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  • 1.
    Ahmad, Wasim
    et al.
    Indian Inst Technol, India.
    Prakash, Ravi
    Indian Inst Technol, India.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Chahal, Rishman Jot Kaur
    Indian Inst Technol, India.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Dutta, Anupam
    Univ Vaasa, Finland.
    On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?2020In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 91, article id 104871Article in journal (Refereed)
    Abstract [en]

    The main aim of this paper is to investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them. We consider currencies of two major oil-importing countries (India and China) over the sample period of January 1.2013 to October 31, 2019. We find evidence of positive return spillover from the oil to the foreign exchange market; however, there is a lack of return spillover in the other direction. Oil jumps appear to have a negative impact on exchange rate conditional volatility, and the latter responds asymmetrically to disentangled (positive and negative) oil price jumps. We also report disentangled exchange rate jumps significant impact on conditional oil price volatility. These results, however, are asymmetric based on the nature of jumps and alternative oil price series. Finally, we do not find evidence of co-jump between the oil and foreign exchange markets. These results have important implications for investors and policymakers. (C) 2020 Elsevier B.V. All rights reserved.

  • 2.
    Ahmed, Ali M.
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    European University Institute, Department of Economics, Villa La Fonte, Florence, Italy .
    Rosklint-Lindvall, Emma
    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.
    Salvi, Antonio
    Faculty of Economics, LUM Jean Monnet University, Casamassima, Italy.
    The influence of energy consumption and democratic institutions on output and CO2 emissions in Bangladesh: a time-frequency approach2020In: Energy Systems, ISSN 1867-8998, E-ISSN 1867-9005, Vol. 11, no 1, p. 195-212Article in journal (Refereed)
    Abstract [en]

    This paper reports the results of a study that investigates the causal interactions among the entities energy consumption, democracy, income, and CO2 emissions in Bangladesh. Bootstrapping causality and time–frequency domain causality methods were adopted to examine the causal co-movements between the variables, using data series for a period of more than four decades. Results show that time-scale behavior plays an important role. Democracy is an important factor for emissions and national income. The nexus of democracy and CO2 emission is bidirectional. The impact of democracy on CO2 is stronger than vice versa. This study provides new insights for policymakers: democratic practices play an important role in implementing climate change policies, at least in the case of Bangladesh.

  • 3.
    Ahmed, Ali M.
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Granberg, Mark
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Troster, Victor
    Department of Applied Economics at the Universitat de les Illes Balears (UIB).
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Asymmetric dynamics between uncertainty and unemployment flows in the United States2020Report (Other academic)
    Abstract [en]

    This paper examines how different uncertainty measures affect the unemployment level, inflow, and outflow in the U.S. across all states of the business cycle. We employ linear and nonlinear causality-in-quantile tests to capture a complete picture of the effect of uncertainty on U.S. unemployment. To verify whether there are any common effects across different uncertainty measures, we use monthly data on four uncertainty measures and on U.S. unemployment from January 1997 to August 2018. Our results corroborate the general predictions from a search and matching framework of how uncertainty affects unemployment and its flows. Fluctuations in uncertainty generate increases (upper-quantile changes) in the unemployment level and in the inflow. Conversely, shocks to uncertainty have a negative impact on U.S. unemployment outflow. Therefore, the effect of uncertainty is asymmetric depending on the states (quantiles) of U.S. unemployment and on the adopted unemployment measure. Our findings suggest statecontingent policies to stabilize the unemployment level when large uncertainty shocks occur.

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  • 4.
    Ahmed, Ali M.
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Granberg, Mark
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Troster, Victor
    Department of Applied Economics, Universitat de les Illes Balears, Palma de Mallorca, Spain.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Asymmetric dynamics between uncertainty and unemployment flows in the United States2022In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 26, no 1, p. 155-172Article in journal (Refereed)
    Abstract [en]

    This paper examines how different uncertainty measures affect the unemployment level, inflow, and outflow in the U.S. across all states of the business cycle. We employ linear and nonlinear causality-in-quantile tests to capture a complete picture of the effect of uncertainty on U.S. unemployment. To verify whether there are any common effects across different uncertainty measures, we use monthly data on four uncertainty measures and on U.S. unemployment from January 1997 to August 2018. Our results corroborate the general predictions from a search and matching framework of how uncertainty affects unemployment and its flows. Fluctuations in uncertainty generate increases (upper-quantile changes) in the unemployment level and in the inflow. Conversely, shocks to uncertainty have a negative impact on U.S. unemployment outflow. Therefore, the effect of uncertainty is asymmetric depending on the states (quantiles) of U.S. unemployment and on the adopted unemployment measure. Our findings suggest state-contingent policies to stabilize the unemployment level when large uncertainty shocks occur.

  • 5.
    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.

  • 6.
    Ahmed, Rashad
    et al.
    US Dept Treasury, DC 20219 USA.
    Aizenman, Joshua
    Univ Southern Calif, CA 90089 USA.
    Saadaoui, Jamel
    Univ Strasbourg, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    On the effectiveness of foreign exchange reserves during the 2021-22 US monetary tightening cycle2023In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 233, article id 111367Article in journal (Refereed)
    Abstract [en]

    This paper examines whether the size of foreign exchange (FX) reserves explains cross-country differences in foreign currency depreciation realized over the 2021-22 Federal Reserve monetary policy tightening that led to a sharp appreciation of the US dollar. Across a broad sample of countries, we document that an additional 10 percentage points of FX reserves/GDP held ex-ante were associated with 1.5 to 2 percent less exchange rate depreciation against the US dollar and this buffer effect was larger among less financially developed economies. Effects were more pronounced for large-reserve countries that sold reserves to intervene than for large-reserve countries that did not intervene, supporting the presence of both balance sheet and intervention channels. Higher ex-ante policy rates were also associated with less depreciation especially among financially open economies. An analysis of daily currency movements following the June 2021 FOMC meeting corroborates the main results. These findings suggest that FX reserves may promote monetary policy independence in the presence of global spillovers.

