Revistas
Revista:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN:
1059-0560
Año:
2023
Vol.:
83
Págs.:
114 - 123
This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a recently developed time-varying parameter vector autoregressive (TVP-VAR) connectedness approach using daily data spanning from March 16th, 2011 to March 3rd, 2021 - covering the first year of the COVID-19 pandemic. The empirical results suggest that connectedness across the different asset classes and oil price implied volatilities are varying over time and fluctuate at very high levels. The dynamic total connectedness ranges between 65% and 85% indicating a high degree of cross-market risk linkages. Furthermore, we find that the oil market is becoming more integrated with the financial markets, since it tends to be materially impacted by abrupt fluctuations of the global financial markets' volatilities. More specifically, the analysis shows that, throughout the period, OVX is a net receiver of shocks to the remaining implied volatilities. Finally, the net pairwise connectedness measures suggest that OVX is constantly at the net receiving end vis-a-vis the majority of the asset classes' implied volatilities. Those findings are of major importance for portfolio and risk management in terms of asset allocation and diversification.
Revista:
INTERNATIONAL REVIEW OF ECONOMICS AND FINANCE
ISSN:
1059-0560
Año:
2022
Vol.:
77
Págs.:
179 - 190
The predictability of geopolitical risks (GPR) for exchange rate volatility of the BRICS is examined using both historical and recent GPR data. Relying on the GARCH-MIDAS-X model based on available data frequencies, we find that the BRICS exchange rates are more vulnerable to recent GPR data than the historical data. Additional analysis suggests contrasting evidence between the recent global GPR data and the country-specific GPR data implying that the BRICS exchange rates are more vulnerable to global than domestic GPR. Finally, we document some out-of-sample economic gains of accounting for GPR in the valuation of foreign exchange portfolio.
Revista:
BUSINESS AND SOCIETY REVIEW
ISSN:
0045-3609
Año:
2022
Vol.:
127
N°:
1
Págs.:
69 - 96
This paper proposes a method to measure the effectiveness of an ethics program at one of the most prominent pawnshop chains in Mexico, surveying a sample of 519 workers. This research presents a novel approach to the investigation of business ethics by conducting a cluster randomized control trial experiment to assess effectiveness. No evidence of an enhanced understanding of the existing code of ethics from the communication and explanation of the code was apparent. This could indicate an example of a failed ethics program, suggesting the possibility of additional ineffective ethics programs and companies could be wasting resources on them. We demonstrate that it is possible to implement a cluster randomized control trial, which is considered to be the gold standard in impact evaluation. This should lead to the application of more effective methodologies in the field of business ethics, offering a more comprehensive understanding of the effectiveness of ethics programs.
Revista:
JOURNAL OF RISK AND FINANCIAL MANAGEMENT
ISSN:
1911-8066
Año:
2022
Vol.:
15
N°:
1
Págs.:
18
In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models. A recursive estimation approach in the short-, medium- and long-run out-of-sample predictability is considered and the main findings show that the EMVID index plays a significant role in forecasting the volatility of international stock markets. Furthermore, the results suggest that the most vulnerable stock markets to EMVID are those in Singapore, Portugal and The Netherlands. The implications of these results for investors and portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed.
Revista:
JOURNAL OF FORECASTING
ISSN:
0277-6693
Año:
2021
Vol.:
40
N°:
8
Págs.:
1581 - 1595
Relying on the uncovered equity parity (UEP), we formulate a predictive model that links movements in exchange rate to stock return differential between the domestic market and the foreign (US) market. We also test for any probable asymmetric relationship between the two variables while also accounting for the role of observed common (global) factor such as oil price. We find a positive relationship between stock return differential and exchange rate return for three of the BRICS countries namely Brazil, India and South Africa, thus validating the UEP hypothesis, whereas a contrasting evidence is observed for China and Russia. We further establish the out-of-sample predictability of stock return differential for exchange rates of the BRICS while accounting for the role of observed common (global) factor, and asymmetry may further improve the forecast accuracy. The implications of our findings for portfolio diversification and foreign exchange management are highlighted.
