| 1. |
- Ahmad, Wasim, et al.
(författare)
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On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?
- 2020
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Ingår i: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 91
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Tidskriftsartikel (refereegranskat)abstract
- The main aim of this paper is to investigate the volatility determinants of crude oil and foreign exchange markets and jump spillover between them. We consider currencies of two major oil-importing countries (India and China) over the sample period of January 1.2013 to October 31, 2019. We find evidence of positive return spillover from the oil to the foreign exchange market; however, there is a lack of return spillover in the other direction. Oil jumps appear to have a negative impact on exchange rate conditional volatility, and the latter responds asymmetrically to disentangled (positive and negative) oil price jumps. We also report disentangled exchange rate jumps significant impact on conditional oil price volatility. These results, however, are asymmetric based on the nature of jumps and alternative oil price series. Finally, we do not find evidence of co-jump between the oil and foreign exchange markets. These results have important implications for investors and policymakers. (C) 2020 Elsevier B.V. All rights reserved.
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| 2. |
- Ahmed, Ali, 1977-, et al.
(författare)
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Biomass energy, technological progress and the environmental Kuznets curve: Evidence from selected European countries
- 2016
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Ingår i: Biomass and Bioenergy. - : Pergamon Press. - 0961-9534 .- 1873-2909. ; 90, s. 202-208
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Tidskriftsartikel (refereegranskat)abstract
- 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.
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| 3. |
- Ahmed, Ali M., Professor, 1977-, et al.
(författare)
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Asymmetric dynamics between uncertainty and unemployment flows in the United States
- 2020
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- This paper examines how different uncertainty measures affect the unemployment level, inflow, and outflow in the U.S. across all states of the business cycle. We employ linear and nonlinear causality-in-quantile tests to capture a complete picture of the effect of uncertainty on U.S. unemployment. To verify whether there are any common effects across different uncertainty measures, we use monthly data on four uncertainty measures and on U.S. unemployment from January 1997 to August 2018. Our results corroborate the general predictions from a search and matching framework of how uncertainty affects unemployment and its flows. Fluctuations in uncertainty generate increases (upper-quantile changes) in the unemployment level and in the inflow. Conversely, shocks to uncertainty have a negative impact on U.S. unemployment outflow. Therefore, the effect of uncertainty is asymmetric depending on the states (quantiles) of U.S. unemployment and on the adopted unemployment measure. Our findings suggest statecontingent policies to stabilize the unemployment level when large uncertainty shocks occur.
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| 4. |
- Ahmed, Ali M., Professor, 1977-, et al.
(författare)
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Asymmetric dynamics between uncertainty and unemployment flows in the United States
- 2022
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Ingår i: Studies in Nonlinear Dynamics and Econometrics. - Berlin, Germany : Walter de Gruyter. - 1081-1826 .- 1558-3708. ; 26:1, s. 155-172
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines how different uncertainty measures affect the unemployment level, inflow, and outflow in the U.S. across all states of the business cycle. We employ linear and nonlinear causality-in-quantile tests to capture a complete picture of the effect of uncertainty on U.S. unemployment. To verify whether there are any common effects across different uncertainty measures, we use monthly data on four uncertainty measures and on U.S. unemployment from January 1997 to August 2018. Our results corroborate the general predictions from a search and matching framework of how uncertainty affects unemployment and its flows. Fluctuations in uncertainty generate increases (upper-quantile changes) in the unemployment level and in the inflow. Conversely, shocks to uncertainty have a negative impact on U.S. unemployment outflow. Therefore, the effect of uncertainty is asymmetric depending on the states (quantiles) of U.S. unemployment and on the adopted unemployment measure. Our findings suggest state-contingent policies to stabilize the unemployment level when large uncertainty shocks occur.
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| 5. |
- Ahmed, Ali M., Professor, 1977-, et al.
(författare)
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The influence of energy consumption and democratic institutions on output and CO2 emissions in Bangladesh: a time-frequency approach
- 2020
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Ingår i: Energy Systems. - : Springer Berlin/Heidelberg. - 1867-8998 .- 1867-9005 .- 1868-3967 .- 1868-3975. ; 11:1, s. 195-212
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Tidskriftsartikel (refereegranskat)abstract
- This paper reports the results of a study that investigates the causal interactions among the entities energy consumption, democracy, income, and CO2 emissions in Bangladesh. Bootstrapping causality and time–frequency domain causality methods were adopted to examine the causal co-movements between the variables, using data series for a period of more than four decades. Results show that time-scale behavior plays an important role. Democracy is an important factor for emissions and national income. The nexus of democracy and CO2 emission is bidirectional. The impact of democracy on CO2 is stronger than vice versa. This study provides new insights for policymakers: democratic practices play an important role in implementing climate change policies, at least in the case of Bangladesh.
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| 6. |
- Ahmed, Rashad, et al.