  • 7.
    Akyildirim, Erdinc
    et al.
    Burdur Mehmet Akif Ersoy Univ, Turkey; Univ Zurich, Switzerland.
    Cepni, Oguzhan
    Copenhagen Business Sch, Denmark; Cent Bank Republ Turkey, Turkey.
    Corbet, Shaen
    Dublin City Univ, Ireland; Univ Waikato, New Zealand.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Forecasting mid-price movement of Bitcoin futures using machine learning2021In: Annals of Operations Research, ISSN 0254-5330, E-ISSN 1572-9338Article in journal (Refereed)
    Abstract [en]

    In the aftermath of the global financial crisis and ongoing COVID-19 pandemic, investors face challenges in understanding price dynamics across assets. This paper explores the performance of the various type of machine learning algorithms (MLAs) to predict mid-price movement for Bitcoin futures prices. We use high-frequency intraday data to evaluate the relative forecasting performances across various time frequencies, ranging between 5 and 60-min. Our findings show that the average classification accuracy for five out of the six MLAs is consistently above the 50% threshold, indicating that MLAs outperform benchmark models such as ARIMA and random walk in forecasting Bitcoin futures prices. This highlights the importance and relevance of MLAs to produce accurate forecasts for bitcoin futures prices during the COVID-19 turmoil.

  • 8.
    Akyildirim, Erdinc
    et al.
    Bogazici Univ, Turkey; Univ Zurich, Switzerland.
    Cepni, Oguzhan
    Copenhagen Business Sch, Denmark; Cent Bank Republ Turkey, Turkey.
    Molnar, Peter
    Univ Stavanger, Norway; Prague Univ Econ & Business, Czech Republic; Nicolaus Copernicus Univ Torun, Poland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Connectedness of energy markets around the world during the COVID-19 pandemic2022In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 109Article in journal (Refereed)
    Abstract [en]

    This paper studies the connectedness among energy equity indices of oil-exporting and oil-importing countries around the world. For each country, we construct time-varying measures of how much shocks this country transmits to other countries and how much shocks this country receives from other countries. We analyze the network of countries and find that, on average, oil-exporting countries are mainly transmitting shocks, and oil-importing countries are mainly receiving shocks. Furthermore, we use panel data regressions to evaluate whether the connectedness among countries is influenced by economic sentiment, uncertainty, and the global COVID-19 pandemic. We find that the connectedness among countries increases significantly in periods of uncertainty, low economic sentiment, and COVID-19 problems. This implies that diversification benefits across countries are severely reduced exactly during crises, that is, during the times when diversification benefits are most important.

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  • 9.
    Akyildirim, Erdinc
    et al.
    Bogazici Univ, Turkey; Univ Zurich, Switzerland.
    Cepni, Oguzhan
    Copenhagen Business Sch, Denmark; Republ Turkey, Turkey.
    Pham, Linh
    Univ Cent Oklahoma, OK USA.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    How connected is the agricultural commodity market to the news-based investor sentiment?2022In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 113, article id 106174Article in journal (Refereed)
    Abstract [en]

    Previous studies indicate a substantial time-variation in the co-movement of commodity futures markets and economic fundamentals. This paper examines the connectedness and directional spillovers for both the agricultural commodity futures markets and the corresponding sentiment indices. We first construct dynamic time-varying connectedness measures both for the agricultural commodity returns and sentiments. Then, we use panel data regressions and time-varying Granger causality tests to evaluate whether the spillovers between these returns and sentiments are influenced by the economic and financial uncertainties, including the global COVID-19 pandemic. In particular, we document that the COVID-19 induced uncertainty influences agricultural commodity returns and sentiments significantly around the first cycle of the pandemic in 2020. Last but not least, economic policy and financial market uncertainty are also found to be significant determinants of the connectedness between agricultural commodity returns and sentiment spillovers.

  • 10.
    Al Mamun, Md
    et al.
    La Trobe Univ, Australia.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Suleman, Muhammad Tahir
    Lincoln Univ, New Zealand.
    Kang, Sang Hoon
    Pusan Natl Univ, South Korea; Univ South Australia, Australia.
    Geopolitical risk, uncertainty and Bitcoin investment2020In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 540, article id 123107Article in journal (Refereed)
    Abstract [en]

    We investigate the impact of geopolitical risk, global and US economic policy uncertainty on the structure of Bitcoin correlation with various financial and commodities asset classes. We further investigate the impact of the aforementioned factors on the volatility and risk premium of Bitcoin investment. We find that both geopolitical risk and global economic policy uncertainty command a risk premium, particularly in distress market conditions. Moreover, during the period of high policy uncertainty and worsening economic conditions, Bitcoin investors can only hedge their portfolio with gold, not with other financial assets. Our results highlight that the effect of geopolitical risk, global and US economic policy uncertainty is far more significant during unfavorable economic conditions. (C) 2019 Published by Elsevier B.V.

  • 11.
    Allard, Alexandra
    et al.
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Takman, Johanna
    Swedish Natl Rd and Transport Res Inst, Sweden.
    Uddin, Gazi Salah
    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.
    The N-shaped environmental Kuznets curve: an empirical evaluation using a panel quantile regression approach2018In: Environmental Science and Pollution Research, ISSN 0944-1344, E-ISSN 1614-7499, Vol. 25, no 6, p. 5848-5861Article in journal (Refereed)
    Abstract [en]

    We evaluate the N-shaped environmental Kuznets curve (EKC) using panel quantile regression analysis. We investigate the relationship between CO2 emissions and GDP per capita for 74 countries over the period of 1994-2012. We include additional explanatory variables, such as renewable energy consumption, technological development, trade, and institutional quality. We find evidence for the N-shaped EKC in all income groups, except for the upper-middle-income countries. Heterogeneous characteristics are, however, observed over the N-shaped EKC. Finally, we find a negative relationship between renewable energy consumption and CO2 emissions, which highlights the importance of promoting greener energy in order to combat global warming.