Revista:
EMPIRICAL ECONOMICS
ISSN:
0377-7332
Año:
2021
N°:
61
Págs.:
2963 - 2983
This paper analyzes the time-varying relationship between risk aversion and both conventional and unconventional monetary policy in an international context and at different frequencies using a wavelet coherency analysis. Our main results suggest the existence of a dynamic relationship between the two variables depending on timescales and on the periods. Thus, a short-run negative relationship leading from the risk aversion variable to the monetary policy measure is found for most of the period, suggesting that monetary policy reacts more aggressively in periods of high risk aversion. Furthermore, during the financial crisis, we find a long-run negative relationship leading from the monetary policy to the risk aversion index, suggesting that a lax monetary policy could lead to financial instability. US monetary policy has also significant effects on the risk aversion rates in the Euro Area, Japan and the UK.
Revista:
JOURNAL OF CLEANER PRODUCTION
ISSN:
0959-6526
This study employs wavelet coherency, phase differences and spillover analysis to examine the dynamic connectedness between oil prices and stock returns of clean energy and technology companies. Multivariate Generalised Auto-Regressive Conditional Heteroscedasticity models are used to examine the conditional correlations, hedging performance, and to make a portfolio strategy. The wavelet coherency analysis shows a weak degree of association between oil prices and clean energy stock returns and between oil prices and technology companies' stock returns in time and frequency scales. The phase differences study shows that all series move cyclically, with technology stock returns leading oil prices and stock returns of clean energy companies. Furthermore, the volatility spillovers findings reveal that the overall connectedness of the system is 0.43%, while the degree of connectedness is greater at lower frequencies (1-4 days) than at higher frequencies (more than 4 days). The results also suggest that the volatility is transmitted from technology companies to oil and clean energy markets at all frequencies and over the whole period. Policy implications and hedging and portfolio options are discussed. (C) 2020 Elsevier Ltd. All rights reserved.
Revista:
JOURNAL OF APPLIED STATISTICS
ISSN:
0266-4763
Año:
2020
Vol.:
47
N°:
6
Págs.:
1128 - 1143
This study examines the very short, short, medium and long-term forecasting ability of different univariate GARCH models of United Kingdom (UK)'s interest rate volatility, using a long span monthly data from May 1836 to June 2018. The main results show the relevance of considering alternative error distributions to the normal distribution when estimating GARCH-type models. Thus, we obtain that the Asymmetric Power ARCH (A-PARCH) models with skew generalized error distribution are the most accurate models when forecasting UK interest rates, while for the short, medium and long-term term forecasting horizons, GARCH models with generalized error distribution for the error term are the most accurate models in forecasting UK's interest rates.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN:
0378-4371
Año:
2020
Vol.:
540
Págs.:
123093
Using annual data spanning the period of 1258-2018, we test the safe haven characteristic of gold in the wake of global crises. We find that, when we allow for regime-switching to capture nonlinearity and structural breaks, gold serves as a strong hedge against crises, especially during the bullish regime of the market, and in particular from the however, does not seem to possess the safe haven property over the historical period of 1688-2018. Finally, we also find that global crises can accurately predict real gold returns over a long-span (1302-2018) out-of-sample period. (C) 2019 Elsevier B.V. All rights reserved.
