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  • 1.
    Berger, Theo
    et al.
    Department of Business Administration, University of Bremen, Germany.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes2016In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 56, p. 374-383Article in journal (Refereed)
    Abstract [en]

    This paper provides a thorough analysis on multiscale dependence schemes between equity markets, commodity futures and uncertainty indexes. Based on decomposed return series, we provide an exhaustive survey on time varying dependence, before and after the outbreak of financial crisis. Although daily returns of equity markets and commodity futures are described by weak dependence, our results indicate a stronger dependence between the long-run trends of both asset classes.

  • 2.
    Biru Paksha, Paul
    et al.
    Department of Economics, State University of New York at Cortland, USA.
    Salah Uddin, Gazi
    Department of Business Administration, East West University, Dhaka, Bangladesh.
    Energy and output dynamics in Bangladesh2011In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 33, no 3, p. 480-487Article in journal (Refereed)
    Abstract [en]

    The relationship between energy consumption and output is still ambiguous in the existing literature. The economy of Bangladesh, having spectacular output growth and rising energy demand as well as energy efficiency in recent decades, can be an ideal case for examining energy-output dynamics. We find that while fluctuations in energy consumption do not affect output fluctuations, movements in output inversely affect movements in energy use. The results of Granger causality tests in this respect are consistent with those of innovative accounting that includes variance decompositions and impulse responses. Autoregressive distributed lag models also suggest a role of output in Bangladesh's energy use. Hence, the findings of this study have policy implications for other developing nations where measures for energy conservation and efficiency can be relevant in policymaking.

  • 3.
    Ivarsson Lundgren, Amanda
    et al.
    Prognoscentret AB, Sweden.
    Milicevic, Adriana
    Swedbank AB, Sweden.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Kang, Sang Hoon
    Pusan Natl Univ, South Korea.
    Connectedness network and dependence structure mechanism in green investments2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 72, p. 145-153Article in journal (Refereed)
    Abstract [en]

    We present an empirical study of renewable energy stock returns and their relation to four major investment asset classes stocks, currency, US Treasury bonds, and oil and several sources of uncertainty. Applying nonlinear causality and connectedness network analysis on data covering the period 2004-2016, we investigate the directionality and connectedness among different asset classes, as well as between uncertainties. First, from the results of the estimation of directionality and network spillovers, it can be concluded that the European stock market has a strong market dependence on renewable energy stock prices. Second, uncertainties have an economically significant impact on both return and volatility spillover in energy investments. Third, most of the uncertainties are net transmitters of volatility connectedness during the global financial crisis (GFC) and European sovereign debt crisis (ESDC): (C) 2018 Elsevier B.V. All rights reserved.

  • 4.
    Ji, Qiang
    et al.
    Chinese Acad Sci, Peoples R China; Univ Chinese Acad Sci, Peoples R China.
    Liu, Bing-Yue
    Beihang Univ, Peoples R China.
    Nehler, Henrik
    Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 76, p. 115-126Article in journal (Refereed)
    Abstract [en]

    In this paper, we explore the impact of uncertainties on energy prices by measuring four types of Delta Conditional Value-at-Risk (Delta CoVaR) using six time-varying copulas. Three different measures of uncertainty (economic policy, financial markets and energy markets) are considered, and the magnitude and asymmetric effects of their influence are investigated. Our results suggest that there generally exists negative dependence between energy returns and changes in uncertainty. The risks of clean energy and crude oil returns are more sensitive to uncertainties in the financial and energy markets, while the impact of economic policy uncertainty is relatively weak. The upside and downside CoVaRs and Delta CoVaRs demonstrate significant asymmetric effects in response to extreme uncertainty movement. Our findings therefore have important implications for energy portfolio investment. (C) 2018 Elsevier B.V. All rights reserved.

  • 5.
    Troster, Victor
    et al.
    Univ Illes Balears, Spain.
    Shahbaz, Muhammad
    Montpellier Business Sch, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 70, p. 440-452Article in journal (Refereed)
    Abstract [en]

    This paper analyzes the causal relationship between renewable energy consumption, oil prices, and economic activity in the United States from July 1989 to July 2016, considering all quantiles of the distribution. Although the concept of Granger-causality is defined for the conditional distribution, the majority of papers have tested Granger-causality using conditional mean regression models in which the causal relations are linear. We apply a Granger-causality in quantiles analysis that evaluates causal relations in each quantile of the distribution. Under this approach, we can discriminate between causality affecting the median and the tails of the conditional distribution. We find evidence of bi-directional causality between changes in renewable energy consumption and economic growth at the lowest tail of the distribution; besides, changes in renewable energy consumption lead economic growth at the highest tail of the distribution. Our results also support unidirectional causality from fluctuations in oil prices to economic growth at the extreme quantiles of the distribution. Finally, we find evidence of lower-tail dependence from changes in oil prices to changes in renewable energy consumption. Our findings call for government policies aimed at developing renewable energy markets, to increase energy efficiency in the U.S. (C) 2018 Elsevier B.V. All rights reserved.