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  • 12.
    Alqaralleh, Huthaifa
    et al.
    Mutah Univ, Jordan.
    Canepa, Alessandra
    Univ Turin, Italy; Brunel Univ London, England.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Dynamic relations between housing Markets, stock Markets, and uncertainty in global Cities: A Time-Frequency approach2023In: The North American journal of economics and finance, ISSN 1062-9408, E-ISSN 1879-0860, Vol. 68, article id 101950Article in journal (Refereed)
    Abstract [en]

    This paper considers the dynamic features of housing prices in metropolises that are characterised by a high degree of internationalisation. Using the wavelet coherency procedure, the degree of comovement and causality between housing, stock markets, and macroeconomic uncertainty are investigated. In addition, the existence of volatility spillover across housing markets is assessed in the time-frequency domain using a novel procedure that involves combining the wavelet decomposition with a time varying parameter vector autoregression model. The results highlight that the clustering of global business in a limited number of metropolises that act as "global hubs" leaves the local housing markets exposed to international shocks and volatility spillover. The empirical analysis suggests that the correlations between real estate and stock markets from one side, and real estates and uncertainty on the other side, intensify during the turmoil periods. Causality and co-movement relationships appear predominately in the medium and long run periods. The evidence presented in this paper suggests that policymakers cannot ignore the possibility that international shocks to housing markets may affect the domestic markets. In this respect, macroprudential policy tools may target tapering off the unintended effects of housing market globalisation such as house price shock synchronisation, especially when these shocks take place in cities that are also major financial centres.

  • 13.
    Andersson, Emil
    et al.
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Hoque, Mahim
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences. Trinity Coll Dublin, Ireland.
    Jayasekera, Ranadeva
    Univ Dublin, Ireland.
    ESG investment: What do we learn from its interaction with stock, currency and commodity markets?2022In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 27, p. 3623-3639Article in journal (Refereed)
    Abstract [en]

    This paper examines ESG portfolios causal relationship with conventional and ethical equity prices, exchange rates and commodity prices. Using multi-scale wavelet decomposition, asset returns are decomposed into three timescales (short-, medium- and long-term), and a three-step filtered framework is used to explore dynamic non-linear linkages. We document significant bidirectional causal relationship between ESG, conventional and ethical equity portfolio returns. While the causality persists from the short- to medium-term, it is relatively weaker in the long-term. We further observe statistically significant causality running from ESG portfolio returns to currency and commodity returns. This causality is strongest in the short-term, turns weaker in the medium-term and, in some instances, disappears in the long-term. These results are generally robust for the use of original returns and VAR-filtered returns. However, as we control for conditional heteroskedasticity in the return series, the causality appears weaker particularly between ESG portfolio and commodity returns. Our results have important implications for planning portfolio allocation and devising hedging and diversification strategies.

  • 14.
    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.

  • 15.
    Arnell, Linn
    et al.
    Landshypotek Bank, Sweden.
    Engström, Emma
    Linköping University, Department of Management and Engineering. 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.
    Hasan, Md. Bokhtiar
    Islamic Univ, Bangladesh.
    Kang, Sang Hoon
    Pusan Natl Univ, South Korea.
    Volatility spillovers, structural breaks and uncertainty in technology sector markets2023In: FINANCIAL INNOVATION, ISSN 2199-4730, Vol. 9, no 1, article id 106Article in journal (Refereed)
    Abstract [en]

    This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with financial assets in the face of economic and financial uncertainty. Our results suggest that structural breaks have diverse effects on financial asset connectedness and that the level of bond linkage increases when the trend breaks. We see a growing co-movement between the technology sector and major financial assets when uncertainty is considered. Overall, our findings indicate that the connectedness response varies depending on the type of uncertainty shock.

  • 16.
    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.

  • 17.
    Badshah, Ihsan
    et al.
    Auckland Univ Technol, New Zealand.
    Bekiros, Stelios
    European Univ Inst, Italy.
    Lucey, Brian M.
    Trinity Coll Dublin, Ireland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Asymmetric linkages among the fear index and emerging market volatility indices2018In: Emerging Markets Review, ISSN 1566-0141, E-ISSN 1873-6173, Vol. 37, p. 17-31Article in journal (Refereed)
    Abstract [en]

    This study explores the relationships between changes in the fear index (VIX) and changes in emerging market volatilities i.e., Chinese, Brazilian and the overall emerging volatility index, across their conditional distributions by employing a mixed Quantile regression - Copula methodological approach. Moreover, we analyze whether emerging market volatility indices would respond asymmetrically to positive and negative volatility shocks in the fear index i.e., whether the relationships are asymmetric between the VIX and the emerging market volatilities. Our results confirm that there are strong positive relationships between changes in the VIX and emerging market volatilities, and the linkages tend to be stronger for the upper-parts of the conditional distributions, namely above the median-quantiles up to the extreme-quantiles. In all cases, the nature of the relationship appears to be contemporaneous and on average is three times stronger than their lagged relationship. Further test results reveal that the relationship is highly asymmetric i.e., the effect of a positive shock in the VIX is on average about twice more pronounced than the effect of a negative shock at the extreme-tails of their conditional distributions, a stylized fact that cannot be revealed via conventional estimation methods as OLS. If we compare the effects of positive and negative VIX shocks on emerging market volatilities utilizing QRM, Copulas and OLS, our findings reveal that the effect of a positive shock by the QRM at the 95% quantile is about eight times higher than the one revealed by OLS. An exhaustive robustness analysis is also performed with respect to other volatility measures.