Revista:
ENERGY ECONOMICS
ISSN:
0140-9883
Building on the increased interest in oil prices and other financial assets, this paper examines the dynamic conditional correlations among their implied volatility indices. We then proceed to the examination of the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and fourteen asset volatilities, which belong to four different asset dasses (stocks, commodities, exchange rates and macroeconomic conditions). The results suggest that the oil price implied volatility index (OVX) is highly correlated with the US and emerging stock market volatility indices, whereas the lowest correlations are observed with the implied volatilities of gold and the Euroidollar exchange rate. Hedge ratios indicate that VIX is the least useful implied volatility index to hedge against oil implied volatility. Finally, we show that investors can benefit substantially by adjusting their portfolios based on the dynamic weights and hedge ratios obtained from the dynamic conditional correlation models, although a trade-off exists between the level of risk reduction and portfolio profitability. (C) 2020 Elsevier B.V. All rights reserved.
Revista:
ECONOMICS AND BUSINESS LETTERS
ISSN:
2254-4380
Año:
2020
Vol.:
9
N°:
3
Págs.:
178 - 188
In the pure time-series sense, weak-form of efficiency of the housing market would imply unpredictability of housing returns. Given this, utilizing a daily dataset of aggregate housing market returns of the United States, we test whether housing market returns are white noise using the blockwise wild bootstrap in a rolling-window framework. We investigate the dynamic evolution of housing market efficiency and find that the white noise hypothesis is accepted in most windows associated with non-crisis periods. However, for some periods before the burst of the housing market bubbles, and during the subprime mortgage crisis, European sovereign debt crisis and the Brexit, the white noise hypothesis is rejected, indicating that the housing market is inefficient in periods of turbulence. Our results have important implications for economic agents.
Revista:
DEFENCE AND PEACE ECONOMICS
ISSN:
1024-2694
Año:
2020
Vol.:
31
N°:
6
Págs.:
692 - 706
This paper analyses the dynamic impact of geopolitical risks (GPRs) on real oil returns for the period February 1974 to August 2017, using a time-varying parameter structural vector autoregressive (TVP-SVAR) model. Besides the two variables of concern, the model also includes growth in world oil production, global economic activity (to capture oil-demand), and world stock returns. We show that GPRs (based on a tally of newspaper articles covering geopolitical tensions), in general, has a significant negative impact on oil returns, primarily due to the decline in oil demand captured by the global economic activity. Our results, thus, highlight the risk of associating all GPRs with oil supply shocks driven by geopolitical tensions in the Middle East, and hence, ending up suggesting that higher GPRs drive up oil prices.
Revista:
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
ISSN:
1081-1826
This paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790-February 2017) and at different frequencies, by employing a wavelet analysis. We also compare the results for the UK economy with those for the US and two developing countries (India and South Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge, irrespective of whether we look at the two developed or the two developing markets in our sample.
Revista:
STRUCTURAL CHANGE AND ECONOMIC DYNAMICS
ISSN:
0954-349X
Año:
2019
Vol.:
50
Págs.:
51 - 55
This paper analyzes the oil price-inflation pass-through by studying the relationship between oil prices and U.S. Consumer Price Index (CPI) over the period January 1871-June 2018, at different frequencies, using a wavelet coherency analysis. In this long period of time characterized by significant structural changes, which have changed the role of fossil fuel prices (specially, crude oil) relative to renewable and alternative fuels, our main results suggest that the relationship between oil prices and CPI has changed over the analyzed time period, implying a decrease in the oil price-inflation pass-through over time. Furthermore, this relationship also varies across frequencies, suggesting that the evidence of oil price-inflation pass-through with oil prices leading CPI is weaker in the short-run. (C) 2019 Elsevier B.V. All rights reserved.
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN:
0378-4371
Año:
2019
Vol.:
514
Págs.:
345 - 354
This study examines the persistence in gold and silver prices covering the historical periods of 1257 to 2016 and 1687 to 2016 respectively, by means of simultaneously estimating two differencing parameters for the long run trend and the cyclical behavior in a fractional integration framework. As opposed to many previous papers in the literature, once the cyclical differencing parameter is taken into account, mean reversion is detected in the long run trend of both gold and silver prices. The same result is obtained when structural breaks are taken into account. As far as the cyclical behavior of gold and silver prices is concerned, we find that cycles have a higher periodicity for gold (around 7 years) than for silver (4-5 years). (C) 2018 Elsevier B.V. All rights reserved.
