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Publications (10 of 27) Show all publications
Bekiros, S., Sjö, B. & Sweeney, R. J. (2018). Pitfalls in Cross-Section Studies with integrated Regressors:  Survey and New Developments. Journal of economic surveys (Print), 32(4), 1045-1073
Open this publication in new window or tab >>Pitfalls in Cross-Section Studies with integrated Regressors:  Survey and New Developments
2018 (English)In: Journal of economic surveys (Print), ISSN 0950-0804, E-ISSN 1467-6419, Vol. 32, no 4, p. 1045-1073Article in journal (Refereed) Published
Abstract [en]

In cross-section studies, if the dependent variable is I(0) but the regressor is I(1), the true slope must be zero in the resulting "unbalanced regression." A spuriously significant relationship may be found in large cross sections, however, if the integrated regressor is related to a stationary variable that enters the DGP but is omitted from the regression. The solution is to search for the related stationary variable, in some cases the first difference of the integrated regressor, in other cases a categorical variable that can take on limited number of values which depend on the integrated variable. We present an extensive survey, new developments and applications in finance.

Place, publisher, year, edition, pages
Wiley-Blackwell, 2018
Keywords
Categorical variables; Stock appreciation; Survey; Unbalanced regressions; Unit roots
National Category
Economics
Research subject
Economic Information Systems
Identifiers
urn:nbn:se:liu:diva-145627 (URN)10.1111/joes.12246 (DOI)000441246800004 ()
Available from: 2018-03-09 Created: 2018-03-09 Last updated: 2018-08-24
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
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
Simatele, M., Sjö, B. & Sweeny, R. (2016). Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust. Linköping: Linköping University Electronic Press
Open this publication in new window or tab >>Do Developing Countries Lose Money on Central Bank Intervention? The Case of Zambia in Copper-Market Boom and Bust
2016 (English)Report (Other academic)
Abstract [en]

This paper is the first to discuss and estimate risk-adjusted intervention profits for a developing country, Zambia, representative of sub-Sahara African countries, of low-income and aid-recipient countries and the many developing countries dependent on natural-resource or staple exports. During the sample period 1996-2009, the copper market was a bust in the first half, with low prices and weak export demand; the Bank of Zambia intervened largely to sell dollars. The market boomed in the second half, and the BOZ largely bought dollars, save for a sharp break and rebound in 2008-2009. Estimated profits are positive for the whole period and are economically and statistically significant for the whole period and the second half. These estimates come from a new method developed in this paper. This method extends and corrects previous measures in the literature. It allows separating profits into those arising from timing ability and those arising from average exposure to risk, the equivalent of alpha or "stock picking. "Because risk premiums are not available for Zambia, this paper uses an instrumental variables approach to adjust for risk. The paper also the first to investigate and fix problems arising from simultaneous equations bias.

Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2016. p. 35
Series
Linköping University Working Papers in Economics ; 2016:2
Keywords
Intervention, Intervention Profits, Exchange Rates, Central Bank, Zambia
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-125275 (URN)
Available from: 2016-02-18 Created: 2016-02-18 Last updated: 2016-02-19Bibliographically approved
Ohemeng, W., Sjö, B. & Danaquah, M. (2016). Market Efficiency and Price Discovery in Cocoa Markets. Journal of African Business, 17(2), 209-224
Open this publication in new window or tab >>Market Efficiency and Price Discovery in Cocoa Markets
2016 (English)In: Journal of African Business, ISSN 1522-8916, Vol. 17, no 2, p. 209-224Article in journal (Refereed) Published
Abstract [en]

This paper tests the efficiency and price discovery mechanism in the cocoa cash and futures markets over the period March 1981- August 2009. The results indicate that the price discovery is done in the cash market and spreads to the futures markets and that the futures price can be seen as an unbiased predictor of future cash prices. There is no sign of a risk premium in the futures price. Since the cash behaves like a random walk we cannot reject market efficiency.   

