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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.
    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 international, 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.

  • 3.
    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.

  • 4.
    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.

  • 5.
    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.

  • 6.
    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.

  • 7.
    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.

  • 8.
    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.

  • 9.
    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.

  • 10.
    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.

  • 11.
    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.

  • 12.
    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.

  • 13.
    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.

  • 14.
    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.

  • 15.
    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.

  • 16.
    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.

  • 17.
    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.

  • 18.
    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.

  • 19.
    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.

  • 20.
    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.

  • 21.
    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.

  • 22.
    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.

  • 23.
    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.

  • 24.
    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

  • 25.
    Elie, Bouri
    et al.
    Holy Spirit Univ Kaslik, Lebanon.
    Naji, Jalkh
    Univ St Joseph, Lebanon.
    Dutta, Anupam
    Univ Vaasa, Finland.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach2019In: Energy, ISSN 0360-5442, E-ISSN 1873-6785, Vol. 178, p. 544-553Article in journal (Refereed)
    Abstract [en]

    In this study, we examine the potential roles of gold and crude oil as safe-haven assets against extreme down movements in clean energy stock indices. We employ copulas on daily data from November 21st, 2003 to March 30th, 2018 covering two clean energy stock indices, the Samp;P Global Clean Energy and the WilderHill Clean Energy. Instead of adopting a priori selection of the best copula function based on a single copula, we consider single and mixture copulas to better illustrate the dependence between the pairs of variables under study. We also apply parametric as well as non-parametric tail dependencies measures. Empirical results show that both crude oil and gold are no more than weak safe-haven assets for clean energy indices. However, the superiority of crude oil to gold is evidenced in case of infinitely extreme market movements. This superiority is validated for WilderHill Clean Energy Index but endorsed to gold when examined against Global Clean Energy Index, in extreme market movements. (C) 2019 Elsevier Ltd. All rights reserved.

  • 26.
    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.

  • 27.
    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.

  • 28.
    Hernandez, Jose Areola
    et al.
    Rennes Sch Business, France.
    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.
    Kang, Sang Hoon
    Pusan Natl Univ, South Korea; Univ South Australia, Australia.
    Can agricultural and precious metal commodities diversify and hedge extreme downside and upside oil market risk? An extreme quantile approach2019In: Resources policy, ISSN 0301-4207, E-ISSN 1873-7641, Vol. 62, p. 588-601Article in journal (Refereed)
    Abstract [en]

    The cost-effectiveness measures for production, processing, and transportation adopted by wheat, rice, and corn farmers, as well as the price fluctuations of gold and silver, doubtlessly depend on the downside and upside price trends of global economic factors such as the oil market. This dependence between oil and agricultural commodities motivates an analysis of interdependence and spillover influence in extreme oil market scenarios. By means of an extreme quantile approach, this study models the return distribution of oil in relation to some of the most traded agricultural and precious metal commodities. We find that extreme lower quantiles of oil returns have a positive effect on the lower quantiles of gold, silver, and rice returns. These effects are more significant using daily-frequency data, while for weekly and monthly frequencies, the effect is less significant. The decrease in oil returns during a bearish oil market will cause a decrease in precious metal and rice returns; therefore, these cannot be used to hedge the downside risk of oil investments, especially in the short term. These commodities might only serve as a diversification strategy for oil investments. The lower quantiles of oil returns have either no effect, or a negative effect, on the lower quantiles of wheat and corn, making them suitable hedges for extreme downturns in oil prices.

  • 29.
    Ivarsson Lundgren, Amanda
    et al.
    Prognoscentret AB, Sweden.
    Milicevic, Adriana
    Swedbank AB, Sweden.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Kang, Sang Hoon
    Pusan Natl Univ, South Korea.
    Connectedness network and dependence structure mechanism in green investments2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 72, p. 145-153Article in journal (Refereed)
    Abstract [en]

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

  • 30.
    Ji, Qiang
    et al.
    Chinese Acad Sci, Peoples R China; Univ Chinese Acad Sci, Peoples R China.
    Liu, Bing-Yue
    Beihang Univ, Peoples R China.
    Nehler, Henrik
    Linköping University, Department of Management and Engineering, Business Administration. Linköping University, Faculty of Arts and Sciences.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 76, p. 115-126Article in journal (Refereed)
    Abstract [en]

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

  • 31.
    Kang, Sang Hoon
    et al.
    Pusan Natl Univ, South Korea.
    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.
    Yoon, Seong-Min
    Pusan Natl Univ, South Korea.
    Multi-scale causality and extreme tail inter-dependence among housing prices2018In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 70, p. 301-309Article in journal (Refereed)
    Abstract [en]

    This study explores multi-scale causality and extreme tail dependence structures among housing prices in four cities: Seoul, Hong Kong, Tokyo, and New York. We apply two different and unique approaches in our analysis of monthly housing price data: (i) the frequency domain Granger casualty test and (ii) the non-parametric copula test. Employing the frequency domain casualty test, we find both bi-directional and uni-directional causalities at different frequency bands. Additionally, the nonlinear copula estimates indicate asymmetric tail dependence for housing price pairs in all four cities. Finally, the Hong Kong housing market has a greater effect on the Seoul and Tokyo housing markets than does the New York housing market.

  • 32.
    Kang, Sang Hoon
    et al.
    Pusan Natl Univ, South Korea.
    Yoon, Seong-Min
    Pusan Natl Univ, South Korea.
    Bekiros, Stelios
    Athens Univ Econ and Business, Greece.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets2019In: Computational Economics, ISSN 0927-7099, E-ISSN 1572-9974Article in journal (Refereed)
    Abstract [en]

    It is crucial for investors to manage their investment risk. This paper examines the dynamic equicorrelation relationship between Bitcoin and four major investment assets, namely, US stock (Samp;P 500), US dollar, Treasury bonds and gold futures. Our empirical analysis reveals an asymmetric causality between Bitcoin and other asset classes. The results indicate that Bitcoin may be employed as an effective safe haven for investors by providing invaluable information to reduce downside risk, hence strengthening diversification benefits in optimal asset allocation and portfolio risk management.

