alfredo Marvão |
author_role |
author |
author2 |
Pereira, Alfredo Marvão |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Belbute, José Manuel Pereira, Alfredo Marvão |
dc.subject.por.fl_str_mv |
Long memory Final energy demand ARFIMA model Portugal |
topic |
Long memory Final energy demand ARFIMA model Portugal |
description |
In this paper, we measure the degree of fractional integration in final energy demand in Portugal using an ARFIMA model with and without adjustments for seasonality. We consider aggregate energy demand as well as final demand for petroleum, electricity, coal, and natural gas. Our findings suggest the presence of long memory in all of the components of energy demand. All fractional-difference param- eters are positive and lower than 0.5 indicating that the series are stationary, although with mean reversion patterns slower than in the typical short-run processes. These results have important implications for the design of energy policies. As a result of the long-memory in final energy demand, the effects of temporary policy shocks will tend to disappear slowly. This means that even transitory shocks have long lasting effects. Given the temporary nature of these effects, however, permanent effects on final energy demand require permanent policies. This is unlike what would be suggested by the more standard, but much more limited, unit root approach, which would incorrectly indicate that even transitory policies would have permanent effects. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-08 2016-08-01T00:00:00Z 2018-06-28T12:35:40Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/15744 |
url |
http://hdl.handle.net/10400.5/15744 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Belbute, José Manuel e Alfredo Marvão Pereira (2016). "Does final energy demand in Portugal exhibit long memory? A fractional integration analysis". Portuguese Economic Journal, 15(2):59-77 1617-982X (print) 10.1007/s10258-016-0118-5 |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131102140432384 |