Revista:
PANOECONOMICUS
ISSN:
1452-595X
Año:
2019
Vol.:
66
N°:
2
Págs.:
187 - 201
This study examines the convergence patterns of prices across 50 U.S. states over the period 1960-2007, by applying the convergence algorithm developed by Peter C. B. Phillips and Donggyu Sul (2007). The empirical findings suggest the rejection of full convergence across the 50 U.S. states' prices, and the presence of 11 subgroups, or convergence clubs. The main implications of this paper point to the low degree of market integration across the U.S. states, the limitations of using a unique national price deflator to calculate real U.S. state variables, and the different effects that national monetary policy decisions will have on U.S. state prices.
Revista:
JOURNAL OF APPLIED ECONOMICS
ISSN:
1514-0326
Año:
2019
Vol.:
22
N°:
1
Págs.:
116 - 130
We revisit the twin deficits hypothesis by examining the long-run cointegrating relationship between the US budget and trade deficits across various quantiles using a unique dataset for the period 1791-2013. The main results suggest the existence of nonlinearities and structural breaks in the relationship between the trade and budget deficits, indicating that the long-run relationship between the two variables has not been constant overtime. Furthermore, we find evidence in favour of the twin deficits hypothesis. Finally, the results suggest that the cointegrating coefficient in the long-run relationship between the two variables is not constant across different quantiles. In fact, we find that an increase in the budget deficit will have a greater effect on the trade deficit at quantiles below the median than at higher quantiles, suggesting that the effectiveness of restrictive fiscal policies directed to reduce trade deficits will depend on the actual size of the budget deficit.
Autores:
Innocenti, S. (Autor de correspondencia); Clark, G. L.; McGill, S.; et al.
Revista:
JOURNAL OF ECONOMIC PSYCHOLOGY
ISSN:
0167-4870
We investigate whether past negative health experiences are positively associated with intentions to purchase insurance to mitigate the risks of income losses due to illnesses and disabilities. Using an original survey based upon representative samples of working individuals in 11 countries, we show that agents who have personally experienced a negative health event in the past are 25% more likely to state the intention to purchase income protection insurance than those who have not had such an experience. Moreover, personally knowing someone who suffered from ill health increases intentions by 40%. Insurance ownership increases by 23% due to personal experience and by 31% because of vicarious experience.
Revista:
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS
ISSN:
1081-1826
In this paper, we modify the multivariate nonlinear causality test to be panel nonlinear causality test and we apply these and other existing related tests to examine the causal relationship between growth in economic policy uncertainty (EPU) and real housing returns in China and India using quarterly data from 2003:01 to 2012:04. Both panel linear and nonlinear Granger causality tests suggest the existence of only linear and nonlinear unidirectional causality relationships from growth in EPU to real housing returns in both China and India, and bivariate linear Granger causality tests suggest the existence of only linear unidirectional causality relationship from growth in EPU to real housing returns only in China. However, nonlinear bivariate Granger causality tests conclude the existence of nonlinear bidirectional causality relationships between growth in EPU and real housing returns in both China and India and cross bivariate linear and nonlinear Granger causality tests discover that there is only a linear causality relationship from Indian growth in EPU to Chinese housing returns. The results confirm the relevance of EPU data to better understand and predict the future behaviour of housing market returns in these countries.