  • 18.
    Badur, M. Mesut
    et al.
    Ural Fed Univ, Russia.
    Sohag, Kazi
    Ural Fed Univ, Russia.
    Hammoudeh, Shawkat
    Univ Econ HCMC, Inst Business Res, Vietnam; Drexel Univ, PA USA.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Costs of economic growth: new insights on wealth and income inequalities in the post-communist countries2023In: Post-Communist Economies, ISSN 1463-1377, E-ISSN 1465-3958Article in journal (Refereed)
    Abstract [en]

    We scrutinise the role of institutional, market, and financial freedoms within the occurrence of wealth and income inequalities, thus attempting to corroborate the Kuznets curve hypothesis by using general and decomposed measures. To this end, we apply an auto-regressive fixed effect framework with Driscoll Kraay standard errors to analyse the panel time series data for twelve Post-Communist economies. Our empirical results highlight that the overall economic growth provides two different implications for the income and wealth inequalities. Economic growth fosters income inequality up to a threshold point, afterwards it declines with further economic growth, thereby validating the Kuznets curve hypothesis. The decomposed analysis confirms that further economic growth surpassing the threshold level re-distributes income from the top 10% class to the bottom 50% and middle 40% classes.

  • 19.
    Balcerzak, Adam P.
    et al.
    Brno Univ Technol, Czech Republic.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Iglinski, Bartosz
    Nicolaus Copernicus Univ, Poland.
    Pietrzak, Michal Bernard
    Gdansk Univ Technol, Poland.
    Global energy transition: From the main determinants to economic challenges2023In: Equilibrium, ISSN 1689-765X, E-ISSN 2353-3293, Vol. 18, no 3, p. 597-608Article in journal (Other academic)
  • 20.
    Balli, Faruk
    et al.
    Massey Univ, New Zealand.
    Shahzad, Syed Jawad Hussain
    Montpellier Business Sch, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    A tale of two shocks: What do we learn from the impacts of economic policy uncertainties on tourism?2018In: Tourism Management, ISSN 0261-5177, E-ISSN 1879-3193, Vol. 68, p. 470-475Article in journal (Refereed)
    Abstract [en]

    In this paper, we investigate the impact of the economic policy uncertainties on the tourism demand, by using multiple and partial wavelet analysis. We find that global economic policy uncertainties (EPUs) impact on tourism demand in various levels for different countries. The effect is on peak and stay longer in certain periods; such as GFC or 9/11. More importantly, novel to the literature, the domestic EPUs significantly affect the tourist inflows, indicating that policy holders need to take into account EPU fluctuations in forecasting the short-term and medium term tourism demand.

  • 21.
    Balli, Faruk
    et al.
    School of Economics and Finance, Massey University, Albany, New Zealand.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Mudassar, Hasan
    School of Economics and Finance, Massey University, Albany, New Zealand.
    Yoon, Seong-Min
    Department of Economics, Pusan National University, Busan, Republic of Korea.
    Cross-country determinants of economic policy uncertainty spillovers2017In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 156, p. 179-183Article in journal (Refereed)
    Abstract [en]

    This study explores the determinants of cross-country economic policy uncertainty (EPU) spillovers. We find that bilateral factors such as trade and common language play a highly significant role in explaining the magnitude of EPU spillovers. Furthermore, the magnitude of EPU spillovers is higher for countries having higher vulnerability in terms of fiscal, trade, or financial liability imbalances. (C) 2017 Elsevier B.V. All rights reserved.

  • 22.
    Balli, Faruk
    et al.
    Massey Univ, New Zealand.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Shahzad, Syed Jawad Hussain
    Montpellier Business Sch, France.
    Geopolitical risk and tourism demand in emerging economies2019In: Tourism Economics, ISSN 1354-8166, E-ISSN 2044-0375, Vol. 25, no 6, p. 997-1005Article in journal (Refereed)
    Abstract [en]

    In this article, we investigate the impact of geopolitical risk (GPR) on international tourism demand in emerging economies. We have found that impact of GPR is not homogeneous for every country in our sample; for example, some countries are affected heavily by GPR and others are mostly immune to GPR shocks. In general, for countries that have attractive tourism destinations, the impact of GPR is minimal, indicating that if international tourists desperately want to go a destination, they do not take GPR seriously. In addition, the tsunami impact of GPR is not the same for all affected countries. For some countries, the GPR shocks have an impact within 2 to 3 months of its first hit, while for other countries, the impact is felt over longer periods.

  • 23.
    Baltas, Konstantinos
    et al.
    Univ Essex, England.
    Jayasekera, Ranadeva
    Trinity Coll Dublin, Ireland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Papadopoulos, Thanos
    Univ Kent, England.
    The role of resource orchestration in humanitarian operations: a COVID-19 case in the US healthcare2022In: Annals of Operations Research, ISSN 0254-5330, E-ISSN 1572-9338Article in journal (Refereed)
    Abstract [en]

    This paper investigates the role of resource allocation in alleviating the impact on from disruptions in healthcare operations. We draw on resource orchestration theory and analyse data stemming from US healthcare to discuss how the US healthcare system structured, bundled and reconfigured resources (i.e. number of hospital beds, and vaccines) during the COVID-19 pandemic. Following a comprehensive and robust econometric analysis of two key resources (i.e. hospital beds and vaccines), we discuss its effect on the outcomes of the pandemic measured in terms of confirmed cases and deaths, and draw insights on how the learning curve effect and other factors might influence in the efficient and effective control of the pandemic outcomes through the resource usage. Our contribution lies in revealing how different resources are orchestrated (structured, bundled, and leveraged) to help planning responses to and dealing with the disruptions to create resilient humanitarian operations. Managerial implications, limitations and future research directions are also discussed.

