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  • 1.
    Verma, Ramprasad
    et al.
    Indian Inst Technol Kanpur, India.
    Ahmad, Wasim
    Indian Inst Technol Kanpur, India.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    European Univ Inst, Italy.
    Analysing the systemic risk of Indian banks2019In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 176, p. 103-108Article in journal (Refereed)
    Abstract [en]

    This paper adopts the Tail-Event driven NETwork (TENET) risk model to assess the systemic risk of Indian banks. Building upon the Value at Risk (VaR), Conditional Value at Risk (CoVaR) and a Single Index Model (SIM) in a generalized quantile regression framework, the results suggest that the Indian banks exhibit high interconnectedness during the crisis period. The results also identify the systemically important banks and explain the banking networks. (C) 2019 Elsevier B.V. All rights reserved.

  • 2.
    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.

  • 3.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Hedström, Axel
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Ahmed, Ali
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes2019In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 80, p. 743-759Article in journal (Refereed)
    Abstract [en]

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

  • 4.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Gencay, Ramazan
    Simon Fraser Univ, Canada.
    Bekiros, Stelios
    EUI, Italy; AUEB, Greece.
    Sahamkhadam, Maziar
    Linnaeus Univ, Sweden.
    Enhancing the predictability of crude oil markets with hybrid wavelet approaches2019In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 182, p. 50-54Article in journal (Refereed)
    Abstract [en]

    We explore the robustness, efficiency and accuracy of the multi-scale forecasting in crude oil markets. We adopt a novel hybrid wavelet auto-ARMA model to detect the inherent nonlinear dynamics of crude oil returns with an explicitly defined hierarchical structure. Entropic estimation is employed to calculate the optimal level of the decomposition. The wavelet-based forecasting method accounts for the chaotic behavior of oil series, whilst captures drifts, spikes and other non-stationary effects which common frequency-domain methods miss out completely. These results shed new light upon the predictability of crude oil markets in nonstationary settings. (C) 2019 Elsevier B.V. All rights reserved.

  • 5.
    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

  • 6.
    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.

  • 7.
    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.

  • 8.
    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.

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

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

  • 10.
    Stavroyiannis, Stavros
    et al.
    Technol Educ Inst Peloponnese, Greece.
    Babalos, Vassilios
    Technol Educ Inst Peloponnese, Greece.
    Bekiros, Stelios
    European Univ Inst, Italy; Athens Univ Econ and Business, Greece.
    Lahmiri, Salim
    ESCA Sch Management, Morocco.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The high frequency multifractal properties of Bitcoin2019In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 520, p. 62-71Article in journal (Refereed)
    Abstract [en]

    Following the new advances in encryption and network computing, Bitcoin emerged as a private sector system facilitating peer-to-peer exchange via distributed ledgers based on blockchains, driving a transformational change towards a global economy outside the core financial system. The main purpose of this paper is to examine the multifractal properties of the Bitcoin price using high frequency data. The methods used are the wavelet transform modulus maxima and the multifractal detrended fluctuation analysis. The results indicate that Bitcoin exhibits a large degree of multifractality in all examined time intervals, and the main source of multifractality is attributed to the high kurtosis and the fat distributional tails of the series returns. (C) 2019 Elsevier B.V. All rights reserved.

  • 11.
    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.

  • 12.
    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.

  • 13.
    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.

  • 14.
    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.

  • 15.
    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.

  • 16.
    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.

  • 17.
    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.

  • 18.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Hernandez, Jose Areola
    Rennes Sch Business, France.
    Shahzad, Syed Jawad Hussain
    Montpellier Business Sch, France.
    Hedström, Axel
    Linköping University, Department of Management and Engineering. Linköping University, Faculty of Arts and Sciences.
    Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 71, p. 35-46Article in journal (Refereed)
    Abstract [en]

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

  • 19.
    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.

  • 20.
    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.

  • 21.
    Troster, Victor
    et al.
    Univ Illes Balears, Spain.
    Shahbaz, Muhammad
    Montpellier Business Sch, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 70, p. 440-452Article in journal (Refereed)
    Abstract [en]

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

  • 22.
    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.