Revista:
RISKS
ISSN:
2227-9091
Año:
2018
Vol.:
6
N°:
3
Págs.:
1-22
This study examines the linkages between Brazil, Russia, India, and China (BRICS) stock market returns, country risk ratings, and international factors via Non-linear Auto Regressive Distributed Lags models (NARDL) that allow for testing the asymmetric effects of changes in country risk ratings on stock market returns. We show that BRICS countries exhibit quite a degree of heterogeneity in the interaction of their stock market returns with country-specific political, financial, and economic risk ratings. Positive and negative rating changes in some BRICS countries are found to have significant implications for both local stock market returns, as well as commodity price dynamics. While the commodity market acts as a catalyst for these emerging stock markets in the long-run, we also observe that negative changes in the country risk ratings generally command a higher impact on stock returns, implying the greater impact of bad news on market dynamics. Our findings suggest that not all BRICS nations are the same in terms of how they react to ratings changes and how they interact with global market variables.
Revista:
GEOGRAPHICAL RESEARCH
ISSN:
1745-5863
Año:
2018
Vol.:
56
N°:
2
Págs.:
139 - 153
Utilising a large comparative survey across 11 countries, it is shown that country effects condition the individual uptake of income protection insurance and that shared attributes, including labour market status, are important factors in determining the take-up of income protection insurance, whatever the respondents' country of residence. We observed differences in the respondents' coping strategies, including self-reliance, and were able to distinguish between migrant workers and those who work in their country of origin, along with the special case of the Australian respondents. These findings have implications for the ongoing debate on the labour market effects of globalisation and the significance of national institutions and regulatory practices.
Revista:
APPLIED ECONOMICS LETTERS
ISSN:
1350-4851
Año:
2018
Vol.:
25
N°:
5
Págs.:
305 - 308
This study examines the relationship between oil prices and economic activity in the G-7 economies during the period 1960M1¿2014M07 using a wavelet approach. The results show significant differences in the relationship between these two variables depending on the frequencies. Furthermore, we find that oil price shocks affect economic activity at low frequencies (long run) in all G-7 countries, while the effect at high frequencies (short run) is limited to a few countries.
Revista:
ENERGY ECONOMICS
ISSN:
0140-9883
Año:
2018
Vol.:
70
Págs.:
499 - 515
This paper investigates the volatility spillovers and co-movements among oil prices and stock prices of major oil and gas corporations over the period between 18th June 2001 and 1st February 2016. To do so, we use the spillover index approach by Diebold and Yilmaz (2009, 2012, 2014, 2015) and the dynamic correlation coefficient model of Engle (2002) so as to identify the transmission mechanisms of volatility shocks and the contagion of volatility among oil prices and stock prices of oil and gas companies, respectively. Given that volatility transmission across oil and major oil and gas corporations is important for portfolio diversification and risk management, we also examine optimal weights and hedge ratios among the aforementioned series. Our results point to the existence of significant volatility spillover effects among oil and oil and gas companies' stock volatility. However, the spillover is usually unidirectional from oil and gas companies' stock volatility to oil volatility, with BP, CHEVRON, EXXON, SHELL and TOTAL being the major net transmitters of volatility to oil markets. Conditional correlations are positive and time-varying, with those between each of the aforementioned companies and oil being the highest. Finally, the diversification benefits and hedging effectiveness based on our results are discussed. (C) 2018 Elsevier B.V. All rights reserved.
Revista:
EMPIRICAL ECONOMICS
ISSN:
0377-7332
Año:
2018
Vol.:
55
N°:
3
Págs.:
913 - 935
This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across states, while the fractional cointegration analysis suggests that a long-run relationship exists between them in only 11 out of the 50 US states. The estimated long-run income elasticity of healthcare expenditure suggests that health care is a luxury good in these states. By contrast, the short-run elasticity obtained from the regressions in first differences is in the range (0, 1) for most US states, which suggests that health care is a necessity good instead. The implications of these results for health policy are also discussed.
