| 1. |
- 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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| 2. |
- 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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| 3. |
- 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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| 4. |
- Badur, M. Mesut, et al.
(författare)
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Costs of economic growth: new insights on wealth and income inequalities in the post-communist countries
- 2023
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Ingår i: Post-Communist Economies. - : ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD. - 1463-1377 .- 1465-3958. ; 35:8, s. 830-855
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Tidskriftsartikel (refereegranskat)abstract
- We scrutinise the role of institutional, market, and financial freedoms within the occurrence of wealth and income inequalities, thus attempting to corroborate the Kuznets curve hypothesis by using general and decomposed measures. To this end, we apply an auto-regressive fixed effect framework with Driscoll Kraay standard errors to analyse the panel time series data for twelve Post-Communist economies. Our empirical results highlight that the overall economic growth provides two different implications for the income and wealth inequalities. Economic growth fosters income inequality up to a threshold point, afterwards it declines with further economic growth, thereby validating the Kuznets curve hypothesis. The decomposed analysis confirms that further economic growth surpassing the threshold level re-distributes income from the top 10% class to the bottom 50% and middle 40% classes.
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| 5. |
- Bekiros, Stelios, et al.
(författare)
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Money supply and infllation dynamics in the Asia-Pacific economies : a time-frequency approach
- 2017
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Ingår i: Studies in Nonlinear Dynamics and Econometrics. - : Walter de Gruyter. - 1081-1826 .- 1558-3708. ; 21:3
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Tidskriftsartikel (refereegranskat)abstract
- 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.
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| 6. |
- Bekiros, Stelios, et al.
(författare)
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The asymmetric relationship between returns and implied volatility : Evidence from global stock markets
- 2017
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Ingår i: Journal of Financial Stability. - : Elsevier. - 1572-3089 .- 1878-0962. ; 30, s. 156-174
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Tidskriftsartikel (refereegranskat)abstract
- 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.
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| 7. |
- Dutta, Anupam, et al.
(författare)
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Climate risk and sustainable investing: new evidence from Chinese renewable energy firms
- 2024
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Ingår i: <em>Green Finance and Renewable Energy in ASEAN and East Asia</em>. - : Routledge. - 1032502681 ; , s. 57-79
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Bokkapitel (refereegranskat)abstract
- While numerous empirical papers have investigated the volatility dynamics of Chinese clean energy equity markets, this is among the first studies to assess the impact of climate uncertainty on the risk levels of such assets. Given that China is extensively investing in green projects to achieve carbon neutrality, this strand of research offers important implications for investors and policymakers. Methodologically, we employ the GARCH-MIDAS model to examine the effect of the climate policy uncertainty (CPU) index on the volatility levels of the Chinese clean energy exchange-traded fund (ETF). We compare the effects of the CPU index with leading uncertainty indicators, including the crude oil volatility index, geopolitical risk, and technology sector volatility. The in-sample and out-of-sample analyses show that CPU has significant predictive contents for forecasting the volatility of renewable energy ETF and that the GARCH-MIDAS-CPU process outperforms other approaches. These results offer key implications for policymakers and socially responsible investors.
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| 8. |
- Dutta, Anupam, et al.
(författare)
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Does corn market uncertainty impact the US ethanol prices?
- 2018
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Ingår i: Global Change Biology Bioenergy. - : WILEY. - 1757-1693 .- 1757-1707. ; 10:9, s. 683-693
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Tidskriftsartikel (refereegranskat)abstract
- The growing interest in biofuel as a green energy source has intensified the linkages between corn and ethanol markets, especially in the United States that represents the largest producing and exporting country for ethanol in the world. In this study, we examine the effect of corn market uncertainty on the price changes of US ethanol applying a set of GARCH-jump models. We find that the US ethanol price changes react positively to the corn market volatility shocks after controlling for the effect of oil price uncertainty. In addition, we document that the impact of corn price volatility on the US ethanol prices appears to be asymmetric. Specifically, only the positive corn market volatility shocks are found to influence the ethanol market returns. Our findings also suggest that time-varying jumps do exist in the ethanol market.
