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Swiss Journal of Economics and Statistics

Nexus between Co2 Emissions and Economic Growth in France


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Manuscript Number: SJES-D-21-00191

Full Title: Nexus between Co2 Emissions and Economic Growth in France

Article Type: Original article

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Abstract: The objective of this paper is to examine the relationship between carbon dioxide
(CO2) emissions and real Gross Domestic Product (GDP) in France by applying a
threshold effect model (TAR). This method is more general than the standard methods
based on the dichotomy between stationary and non-stationary series, and it allows to
identify critical thresholds in the relationship between income and CO2 emissions.
Indeed, this technique will generate different dynamics depending on the phase of the
cycle of the variables. The results reveal two optimal income thresholds. Indeed, when
GDP per capita remains below the first threshold (3293.47 US dollars), economic
activity positively affects environmental degradation, but when GDP per capita
oscillates between the two thresholds (3293.47 and 3878.09 US dollars), this elasticity
becomes increasingly weak. But when GDP per capita exceeds the second threshold
(US$3878.09), economic activity negatively affects CO2 emissions. This suggests the
need for environmental policies to reduce carbon dioxide emissions during periods of
economic growth.

Corresponding Author: PAUL VIVIEN OYIBO, Ph.D


Universite Alassane Ouattara
Bouaké, CÔTE D'IVOIRE

Corresponding Author E-Mail: oyibovivien@gmail.com

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Corresponding Author's Institution: Universite Alassane Ouattara

Corresponding Author's Secondary


Institution:

First Author: PAUL VIVIEN OYIBO, Ph.D

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Order of Authors: PAUL VIVIEN OYIBO, Ph.D

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Nexus between Co2 Emissions and Economic Growth in France


