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  • 1.
    Ahmed, Ali
    et al.
    Linköping University, Department of Management and Engineering, Economics. 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.
    Sohag, Kazi
    Institute of Climate Change, Universiti Kebangsaan, Malaysia.
    Biomass energy, technological progress and the environmental Kuznets curve: Evidence from selected European countries2016In: Biomass and Bioenergy, ISSN 0961-9534, E-ISSN 1873-2909, Vol. 90, p. 202-208Article in journal (Refereed)
    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.

  • 2.
    Andreasson, Pierre
    et al.
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    Paris, France.
    Nguyen, Duc Khuong
    Paris, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Impact of speculation and economic uncertainty on commodity markets2016In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 43, p. 115-127Article in journal (Refereed)
    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.

  • 3.
    Arouri, Mohamed
    et al.
    CRCGM, University of dAuvergne, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Chakraborty, Sanjib
    Go for Green HB, Sweden.
    Chaibi, Anissa
    IPAG Business School, France.
    Foulquier, Philippe
    EDHEC Business School, France.
    Business activity and environmental degradation in Mexico2014In: Journal of Applied Business Research, E-ISSN 2157-8834, Vol. 30, no 1, p. 291-300Article in journal (Refereed)
    Abstract [en]

    This paper contributes to the literature by investigating the relationships between business activity, carbon dioxide (CO2) emissions, energy consumption in a developing country by taking into consideration the effects of ongoing industrialization and financial development. To do this, we introduce an innovative empirical approach based on ARDL bounds testing in the presence of structural breaks and apply it to Mexico over the period 1971-2011. We show strong evidence of cointegration between these variables. More interestingly, we find that energy is the long-run forcing variable to explain the Mexican business activity growth. This implies that energy savings policy may result in decreasing the national income or employment.

  • 4.
    Bekiros, Stelios
    et al.
    European University of Institute, Italy; IPAG Business Sch, France.
    Jlassi, Mouna
    Tilburg University, Netherlands.
    Naoui, Kamel
    University of Manouba, Tunisia; University of Manouba, Tunisia.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The asymmetric relationship between returns and implied volatility: Evidence from global stock markets2017In: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 30, p. 156-174Article in journal (Refereed)
    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.

  • 5.
    Bekiros, Stelios
    et al.
    European University of Institute, Italy; IPAG Business Sch, France.
    Muzaffar, Ahmed T.
    University of Western Sydney, Australia.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Vidal-Garcia, Javier
    University of Complutense Madrid, Spain; University of Valladolid, Spain.
    Money supply and infllation dynamics in the Asia-Pacific economies: a time-frequency approach2017In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 21, no 3, article id 20160051Article in journal (Refereed)
    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.

  • 6.
    Bekiros, Stelios
    et al.
    IPAG Business School, Paris, France.
    Nguyen, Duc Khuong
    IPAG Business School, France .
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA2015In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 19, no 5, p. 609-624Article in journal (Refereed)
    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.

  • 7.
    Bekiros, Stelios
    et al.
    European University Institute, Florence Italy,Paris France, Rimini Italy.
    Nguyen, Duc Khuong
    IPAG Business School, Paris, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    On the time scale behavior of equity-commodity links: Implications for portfolio management2016In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 41, p. 30-46Article in journal (Refereed)
    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.

  • 8.
    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.

  • 9.
    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.

  • 10.
    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.
    Abdullah M., Norman
    Department of Economics and Finance, University of New Orleans, Louisiana, USA .
    Remittances and output in Bangladesh: an ARDL bounds testing approach to cointegration2011In: International Review of Economics, ISSN 1865-1704, E-ISSN 1863-4613, Vol. 58, no 2, p. 229-242Article in journal (Refereed)
    Abstract [en]

    Although the relationship between remittances and output is still inconclusive in literature, most studies find that remittances have a positive effect on output in the long run. Contrary to this conventional direction of causality from remittances to output, our study finds that output alone determined long-run movements in remittances in a positive direction in the Bangladesh economy over the last 35 years from 1976 to 2010. We use the autoregressive distributive lag (ARDL) bounds testing approach to cointegration to explore this long-run relationship. Surprisingly, remittances do not appear to be a long-run forcing variable to the explanation of Bangladesh’s output over the same period. While examining the channels of this output–remittance mechanism remains an area of research for the future, we hypothesize that the rise in remittances in response to increased income occurs through higher import demand and greater investment opportunities. This finding implies that Bangladeshi policymakers can influence remittances through national output in the long run.