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| 9. |
- Hedström, Axel, 1989-
(författare)
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Empirical Studies on Economic and Financial Spillovers : Asymmetric Risk and Dependence Modeling
- 2023
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- Financial assets are volatile, and volatility becomes more intense in terms of size and rate of recurrence when markets are uncertain and growing rapidly. The fact that the recurrence rate increased during crisis periods, such as the IT bubble in the early 2000 and the global financial crisis that started in 2007, is a key finding in the literature. Estimating these results requires modeling a time series that can consider volatility clustering. However, the prominent model in finance and economics estimates that the average volatility increases when uncertainty increases. This modeling process needs to consider the asymmetry that financial assets and economic outcomes, such as gross domestic product (GDP) exhibit, which tend to fall drastically in a short period and increase steadily over a long period. To model these different behaviors, one must consider the asymmetric nature of the return, for example, when a stock has extremely low or extremely high returns in a day. To model this behavior, I used several methods in settings that could better explain what happens during market periods when there is higher uncertainty. The general finding is that correlations are higher when returns are in the lower quantiles, called the left tails. Thus, financial assets are positively correlated, especially during periods of increased uncertainty. It is not only clustering that one would try to explain, but another issue is the prediction of one asset’s effect on another. The effect of one asset on another asset is called the spillover effect. We tried to distinguish between events that happen during the same time that affect all assets. These events are called systematic risk, and the effects that one asset has on another asset is called systemic risk. Explaining the systemic risk typically has higher priority from a policy perspective, as systemic risk can be a driver for risk transmission from one asset to another, creating a chain of risk or a spiral of risk. Hence, the approaches I used can model that chain of risk and predict risk transmission while controlling for external factors that increase uncertainty. The results of this research show the connection between energy assets and renewable energy stocks in Papers 1 and 2. For instance, we found that there is a possibility of adjusting the European carbon emission cap and that renewable energy stocks positively correlate with energy commodities in the tails. Thus, renewable energy stocks follow a macroeconomic cycle. The findings of Paper 3 show the systemic and systematic nature of cross-country spillovers between emerging and developed financial markets, and that the spillover is time-varying with increasing spillovers in crisis periods. Paper 4 examines the Nordic banking sector. The results show that banks’ spillover to their local markets is due to their systemic importance and the strength of the spillover is related to the bank’s characteristics. In the final Paper, I studied the upside and downside movement asymmetry of stocks and found that betting on upside volatility is better than a portfolio perspective but comes at the cost of increased pricing errors. The empirical findings of this thesis significantly contribute to policymakers and institutional investors in portfolio diversification and risk management.
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| 10. |
- Jayasekera, Ranadeva, et al.
(författare)
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Green bond underlying volatility swaps in China
- 2024
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Ingår i: <em>Green Finance and Renewable Energy in ASEAN and East Asia</em>. - : Routledge. ; , s. 80-103
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Bokkapitel (refereegranskat)abstract
- China is promoting carbon neutrality to cope with environmental degradation and economic loss, issuing more green bonds than any other country to finance its green transformation. Uncertainty affects green bonds more than traditional bonds, including policy uncertainty, natural disasters, and energy crises. This chapter advocates green bond underlying volatility swaps, a derivative that allows investors to trade green bond price volatility, which market participants can use for hedging. We propose a framework for forecasting realized volatility by demonstrating that Chinese green bonds are highly homogeneous, making them useful in such forecasting and thus guiding trading in such swaps. We also examine the forecasting performance of a novel model, RVNET-GARCH, which synthesizes multiple green bonds’ historical realized volatility into a network factor. Testing for robustness with three Monte Carlo simulations and six rolling horizons shows that the proposed methodology can provide reliable results.
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