  • 23.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Rahman, Md Lutfur
    Univ Newcastle, Australia.
    Shahzad, Syed Jawad Hussain
    Montpellier Business Sch, France.
    Rehman, Mobeen Ur
    Shaheed Zulfigar Ali Bhutto Inst Sci and Technol, Pakistan.
    Supply and demand driven oil price changes and their non-linear impact on precious metal returns: A Markov regime switching approach2018In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 73, p. 108-121Article in journal (Refereed)
    Abstract [en]

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

  • 24.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    European University Institute, Florence, Italy; IPAG Business School, Paris, France.
    Ahmed, Ali
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis2018In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, Vol. 495, no April, p. 30-39Article in journal (Refereed)
    Abstract [en]

    The global financial crisis and the subsequent geopolitical turbulence in energy markets have brought increased attention to the proper statistical modeling especially of the crude oil markets. In particular, we utilize a time–frequency decomposition approach based on wavelet analysis to explore the inherent dynamics and the casual interrelationships between various types of geopolitical, economic and financial uncertainty indices and oil markets. Via the introduction of a mixed discrete-continuous multiresolution analysis, we employ the entropic criterion for the selection of the optimal decomposition level of a MODWT as well as the continuous-time coherency and phase measures for the detection of business cycle (a)synchronization. Overall, a strong heterogeneity in the revealed interrelationships is detected over time and across scales.

  • 25.
    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.

  • 26.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Hernandez, Jose Areola
    ESC Rennes Sch Business, France.
    Shahzad, Syed Jawad Hussain
    Montpellier Business Sch, France.
    Yoon, Seong-Min
    Pusan Natl Univ, South Korea.
    Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks2018In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 56, p. 167-180Article in journal (Refereed)
    Abstract [en]

    This study investigates the efficiency of conventional and Islamic stock markets and their diversification potential by using multifractal de-trended fluctuation analysis (MF-DFA), wavelet squared coherence (WTC) and wavelet Value-at-Risk (VaR). Evidence from regional and country-level markets indicates Islamic stocks are less efficient than conventional ones in the short term, however more efficient in the medium term. Conventional stocks in the UK, Japan, and emerging markets are more efficient than the Islamic ones in the long term, whereas those from the US and Europe are less efficient. The wavelet VaR shows that conventional stock markets are at least as risky as the Islamic ones.

  • 27. Suresh, K.G.
    et al.
    Tiwari, Aviral Kumar
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics.
    Ahmed, Ali
    Linköping University, Department of Management and Engineering, Economics.
    Tourism, trade, and economic growth in India: a frequency-domain analysis of causality2018In: Anatolia: An International Journal of Tourism and Hospitality Research, ISSN 1303-2917, E-ISSN 2156-6909, Vol. 29, no 3, p. 319-325Article in journal (Refereed)
  • 28.
    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.

  • 29.
    Sjö, Bo
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Bekiros, Stelios
    IPAG Business School, Paris, France.
    Siverskog, Jonathan
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Medicine and Health Sciences.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Analyzing Contagion and Tail Dependence in Global Real Estate Markets using NonParametric Flexible Copulas2017Conference paper (Other academic)
    Abstract [en]

    The global financial crisis and the collapse of the collateralized debt obligation (CDO) market have brought increased attention to the proper modeling of housing price co-movements worldwide. We aim at detecting possible contagion effects in international real estate markets while accommodating dependence during extreme tail events. We propose a novel copula based approach incorporating second-moment effects that not only accounts for asymmetric tail dependence, but also allows for time-varying correlation in price movements. Unlike previous studies wherein static copula-based models are utilized, we extend our methodology by employing nonparametric copulas with the adjustment of flexible specification. Common Gaussian or mixture copulas lack the required tail features to capture the empirical stylized facts in housing markets. We proved the lack of monotonicity imposed by parametric methods was evidently not supported by our data. Using monthly data in seven major global markets, we confirm that prices do exhibit correlations that change over time, whilst more importantly their tail dependence structure for extreme losses strengthens in the midst of market turmoil.

    We indicated that especially during downturns, CDOs do not provide the level of diversification widely assumed before the subprime crisis. Information on tail dependence would better allow policy makers to anticipate real estate prices on a global scale.

  • 30.
    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.

  • 31.
    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.

  • 32.
    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.

  • 33.
    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.

  • 34.
    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.

  • 35.
    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.

  • 36.
    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.

  • 37.
    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.

  • 38.
    Sohag, Kazi
    et al.
    University of Kebangsaan Malaysia, Malaysia.
    Al Mamun, Md
    La Trobe University, Australia; East West University, Bangladesh.
    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.
    Sectoral output, energy use, and CO2 emission in middle-income countries2017In: Environmental science and pollution research international, ISSN 0944-1344, E-ISSN 1614-7499, Vol. 24, no 10, p. 9754-9764Article in journal (Refereed)
    Abstract [en]

    Middle-income countries are currently undergoing massive structural changes towards more industrialized economies. In this paper, we carefully examine the impact of these transformations on the environmental quality of middle-income countries. Specifically, we examine the role of sector value addition to GDP on CO2 emission nexus for middle-income economies controlling for the effects of population growth, energy use, and trade openness. Using recently developed panel methods that consider cross-sectional dependence and allow for heterogeneous slope coefficients, we show that energy use and growth of industrial and service sectors positively explain CO2 emissions in middle-income economies. We also find that population growth is insignificantly associated with CO2 emission. Hence, our paper provides a solid ground for developing a sustainable and pro-growth policy for middle-income countries.