  • 11.
    Dutta, Anupam
    et al.
    Univ Vaasa, Finland.
    Bouri, Elie
    Holy Spirit Univ Kaslik, Lebanon.
    Junttila, Juha
    Univ Jyvaskyla, Finland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Does corn market uncertainty impact the US ethanol prices?2018In: Global Change Biology Bioenergy, ISSN 1757-1693, E-ISSN 1757-1707, Vol. 10, no 9, p. 683-693Article in journal (Refereed)
    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.

  • 12.
    Hatemi-J, Abdulnasser
    et al.
    UAE University, U Arab Emirates .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    On the causal nexus of remittances and poverty reduction in Bangladesh2014In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 46, no 4, p. 374-382Article in journal (Refereed)
    Abstract [en]

    The aim of this article is to investigate the causal relationship between remittances and poverty reduction in Bangladesh over the period 1976 to 2010. This issue is of fundamental importance for the developing economy of Bangladesh. We apply newly developed methods by Hacker and Hatemi-J (2006, 2012) that are based on simulations and are robust to the violation of statistical assumptions especially when the sample size is small, as is the case in this article. Our estimation results reveal that causality nexus of poverty and remittances is bi-directional. We also find that the causal impact of poverty reduction on remittance is stronger than the reverse impact. This finding implies that Bangladeshi policy-makers can influence remittances through poverty reduction in the long run.

  • 13.
    Hatemi-J, Abdulnasser
    et al.
    Department of Finance and Economics, UAE University, United Arab Emirates.
    Uddin, Gazi Salah
    Department of Economics, Carleton University, Canada.
    Is the causal nexus of energy utilization and economic growth asymmetric in the US?2012In: Economic Systems, ISSN 0939-3625, E-ISSN 1878-5433, Vol. 36, no 3, p. 461-469Article in journal (Refereed)
    Abstract [en]

    This paper re-examines the causal nexus of energy utilization and GDP per capita in the US. The novelty of the paper is to allow for asymmetry in causality by using a new test introduced by Hatemi-J (forthcoming). A bootstrap procedure is used with leveraged corrections that perform more accurately when the statistical assumptions for validity of asymptotic distributions are not fulfilled. This is especially the case for sample sizes as in the current paper. The estimation results reveal strongly that a negative energy consumption shock will cause a negative shock in the output per capita. That is, if the energy utilization per capita decreases then the output per capita will also decrease. Surprisingly, such a causal impact for positive shocks is not found. These empirical results might indicate that there is an optimal quantity of energy in the US that needs to be consumed as otherwise the economic growth will suffer. However, the consumption of energy beyond that optimal quantity will not necessarily result in an enhanced rate of economic growth.

  • 14.
    Khuong Nguyen, Duc
    et al.
    IPAG Business School, Paris, France.
    Sousa, Ricardo M.
    University of Minho, Portugal; London School of Economics and Political Science, United Kingdom.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Testing for asymmetric causality between US equity returns and commodity futures returns2015In: Finance Research Letters, ISSN 1544-6123, E-ISSN 1544-6131, Vol. 12, p. 38-47Article in journal (Refereed)
    Abstract [en]

    This paper examines the causal relationships between the U.S. equity returns and the returns of energy, metal and agricultural commodity futures. Using an analytical framework that accounts for seasonal effects on commodity returns, we find that asymmetry plays an important role in these two-way around relationships. This asymmetry seems to be more relevant since 2000 than in the nineties, and the asymmetric linkages are observed both when returns are measured in nominal and real terms.

