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Long monthly European temperature series and the North Atlantic Oscillation

Author

Listed:
  • He, Changli
  • Kang, Jian
  • Silvennoinen, Annastiina
  • Teräsvirta, Timo

Abstract

In this paper the relationship between the surface air temperatures in 28 European cities and towns and the North Atlantic Oscillation (NAO) are modelled using the Vector Seasonal Shifting Mean and Covariance Autoregressive model, extended to contain exogenous variables. The model also incorporates season-specific spatial correlations that are functions of latitudinal, longitudinal, and elevation differences of the various locations. The empirical results, based on long monthly time series, agree with previous ones in the literature in that the NAO is found to have its strongest effect on temperatures during winter months. The transition from the winter to the summer is not monotonic, however. The strength of the error correlations of the model between locations is inversely related to the distance between the locations, with a slower decay in the east–west than north–south direction. Altitude differences also matter but only during the winter half of the year.

Suggested Citation

  • He, Changli & Kang, Jian & Silvennoinen, Annastiina & Teräsvirta, Timo, 2023. "Long monthly European temperature series and the North Atlantic Oscillation," Energy Economics, Elsevier, vol. 126(C).
    • Handle: RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005017
    DOI: 10.1016/j.eneco.2023.107003
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    References listed on IDEAS

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    1. He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2021. "Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model," Energy Economics, Elsevier, vol. 97(C).
    2. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    3. He, Changli & Kang, Jian & Teräsvirta, Timo & Zhang, Shuhua, 2019. "The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016," Econometrics and Statistics, Elsevier, vol. 12(C), pages 1-24.
    4. Massimiliano Caporin & Paolo Paruolo, 2015. "Proximity-Structured Multivariate Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 559-593, May.
    5. John Haslett & Adrian E. Raftery, 1989. "Space‐Time Modelling with Long‐Memory Dependence: Assessing Ireland's Wind Power Resource," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 38(1), pages 1-21, March.
    6. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
    7. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
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    More about this item

    Keywords

    Changing seasonality; Climate change; Nonlinear model; Spatial correlation; Vector smooth transition autoregression;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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