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  • 24.
    Bekiros, Stelios
    et al.
    EUI, Italy.
    Arreola Hernandez, Jose
    Rennes Sch Business, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Muzaffar, Ahmed Taneem
    Int Labor Org, Switzerland.
    On the predictability of crude oil market: A hybrid multiscale wavelet approach2020In: Journal of Forecasting, ISSN 0277-6693, E-ISSN 1099-131X, Vol. 39, no 4, p. 599-614Article in journal (Refereed)
    Abstract [en]

    Past research indicates that forecasting is important in understanding price dynamics across assets. We explore the potentiality of multiscale forecasting in the crude oil market by employing a wavelet multiscale analysis on returns and volatilities of Brent and West Texas Intermediate crude oil indices between January 1, 2001, and May 1, 2015. The analysis is based on a shift-invariant discrete wavelet transform, augmented by an entropy-based methodology for determining the optimal timescale decomposition under different market regimes. The empirical results show that the five-step-ahead wavelet forecast that is based on volatilities outperforms the random walk forecast, relative to the wavelet forecast that is based on returns. Optimal wavelet causality forecasting for returns is suggested across all frequencies (i.e., daily-yearly), whereas for volatilities it is suggested only up to quarterly frequencies. These results may have important implications for market efficiency and predictability of prices on the crude oil markets.

  • 25.
    Bekiros, Stelios
    et al.
    European University of Institute, Italy; IPAG Business Sch, France.
    Boubaker, Sabri
    Champagne School Management, France.
    Nguyen, Duc Khuong
    IPAG Business Sch, 184 Blvd St Germain, Paris, France; Vietnam Natl Univ, Int Sch, Hanoi, Vietnam.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Black swan events and safe havens: The role of gold in globally integrated emerging markets2017In: Journal of International Money and Finance, ISSN 0261-5606, E-ISSN 1873-0639, Vol. 73, p. 317-334Article in journal (Refereed)
    Abstract [en]

    There is evidence to suggest that gold acts as both a hedge and a safe haven for equity markets over recent years, and particularly during crises periods. Our work extends the recent literature on hedging and diversification roles of gold by analyzing its interaction with the stock markets of the leading emerging economies, the BRICS. While they generally exhibit a high growth rate, these economies still experience a pronounced vulnerability to external shocks, particularly to commodity price fluctuations. Using a multi-scale wavelet approach and a GARCH-based copula methodology, we mainly show evidence of: (i) the time-scale co-evolvement patterns between BRICS stock markets and gold market, with some profound regions of concentrated extreme variations; and (ii) a strong time-varying asymmetric dependence structure between those markets. These findings are essential for risk diversification and portfolio hedging strategies among the investigated markets. (C) 2017 Elsevier Ltd. All rights reserved.

  • 26.
    Bekiros, Stelios
    et al.
    European Univ Inst, Italy.
    Dahlstrom, Amanda
    Transportstyrelsen, Sweden.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ege, Oskar
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Jayasekera, Ranadeva
    Univ Dublin, Ireland.
    A tale of two shocks: The dynamics of international real estate markets2020In: International journal of finance and economics, ISSN 1076-9307, E-ISSN 1099-1158, Vol. 25, no 1Article in journal (Refereed)
    Abstract [en]

    We examine the major potential drivers of five international housing markets utilizing a quantile regression approach. In particular, we investigate property market dynamics during three variant market environments, namely, under downward (bearish), normal (median), and upward (bullish) trending conditions. Monthly data series for the United States, United Kingdom, Australia, Singapore, and Hong Kong are analysed, in an attempt to quantify uncertainty and detect trading patterns for the largest securitized real estate markets. We find that the stock market volatility, measured by the "pushing factor" VIXSamp;P500, provides agents with the most reliable and efficient information in terms of predicting market returns during bear market conditions, whereas "pulling factors" such as money supply, treasury yields, and unemployment explain the main stylized facts, incorporating contagion and diverse endogenous and exogenous shocks. Our work provides a richer understanding on comovements in house prices, allowing policy makers to anticipate shocks in global markets in a timely manner.

  • 27.
    Bekiros, Stelios
    et al.
    European Univ Inst, Italy.
    Hedström, Axel
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Jayasekera, Evgeniia
    Natl Coll Ireland, Ireland.
    Mishra, Tapas
    Univ Southampton, England.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Correlated at the Tail: Implications of Asymmetric Tail-Dependence Across Bitcoin Markets2021In: Computational Economics, ISSN 0927-7099, E-ISSN 1572-9974, Vol. 58, no 4, p. 1289-1299Article in journal (Refereed)
    Abstract [en]

    This paper is the first tofullycharacterize the relationship among cross-market Bitcoin prices to provide a complete picture ofdirectional predictabilityof Bitcoin traded in various currencies across five developed markets. To exploit full-distributional dynamics, we employ Cross-quantilogram based Correlation and Dependence model to delve deep into the estimates an asymmetric tail dependence across quantiles would reflect on heterogeneous movement pattern of Bitcoin prices. A cross-quantilogram-based analysis reveals new empirical evidence of a heterogeneous tail dependence pattern: whereas Bitcoin-USD and the Northeast Asian market (viz., Japan) depicts a strong co-movement, smaller markets display weak connectedness and strong market-efficiency.

  • 28.
    Bekiros, Stelios
    et al.
    European University of Institute, Italy; IPAG Business Sch, France.
    Jlassi, Mouna
    Tilburg University, Netherlands.
    Lucey, Brian
    Trinity Coll Dublin, Ireland; Trinity Coll Dublin, Ireland.
    Naoui, Name
    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.
    Herding behavior, market sentiment and volatility: Will the bubble resume?2017In: The North American journal of economics and finance, ISSN 1062-9408, E-ISSN 1879-0860, Vol. 42, p. 107-131Article in journal (Refereed)
    Abstract [en]

    This paper aims to investigate herding behavior and its impact on volatility under uncertainty. We apply a cross-sectional absolute deviation approach as well as Quantile Regression methods to capture the herding behavior in daily and monthly frequencies in US markets over several time-periods including the global financial crisis. In a novel attempt we modify the empirical CSAD herding modeling by introducing implied volatility as a measure of agent risk expectations. Our findings indicate that herding tends to be intense under extreme market conditions, as depicted in the upper high quantile range of the conditional distribution of returns. During crisis periods herding is observed at the beginning of the crisis and becomes insignificant towards the end. The US market herding behavior exhibits time-varying dynamic trading pattern that can be attributed e.g., to overconfidence or excessive "flight to quality" features, mostly observed in the aftermath of the global financial crisis. Moreover, implied volatility reveals asymmetric patterns and plays a key role in enforcing irrational behavior. (C) 2017 Published by Elsevier Inc.