  • 15.
    Kyophilavong, Phouphet
    et al.
    National University of Laos, Laos .
    Shahbaz, Muhammad
    COMSATS Institute Informat Technology, Pakistan .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Does J-curve phenomenon exist in case of Laos? An ARDL approach2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 833-839Article in journal (Refereed)
    Abstract [en]

    This study aims to test the existence of J-curve phenomenon in Laos economy using quarterly data over the period of 1993-2010. The ARDL bounds testing approach to cointegration is used to examine short run as well as long run impact of real depreciation of Lao kip on Lao trade balance. The empirical results suggest that there is J-curve effect in case of Laos. The impact of real depreciation of the Lao kip on Lao trade balance is insignificant in long run. In short-run, real depreciation has inverse impact on Laos trade balance. The long-run trade balance is determined by domestic income.

  • 16.
    Kyophilavong, Phouphet
    et al.
    Faculty of Economics and Business Management, National University of Laos, Vientiane, Laos.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    An examination of the remittance, financial development, and economic growth in developing countries2013In: Journal of Economic and Financial Modelling, ISSN 2322-0503, Vol. 1, no 1, p. 47-55Article in journal (Refereed)
  • 17.
    Lahmiri, Salim
    et al.
    ESCA School Management, Morocco.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    European University of Institute, Italy.
    Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis2017In: Chaos, Solitons & Fractals, ISSN 0960-0779, E-ISSN 1873-2887, Vol. 103, p. 342-346Article in journal (Refereed)
    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.

  • 18.
    Mamun, Md Al
    et al.
    La Trobe University, Melbourne, Australia.
    Sohag, Kazi
    National University of Malaysia.
    Hannan Mia, Md. Abdul
    University of Dhaka, Bangladesh.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ozturk, Ilhan
    Cag University, Turkey .
    Regional differences in the dynamic linkage between CO2 emissions, sectoral output and economic growth2014In: Renewable & sustainable energy reviews, ISSN 1364-0321, E-ISSN 1879-0690, Vol. 38, p. 1-11Article, review/survey (Refereed)
    Abstract [en]

    Environmental degradation measured by CO2 emissions is a significant challenge to sustainable economic development. Owing to significant differences in the empirical relationship between the economic growth and CO2 emissions and policies adopted by different countries to overcome the challenge are not decisive. This study aims to generalize our knowledge about the relationship between CO2 emissions per capita and economic growth across the world for 1980-2009 periods. Besides, it explores whether the transformation of different economies (e.g. agrarian to industrial and industrial to sophisticated service economy) over the past few decades yielded any significant positive impact towards sustainable economic development by reducing the level of CO2 emission. Empirical results suggest that (i) except for high-income-countries, Environmental Kuznets Curve (EKC) is a general phenomenon across the world, and (ii) the transformation of different economies towards a service economy has produced more pollution in high income countries and less pollution in low and middle income countries.

  • 19.
    Ozturk, Ilhan
    et al.
    Faculty of Economics and Administrative Sciences, Çağ University, Mersin, Turkey.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Causality among carbon emissions, energy consumption and growth in India2012In: Ekonomska Istrazivanja, ISSN 1331-677X, E-ISSN 1848-9664, Vol. 25, no 3, p. 752-775Article in journal (Other academic)
    Abstract [en]

    This study attempts to investigate the long-run Granger causality relationship between energy consumption, carbon dioxide emission and economic growth in India over the period 1971-2007. The augmented Dickey-Fuller test (ADF), Phillips-Perron test (PP) and KPSS test are used to test for Granger causality in cointegration models which take account of the stochastic properties of the variables. The most important result is that there is feedback causal relationship between energy consumption and economic growth in India which implies that the level of economic activity and energy consumption mutually influence each other; a high level of economic growth leads to a high level of energy consumption and vice versa. The value of the error correction term confirms the expected convergence process in the long-run for carbon emissions and growth in India which implies that emission reduction policies will hurt economic growth in India if there are no supplementary policies which seek to modify this causal relationship.