Place, publisher, year, edition, pages
Taylor & Francis, 2016
Keywords
Efficient Markets, Price discovery, Commodities
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-124593 (URN)10.1080/15228916.2016.1142801 (DOI)
Available from: 2016-02-05 Created: 2016-02-05 Last updated: 2016-11-25
Bekiros, S., Nguyen, D. K., Uddin, G. S. & Sjö, B. (2016). On the time scale behavior of equity-commodity links: Implications for portfolio management. Journal of international financial markets, institutions, and money, 41, 30-46
Open this publication in new window or tab >>On the time scale behavior of equity-commodity links: Implications for portfolio management
2016 (English)In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 41, p. 30-46Article in journal (Refereed) Published
Abstract [en]

We investigate the time-scale relationships between US equity and commodity markets. The empirical evidence from the risk-return profitability analysis based on the wavelet coherence measure shows that equity and commodity markets exhibit time-varying comovement patterns and behave differently across investment horizons. Moreover, we find evidence of time-frequency causality between the two investigated markets. Our results can have important implications for optimal asset allocation and portfolio diversification.

Place, publisher, year, edition, pages
Elsevier, 2016
National Category
Business Administration Economics
Identifiers
urn:nbn:se:liu:diva-124590 (URN)10.1016/j.intfin.2015.12.003 (DOI)000373611400003 ()
Note

Funding agencies:  Marie Curie Fellowship under 7th European Community Framework Programme [FP7-PEOPLE-2011-CIG, No 303854]

Available from: 2016-02-05 Created: 2016-02-05 Last updated: 2017-11-30
Odonkor, T. A., Osei, B. A. & Sjö, B. (2016). Risk-taking, Ownership and Excess Reserves in the Ghanaian Banking System. Journal of Emerging Market Finance, 15(2), 147-168
Open this publication in new window or tab >>Risk-taking, Ownership and Excess Reserves in the Ghanaian Banking System
2016 (English)In: Journal of Emerging Market Finance, ISSN 0972-6527, E-ISSN 0973-0710, Vol. 15, no 2, p. 147-168Article in journal (Refereed) Published
Abstract [en]

This study looks at the effects of ownership structure, and on the risk taking behaviour of banks in Ghana. Using data from twenty-one (21) banks during 2000-2010, the study employs random effects panel data regressions.  The results show that banks prefer to hold high excess reserves instead of lending to borrowers when they perceive the markets to be risky. Locally owned banks tend to be more efficient in managing their risk than foreign-owned banks while closed corporations tend to perform better in managing risk than locally-owned banks.   

Place, publisher, year, edition, pages
Sage Publications, 2016
Keywords
Bank risk taking, ownership and excess reserves, Ghanaian banks
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-124594 (URN)10.1177/0972652716645890 (DOI)2-s2.0-84979996152 (Scopus ID)
Available from: 2016-02-05 Created: 2016-02-05 Last updated: 2017-11-30Bibliographically approved
Bekiros, S., Nguyen, D. K., Uddin, G. S. & Sjö, B. (2015). BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA. Studies in Nonlinear Dynamics and Econometrics, 19(5), 609-624
Open this publication in new window or tab >>BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA
2015 (English)In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 19, no 5, p. 609-624Article in journal (Refereed) Published
Abstract [en]

The introduction of Euro currency was a game-changing event intended to induce convergence of Eurozone business cycles on the basis of greater monetary and fiscal integration. The benefit of participating into a common currency area exceeds the cost of losing autonomy in national monetary policy only in case of cycle co-movement. However, synchronization was put back mainly due to country-specific differences and asymmetries in terms of trade and fiscal policies that became profound at the outset of the global financial crisis. As opposed to previous studies that are mostly based on linear correlation or causality modeling, we utilize the cross-wavelet coherence measure to detect and identify the scale-dependent time-varying (de)synchronization effects amongst Eurozone and the broad Euro area business cycles before and after the financial crisis. Our results suggest that the  inforcement of an active monetary policy by the ECB during crisis periods could provide an effective stabilization instrument for the entire Euro area. However, as dynamic patterns in the lead-lag relationships of the European economies are revealed, (de)synchronization varies across different frequency bands and time horizons.