  • 39.
    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.

  • 40.
    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.

  • 41.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Muzaffar, Ahmed Taneem
    University of Western Sydney.
    Arouri, Mohamed
    Centre Clermontois de Recherche en Gestion et Management (CRCGM), Clermont-Ferrand, France.
    Sjö, Bo
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Understanding the Relationship Between Inflation and Growth: A Wavelet Transformation Approach in the Case of Bangladesh.2017In: The World Economy, ISSN 0378-5920, E-ISSN 1467-9701, ISSN 1467-970, Vol. 40, no 9, p. 1918-1933Article in journal (Refereed)
    Abstract [en]

    This paper reexamines the relationship between inflation and economic growth in developing countries. Both the theoretical and the empirical literature are extremely divided on this issue.  We apply a relatively new empirical technique – the continuous wavelet transform – to Bangladesh. Bangladesh is of interest because of its remarkable economic growth and poverty reduction during the last 30 years in combination with, for a developing country, a controlled inflation. The wavelet analysis is a contribution because it displays how the correlation and the lead-lag structure between variables change over time scales, taking into account that growth and inflation can follow several different cycles.    

    Co-movements between variables are generally studied in the time domain. Results from studies in the time domain study can be sensitive to the frequency of observations. On the other hand studies in the frequency domain are not easily translated into time domains that can be associated with economic policies. The wavelet methodology finds a balance between time and frequency domains.

    Our study finds that growth Granger causes inflation at all frequency scales, starting from the short run to the very long run. Inflation, on the other hand, Granger causes growth in the long run but not in the short run. This result has implications for Bangladesh, and as such for similar developing countries, where some policymakers believe that inflation must be kept at very low levels for sustained economic growth. 

  • 42.
    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.

  • 43.
    Uddin, Gazi Salah
    et al.
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Haque Bidisha, Sayema
    Department of Economics, University of Dhaka, Dhaka, Bangladesh.
    Ozturk, Ilhan
    Faculty of Economics and Administrative Sciences, Cag University, Mersin, Turkey.
    Carbon emissions, energy consumption, and economic growth relationship in Sri Lanka2016In: ENERGY SOURCES PART B-ECONOMICS PLANNING AND POLICY, ISSN 1556-7249, Vol. 11, no 3, p. 282-287Article in journal (Refereed)
    Abstract [en]

    This study attempts to investigate the long-run Granger causality relationship between energy consumption, carbon emissions, economic growth, and trade openness in Sri Lanka. Our analysis reveals that, there exists long-run causal relationship between carbon emission and economic growth for Sri Lanka over the period of 1971-2006. In addition, there is unidirectional causality running from economic growth to the carbon emission and energy consumption. The result implies that carbon emission reduction policies will hurt economic growth if no supplementary policies are taken to modify this causal relationship.

  • 44.
    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.

  • 45.
    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.

  • 46.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    Nonlinear and Nonparametric Dynamical Methods in Economics and Finance2016Doctoral thesis, comprehensive summary (Other academic)
    Abstract [en]

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

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

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

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

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

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

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

    List of papers
    1. On the time scale behavior of equity-commodity links: Implications for portfolio management
    Open this publication in new window or tab >>On the time scale behavior of equity-commodity links: Implications for portfolio management
    2016 (English)In: Journal of international financial markets, institutions, and money, ISSN 1042-4431, E-ISSN 1873-0612, Vol. 41, p. 30-46Article in journal (Refereed) Published
    Abstract [en]

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

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

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

    Available from: 2016-02-05 Created: 2016-02-05 Last updated: 2017-11-30
    2. BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA
    Open this publication in new window or tab >>BUSINESS CYCLE (DE)SYNCHRONIZATION IN THE AFTERMATH OF THE GLOBAL FINANCIAL CRISIS: IMPLICATIONS FOR THE EURO AREA
    2015 (English)In: Studies in Nonlinear Dynamics and Econometrics, ISSN 1081-1826, E-ISSN 1558-3708, Vol. 19, no 5, p. 609-624Article in journal (Refereed) Published
    Abstract [en]