  • 20.
    Reboredo, Juan C.
    et al.
    Department of Economics, Universidade de Santiago de Compostela, Spain.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Do financial stress and policy uncertainty have an impact on the energy and metals markets?: A quantile regression approach2016In: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 43, p. 284-298Article in journal (Refereed)
    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.

  • 21.
    Salah Uddin, Gazi
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Kumar Tiwari, Aviral
    ICFAI University of Tripura, India .
    Arouri, Mohamed
    EDHEC Business Sch, France .
    Teulon, Frederic
    IPAG Business School, IPAG Lab, France.
    On the relationship between oil price and exchange rates: A wavelet analysis2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 502-507Article in journal (Refereed)
    Abstract [en]

    We may find numerous works in the existing literature regarding the cohesion between oil prices and exchange rates, yet an exact shape of the relationship remains undefined. By restoring to wavelet analysis and using a rich database from Japan, this study contributes to the literature by investigating the said relationship within the time-frequency space. Over the time horizon, it is being established that the strength of the relationship between oil price and exchange rate keeps changing. If the Bank of Japan needs to control the exchange rate, it should give proper importance to shocks on oil prices, while formulating exchange rate policy.

  • 22.
    Salah Uddin, Gazi
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Razin, Shair
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Taneem Muzaffar, Ahmed
    University of Western Sydney, Australia.
    Kyophilavong, Phouphet
    National University of Laos.
    Energy utilization and output dynamics in Bangladesh2013In: Green Design, Materials and Manufacturing Processes / [ed] Helena Bártolo et al., CRC Press, 2013, p. 143-147Conference paper (Refereed)
    Abstract [en]

    The aim of this paper is to investigate the relationship amongst energy consumption, carbon emission, industrialization, urbanization and income in Bangladesh within ARDL bounds testing approach using annual data for the period 1972-2009. The results show existence of a long run equilibrium relationship amongst the variables. In the long-run, both the energy and urban intensity drive the national income in Bangladesh. The policy implications are discussed in the text.

  • 23.
    Salah Uddin, Gazi
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Shahbaz, Muhammad
    COMSATS Institute Informat Technology, Pakistan .
    Arcuri, Mariadele
    Linköping University, Department of Science and Technology. Linköping University, The Institute of Technology.
    Teulon, Frederic
    IPAG Business School, IPAG — Lab, France.
    Financial development and poverty reduction nexus: A cointegration and causality analysis in Bangladesh2014In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 36, p. 405-412Article in journal (Refereed)
    Abstract [en]

    This paper contributes to the literature by investigating the relationship between financial development, economic growth and poverty reduction in Bangladesh using quarter frequency data over the period of 1975-2011. This issue is of importance for developing economics given the role of financial sector in mobilizing and allocating savings into productive investments. We use an innovative empirical approach based on ARDL cointegration with structural breaks. Our findings show that a long-run relationship between financial development, economic growth and poverty reduction exists in Bangladesh. Financial development helps to reduce poverty, but its effect is not linear.

  • 24.
    Shahbaz, Muhammad
    et al.
    COMSATS Institute Informat Technology, Pakistan .
    Carlos Leitao, Nuno
    University of Evora, Portugal .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Arouri, Mohamed
    EDHEC Business Sch, France .
    Teulon, Frederic
    IPAG Business School, IPAG Lab, France.
    Should Portuguese economy invest in defense spending? A revisit2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 805-815Article in journal (Refereed)
    Abstract [en]

    In this paper, we investigate the causal relationship between defense spending and economic growth in Portugal during the period of 1980-2010. We apply the ARDL bounds testing approach in the presence of structural break. The ARDL-ECM estimation results disclose that the relations between defense spending, capital, labor and economic growth are country specific. The interesting finding of this study is that there is a U-shaped relationship that exists between defense spending and economic growth. In addition, the unidirectional causality from defense spending to economic growth exists in the case of Portugal. Therefore, defense spending can play an important role in economic development of Portugal.