Revista:
JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT
ISSN:
1042-444X
Año:
2018
Vol.:
45
Págs.:
52 - 71
We analyze the ability of economic and financial uncertainties in predicting movements in commodity futures markets. Using daily data over the period of 8th May, 1992 to 31st August, 2016 on 21 commodity futures covering agriculture, energy, metals and livestock, we find that: (a) Linear predictive tests provide virtually no evidence of predictability; (b) Linear models are misspecified due to nonlinearity and hence, results from the framework cannot be relied upon, and; (c) Using a k-th order nonparametric causality-in-quantiles test, which is robust to misspecification in the presence of nonlinearities, we find evidence that measures of uncertainty can predict returns and/or volatility of as many as 20 of the commodities considered at least at one point of their respective conditional distributions for returns and variance. In general, we highlight the importance of modeling nonlinearity, higher order moments, and quantiles of returns and volatility when carrying out predictability analysis involving commodity futures and uncertainty. (C) 2018 Elsevier B.V. All rights reserved.
Revista:
SOCIAL INDICATORS RESEARCH
ISSN:
0303-8300
Año:
2017
Vol.:
131
N°:
2
Págs.:
527 - 542
This paper examines the asymmetry (steepness and deepness asymmetry) in per capita health care expenditure and disposable income series in the 50 US states over the period 1966-2009, using the nonparametric Triples test techniques, together with the parametric Fisher-Pearson skewness test. The results suggest significant evidence of asymmetric behaviour (mainly, steepness asymmetry) in many of these series, questioning, thus, the adequacy of linear models when modelling the behaviour of these two series.
Revista:
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY
ISSN:
1042-4431
Año:
2017
Vol.:
49
Págs.:
129 - 139
This study examines the convergence patterns of Euro Area (EA) 17 countries' sovereign bond yield spreads (relative to German bund) over the period of March 2002 to December 2015, by employing the convergence algorithm developed by Phillips and Sul (2007). The empirical findings suggest rejection of full convergence across the EA17 countries' bond yields spreads, and the presence of a certain number of clubs. In particular, three subgroup convergence clubs emerge, with Cyprus, Spain, France, Greece, Ireland, Lithuania, Luxembourg, Latvia, Portugal and Slovenia in the first; Belgium, Italy and Malta in the second; and Austria, Finland, Netherlands and Slovakia in the third club. Moreover, there is also evidence that the first two clubs could be merged to form a larger convergence club. The transitional curves indicate that, despite short-run divergences, EU17 sovereign bond yield spreads tend to converge in the long-run, with the exception of those in Greece and Cyprus, indicating the strong attempts of most of the countries under investigation to adopt fiscal policies that eventually contribute to a convergence pattern. (C) 2017 Elsevier B.V. All rights reserved.
Revista:
JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT
ISSN:
1042-444X
Año:
2017
Vol.:
40
Págs.:
92 - 102
This paper examines the role of economic policy uncertainty (EPU) on stock market returns for six countries (Australia, Canada, China, Japan, Korea and the US), based on a panel VAR model estimated using stochastic search specification selection (SSSS). In order to account for international uncertainty spillovers, the impact of home country EPU shocks and US EPU shocks are considered over the period from January 1998 to December 2014. The main results suggest that stock market returns have been negatively affected by the increased policy uncertainty levels observed during the last decade. Furthermore, when uncertainty spillovers are considered, a significant negative relationship is found between stock market returns and US EPU shocks in all countries except in Australia. This could be explained by favorable opportunities that investors gain by investing in this country, after an increase in policy uncertainty levels in the US economy. (C) 2017 Elsevier B.V. All rights reserved.
Revista:
JOURNAL OF POLICY MODELING
ISSN:
0161-8938
Año:
2017
Vol.:
39
N°:
5
Págs.:
775 - 789
This study examines the time series behavior of U.S. short- and long-run real ex-post interest rates within a long memory approach with non-linear trends using a long span of monthly and annual data. Overall, our results suggest that U.S. real interest rates are not as persistent as suggested in the literature. The implications of this result are relevant to evaluate both the effectiveness of policy interventions and the theoretical implications of different macroeconomic and financial models. For example, our results are consistent with the main implications of the consumption-based asset pricing models and the Fisher effect. Furthermore, the results point out to the difficulties of the monetary policy to influence interest rates, mainly in the long-run, and thus, highlighting varied interest rate policies across short and long-runs when it comes to affecting the real economy.