  • 29.
    Bekiros, Stelios
    et al.
    AUEB, Greece.
    Jlassi, Mouna
    Tilburg Univ, Netherlands.
    Naoui, Kamel
    Univ Manouba, Tunisia.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Risk perception in financial markets: On the flip side2018In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 57, p. 184-206Article in journal (Refereed)
    Abstract [en]

    We propose an alternative approach to capture the asymmetric risk-return relationship in financial markets using affective cognitive analysis. Implied volatility is employed as a robust gauge of risk perception. Markets exhibit a dramatic increase in fear sentiment when extreme upper-quantile losses hit investors while conditional positive returns fuel exuberance. However, an inverse response is observed in Asian markets due to normative societal phenomena, such as herding. A cognitive paradigm provides with a better interpretation of contagion than classical leverage-feedback theories as risk perception evolves dynamically over time. Overall, the fear of losses is not the flip side of gains exuberance.

  • 30.
    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.

  • 31.
    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.

  • 32.
    Bekiros, Stelios
    et al.
    Department of Economics, European University Institute, Florence, Italy; Department of Acc. & Finance, Athens University of Economics and Business, Athens, Greece.
    Nguyen, Duc Khuong
    IPAG Lab, IPAG Business School, Paris, France; School of Public and Environmental Affairs, Indiana University, Bloomington, United States, USA.
    Sandoval Junior, Leonidas
    Insper Instituto de Ensino e Pesquisa, Sao Paulo, Brazil.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets2017In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 256, no 3, p. 945-961Article in journal (Refereed)
    Abstract [en]

    This paper investigates the dynamic causal linkages among U.S. equity and commodity futures markets via the utilization of complex network theory. We make use of rolling estimations of extended matrices and time-varying network topologies to reveal the temporal dimension of correlation and entropy relationships. A simulation analysis using randomized time series is also implemented to assess the impact of de-noising on the data dependence structure. We mainly show evidence of emphasized disparity of correlation and entropy-based centrality measurements for all markets between pre- and post-crisis periods. Our results enable the robust mapping of network influences and contagion effects while incorporating agent expectations.

  • 33.
    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.

  • 34.
    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.

  • 35.
    Bekiros, Stelios
    et al.
    Athens Univ Econ and Business, Greece; European Univ Inst, Italy.
    Nilavongse, Rachatar
    Natl Inst Econ Res, Sweden.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bank capital shocks and countercyclical requirements: Implications for banking stability and welfare2018In: Journal of Economic Dynamics and Control, ISSN 0165-1889, E-ISSN 1879-1743, Vol. 93, p. 315-331Article in journal (Refereed)
    Abstract [en]

    This paper incorporates anticipated and unanticipated shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for banking stability and household welfare. We introduce three different countercyclical capital rules. The first countercyclical capital rule responds to credit to output ratio. The second countercyclical rule reacts to deviations of credit to its steady state, and the third rule reacts to credit growth. The second rule proves to be the most effective tool in dampening credit supply, housing demand and household debt as well as in enhancing the banking stability by ensuring that banks have higher bank capital and capital to asset ratio. After conducting a welfare analysis we find that the second rule outranks the other ones followed by the first rule, the baseline and the third rule respectively in terms of welfare accumulation. (C) 2018 Elsevier B.V. All rights reserved.

  • 36.
    Bekiros, Stelios
    et al.
    European Univ Inst, Italy; Athens Univ Econ & Business, Greece; AUEB, Greece.
    Nilavongse, Rachatar
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences. Tallinn Univ Technol, Estonia.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Expectation-driven house prices and debt defaults: The effectiveness of monetary and macroprudential policies2020In: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 49, article id 100760Article in journal (Refereed)
    Abstract [en]

    We embed non-fundamental house price expectation shocks and endogenous mortgage defaults into a DSGE model with a housing and banking sector. We use our DSGE set-up to study the impact of variations in house price expectations upon macroeconomic dynamics and their implications for monetary and macroprudential policies. Model simulations show that an increase in expected future house prices leads to a decline in mortgage defaults and interest rates on loans, whereas it leads to an increase in house prices, household debt, bank leverage ratios and economic activity. Interestingly, a positive fundamental housing preference shock causes a rise in inflation, whilst a positive non-fundamental shock to house prices generates a decline in inflation. We demonstrate that even though monetary policy reacting to household credit growth improves the stability of the real economy, yet it jeopardizes price stability. Finally, we show that the effectiveness of monetary versus macroprudential policy depends on whether the economy is affected by non-fundamental or fundamental shocks. (C) 2020 Elsevier B.V. All rights reserved.

  • 37.
    Bekiros, Stelios
    et al.
    Department Econ, Italy; IPAG Business Sch, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets2017In: International Review of Finance, ISSN 1369-412X, E-ISSN 1468-2443, Vol. 17, no 1, p. 155-162Article in journal (Refereed)
    Abstract [en]

    We explore the impact of uncertainty on financial markets in the aftermath of the global financial crisis. In particular, we investigate the temporal dynamics of the dependence structure of stock, currency and oil markets in the United States using a nonparametric copula approach. Policy uncertainty is modeled via the EPU index of Baker et al. (2013). We find evidence of a pronounced extreme tail asymmetric interrelationship between the crude oil market and economic uncertainty.

  • 38.
    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.

  • 39.
    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.

  • 40.
    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.

