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Uddin, Gazi Salah
Alternative names
Publications (10 of 38) Show all publications
Dutta, A., Bouri, E., Junttila, J. & Uddin, G. S. (2018). Does corn market uncertainty impact the US ethanol prices?. Global Change Biology Bioenergy, 10(9), 683-693
Open this publication in new window or tab >>Does corn market uncertainty impact the US ethanol prices?
2018 (English)In: Global Change Biology Bioenergy, ISSN 1757-1693, E-ISSN 1757-1707, Vol. 10, no 9, p. 683-693Article in journal (Refereed) Published
Abstract [en]

The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH-jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatility shocks are found to influence the ethanol market returns. Our findings also suggest that time-varying jumps do exist in the ethanol market.

Place, publisher, year, edition, pages
WILEY, 2018
Keywords
asymmetry; corn price uncertainty; GARCH-jump model; oil price volatility; US ethanol market; volatility shocks
National Category
Physical Geography
Identifiers
urn:nbn:se:liu:diva-151188 (URN)10.1111/gcbb.12527 (DOI)000442662800005 ()
Note

Funding Agencies|Jan Wallanders och Tom Hedelius Stiftelse samt Tore Browaldhs Stiftelse

Available from: 2018-09-17 Created: 2018-09-17 Last updated: 2018-10-08
Sjö, B., Bekiros, S., Siverskog, J. & Uddin, G. S. (2017). Analyzing Contagion and Tail Dependence in Global Real Estate Markets using NonParametric Flexible Copulas. In: : . Paper presented at SEM - The Society for Economic Measurement, 4th Annual Conference July 26-2, 2017, MIT, Boston.
Open this publication in new window or tab >>Analyzing Contagion and Tail Dependence in Global Real Estate Markets using NonParametric Flexible Copulas
2017 (English)Conference paper, Oral presentation with published abstract (Other academic)
Abstract [en]

The global financial crisis and the collapse of the collateralized debt obligation (CDO) market have brought increased attention to the proper modeling of housing price co-movements worldwide. We aim at detecting possible contagion effects in international real estate markets while accommodating dependence during extreme tail events. We propose a novel copula based approach incorporating second-moment effects that not only accounts for asymmetric tail dependence, but also allows for time-varying correlation in price movements. Unlike previous studies wherein static copula-based models are utilized, we extend our methodology by employing nonparametric copulas with the adjustment of flexible specification. Common Gaussian or mixture copulas lack the required tail features to capture the empirical stylized facts in housing markets. We proved the lack of monotonicity imposed by parametric methods was evidently not supported by our data. Using monthly data in seven major global markets, we confirm that prices do exhibit correlations that change over time, whilst more importantly their tail dependence structure for extreme losses strengthens in the midst of market turmoil.

We indicated that especially during downturns, CDOs do not provide the level of diversification widely assumed before the subprime crisis. Information on tail dependence would better allow policy makers to anticipate real estate prices on a global scale.

Keywords
Real estate markets, Non-parametric Copula, Co-movement, United States, Emerging Markets
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-142327 (URN)
Conference
SEM - The Society for Economic Measurement, 4th Annual Conference July 26-2, 2017, MIT, Boston
Available from: 2017-10-26 Created: 2017-10-26 Last updated: 2017-11-21Bibliographically approved
Bekiros, S., Muzaffar, A. T., Uddin, G. S. & Vidal-Garcia, J. (2017). Money supply and infllation dynamics in the Asia-Pacific economies: a time-frequency approach. Studies in Nonlinear Dynamics and Econometrics, 21(3), Article ID 20160051.
Open this publication in new window or tab >>Money supply and infllation dynamics in the Asia-Pacific economies: a time-frequency approach
2017 (English)In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 21, no 3, article id 20160051Article in journal (Refereed) Published
Abstract [en]

We examine the relationship between money supply growth and inflation in 3 Asian Economies which are India, Malaysia and Japan using a time-frequency approach. The application of a unified multi-scale analysis allows us to provide a continuous assessment of the link between money supply growth and inflation, unlike most of the existing literature studying this relationship. We also employ a bivariate frequency-domain causality test to determine the nature and direction of interdependence between money supply growth and inflation dynamics. Our findings provide a better understanding of their lead-lag linkages and causal relationship in the selected countries of the Asia-Pacific region.