  • 25.
    Shahbaz, Muhammad
    et al.
    COMSATS Institute of Information Technology, Lahore, Pakistan.
    Khraief, Naceur
    University of Sousse, Tunisia .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ozturk, Ilhan
    Cag University, Mersin, Turkey.
    Environmental Kuznets curve in an open economy: A bounds testing and causality analysis for Tunisia2014In: Renewable & sustainable energy reviews, ISSN 1364-0321, E-ISSN 1879-0690, Vol. 34, p. 325-336Article, review/survey (Refereed)
    Abstract [en]

    The environmental Kuznets curve hypothesis posits that in the early stages of economic growth environmental degradation and pollution increase. However, as a nation reaches a certain level of income, measured in per capita terms, the trend reverses. The postulated relationship thus produces an inverted U-shaped curve. The topic has drawn much academic interest in the context of developed and emerging nations. The aim of this paper is to investigate the existence of environmental Kuznets curve (EKC) in case of Tunisia using annual time series data for the period of 1971-2010. The ARDL bounds testing approach to cointegration is applied to test long run relationship in the presence of structural breaks and vector error correction model (VECM) to detect the direction of causality among the variables. The robustness of causality analysis has been tested by applying the innovative accounting approach (IAA). The findings of this paper confirmed long run relationship between economic growth, energy consumption, trade openness and CO2 emissions. The results also indicated the existence of EKC confirmed by the VECM and IAA approaches. The study has significant contribution for policy implications to curtail energy pollutants by implementing environment friendly regulations to sustain economic development in Tunisia.

  • 26.
    Shahbaz, Muhammad
    et al.
    COMSATS Institute Informat Technology, Pakistan .
    Nawaz, Kishwar
    COMSATS Institute Informat Technology, Pakistan .
    Arouri, Mohamed
    EDHEC Business Sch, France .
    Teulon, Frederic
    IPAG Business Sch, France .
    Salah Uddin, Gazi
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    On the validity of the Keynesian Absolute Income hypothesis in Pakistan: An ARDL bounds testing approach2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 290-296Article in journal (Refereed)
    Abstract [en]

    The present paper contributes in existing economic literature by investigating the validity of the Keynesian Absolute Income hypothesis in Pakistan by applying the ARDL approach to cointegration. The findings of this paper validate the Keynesian absolute income hypothesis in Pakistan, where public savings and financial development add in private savings. This study opens up new insights for government to improve the level of private savings.

  • 27.
    Shahbaz, Muhammad
    et al.
    COMSATS Institute of Information Technology, Lahore, Pakistan.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ur Rehman, Ijaz
    University of Malaya, Kuala Lumpur, Malaysia.
    Imran, Kashif
    Institute of Business and Management, Karachi, Pakistan.
    Industrialization, electricity consumption and CO2 emissions in Bangladesh2014In: Renewable & sustainable energy reviews, ISSN 1364-0321, E-ISSN 1879-0690, Vol. 31, p. 575-586Article, review/survey (Refereed)
    Abstract [en]

    This paper investigates the relationship between industrialization, electricity consumption and CO2 emissions in case of Bangladesh using quarter frequency data over the period of 1975–2010. The ARDL bounds testing approach is applied to examine cointegration in the presence of structural breaks stemming in the series. The causal relationship among the variables is explored by applying the innovative accounting approach (IAA).

    Our results indicate that the variables are cointegrated for a long run relationship. We find that financial development adds in energy pollutants. Electricity consumption contributes to CO2 emissions. Trade openness also has a positive impact on energy pollutants. The results unveil that EKC is existed between industrial development and CO2 emissions in case of Bangladesh. Our causality analysis shows that electricity consumption Granger causes energy pollutants, industrial growth and financial development. The unidirectional causality exists running from financial development to trade openness and trade openness Granger causes industrial development. This study opens up new insights for policy makers in formulating a comprehensive economic, financial and trade policy to sustain industrialization by improving the environmental quality.

  • 28.
    Sjö, Bo
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    IPAG Business School, Paris, France.
    Siverskog, Jonathan
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Medicine and Health Sciences.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Analyzing Contagion and Tail Dependence in Global Real Estate Markets using NonParametric Flexible Copulas2017Conference paper (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.

