The Connectedness of the Housing Market, Energy Market and Agricultural Commodities in the United States

In the first part of this dissertation, we investigate the dynamic response of renewable energy consumption to long-run and short-run impact of agricultural land usage for the period 1995-2014 in sixteen Coastline Mediterranean Countries (CMC-16). For this reason, a dynamic Autoregressive Distributed Lag (ARDL) approach is employed in a multivariate framework such that carbon emission and GDP are employed as additional variables in the model. With a speed of adjustment of 19.6% from short-run disequilibrium to long-run, the respective panel impacts of the real gross domestic product per capita and agricultural land are 16.31 (positive) and 0.78 (negative) in the long-run. Importantly, there is empirical evidence and significant short-run impact of agricultural land usage on renewable shares in total energy consumption in seven (7) of the CMC-16. Also, Granger causality evidence from carbon emission and GDP to renewable energy are all with feedbacks. However, Granger causality from agricultural land usage to renewable energy is without feedback. In the region, effective policy implementations through the collaborative effort of stakeholders will ensure a sustainable renewable energy development amidst agricultural activities. Proceeding further, rather the housing construction policy vis-à-vis dwellings, building and residential developments is incorporated to examine its impact on the renewable shares in total energy consumption in Spain, France, Slovenia, Greece, Turkey, Lebanon and Israel. The dynamic heterogeneous Pooled Mean Group approach is adopted for the investigation over a period of 1999 to 2015 with real gross domestic product per capita and the carbon emission being employed as additional variables. While a statistically significant and negative long-run impact is observed from the housing construction policy (3.73) and carbon emission (2.01), the impact of the real GDP is statistically significant and positive (0.00079). The panel will significantly adjust to long-run equilibrium under an unforeseen disturbance at a moderate annual speed of about 45.8%. The inference from the cross-section and short-run indicates that only in Israel is the housing construction policy having a significant impact on the renewable shares in total energy consumption. However, a feedback of Granger causality is significant from carbon emission to the renewables and the housing construction policy. Moreover, the response (using the Markov switching model) of renewable energy equity to prices of corn, soybean and wheat for the period 20/01/2012 -2/08/2018 for the United States is investigated. Given the statistically significant evidence of switching parameters, we found positive impacts of soybean and wheat on the renewable energy equity in both the stable and recession regimes while the impact is negative in the regimes for corn. The positive impact of soybean is an indication that the share of renewable energy and share of its export is highest while corn has recently been preferred for food rather than a source of renewable energy. Lastly, this research considers the measurement of return and volatility spillovers among the United States market components: renewable equity, Crude oil WTI and Brent (energy market), REIT (the housing market), and the wheat, corn and Soybeans (agricultural commodities). Using the novel approach of Diebold and Yilmaz (2012) for the sample period January 20, 2012 to August 2, 2018, the findings suggest the following empirical regularities. First, although low in magnitude, there is return and volatility shock transmissions among the components of the markets (housing market, energy market, and the agricultural commodities). Second, among the market components, the total net volatility spillovers is higher than the total net returns. Lastly, with a smaller sample size, the total net vitality spillovers is higher than the investigated full sample size. Moreover, our investigation further reveals significant evidence of pairwise directional volatility spillovers. Keywords: Renewable Energy, Housing Market, Agricultural Commodities, Carbon Emission, ARDL model; Markov Switch Model, Diebold and Yilmaz Approach.