Place, publisher, year, edition, pages
Walter de Gruyter, 2017
Keywords
monetary policy; wavelet analysis; nonlinear causality
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-141737 (URN)10.1515/snde-2016-0051 (DOI)000411276100003 ()2-s2.0-85021433997 (Scopus ID)
Note

Funding Agencies|EU Horizon 2020 research and innovation programme under the MS-C [656136]; Jan Wallanders and Tom Hedelius Foundation

Available from: 2017-10-05 Created: 2017-10-05 Last updated: 2017-10-10Bibliographically approved
Lahmiri, S., Uddin, G. S. & Bekiros, S. (2017). Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis. Chaos, Solitons & Fractals, 103, 342-346
Open this publication in new window or tab >>Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
2017 (English)In: Chaos, Solitons & Fractals, ISSN 0960-0779, E-ISSN 1873-2887, Vol. 103, p. 342-346Article in journal (Refereed) Published
Abstract [en]

We attempt to quantify the intrinsic nonlinear dynamics of thirty international financial markets. Fractality, chaoticity and randomness are explored during and after the recent global financial crisis. We find that most markets exhibited persistent long-range correlations during the crisis, whilst anti-persistent patterns are identified after the crisis. Moreover, the nonlinear dynamics in all markets do not exhibit chaotic features. Importantly, the degree of randomness has increased in most of markets in the aftermath of the crisis. Overall, the nonlinear characteristics of the temporal dynamics of the major financial markets have been notably modified in the post-crisis period. (C) 2017 Elsevier Ltd. All rights reserved.

Place, publisher, year, edition, pages
Pergamon Press, 2017
Keywords
Financial markets; Hurst and Lyapunov exponents; Renyi entropy; DFA
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-141702 (URN)10.1016/j.chaos.2017.06.019 (DOI)000410680700036 ()2-s2.0-85021190500 (Scopus ID)
Available from: 2017-10-05 Created: 2017-10-05 Last updated: 2017-10-10Bibliographically approved
Bekiros, S., Jlassi, M., Naoui, K. & Uddin, G. S. (2017). The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. Journal of Financial Stability, 30, 156-174
Open this publication in new window or tab >>The asymmetric relationship between returns and implied volatility: Evidence from global stock markets
2017 (English)In: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 30, p. 156-174Article in journal (Refereed) Published
Abstract [en]

We investigate the asymmetric relationship between returns and implied volatility for 20 developed and emerging international markets. In particular we examine how the sign and size of return innovations affect the expectations of daily changes in volatility. Our empirical findings indicate that the conditional contemporaneous return-volatility relationship varies not only based on the sign of the expected returns but also upon their magnitude, according to recent results from the behavioral finance literature. We find evidence of an asymmetric and reverse return-volatility relationship in many advanced, Asian, LatinAmerican, European and South African markets. We show that the US market displays the highest reaction to price falls, Asian markets present the lowest sensitivity to volatility expectations, while the Euro area is characterized by a homogeneous response both in terms of direction and impact. These results may be safely attributed to cultural and societal characteristics. An extensive quantile regression analysis demonstrates that the detected asymmetric pattern varies particularly across the extreme distribution tails i.e., in the highest/lowest quantile ranges. Indeed, the classical feedback and leverage hypotheses appear not plausible, whilst behavioral theories emerge as the new paradigm in real-world applications. (C) 2017 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
Elsevier, 2017
Keywords
Implied volatility; Quantile regression; Behavioral bias; Predictability
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-141738 (URN)10.1016/j.jfs.2017.05.006 (DOI)000410818200011 ()2-s2.0-85019682471 (Scopus ID)
Note

Funding Agencies|EU Horizon research and innovation programme under the MS-C Grant [656136]; Jan Wallanders and the Tom Hedelius Foundation