  • 29.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Nonlinear and Nonparametric Dynamical Methods in Economics and Finance2016Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

    The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices.

    The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. The findings provide important implications for optimal asset allocation and portfolio diversification with respect to various market conditions, namely both in “good” and “bad” (crisis) times.

    The second paper is entitled “On the time scale behaviour of Equity-Commodity links: Implications for Portfolio Management”, and has been published in the Journal of International Financial Markets, Institutions and Money (2016). The study is co-authored with Professors S. Bekiros, D.K. Nguyen, and B. Sjö. It develops a holistic framework for the investigation of the multi-horizon and intra-frequency causal directionalities of various asset classes, by means of multi-resolution analysis. The results verify the assumption that financial markets exhibit time-varying co-movement patterns, which are fundamentally important in a) generating profitable trading strategies according to different investor horizon expectations and b) decoding the financialization mechanism across various asset classes.

    The third paper entitled “Business Cycle (de) Synchronization in the aftermath of the Global Financial Crisis: Implications for the Euro Area”, was published at Studies in Nonlinear Dynamics and Econometrics (2015) and is co-authored with S. Bekiros, D.K Nguyen and B. Sjö. In this work, the scale-dependent time-varying (de)synchronization effects between the Eurozone and the broad Euro area business cycles are revealed, before and after the global financial crisis. The results, which point towards an increased observed comovement during the crisis period for the Euro area, could be catalytic for the introduction of a more efficient monetary policy by EU institutions and in particular by the European Central Bank.

    In the fourth paper, “Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach”, which was published in the International Review of Economics and Finance (2016) and co-authored with J.C. Reboredo, the financial and policy uncertainty is investigated in relation to the price dynamics of energy and metal commodity futures’ markets. This work lead to the analysis of the asymmetric interrelationships with respect to changes in the perceptions of various risk measures, covering various periods, i.e., “normal” vs. “turbulent” such as upward or downward market episodes.

    The fifth paper, co-authored with P. Andreasson, S. Bekiros and D.K. Nguyen, is entitled “The impact of speculation and economic uncertainty on commodity markets”, and is published in the International Review of Financial Analysis (2016). This paper attempts a novel methodological approach to measuring speculation in commodity markets, in particular whether market speculation drives agricultural commodity prices or viceversa. The assessment of the empirical analysis demonstrates that agricultural prices are not affected by speculation.

    Finally, the sixth paper “Energy and Output Dynamics in Bangladesh”, co-authored with B.P. Paul, was published in Energy Economics (2011) and explores the relationship between energy utilization and economic growth in Bangladesh. Specifically, it deals with the important issue of whether energy consumption can be reduced without affecting economic growth while at the same time implicitly may lead to poverty reduction. The findings substantiate the fact that a) energy usage has become more efficient in recent times, as well as indicate that b) fluctuations in energy consumption did not have a significant impact on economic output.

    List of papers
    1. On the time scale behavior of equity-commodity links: Implications for portfolio management
    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
    2. BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA
    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
    3. Do financial stress and policy uncertainty have an impact on the energy and metals markets?: A quantile regression approach
    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
    4. Impact of speculation and economic uncertainty on commodity markets
    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
    5. Energy and output dynamics in Bangladesh
    Open this publication in new window or tab >>Energy and output dynamics in Bangladesh
    2011 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 33, no 3, p. 480-487Article in journal (Refereed) Published
    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.

    Place, publisher, year, edition, pages
    Elsevier, 2011
    National Category
    Social Sciences
    Identifiers
    urn:nbn:se:liu:diva-91684 (URN)10.1016/j.eneco.2010.11.011 (DOI)
    Available from: 2013-04-29 Created: 2013-04-29 Last updated: 2017-12-06Bibliographically approved
  • 30.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Chakraborty, Sanjib
    Hossain, Rubayet
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Energy Price Differential and Industrial Production Growth in Mexico: A Wavelet Approach2013In: Green design, materials and manufacturing processes: proceedings of the 2nd International Conference on Sustainable Intelligent Manufacturing, Lisbon, Portugal, June 26-29, 2013 / [ed] Bártolo, Helena, Taylor Francis Group , 2013, p. 125-129Conference paper (Other academic)
    Abstract [sv]