  • 41.
    Boako, Gideon
    et al.
    SOAS Univ London, South Africa; African Finance & Econ Consult AFEC, South Africa.
    Alagidede, Imhotep Paul
    African Finance & Econ Consult AFEC, South Africa; Univ Witwatersrand, South Africa.
    Sjö, Bo
    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.
    Commodities price cycles and their interdependence with equity markets2020In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 91, article id 104884Article in journal (Refereed)
    Abstract [en]

    This study examines the time-scale connectedness between returns on nine African stock markets and commodities markets across energy, agriculture, metals, and beverage. First, we examine multi-scale (short-, medium-, and long-run) wavelet structural relationships between African stocks and commodities using the bivariate wavelet coherence. We establish that commodities and African stock returns co-move across multiple scales and co-integrate in the long run, albeit sparse. Second, we analyze the portfolio performance of the African stock markets with other commodities using wavelet-based diversified and undiversified portfolios in a translation-invariant manner to calculate the scale-specific Sharpe ratios over different sub-periods rather than giving a one-shot look for the entire sample. This enables us to examine how risk-adjusted returns vary across different periods. The results confirm that having a combined portfolio of commodities and equities improves performance over different investment horizons. Specifically, we observe that in non-crisis periods, particularly from 2001-2006 the equally weighted and optimally weighted portfolios show the greatest performances. However, as we enter into the crisis zones such as the Asian crisis of 1997-2000 and the global financial and Eurozone debt crisis the risk-aversion of investors become prominent as the risk-minimizing portfolios record the highest performances. (C) 2020 Elsevier B.V. All rights reserved.

  • 42.
    Borg, Elin
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Kits, Ilya
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Junttila, Juha
    Univ Jyvaskyla, Finland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Dependence between renewable energy related critical metal futures and producer equity markets across varying market conditions2022In: Renewable energy, ISSN 0960-1481, E-ISSN 1879-0682, Vol. 190, p. 879-892Article in journal (Refereed)
    Abstract [en]

    We study the dependence of renewable energy production-related critical metal futures and producer equity returns, compared to the non-renewable energy (oil and natural gas) and some other globally relevant commodity markets. We find different asymmetric and symmetric dependencies in these commodity markets. The dependence is asymmetric in the most important critical metal markets, i.e., of silver, copper, and platinum. Still, surprisingly, for example, in the oil market, the relationship is symmetric, and no relationship is found in the natural gas market. Furthermore, the oil and agricultural markets have homogenous dependence structures in most market conditions, so the information transmission channels in these markets seem to be highly efficient. Still, the critical metal markets seem inefficient in this respect. The short-term speculation effects from the precious metals-related stock market segment towards critical metals futures markets are strong compared to others. We suggest that the future regulation of the precious metals producer stock market sector should be tighter to reduce speculative spillovers from this market segment to the futures markets of these metals.

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  • 43.
    Chen, Yan
    et al.
    Hunan Univ, Peoples R China; Hunan Prov Key Lab Philosophy & Social Sci Ind Dig, Peoples R China.
    Wang, Gang-Jin
    Hunan Univ, Peoples R China.
    Zhu, You
    Hunan Univ, Peoples R China; Hunan Prov Key Lab Philosophy & Social Sci Ind Dig, Peoples R China.
    Xie, Chi
    Hunan Univ, Peoples R China; Hunan Prov Key Lab Philosophy & Social Sci Ind Dig, Peoples R China.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences. Univ Cambridge, England.
    Quantile connectedness and the determinants between FinTech and traditional financial institutions: Evidence from China2023In: Global Finance Journal, ISSN 1044-0283, E-ISSN 1873-5665, Vol. 58, article id 100906Article in journal (Refereed)
    Abstract [en]

    This study examines the connectedness and risk spillovers between Chinese FinTech and traditional financial institutions by using quantile-based vector autoregression (QVAR) networks. Specifically, by using daily data from January 2014 to June 2022, we focus on system-, sector-, and institution-level quantile connectedness characteristics, with the following findings. At the system level, the QVAR networks linking FinTech and traditional financial institutions are more connected at the extreme quantiles than at the median quantile. At the sector level, banks, real estate firms, and FinTech sectors act as net risk receivers, whereas securities and insurers act as net risk emitters. At the institutional level, risk transmission and reception of institutions significantly increase when market conditions rapidly change. We also investigate the determinants of quantile connectedness by using an exponential random graph model and find that (i) across different quantiles, the book-to-market and return on equity of institutions have a positive impact on their risk spillovers; (ii) at the extreme quantiles, the book-to-market is more pronounced than the return on equity; and (iii) at the median quantile, banks and FinTech institutions are more connected than insurers, real estate firms, securities, and other financials.

  • 44.
    Chevallier, Julien
    et al.
    IPAG Business Sch, France; Univ Paris 08, France.
    Nguyen, Duc Khuong
    IPAG Business Sch, France.
    Siverskog, Jonathan
    Linköping University, Department of Medical and Health Sciences, Division of Health Care Analysis. 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.
    Market integration and financial linkages among stock markets in Pacific Basin countries2018In: Journal of Empirical Finance, ISSN 0927-5398, E-ISSN 1879-1727, Vol. 46, p. 77-92Article in journal (Refereed)
    Abstract [en]

    Financial development and globalization have significantly integrated stock markets around the world. This higher degree of interdependence and integration not only provides firms with higher access to international capital markets with lower cost of equity but also generates upward vulnerabilities for local markets due to their exposure to global and regional shocks. This article focuses on the level of interdependence across the Pacific Basin stock markets using the return spillover measure proposed by Diebold and Yilmaz (2009, 2012), given their increasing role in global trade and finance. We are also interested in investigating the effect of shocks affecting the United States and the Japanese stock markets as well as their transmission to the emerging markets. We mainly find that: (1) the interdependence of the emerging stock markets in the ASEAN countries is driven by a higher exposure to the US shocks than to shocks affecting the developed economies of East Asia, and (ii) the cross-market linkages in the Pacific Basin region have become stronger over time, which may reduce the benefit of regional diversification strategies and expose the countries of the region to increasing contagion risk. These results have important implications for public policies related to the issue of regional and global financial integration. (C) 2017 Elsevier B.V. All rights reserved.