Available from: 2017-10-05 Created: 2017-10-05 Last updated: 2017-10-10Bibliographically approved
Uddin, G. S., Muzaffar, A. T., Arouri, M. & Sjö, B. (2017). Understanding the Relationship Between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh.. The World Economy, 40(9), 1918-1933
Open this publication in new window or tab >>Understanding the Relationship Between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh.
2017 (English)In: The World Economy, ISSN 0378-5920, E-ISSN 1467-9701, ISSN 1467-970, Vol. 40, no 9, p. 1918-1933Article in journal (Refereed) Published
Abstract [en]

This paper reexamines the relationship between inflation and economic growth in developing countries. Both the theoretical and the empirical literature are extremely divided on this issue.  We apply a relatively new empirical technique – the continuous wavelet transform – to Bangladesh. Bangladesh is of interest because of its remarkable economic growth and poverty reduction during the last 30 years in combination with, for a developing country, a controlled inflation. The wavelet analysis is a contribution because it displays how the correlation and the lead-lag structure between variables change over time scales, taking into account that growth and inflation can follow several different cycles.    

Co-movements between variables are generally studied in the time domain. Results from studies in the time domain study can be sensitive to the frequency of observations. On the other hand studies in the frequency domain are not easily translated into time domains that can be associated with economic policies. The wavelet methodology finds a balance between time and frequency domains.

Our study finds that growth Granger causes inflation at all frequency scales, starting from the short run to the very long run. Inflation, on the other hand, Granger causes growth in the long run but not in the short run. This result has implications for Bangladesh, and as such for similar developing countries, where some policymakers believe that inflation must be kept at very low levels for sustained economic growth. 

National Category
Economics
Identifiers
urn:nbn:se:liu:diva-129893 (URN)10.1111/twec.12429 (DOI)000410299900009 ()
Available from: 2016-06-30 Created: 2016-06-30 Last updated: 2017-10-05
Ahmed, A., Uddin, G. S. & Sohag, K. (2016). Biomass energy, technological progress and the environmental Kuznets curve: Evidence from selected European countries. Biomass and Bioenergy, 90, 202-208
Open this publication in new window or tab >>Biomass energy, technological progress and the environmental Kuznets curve: Evidence from selected European countries
2016 (English)In: Biomass and Bioenergy, ISSN 0961-9534, E-ISSN 1873-2909, Vol. 90, p. 202-208Article in journal (Refereed) Published
Abstract [en]

We examine the causal relationship between economic growth and CO2 emissions in a panel of 24 European countries from 1980 to 2010. Using an analytical framework that considers pooled mean group estimations in a dynamic heterogeneous panel setting, we show that there is an inverted U-shaped relationship between CO2 emissions and economic growth in the long run and that there is no such relationship in the short run. In particular, we find that biomass energy is insignificantly linked to CO2 emission. However, technological innovation significantly facilitates reduction of CO2 emissions in the investigated countries. Altogether, our study implies that economic growth and environmental quality can be achieved simultaneously, which opens up new insights for policy-makers for sustainable economic development via implementation of renewable energy consumption through technological innovation.

Place, publisher, year, edition, pages
Pergamon Press, 2016
Keywords
Biomass;GDP;CO2 emissions;European countries;Panel ARDL
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-127984 (URN)10.1016/j.biombioe.2016.04.004 (DOI)000377740200024 ()
Available from: 2016-05-14 Created: 2016-05-14 Last updated: 2017-11-30
Uddin, G. S., Haque Bidisha, S. & Ozturk, I. (2016). Carbon emissions, energy consumption, and economic growth relationship in Sri Lanka. ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY, 11(3), 282-287
Open this publication in new window or tab >>Carbon emissions, energy consumption, and economic growth relationship in Sri Lanka
2016 (English)In: ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY, ISSN 1556-7249, Vol. 11, no 3, p. 282-287Article in journal (Refereed) Published
Abstract [en]

This study attempts to investigate the long-run Granger causality relationship between energy consumption, carbon emissions, economic growth, and trade openness in Sri Lanka. Our analysis reveals that, there exists long-run causal relationship between carbon emission and economic growth for Sri Lanka over the period of 1971-2006. In addition, there is unidirectional causality running from economic growth to the carbon emission and energy consumption. The result implies that carbon emission reduction policies will hurt economic growth if no supplementary policies are taken to modify this causal relationship.