1
2
3
4 OYIBO Paul Vivien
5
6
7 Doctorant
8 Faculté des Sciences Economique et Développement
9 Université Alassane Ouattara de Bouaké, Côte d’Ivoire
10 Laboratoire d’Analyse et de Modélisation des Politiques Economiques (LAMPE)
11
12 oyibovivien@gmail.com
13
14
15 ABSTRACT
16
17
18 The objective of this paper is to examine the relationship between carbon dioxide (CO2)
19
20 emissions and real Gross Domestic Product (GDP) in France by applying a threshold effect
21
22
model (TAR). This method is more general than the standard methods based on the dichotomy
23 between stationary and non-stationary series, and it allows to identify critical thresholds in the
24
25 relationship between income and CO2 emissions. Indeed, this technique will generate different
26
27 dynamics depending on the phase of the cycle of the variables. The results reveal two optimal
28
29 income thresholds. Indeed, when GDP per capita remains below the first threshold (3293.47
30
31 US dollars), economic activity positively affects environmental degradation, but when GDP per
32
33
capita oscillates between the two thresholds (3293.47 and 3878.09 US dollars), this elasticity
34 becomes increasingly weak. But when GDP per capita exceeds the second threshold
35
36 (US$3878.09), economic activity negatively affects CO2 emissions. This suggests the need for
37
38 environmental policies to reduce carbon dioxide emissions during periods of economic growth.
39
40
41
Keywords : Carbon dioxide (CO2) emissions, Gross Domestic Product (GDP), France, TAR
42 model.
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45 JEL classification: Q44, Q53, Q56, Q58
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1. Introduction
1
2 The issue of global warming remains a major concern for environmental economists. The
3
4 concept encompasses both warming induced by human greenhouse gas emissions and the
5
6 resulting large-scale changes in weather patterns. This is a result of the high occurrence of
7
8 natural disasters and pandemics (OSTROM ,2010 ; Tietenberg and Lewis ,2016). In light of
9
10 these disasters, scientists are investigating the origins and causes of this phenomenon.
11
12 In general, scientists such as physicists opt for a terrestrial mutation, chemists present the
13
14 fragility of the ozone layer. Economists and sociologists blame production and consumption
15
16 patterns. Over the past decade, the relentless pursuit of national wealth and the over-
17
18 consumption of natural resources, especially energy, have led to a shift in the global climate
19
20 balance. The cause of this imbalance is human action (deforestation, CO2 emissions, etc.) on
21 the environment in order to improve economic well-being. Thus, the relationship between
22
23 environmental degradation and economic growth has been analysed by several theories, the
24
25 most famous of which is the Kuznets environmental curve. This theory shows an inverted U-
26
27 shaped relationship between these two variables. In other words, this theory states that as
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29 economic growth increases, so does environmental pollution, to a point where further growth
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31 leads to less pollution.
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33 Thus, while the relationship between CO2 emissions and GDP is a fact, its impact seems more
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35 than uncertain in the case of France. Thus, we are entitled to ask ourselves the question : What
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37 is the link between per capita income and CO2 emissions in France ? This study aims to examine
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39 empirically the relationship between per capita income and CO2 emissions in France.
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41 This study contributes to income-environment nexus debate. As a policy implications, it would
42
43 be important for the policymarkers to adopt an economic development related to environmental
44
45 protection, the investment in cleaner infrastructures, the advancement in the promotion of
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47 cleaner buldings, to diminishing the direct pollution linkage between the increasing
48 urbanization and the environment degradation process.
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50
51 2. Literature review
52
53
54
2.1. Theoretical review
55
56 The problem of valuing the environment in general has only recently become of interest to economists.
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58 While the advent of environmental valuation took place in the early 1970s, the study of impacts on the
59 health of populations only began to be conducted in the late 1980s. Since then, environmental
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62 2
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economists have placed great importance on health risk assessments, as these risks represent a
1
significant obstacle to a country's development. Thus, studies have continued to be carried out, with
2
3 great spatial and temporal disparity. Indeed, the Americans were the first to develop and popularise
4
5 environmental assessment methods. We can cite, for example, Hotelling (1931), Davis R. K. (1963),
6
7
Knetsch (1964). We are particularly indebted to Davis for the contingent valuation method (CVM). This
8 study was concerned with assessing the recreational value of Maine's forests. It involved individual
9
10 questionnaires and bidding for entrance fees. Once the survey was completed, the author estimated an
11
12
equation that predicted, based on the socio-economic characteristics of the individuals surveyed, the
13 equilibrium amount at which the individual voluntarily excludes himself from use.
14
15
16 The Kuznets environmental curve (KEC) states that there is a bell-shaped relationship between the level
17 of development and environmental degradation. Indeed, the more industrial progress, the driving force
18
19 of economic development, is triggered, the more natural resources are abused, which in turn leads to a
20
21 degradation of the environment. But at a certain level of development, the population becomes more
22 aware of the environment.
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24
25 Graph 1 : Kuznets Environmental Curve (KEC)
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27
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31
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33
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45 Source : Kuznets (1955)
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49
2.2. Empirical review
50 The link between debt and growth has been the subject of a multitude of empirical studies. For
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52 example, several studies suggest a non-linear relationship between these macroeconomic
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54 variables. Carbon dioxide emissions are the main cause of climate change and global warming
55
56 and are therefore among the most widely used indicators of environmental degradation