Place, publisher, year, edition, pages
De Gruyter, 2015
Keywords
Convergence; wavelet coherence; integration; Eurozone
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-114869 (URN)10.1515/snde-2014-0055 (DOI)000366523800004 ()
Available from: 2015-03-05 Created: 2015-03-05 Last updated: 2017-12-04
Ohemeng, W., Sjö, B. & Danaquah, M. (2015). Hedging under Uncertainty: Optimal price Risk Management under Transaction Costs for Cocoa Exporting Countries. African Review of Economics and Finance, 7(1)
Open this publication in new window or tab >>Hedging under Uncertainty: Optimal price Risk Management under Transaction Costs for Cocoa Exporting Countries
2015 (English)In: African Review of Economics and Finance, ISSN 2042-1478, Vol. 7, no 1Article in journal (Refereed) In press
Abstract [en]

This paper derives and estimates empirically the role of transactions costs for the optimal price-risk hedge ratios for four coca producing SSA countries (Cameroon, Ghana, Nigeria and Cote d’Ivoire). Using monthly data from 1966 to 2009, transaction costs are introduced in two commonly used approaches for finding optimal hedge ratios under both price and production risk;  the mean-variance approach and the logarithmic utility based approach.  For the mean variance the optimal hedge ratios for cocoa are around 0.93 and 1.0 for all countries and different transaction costs and levels of risk aversion. For the logarithmic utility approach, which is supposed to be a more realistic approach the hedge ratios are lower than unity, differ more across countries and are reduced by higher transaction costs. Therefore developing appropriate market regulations where transaction cost on intermediaries are kept to minimal is relevant for these countries.

Place, publisher, year, edition, pages
South Africa: African Journals on Line, 2015
Keywords
Hedging, Price risk Cocoa
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-114866 (URN)
Available from: 2015-03-05 Created: 2015-03-05 Last updated: 2016-03-30
Danaquah, M., Ohemeng, W. & Sjö, B. (2015). The effects of transaction costs on the optimal price and production risk management for cocoa-exporting countries. African Review of Economics and Finance, 7(2), 84-104
Open this publication in new window or tab >>The effects of transaction costs on the optimal price and production risk management for cocoa-exporting countries
2015 (English)In: African Review of Economics and Finance, ISSN 2042-1478, E-ISSN 2410-4906, Vol. 7, no 2, p. 84-104Article in journal (Refereed) Published
Abstract [en]

This paper derives and estimates empirically the role of transactions costsfor the optimal price-risk hedge ratios for four cocoa producing SSA countries(Cameroon, Ghana, Nigeria and Cote d’Ivoire). Using monthly data from 1966to 2009, transaction costs are introduced in two commonly used approaches forfinding optimal hedge ratios under both price and production risk; the mean-variance approach and the logarithmic utility based approach. For the meanvariance the optimal hedge ratios for cocoa are around 0.93 and 1.0 for allcountries and different transaction costs and levels of risk aversion. For thelogarithmic utility approach, which is supposed to be a more realistic approach the hedge ratios are lower than unity, differ more across countries and arereduced by higher transaction costs. Therefore developing appropriate marketregulations where transaction cost on intermediaries are kept to minimal isrelevant for these countries. 

Keywords
Futures markets, optimal hedge ratio, commodities, cocoa
National Category
Economics
Identifiers
urn:nbn:se:liu:diva-124595 (URN)
Available from: 2016-02-05 Created: 2016-02-05 Last updated: 2017-11-30
Organisations
Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0002-8145-1000

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