Place, publisher, year, edition, pages
Taylor & Francis, 2016
Keywords
Carbon emissions, causality, cointegration, energy consumption, economic growth
National Category
Energy Systems
Identifiers
urn:nbn:se:liu:diva-130313 (URN)10.1080/15567249.2012.694577 (DOI)000378705900011 ()
Available from: 2016-07-31 Created: 2016-07-28 Last updated: 2016-08-15Bibliographically approved
Reboredo, J. C. & Uddin, G. S. (2016). Do financial stress and policy uncertainty have an impact on the energy and metals markets?: A quantile regression approach. International Review of Economics and Finance, 43, 284-298
Open this publication in new window or tab >>Do financial stress and policy uncertainty have an impact on the energy and metals markets?: A quantile regression approach
2016 (English)In: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 43, p. 284-298Article in journal (Refereed) Published
Abstract [en]

Abstract This paper examines the impact of financial stress and policy uncertainty on the price dynamics of energy (crude oil, heating oil and gas) and metal (gold, silver, copper, platinum and palladium) commodity futures in the USA. Using a quantile regression approach for the period 1994–2015, our empirical results show that, after controlling for the effect of general stock market returns and interest rates, there is neither co-movement nor Granger causality between commodity futures prices and financial uncertainty as measured by the VIX or between commodity prices and policy uncertainty. However, we find evidence that financial stress had Granger causality effects in intermediate and upper commodity return quantiles, but no evidence of co-movement. We also show that the impact of the global financial crisis on commodity returns differed across quantiles, only having a negative impact in upper quantiles. Our results indicate that general stock market uncertainty conditions are not so crucial in determining commodity futures prices.

Place, publisher, year, edition, pages
Elsevier, 2016
Keywords
Commodity prices, Financial uncertainty, Policy uncertainty, Quantile regression
National Category
Economics Economics and Business
Identifiers
urn:nbn:se:liu:diva-127337 (URN)10.1016/j.iref.2015.10.043 (DOI)000375632300021 ()
Note

Funding agencies:  Xunta de Galicia; FEDER [GPC2013-045]

Available from: 2016-04-21 Created: 2016-04-21 Last updated: 2017-11-30Bibliographically approved
Andreasson, P., Bekiros, S., Nguyen, D. K. & Uddin, G. S. (2016). Impact of speculation and economic uncertainty on commodity markets. International Review of Financial Analysis, 43, 115-127
Open this publication in new window or tab >>Impact of speculation and economic uncertainty on commodity markets
2016 (English)In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 43, p. 115-127Article in journal (Refereed) Published
Abstract [en]

Abstract We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). Nonlinear causality tests are implemented after controlling for cointegration and conditional heteroscedasticity in the data over the period May 1990 – April 2014. Our results show strong evidence of unidirectional linear causality from commodity returns to excess speculation for the majority of the considered commodities, in particular for agriculture commodities. This evidence casts doubt on the claim that speculation is driving food prices. We also find unidirectional linear causality from energy futures markets to exchange rates and strong evidence of nonlinear causal dependence between commodity futures returns, on the one hand, and stock market returns and implied volatility, on the other hand. Overall, the new evidence found in this paper can be utilized for policy and investment decision-making.

Place, publisher, year, edition, pages
Elsevier, 2016
Keywords
Commodity markets, Economic uncertainty, Nonlinear causality, Step-wise filtering
National Category
Economics Economics and Business
Identifiers
urn:nbn:se:liu:diva-127338 (URN)10.1016/j.irfa.2015.11.005 (DOI)000367399400009 ()
Available from: 2016-04-21 Created: 2016-04-21 Last updated: 2018-03-09Bibliographically approved
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