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58 (Shahbaz et al., 2013 ; khan et al., 2019 ; Cosmas et al., 2019). However, according to the CO2
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62 3
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emission-economic growth relationship improves if health is used as a transmission channel
1
2 (Constant and Raffin, 2016).
3
4
Long et al (2015) study the effect of economic growth and non-renewable energy use in carbon
5 emissions in China from 1952 to 2012, concluding that there is a bidirectional causality between
6
7 these emissions and consumption energy from fossil fuels, being especially the energy from
8
9 coal use as the most environmental impact. On the other hand, Zambrano-Monserrate et al
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11 (2016) analyse the behaviour of these variables for a period 1960-2010 in Iceland, determining
12
13 that while the consumption of fossil energy significatively increases the level of contamination
14
15
of a country, the use of non-renewable energy did not represent a significative reduction in
16 pollution.
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18 Balsalobre-Lorente et al (2021) examined the relationship between carbon dioxide emissions,
19
20 economic growth and urban population in Portugal,Italy, Greece and Spain for the period 1995-
21
22 2015. The econometric results validate the environmental Kuznets curve hypothesis that
23
24 urbanisation in these countries increases environmental degradation over the study period.
25
26
While the majority of studies confirm a non-linear relationship between economic growth and
27 environmental degradation. However, a few articles show a linear relationship between these
28
29 two variables. Caporale (2021) analysed the relationship between log CO2 emissions and real
30
31 GDP in China by applying fractional integration and cointegration methods. The results show
32
33 the existence of a long-run equilibrium relationship between the two variables in first
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35 differences.
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38 3. Methodology
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41 The empirical work mentioned in the literature review allowed us to develop our model based
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on time series. The determination of the threshold of a macroeconomic variable remains a theme
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44 that opens up several modelling avenues. Thus, to examine the relationship between the
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46 logarithms of carbon dioxide (CO2) emissions and real gross domestic product (GDP) in
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48 France, we opted for a threshold autoregression (TAR) model. This chapter will first present
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50 the econometric approach and then give a brief overview of the (individual and comparative)
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52 evolution of the variables.
53 Theoretical model
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55 The existence of non-linear relationships between economic activity and environmental
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57 degradation can be modelled simply by using threshold models. The objective of using this
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59 model is to identify critical thresholds in the relationship between income and CO2 emissions.
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62 4
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Indeed, this technique will generate different dynamics depending on the phase of the cycle of
1
2 the variables. The change in dynamics depends on the sign of the difference between the
3
4
transition variable and the threshold value. Threshold models were introduced by Tong and Lim
5 (1980). The specifications of the TAR are easy to estimate and interpret.
6
7 The model is formulated as follows:
8
9
10
11 Yt = 1 X t I (qt   ) + 2 X t I (qt   ) +  t (1)
12
13 With I(.) the indicator function. We can therefore reformulate it by the following equation:
14
15  X +  t qt  
16 Yt =  1 t (2)
17  2 X t +  t qt 
18
19 with : Yt : the dependent variable ; X t :the vector of independent variables; qt : the transition
20
21
22 variable ;  : the threshold value ;  t : the residuals of the estimate. Thus, qt  X t , that is, the
23
24 transition variable can be one of the elements of the vector of independent variables and its
25
26 distribution is assumed to be continuous.
27 Empirical model
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30 As mentioned in the literature review, we use carbon dioxide (CO2) emissions as the dependent
31
32 variable and log GDP per capita (GDPC) and urban population (POP_UR) as explanatory
33 variables. All the data used in this section come from the World Bank database (WDI 2021)
34
35 and cover the period from 1970 to 2020. All variables will be expressed in logarithm to reduce
36
37 the amplitude scale between variables.
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39 Thus, the model to be estimated is the following:
40
41   + 1 LogGDPCt +  2 LogPOP _ URt +  t qt  
LogCO2t  0 (3)
 0 + 1 LogGDPCt +  2 LogPOP _ URt +  t qt  
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43
44
45
46 With  : the threshold value and qt : the LGDP.
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48
49 Ainsi, les signes attendus après l’estimation du modèle TAR sont consigné dans le tableau ci-
50
51 dessous :
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Table 1 : Definitions of variables and expected signs
1
2
3 Variable Définition Signe espéré Source
4
5 LogCO2 Carbon dioxide logarithm WDI (2021)
6 LogGDPC Logarithm of GDP per capita (constant 2010 US dollars) + WDI (2021
7
8 LogPOP_UR Logarithm of urban population as a percentage of total _ WDI (2021
9 population
10
11
12
Source : Author's composition
13
14 Graph 2 : Evolution of carbon dioxide emissions
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16
Carbon dioxide emissions (kt)
17
18 550,000
19
20 500,000
21
22 450,000
23
24 400,000
25
26 350,000
27
28 300,000
70 75 80 85 90 95 00 05 10 15 20
29
30
31
32 Source : Author from Eviews 12
33
34 The visual analysis of Graph 2 reveals that the series does not float around its average 389834.5
35 kt. Indeed, the carbon dioxide emission covering the sub-period 1970-1985 exceeds the average
36
37 emission (389834.5 kt) of the study period. This is due to the policy applied after the Second
38
39 World War to promote industrial development. After 1985, the consideration of environmental
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41 issues was assimilated to the consideration of economic and social issues. The search for
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43 sustainable development to the detriment of economic development became the major objective
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45 of the French government. Thus, there has been a reduction in carbon dioxide emissions, with