  • 45.
    Das, Debojyoti
    et al.
    Woxsen Sch Business, India.
    Dutta, Anupam
    Univ Vaasa, Finland.
    Bhadra, Amit
    Woxsen Sch Business, India.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences. Trinity Business Sch, Ireland.
    Role of presidential uncertainties on the hotel industry2020In: Annals of Tourism Research, ISSN 0160-7383, E-ISSN 1873-7722, Vol. 81, article id UNSP 102762Article in journal (Other academic)
    Abstract [en]

    n/a

  • 46. Dutta, Anupam
    et al.
    Bhuiyan, Mohammad Rakib
    Linköping University, Department of Management and Engineering, Economics.
    Ahmed, Ali
    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.
    Climate risk and sustainable investing: new evidence from Chinese renewable energy firms2024In: Green Finance and Renewable Energy in ASEAN and East Asia / [ed] H. Phoumin, F. Taghizadeh-Hesary, & F. Kimura, Routledge, 2024, p. 57-79Chapter in book (Refereed)
    Abstract [en]

    While numerous empirical papers have investigated the volatility dynamics of Chinese clean energy equity markets, this is among the first studies to assess the impact of climate uncertainty on the risk levels of such assets. Given that China is extensively investing in green projects to achieve carbon neutrality, this strand of research offers important implications for investors and policymakers. Methodologically, we employ the GARCH-MIDAS model to examine the effect of the climate policy uncertainty (CPU) index on the volatility levels of the Chinese clean energy exchange-traded fund (ETF). We compare the effects of the CPU index with leading uncertainty indicators, including the crude oil volatility index, geopolitical risk, and technology sector volatility. The in-sample and out-of-sample analyses show that CPU has significant predictive contents for forecasting the volatility of renewable energy ETF and that the GARCH-MIDAS-CPU process outperforms other approaches. These results offer key implications for policymakers and socially responsible investors.

  • 47.
    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.

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  • 48.
    Dutta, Anupam
    et al.
    Univ Vaasa, Finland.
    Bouri, Elie
    Lebanese Amer Univ, Lebanon; Kyung Hee Univ, South Korea.
    Rothovius, Timo
    Univ Vaasa, Finland.
    Azoury, Nehme
    Holy Spirit Univ Kaslik, Lebanon.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Does oil price volatility matter for the US transportation industry?2024In: Energy, ISSN 0360-5442, E-ISSN 1873-6785, Vol. 290, article id 130194Article in journal (Refereed)
    Abstract [en]

    Although the US transport sector is one of the major users of fossil fuel (e.g., crude oil), the impact of energy price volatility on transport stock sector indexes remains under-researched. The present study addresses this research void by investigating the impact of energy implied volatility on transportation stock returns in the US. Using the crude oil volatility index (OVX), as a proxy of energy price volatility, and three Dow Jones indexes tracking the performance of the airlines, marine and trucking stock subsectors, we employ a GARCH-jump model. The main results show that the oil market sends volatility to the US transport subsector stock indexes, suggesting that oil implied volatility plays a role in pricing US transport stocks. The impact of OVX shocks is asymmetric, indicating that increases and decreases in oil implied volatility have a heterogeneous impact on the transport subsector stock markets. Jumps are significant in the three transport subsector stock indexes, and are time-dependent. Notably, the three transportation subsector stock indexes are more sensitive to OVX shocks than the S&P 500 index. These results have important implications for investors, policymakers, academics, and managers of the US transportation industry.

  • 49.
    Dutta, Anupam
    et al.
    Univ Vaasa, Finland.
    Bouri, Elie
    Lebanese Amer Univ, Lebanon.
    Rothovius, Timo
    Univ Vaasa, Finland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences. Univ Cambridge, England.
    Climate risk and green investments: New evidence2023In: Energy, ISSN 0360-5442, E-ISSN 1873-6785, Vol. 265, article id 126376Article in journal (Refereed)
    Abstract [en]

    The academic literature on green energy equity markets has increased extensively over the last decade due to growing concerns about climate change and the substantial flow of investments into alternative energy markets. This study contributes by investigating the effect of climate risk on the return and volatility of green energy assets. This is one of the first papers to assess such effects using the recently developed climate policy uncertainty index as an indicator of climate risk. In particular, we seek to answer the following research questions. Firstly, does rising climate risk lead to a significant increase in green energy asset returns? Secondly, does climate risk affect the volatility of green energy assets negatively? Employing various models, we provide statistical evidence in favour of our hypotheses. Rising climate risk seems to encourage investment in alternative energy, which leads to an upward demand for green energy, which in turn increases the prices of green energy investments and decreases their volatility levels. Our analysis further shows that when climate risk increases, the correlation between crude oil and green energy returns decreases. Furthermore, green energy assets are more effective than gold for hedging oil market risk, without ignoring the hedging ability of technology stock investment.

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    fulltext
  • 50.
    Dutta, Anupam
    et al.
    Univ Vaasa, Finland.
    Junttila, Juha
    Univ Jyvaskyla, Finland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Forecasting the volatility of biofuel feedstock prices: the US evidence2019In: Biofuels, Bioproducts and Biorefining, ISSN 1932-104X, E-ISSN 1932-1031, Vol. 13, no 4, p. 912-919Article in journal (Refereed)
    Abstract [en]

    Given that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that significant growth in biofuel use has minimized the demand for fossil fuel and has hence reduced the volume of carbon emissions. It is therefore crucial to model corn market volatility precisely because such an estimate could play a vital role in stabilizing food and biofuel market prices. For this purpose, we consider using the information content of the corn implied volatility (CIV) index to predict the corn futures market return volatility. Using symmetric and asymmetric GARCH-class models, we find that the CIV index provides additional information beyond what is contained in the historical volatility of the corn market returns, and the information provided by the CIV index improves volatility forecasts for the US corn market. These findings could be extremely useful for energy market participants. (c) 2019 Society of Chemical Industry and John Wiley amp; Sons, Ltd

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