  • 6.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Hernandez, Jose Areola
    Rennes Sch Business, France.
    Shahzad, Syed Jawad Hussain
    Montpellier Business Sch, France.
    Hedström, Axel
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 71, p. 35-46Article in journal (Refereed)
    Abstract [en]

    In a first step, we model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil, natural gas, ethanol, heating oil, coal and gasoline using canonical vine (C-vine) copula and c-vine conditional Value-at-Risk (CoVaR). In the second step, we formulate portfolio strategies based on different performance measures to analyze the risk reduction and diversification potential of carbon assets for energy commodities. We identify greater exposure to losses arising from investments in heating oil and ethanol markets. We also find evidence of carbon asset providing diversification benefits to energy commodity investments. These findings motivate for regulatory adjustments in the trading and emission permits for the energy markets most strongly diversified by carbon assets. (C) 2018 Published by Elsevier B.V.

  • 7.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Hedström, Axel
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ahmed, Ali
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes2019In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 80, p. 743-759Article in journal (Refereed)
    Abstract [en]

    We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. Applying a recently developed cross-quantilogram approach, we provide two novel findings. First, although prior studies show that RE stock returns have a positive dependence on changes in oil prices and in the aggregate stock index, we find that the relationship is not symmetric across quantiles and that this asymmetry is higher in longer lags. Second, while the extant literature provides evidence that exchange rates and gold returns exert a positive influence on aggregate stock returns, we report that this positive influence on RE stock returns is observed only during extreme market conditions. These results are robust, (i) even after controlling for economic policy and equity market uncertainties, as well as (ii) in both a time-static full sample and recursive subsamples. (C) 2019 Elsevier B.V. All rights reserved.

  • 8.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Shahzad, Syed Jawad Hussain
    Montpellier Business Sch, France.
    Rehman, Mobeen Ur
    Shaheed Zulfigar Ali Bhutto Inst Sci and Technol, Pakistan.
    Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 73, p. 108-121Article in journal (Refereed)
    Abstract [en]

    This paper examines the nonlinear effect of oil price shocks on precious metal returns using Markov regime switching regression. We use Readys (2018) approach to decompose oil price changes into supply, demand, and risk driven shocks. Results indicate a significant positive impact of demand and supply shocks and a negative impact of risk shocks on precious metal returns. Although we find evidence of switching between low and high volatility regimes, we do not find strong regime effect on supply or demand shocks contemporaneous relationship with precious metal returns. However, risk shocks influence on precious metal returns is strongly regime dependent. These results generally hold for different distributional specification of error terms. (C) 2018 Elsevier B.V. All rights reserved.

  • 9.
    Wadström, Christoffer
    et al.
    Linköping University, Department of Management and Engineering, Energy Systems. Linköping University, Faculty of Science & Engineering.
    Wittberg, Emanuel
    Linköping University, Department of Management and Engineering, The Institute for Analytical Sociology, IAS. Linköping University, Faculty of Arts and Sciences.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Jayasekera, Ranadeva
    Trinity Business School, Trinity College, Dublin, Ireland.
    Role of renewable energy on industrial output in Canada2019In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 81, p. 626-638Article in journal (Refereed)
    Abstract [en]

    Several scholars have highlighted the idea that energy consumption in general and consumption of renewable energy (RE) in particular may be a potential driver of economic growth. In this paper, we examine the relationship between RE production and economic activity in Canada between May 1966 and December 2015. By applying quantile causality (Troster, 2018), we adopt a nonlinear approach considering all quantiles of the distribution and analysing monthly data consisting of RE production and the Canadian Industrial Production Index (IPI). We find evidence of a nonlinear relationship in Canada, an important result that widely-used linear models fail to capture. Our main findings imply a unidirectional relationship going from the IPI to RE production, which supports the Conservation hypothesis. The directionality between RE and economic growth is sensitive to the market conditions in Canada.

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