46 a minimum value of 304530kt being observed in 2014.
47
48
49 4. Empirical results
50
51
52
In this section, we will show the results of our econometric approach and give coherent and
53 succinct interpretations.
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4.1.Preliminary tests and non-linearity test
1
2 Preliminary tests
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4
5 As mentioned above, the preliminary tests concern the descriptive statistics and the
6
correlation matrix.
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8 Table 2 : Descriptive statistics
9
10
11 LOGCO2 LOGGDPC LOGPOP_UR
12 Mean 12.86180 8.284363 4.324761
13 Median 12.83468 8.260553 4.316314
14 Maximum 13.17904 8.689196 4.394140
15 Minimum 12.62652 7.913553 4.263454
16
Std. Dev. 0.152458 0.190785 0.035535
17
Skewness 0.524176 0.334193 0.393950
18
Kurtosis 2.361527 2.375402 2.018233
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20
Jarque-Bera 3.201714 1.778330 3.367390
21
Probability 0.201724 0.410999 0.185687
22
23
24 Sum 655.9517 422.5025 220.5628
25 Sum Sq. Dev. 1.162179 1.819943 0.063138
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27 Observations 51 51 51
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29
30
Source : Author from Eviews 12
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33 Over the 51 years of observation, the average log carbon dioxide emission is 12.86. The
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35 maximum value is 13.17 compared to the minimum value of 12.62. The maximum value is
36 13.17 compared to the minimum value of 12.62. The average value of the logarithm of GDP is
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38 28.07, and the maximum value of this variable is 28.48. The average urban population as a
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40 percentage of the total population was 75.59%, while the maximum value was 80.97%. A
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42 remarkable observation of the descriptive statistics is that the time series behave well overall.
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44 Indeed, this table shows us that the mean and the median are very close, which implies that the
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data do not suffer from any "outlier" problem insofar as the mean and the median are roughly
47 equal. Furthermore, the table reveals that all the series are normally distributed as the
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49 probability value of the Jarque-Bera statistic is greater than 5%.
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Table 3 : Correlation matrix of the variables
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2
3 LOGPOP_UR
4 Probability LOGCO2 LOGGDPC
5 LOGCO2 1.000000
6 -----
7
8 LOGGDPC -0.755746 1.000000
9 0.0000 -----
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11 LOGPOP_UR -0.840651 0.960037 1.000000
12 0.0000 0.0000 -----
13
14 Source : Author from Eviews 12
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The correlation matrix reveals that the two exogenous variables (log GDP and urbanisation) are
17 strongly negatively correlated with the log carbon dioxide emission. Overall, all correlation
18
19 links are significant (p-value less than 5%).
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22 The results of the Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) stationarity tests
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24 indicate that all variables are stationary in first differences (integrated of order 1).
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26 Non-linearity test
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28 Table 4 : Threshold non-linearity test
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31 Sequential F-statistic determined thresholds: 2
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Scaled Critical
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Threshold Test F-statistic F-statistic Value**
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0 vs. 1 * 14.0297 42.08933 13.98
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1 vs. 2 * 12.8553 38.5661 15.72
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2 vs. 3 2.4186 7.2558 16.83
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38 Source : Author from Eviews 12
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41 According to Table 4 above, there is an inverted U-shaped relationship between CO2 emissions
42 and economic activity. This relationship is characterised by the existence of two thresholds.
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44 Indeed, the Fisher statistic is above the critical value of the 5% threshold when the 0 hypothesis
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46 is confronted with the 1 hypothesis.
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48 Having confirmed the non-linearity relationship, we can proceed to determine the number of
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50 regimes. Thus, the results are presented in Table 5 below.
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52 Table 5 : Number of regimes
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Threshold Variable SSR Regimes
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56 LOGGDPC 0.076507 3
57 Source : Author from Eviews 1
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D'après le tableau 5, la relation non linéaire entre les émissions de CO2 et l'activité économique
1
2 comprend 3 régimes. Les résultats obtenus précédemment confirment l'utilisation du modèle
3
4
TAR (Threshold autoregression). Dans la suite, nous allons présenter les résultats de nos
5 estimations.
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8 4.2.TAR model estimation and diagnostic test
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10 TAR model estimation
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12
13 The results of our estimations are presented in Table 6 below:
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16 Table 6 : Result of the TAR model estimation
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18
19 Variable Coefficient Std. Error t-Statistic Prob.
20 LOGGDPC < 8.0997 -- 9 obs
21
22 LOGGDPC 2.5756*** 0.507749 5.072732 0.0000
23 LOGPOP_UR -14.5776*** 2.251556 -6.474461 0.0000
24 C 54.7666*** 6.296046 8.698577 0.0000
25 8.099707 <= LOGGDPC < 8.263115 -- 17 obs
26 LOGGDPC 1.0858*** 0.288456 3.764291 0.0005
27 LOGPOP_UR -17.8748*** 1.444363 -12.37558 0.0000
28 C 80.9314*** 4.922504 16.44111 0.0000
29 8.263115 <= LOGGDPC -- 25 obs
30 LOGGDPC -0.079572 0.159630 -0.498476 0.6207
31 LOGPOP_UR -2.6701*** 0.833297 -3.204371 0.0026
32 C 25.0595*** 2.493176 10.05127 0.0000
33 Adjusted R-squared 0.921630 S.D. dependent var 0.152458
34 F-statistic 74.49999 Durbin-Watson stat 1.706654
35 Note : ***
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37 Source : Author from Eviews 12
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39
40
41 Thus, the equation becomes :
42
43  54.76 + 2.57 LogGDPCt − 14.57 LogPOP _ URt +  t ; qt  8.09