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

    Place, publisher, year, edition, pages
    De Gruyter, 2015
    Keywords
    Convergence; wavelet coherence; integration; Eurozone
    National Category
    Economics
    Identifiers
    urn:nbn:se:liu:diva-114869 (URN)10.1515/snde-2014-0055 (DOI)000366523800004 ()
    Available from: 2015-03-05 Created: 2015-03-05 Last updated: 2017-12-04
    3. Do financial stress and policy uncertainty have an impact on the energy and metals markets?: A quantile regression approach
    Open this publication in new window or tab >>Do financial stress and policy uncertainty have an impact on the energy and metals markets?: A quantile regression approach
    2016 (English)In: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 43, p. 284-298Article in journal (Refereed) Published
    Abstract [en]

    Abstract This paper examines the impact of financial stress and policy uncertainty on the price dynamics of energy (crude oil, heating oil and gas) and metal (gold, silver, copper, platinum and palladium) commodity futures in the USA. Using a quantile regression approach for the period 1994–2015, our empirical results show that, after controlling for the effect of general stock market returns and interest rates, there is neither co-movement nor Granger causality between commodity futures prices and financial uncertainty as measured by the VIX or between commodity prices and policy uncertainty. However, we find evidence that financial stress had Granger causality effects in intermediate and upper commodity return quantiles, but no evidence of co-movement. We also show that the impact of the global financial crisis on commodity returns differed across quantiles, only having a negative impact in upper quantiles. Our results indicate that general stock market uncertainty conditions are not so crucial in determining commodity futures prices.

    Place, publisher, year, edition, pages
    Elsevier, 2016
    Keywords
    Commodity prices, Financial uncertainty, Policy uncertainty, Quantile regression
    National Category
    Economics Economics and Business
    Identifiers
    urn:nbn:se:liu:diva-127337 (URN)10.1016/j.iref.2015.10.043 (DOI)000375632300021 ()
    Note

    Funding agencies:  Xunta de Galicia; FEDER [GPC2013-045]

    Available from: 2016-04-21 Created: 2016-04-21 Last updated: 2017-11-30Bibliographically approved
    4. Impact of speculation and economic uncertainty on commodity markets
    Open this publication in new window or tab >>Impact of speculation and economic uncertainty on commodity markets
    2016 (English)In: International Review of Financial Analysis, ISSN 1057-5219, E-ISSN 1873-8079, Vol. 43, p. 115-127Article in journal (Refereed) Published
    Abstract [en]

    Abstract We examine the interactions between commodity futures returns and five driving factors (financial speculation, exchange rate, stock market dynamics, implied volatility for the US equity market, and economic policy uncertainty). Nonlinear causality tests are implemented after controlling for cointegration and conditional heteroscedasticity in the data over the period May 1990 – April 2014. Our results show strong evidence of unidirectional linear causality from commodity returns to excess speculation for the majority of the considered commodities, in particular for agriculture commodities. This evidence casts doubt on the claim that speculation is driving food prices. We also find unidirectional linear causality from energy futures markets to exchange rates and strong evidence of nonlinear causal dependence between commodity futures returns, on the one hand, and stock market returns and implied volatility, on the other hand. Overall, the new evidence found in this paper can be utilized for policy and investment decision-making.

    Place, publisher, year, edition, pages
    Elsevier, 2016
    Keywords
    Commodity markets, Economic uncertainty, Nonlinear causality, Step-wise filtering
    National Category
    Economics Economics and Business
    Identifiers
    urn:nbn:se:liu:diva-127338 (URN)10.1016/j.irfa.2015.11.005 (DOI)000367399400009 ()
    Available from: 2016-04-21 Created: 2016-04-21 Last updated: 2018-03-09Bibliographically approved
    5. Energy and output dynamics in Bangladesh
    Open this publication in new window or tab >>Energy and output dynamics in Bangladesh
    2011 (English)In: Energy Economics, ISSN 0140-9883, E-ISSN 1873-6181, Vol. 33, no 3, p. 480-487Article in journal (Refereed) Published
    Abstract [en]

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

    Place, publisher, year, edition, pages
    Elsevier, 2011
    National Category
    Social Sciences
    Identifiers
    urn:nbn:se:liu:diva-91684 (URN)10.1016/j.eneco.2010.11.011 (DOI)
    Available from: 2013-04-29 Created: 2013-04-29 Last updated: 2017-12-06Bibliographically approved
  • 47.
    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.

  • 48.
    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.

  • 49.
    Vidal-Garcia, Javier
    et al.
    University of Valladolid, Spain.
    Vidal, Marta
    University of Complutense Madrid, Spain.
    Boubaker, Sabri
    University of Paris Est, France.
    Uddin, Gazi Salah
    Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
    The short-term persistence of international mutual fund performance2016In: Economic Modelling, ISSN 0264-9993, E-ISSN 1873-6122, Vol. 52, no part B, p. 926-938Article in journal (Refereed)
    Abstract [en]

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

  • 50.
    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.

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