  • 33.
    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.

  • 34.
    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.

  • 35.
    Kyophilavong, Phouphet
    et al.
    Natl Univ Laos, Laos.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Shahbaz, Muhammad
    Montpellier Business Sch, France.
    Harvie, Charles
    Univ Wollongong, Australia.
    Charoenrat, Teerawat
    Khon Kaen Univ, Thailand.
    Money Demand in a Dollarized Economy: Evidence from Laos PDR2019In: Asian Economic Papers, ISSN 1535-3516, E-ISSN 1536-0083, Vol. 18, no 1, p. 99-115Article in journal (Refereed)
    Abstract [en]

    This paper uses a time series perspective to examine the determinants and stability of the money demand function in the case of Laos PDR. An autoregressive distributed lag bounds testing approach to cointegration in the presence of structural breaks and Granger causality in a vector error correction method framework are applied to data covering the period 1992:Q1 to 2013:Q4. The results indicate that the money demand function is stable when exchange rate fluctuations are incorporated, and the causality analysis reveals that there is a feedback effect between money demand and the exchange rate in the long run. This implies that the exchange rate plays an important role in influencing money demand in the case of a dollarized economy such as that of Laos.

  • 36.
    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)
  • 37.
    Labidi, Chiaz
    et al.
    United Arab Emirates Univ, U Arab Emirates.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Hedstroem, Axel
    Euromonitor Int Eastern Europe, Lithuania.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    European Univ Inst, Italy.
    Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis2018In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 59, p. 179-211Article in journal (Refereed)
    Abstract [en]

    This paper examines the cross-quantile dependence between developed and emerging market stock returns and investigates its time-varying characteristics, using recursive sample estimations. The results based on cross-quantilogram approach reveal a heterogeneous quantile relation for the USA, UK, German, and Japanese stock returns to those of the emerging markets. Systematic risk generally does not explain the cross-country dependence structure, since it remains essentially unchanged when controlling for financial, geopolitical, and economic uncertainties. Moreover, the cross-quantile correlation changes over time, especially in the low and high quantiles, indicating that it is prone to jumps and discontinuities, even in a seemingly stable dependence structure. These results are important for institutional investors and market observers.

  • 38.
    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
    EUI, Italy.
    Clustering of short and long-term co-movements in international financial and commodity markets in wavelet domain2017In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 486, p. 947-955Article in journal (Refereed)
    Abstract [en]

    We propose a general framework for measuring short and long term dynamics in asset classes based on the wavelet presentation of clustering analysis. The empirical results show strong evidence of instability of the financial system aftermath of the global financial crisis. Indeed, both short and long-term dynamics have significantly changed after the global financial crisis. This study provides an interesting insights complex structure of global financial and economic system. (C) 2017 Elsevier B.V. All rights reserved.

  • 39.
    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.

  • 40.
    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.

  • 41.
    Nguyen, Duc Khuong
    et al.
    IPAG Business School, Paris, France.
    Sevi, Benoit
    Universite Grenoble Alpes, France .
    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.
    The role of trade openness ands investment i examining the energy-growth-pollution nexus: Empirical evidence for China and India.2017In: Applied Economics, ISSN 0003-6846, E-ISSN 1466-4283, Vol. 49, no 40, p. 4083-4098Article in journal (Refereed)
    Abstract [en]

    Most of the existing literature dealing with the relationship between carbon emissions, energy consumption and economic growth either suffers from ignoring relevant variables such as trade openness or investment, or suffers from using econometric methods that are unable to distinguish between short and long-term causality and are not robust to the degree of integration of time series used for the analysis. This paper suggests using the autoregressive distributed lag (ARDL) approach along with additional explanatory variables such as measures of trade and investment to shed a new light on the link between emissions, energy consumption and income in the two largest and energy-intensive developing economies: China and India. Our results, over the 1971-2009 period, provide evidence that investment plays a major role in shaping the relationship between carbon emissions, energy consumption and income in China while this is not the case in India. Furthermore, trade openness is found to play a key function in the short-term in China but does not contribute to the emissions-energy-growth scenario in India.

  • 42.
    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.

  • 43.
    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.

  • 44.
    Rehman, Mobeen Ur
    et al.
    SZABIST, Pakistan.
    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.
    Hedström, Axel
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Precious metal returns and oil shocks: A time varying connectedness approach2018In: Resources policy, ISSN 0301-4207, E-ISSN 1873-7641, Vol. 58, p. 77-89Article in journal (Refereed)
    Abstract [en]

    This paper examines the impact of oil shocks on precious metal returns using structural vector autoregression (SVAR) model proposed by Kilian and Park (2009). We capture variability in the effects through rolling window impulse response functions and by extending the dynamic connectedness approach of Diebold and Yilmaz (2014) using structural forecast error variance decomposition. We report time varying effect of disintegrated structural oil shocks on precious metal returns with a significant increase during the global financial crisis period of 2008-09. Our results also indicate that the aggregate demand shocks have most significant spillover effect on the precious metals except gold. We also report that oil specific demand shocks have highest impact on gold during the financial crisis and palladium having possible hedging opportunities against oil price movement. These findings have important investment implications for individual and institutional investors.

  • 45.
    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.

  • 46.
    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.

  • 47.
    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.

  • 48.
    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.

  • 49.
    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.

  • 50.
    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.

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