44 LogCO 2t 80.93 + 1.08LogGDPCt − 17.87 LogPOP _ URt +  t ; 8.09  qt  8.26
45
 25.05 − 0.07 LogGDPCt − 2.67 LogPOP _ URt +  t ; qt  8.26
46 
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48 All other things being equal, it is assumed that.
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50
51 In the first regime (the level of the logarithm of GDP per capita is less than 8.0997 US Dollars,
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53
i.e. a GDP per capita of 3293.47 US Dollars) economic activity has a positive and significant
54 effect on CO2 emissions. Indeed, a 1% increase in the logarithm of GDP per capita leads to a
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56 2.57% increase in the level of CO2 emissions. The logarithm of the urban population has a
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58 negative and significant influence on the logarithm of CO2 emissions. Indeed, a 1% increase in
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60 the logarithm of the urban population leads to a 14.57% decrease in environmental degradation.
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62 9
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In the second regime (the level of the logarithm of GDP per capita varies between 8.0997 and
1
2 8.2631 US Dollars), the logarithm of GDP per capita has a negative and significant influence
3
4
on environmental degradation. A 1% increase in the logarithm of GDP per capita leads to a
5 1.08% decrease in the logarithm of carbon dioxide emissions. As for urbanisation, the logarithm
6
7 of the urban population negatively influences the environment with a high absolute elasticity.
8
9 In sum, the results from the second regime are similar to the results from the first regime.
10
11
12 In the third and last regime, all variables negatively affect environmental degradation. This can
13 be explained by the fact that when the national economy reaches a level of per capita income
14
15 higher than 3878.09 US Dollars (Log GDPC=8.2631 US Dollars), the demand for a healthier
16
17 environment by the population becomes more and more important.
18
19
20 The results obtained show the existence of two critical thresholds: 8.0997 US Dollars or a GDP
21 per capita of 3293.47 US Dollars and 8.2631 or a GDP per capita of 3878.09 US Dollars. In
22
23 fact, the relationship linking CO2 emissions to economic activity remains positive as long as
24
25 the GDP per capita does not exceed the threshold of US$3878.09, i.e. an associated elasticity
26
27 of 0.020. Once this value is exceeded, economic activity leads to a reduction in environmental
28
29 degradation. Over the period 1970 to 2020, these two thresholds were exceeded 25 times,
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31 notably from 1996 to 2020.
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33 In sum, all other things being equal, according to the results of Table 6, the optimal thresholds
34
35 for GDP per capita are presented in the table 7 below:
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37
Table 7 : Number of critical thresholds
38
39
40 Threshold values :
41 Sequential Repartition
42
1 8.2667 8.0997
43
2 8.0997 8.2631
44
45 Source : Author from Eviews 12
46
47
48
49
This result verifies the Kuznets environmental curve hypothesis for France economy.
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51
52 4.3.Presentation of diagnostic test results
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54 In this section, it will be a question of presenting the results of the diagnostic tests on the
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56 residuals of the model.
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Tests de diagnostique
1
2
Table 8 : Residual diagnostic tests
3
4
Objet Test Statistic test P-value Conclusion
5
6 Autocorrelation Breusch Godfrey Serial LM Test nR² = 2,9697 0,0627 No autocorrelation
7 Heteroscedasticity Breusch-Pargan-Godfrey nR² = 1,3743 0,2357 No heteroscedasticity
8 Normality Jarque Bera JB = 0,6918 0,6918 Normal distribution
9
10
Source : Author from Eviews 12
11
12
13 Les p-value des différents tests sont supérieurs au seuil de significativité de 5%.
14
15
16 Graph 3 : Test de COSUM et de CUSUM-Q
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16 1.4
18
19 12 1.2