    The rise of manufacturing intelligence is fuelling innovation in processes and products concerning a low environmental impact over the product's lifecycle. Sustainable intelligent manufacturing is regarded as a manufacturing paradigm for the 21st century, in the move towards the next generation of manufacturing and processing technologies. The manufacturing industry has reached a turning point in its evolution and new business opportunities are emerging. With sustainable development arises the immense challenge of combining innovative ideas regarding design, materials and products with non-polluting processes and technologies, conserving energy and other natural resources. On the other hand, sustainability has become a key concern for government policies, businesses and the general public. Model cities are embracing novel ecosystems, combining environmental, social and economic issues in more inclusive and integrated frameworks. Green Design, Materials and Manufacturing Processes includes essential research in the field of sustainable intelligent manufacturing and related topics, making a significant contribution to further development of these fields. The volume contains reviewed papers presented at the 2nd International Conference on Sustainable Intelligent Manufacturing, conjointly organized by the Centre for Rapid and Sustainable Product Development, Polytechnic Institute of Leiria, and the Faculty of Architecture, Technical University of Lisbon, both in Portugal. This event was held at the facilities of the Faculty of Architecture, Lisbon, from June 26 to June 29, 2013. A wide range of topics is covered, such as Eco Design and Innovation, Energy Efficiency, Green and Smart Manufacturing, Green Transportation, Life-Cycle Engineering, Renewable Energy Technologies, Reuse and Recycling Techniques, Smart Design, Smart Materials, Sustainable Business Models and Sustainable Construction. Green Design, Materials and Manufacturing Processes is intended for engineers, architects, designers, economists and manufacturers who are actively engaged in the advancement of science and technology regarding key sustainability issues, leading to more suitable, efficient and sustainable products, materials and processes.

  • 31.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Haque Bidisha, Sayema
    Department of Economics, University of Dhaka, Dhaka, Bangladesh.
    Ozturk, Ilhan
    Faculty of Economics and Administrative Sciences, Cag University, Mersin, Turkey.
    Carbon emissions, energy consumption, and economic growth relationship in Sri Lanka2016In: ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY, ISSN 1556-7249, Vol. 11, no 3, p. 282-287Article in journal (Refereed)
    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.

  • 32.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Muzaffar, Ahmed Taneem
    University of Western Sydney.
    Arouri, Mohamed
    Centre Clermontois de Recherche en Gestion et Management (CRCGM), Clermont-Ferrand, France.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Understanding the Relationship Between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh.2017In: The World Economy, ISSN 0378-5920, E-ISSN 1467-9701, ISSN 1467-970, Vol. 40, no 9, p. 1918-1933Article in journal (Refereed)
    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. 

  • 33.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Business Cycle Synchronization between Germany and Countries Inside and Outside Euro area2013Conference paper (Other academic)
    Abstract [en]

    This paper analyzes the business cycle synchronization across European economies inside and outside the euro. Our objective is to test whether there are any differences between the synchronization between Germany and other European countries that are either in the euro area or outside the euro area. We study the synchronization with France, Finland, Italy, Denmark, Norway, Sweden and UK, 

    Business cycle synchronization can be studied in either the time domain or in the frequency domain. The results can be sensitive to the frequency of observations, i.e. quarterly or yearly data. On the other hand studies in the frequency domain is not always easy to translate into a time domain that corresponds with lead and lags associated with economic policy and investment decisions.    

    We use a wavelet-based measure of comovement which makes it possible to find a balance between the time and the frequency domain features of the data and, which constitutes a refinement to previous approaches. The wavelet measure of cohesion allows us to assess how synchronization evolves over time and across frequencies simultaneously. We find that the strength of comovement of business cycles differ among countries and changes over the time horizon. 