(författare)
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On the effectiveness of foreign exchange reserves during the 2021-22 US monetary tightening cycle
- 2023
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Ingår i: Economics Letters. - : ELSEVIER SCIENCE SA. - 0165-1765 .- 1873-7374. ; 233
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Tidskriftsartikel (refereegranskat)abstract
- This paper examines whether the size of foreign exchange (FX) reserves explains cross-country differences in foreign currency depreciation realized over the 2021-22 Federal Reserve monetary policy tightening that led to a sharp appreciation of the US dollar. Across a broad sample of countries, we document that an additional 10 percentage points of FX reserves/GDP held ex-ante were associated with 1.5 to 2 percent less exchange rate depreciation against the US dollar and this buffer effect was larger among less financially developed economies. Effects were more pronounced for large-reserve countries that sold reserves to intervene than for large-reserve countries that did not intervene, supporting the presence of both balance sheet and intervention channels. Higher ex-ante policy rates were also associated with less depreciation especially among financially open economies. An analysis of daily currency movements following the June 2021 FOMC meeting corroborates the main results. These findings suggest that FX reserves may promote monetary policy independence in the presence of global spillovers.
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| 7. |
- Aizenman, Joshua, et al.
(författare)
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Real exchange rate and international reserves in the era of financial integration
- 2024
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Ingår i: Journal of International Money and Finance. - : ELSEVIER SCI LTD. - 0261-5606 .- 1873-0639. ; 141
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Tidskriftsartikel (refereegranskat)abstract
- The global financial crisis has brought increased attention to the consequences of international reserves holdings. In an era of high financial integration, we investigate the relationship between the real exchange rate and international reserves using nonlinear regressions and panel threshold regressions over 110 countries from 2001 to 2020. Our study shows the level of financialinstitution development plays an essential role in explaining the buffer effect of international reserves. Countries with a low development of their financial institutions may manage the international reserves as a shield to deal with the negative consequences of terms-of-trade shocks on the real exchange rate. We also find the buffer effect is stronger in countries with intermediate levels of financial openness.
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| 8. |
- Akyildirim, Erdinc, et al.
(författare)
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Connectedness of energy markets around the world during the COVID-19 pandemic
- 2022
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Ingår i: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 109
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Tidskriftsartikel (refereegranskat)abstract
- This paper studies the connectedness among energy equity indices of oil-exporting and oil-importing countries around the world. For each country, we construct time-varying measures of how much shocks this country transmits to other countries and how much shocks this country receives from other countries. We analyze the network of countries and find that, on average, oil-exporting countries are mainly transmitting shocks, and oil-importing countries are mainly receiving shocks. Furthermore, we use panel data regressions to evaluate whether the connectedness among countries is influenced by economic sentiment, uncertainty, and the global COVID-19 pandemic. We find that the connectedness among countries increases significantly in periods of uncertainty, low economic sentiment, and COVID-19 problems. This implies that diversification benefits across countries are severely reduced exactly during crises, that is, during the times when diversification benefits are most important.
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| 9. |
- Akyildirim, Erdinc, et al.
(författare)
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Forecasting mid-price movement of Bitcoin futures using machine learning
- 2021
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Ingår i: Annals of Operations Research. - : SPRINGER. - 0254-5330 .- 1572-9338.
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Tidskriftsartikel (refereegranskat)abstract
- In the aftermath of the global financial crisis and ongoing COVID-19 pandemic, investors face challenges in understanding price dynamics across assets. This paper explores the performance of the various type of machine learning algorithms (MLAs) to predict mid-price movement for Bitcoin futures prices. We use high-frequency intraday data to evaluate the relative forecasting performances across various time frequencies, ranging between 5 and 60-min. Our findings show that the average classification accuracy for five out of the six MLAs is consistently above the 50% threshold, indicating that MLAs outperform benchmark models such as ARIMA and random walk in forecasting Bitcoin futures prices. This highlights the importance and relevance of MLAs to produce accurate forecasts for bitcoin futures prices during the COVID-19 turmoil.
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| 10. |
- Akyildirim, Erdinc, et al.
(författare)
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How connected is the agricultural commodity market to the news-based investor sentiment?
- 2022
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Ingår i: Energy Economics. - : ELSEVIER. - 0140-9883 .- 1873-6181. ; 113
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Tidskriftsartikel (refereegranskat)abstract
- Previous studies indicate a substantial time-variation in the co-movement of commodity futures markets and economic fundamentals. This paper examines the connectedness and directional spillovers for both the agricultural commodity futures markets and the corresponding sentiment indices. We first construct dynamic time-varying connectedness measures both for the agricultural commodity returns and sentiments. Then, we use panel data regressions and time-varying Granger causality tests to evaluate whether the spillovers between these returns and sentiments are influenced by the economic and financial uncertainties, including the global COVID-19 pandemic. In particular, we document that the COVID-19 induced uncertainty influences agricultural commodity returns and sentiments significantly around the first cycle of the pandemic in 2020. Last but not least, economic policy and financial market uncertainty are also found to be significant determinants of the connectedness between agricultural commodity returns and sentiment spillovers.
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