20 8 1.0
21 0.8
4
22 0.6
0
23 0.4
24 -4
0.2
25 -8
0.0
26 -12 -0.2
27
-16 -0.4
28 94 96 98 00 02 04 06 08 10 12 14 16 18 20 94 96 98 00 02 04 06 08 10 12 14 16 18 20
29
CUSUM 5% Significance CUSUM of Squares 5% Significance
30
31
32 Source : Author from Eviews 12
33
34 Finally, the tests of stability of the estimated model make it possible to confirm this. Indeed,
35
36 the two versions of this test, namely the CUSUM, based on the cumulative sum of the recursive
37
38
residuals, and the CUSUM SQ, based on the cumulative sum of the square of the recursive
39 residuals, are conclusive. On the graph the recursive residuals (in blue) are very close to zero,
40
41 it is largely within the confidence interval (in red). We can therefore conclude that there is no
42
43 instability of the parameters over time. Similarly, the graph shows that the solid line (blue)
44
45 always remains between the two dotted lines (red), whatever the observation time, and the
46
47 residual variance is stable at the 5% threshold.
48
49 5. Conclusion
50
51
52 The main objective of this study is to determine the effect of economic growth on environmental
53
54
degradation in France. To achieve this general objective, we used a threshold autoregressive
55 model (TAR). Indeed, our study covers the period from 1970 to 2020.
56
57
58 The results of the econometric estimations highlight the existence of a non-linear relationship
59
60 between economic activity and CO2 emissions supported by Balsalobre-Lorente et al (2021).
61
62 11
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64
65
Thus, there would be two optimal thresholds of GDP per capita that would maximise
1
2 environmental degradation. Thus, when the GDP per capita is lower than 3261.68 US dollars
3
4
(Log GDPC=8.09US dollars), economic activity positively and significantly affects
5 environmental degradation with an elasticity equal to 2.57. However, when the GDP per capita
6
7 is between 3261.68 and 3866.09 US dollars, the elasticity becomes increasingly low, at 1.08.
8
9 On the other hand, when the GDP per capita is higher than 3866.09 US dollars (Log
10
11 GDPC=8.26 US dollars), economic activity has a significant negative influence on carbon
12
13 dioxide emissions. On the other hand, whatever the level of income per capita, urbanisation
14
15
negatively and significantly affects carbon dioxide emission.
16
17 These results reveal that, in the quest for national well-being, French economic agents tend to
18
19 degrade the environment until they reach two levels of wealth before demanding a healthier
20
21 environment. This has led to a tightening of standards and an improvement in the quality of the
22
23
environment in some French cities, notably Paris. The Kuznets environmental curve hypothesis
24 for the French economy is therefore verified.
25
26
27 This study contributes to the debate on the link between income and environment. In terms of
28
29 policy implications, it would be important for policy makers to adopt economic development
30
31 linked to environmental protection, investment in cleaner infrastructure, advancement in the
32 promotion of cleaner buildings, in order to decrease the direct pollution link between increasing
33
34 urbanisation and the environmental degradation process.
35
36
37 6. Declarations
38
39 -Availability of data and materials
40
41
42 The data used in this paper are taken from the World Bank Word Development Indicator
43
44 database (2021) and cover the period 1970-2020. The econometric estimate was made on
45
Eviews 12.
46
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48 -Competing interests
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53 -Funding
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This work aims to help the policy makers to adopt economic development linked to
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2 environmental protection, investment in cleaner infrastructure, advancement in the promotion
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of cleaner buildings, in order to decrease the direct pollution link between increasing
5 urbanisation and the environmental degradation process.
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8 -Acknowledgements
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we would like to thank Professor KEHO Yaya, who has always been present to provide precise
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12 remarks and solutions in the face of theoretical and/or empirical obstacles.
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15 -Authors' information (optional)
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17 This paper entitled " Nexus between Co2 Emissions and Economic Growth in France " is by
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19 Paul Vivien OYIBO, PhD student in Economics and Development at Alassane Ouattara
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21 University in Bouaké (Côte d’Ivoire). Email : oyibovivien@gmail.com
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APPENDIX
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Appendix 3 : Estimation of the TAR model
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Appendix 4 : Threshold pecification
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Appendix 6 : Heteroscedasticity test
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24 Appendix 8 : Normality test
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27 Series: Residuals
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Mean -1.15e-14
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5 Median 0.001017
34 4 Maximum 0.091065
35 Minimum -0.098226
36 3 Std. Dev. 0.039117
37 2 Skewness -0.292578
38 Kurtosis 3.066122
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0 Jarque-Bera 0.736905
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42 Probability 0.691804
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