  • 34.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, The Institute of Technology.
    Remittances, Financial Development and Economic Growth in Bangladesh2013Conference paper (Other academic)
    Abstract [en]

    In Bangladesh, remittances from migrant workers are an important component of national income and a source for financing consumption and investment. This paper investigates the relationship between remittances, financial sector development and economic growth in Bangladesh over the period of 1976-2011. We apply a cointegration approach to explore this relationship and find a long-run steady among these variables. In the long-run, the inflow of remittances and the expansion of the financial sector drive the growth in GDP, whereas in the short run remittances act a shock absorber to income changes. The policy implications are discussed in the text.

  • 35.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Remittances, Financial Developments and Economic Growth in Bangladesh2013In: South Asia Economic Journal, ISSN 1391-5614, E-ISSN 0973-077X, Vol. 14, no 2, p. 261-273Article in journal (Refereed)
    Abstract [en]

    In Bangladesh, remittances from migrant workers are an important component of national income and a source for financing consumption and investment. This article investigates the relationship between remittances, financial sector development and economic growth in Bangladesh over the period of 1976–2011. In the long run, the inflow of remittances and the expansion of the financial sector drive the growth in GDP, whereas in the short run, remittances act as a shock absorber to income changes.

  • 36.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Shahbaz, Muhammad
    COMSATS Institute of Information Technology, Lahore, Pakistan.
    The causal nexus between financial development and economic growth in Kenya2013In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 35, p. 701-707Article in journal (Refereed)
    Abstract [en]

    This paper aims to reexamine the relationship between financial development and economic growth in Kenya over the period of 1971–2011. Since the financial sector plays a vital role in mobilizing and allocating savings into productive ventures, the core issue of this investigation remains important for developing economics. The examination is based on a Cobb–Douglas production augmented by incorporating financial development. A simulation based ARDL bounds testing and Gregory and Hansen's structural break cointegration approaches are being utilized in this study. Cointegration is being found between the series in the presence of a structural break in 1992. It is also being established that, in the long run, the development of the financial sector has a positive impact on economic growth. Here remains an important policy implication for the concerned individuals of Kenya, that is, they may emphasize on financial development to ignite economic growth.

  • 37.
    Vidal, Marta
    et al.
    University of Complutense Madrid, Spain.
    Vidal-Garcia, Javier
    Harvard University, MA 02138 USA.
    Hooi Lean, Hooi
    University of Sains Malaysia, Malaysia.
    Uddin, zi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The relation between fees and return predictability in the mutual fund industry2015In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 47, p. 260-270Article in journal (Refereed)
    Abstract [en]

    We propose and test a methodological framework to examine the relation between mutual fund fees and return predictability. Gil-Bazo and Ruiz-Verdu (2009) drew attention to the puzzling fact that funds with worse before-fee performance charge higher fees. We make another contribution to the literature about the market for equity mutual funds: we find strong evidence of predictability for mutual fund fees. Funds with both positive and negative relations with fees show strong evidence of negative return predictability for their fees. Our findings are robust to alternative estimation methods and under the assumption of conditionally heteroskedastic stock returns. Our results also show that conditioning information (e.g. dividend yield, t-bill yield, default spread and term spread) are useful in selecting funds with superior performance and are valuable for asset allocation decisions.

  • 38.
    Vidal-Garcia, Javier
    et al.
    University of Valladolid, Spain.
    Vidal, Marta
    University of Complutense Madrid, Spain.
    Boubaker, Sabri
    University of Paris Est, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The short-term persistence of international mutual fund performance2016In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 52, no part B, p. 926-938Article in journal (Refereed)
    Abstract [en]

    This paper examines the short-term persistence in performance of equity mutual funds around the world between 1990 and 2013. Using a large survivorship bias-free sample of 35 countries, we document strong evidence of persistence in daily mutual fund returns over quarterly measurement periods. We rank countries by abnormal return and estimate the performance of each country for the following quarter. We find statistically and economically significant performance persistence that is more pronounced for the top and bottom countries. The post-ranking abnormal return disappears when performance is examined over longer time periods. Thus, our results confirm that superior performance is a short-lived phenomenon. (C) 2015 Elsevier B.V. All rights reserved.

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