Revista:
RESOURCES POLICY
ISSN:
0301-4207
Año:
2017
Vol.:
53
Págs.:
147 - 163
This paper examines the resource curse hypothesis both within and between countries of different democratic footprint, based on a dynamic model that properly accounts for endogeneity issues. To achieve that, we apply a panel Vector Auto-Regressive (PVAR) approach along with panel impulse response functions to data on oil dependence variables, economic growth and several political institutional variables in 76 countries classified by different income groupings and level of development, over the period 1980-2012. Our results suggest that controlling for the quality of political institutions, and in particular the constraints to the executives, is important in rendering the resource curse hypothesis significant. Doing so, the resource curse hypothesis is documented mainly for developing economies and medium-high income countries. Specifically, when economies from the aforementioned groups are characterised by weak quality of political institutions, then oil dependence is not growth-enhancing.
Revista:
ENVIRONMENTAL AND RESOURCE ECONOMICS
ISSN:
0924-6460
Año:
2017
Vol.:
67
N°:
4
Págs.:
869 - 883
This study examines the time-series behaviour of emissions within a long-memory approach with non-linear trends and structural breaks, using a long span of data for the BRICS and G7 countries. The main results show significant differences both in the degree of integration and the non-linearities among the analysed countries. Thus, in most of the cases, the emissions series display orders of integration equal to or higher than 1, implying that there are permanent effects of shocks for emissions. The only exceptions are Germany, the US and the UK, where shocks will have transitory effects. With respect to the non-linearities, more evidence of non-linear behaviour was obtained for the G7 countries, especially in the cases of the US, the UK, Germany and France. Partial evidence was also found in Canada and India. The significantly different results obtained for emerging and developed economies have important policy implications.
Revista:
SOCIAL INDICATORS RESEARCH
ISSN:
0303-8300
Año:
2017
Vol.:
131
N°:
1
Págs.:
393 - 405
This study examines the time series behavior of infant mortality rates within a long memory approach with non-linear trends using data for 37 countries. The main results show significant differences both in the degree of integration and non-linearities among the analyzed series. Furthermore, non-linearities in the time trends are found in most of the cases, in contrast with the main assumption of linearity used in the literature. Finally, the results on the integration order of the series have important policy implications in many areas, such as on international convergence in mortality rates, on the income and infant mortality relationship, and, on whether health policy interventions will have transitory or permanent effects on infant mortality rates.
Revista:
ECONOMICS LETTERS
ISSN:
0165-1765
Año:
2016
Vol.:
148
Págs.:
55 - 58
This study examines the inflation persistence using both online and official price indexes in Argentina, Brazil, China, Japan, Germany, South Africa, the UK and the US, using fractional integration technique. The main results suggest that the degree of persistence, estimated by the long-memory parameter, is smaller when using online price indexes (believed to be a more realistic measure of inflation), mainly in the cases of Argentina, Brazil, China and the UK. Monetary policy implications are discussed.
Revista:
APPLIED ECONOMICS
ISSN:
0003-6846
Año:
2016
Vol.:
48
N°:
29
Págs.:
2675 - 2696
We suggest a Monte Carlo simulation-based unit root test of the purchasing power parity theory for Latin American countries. Under the null hypothesis, we use a Markov regime-switching (MS) model with unit root in the conditional location and MS volatility dynamics. Under the alternative hypothesis, the proposed test incorporates Markov regime-switching autoregressive moving average (MS-ARMA) plus MS volatility dynamics. Under both the null and alternative hypotheses, one of the volatility models estimated is Beta-t-EGARCH, which is a recent dynamic conditional score volatility model. We use data on real effective exchange rate time series for 14 Latin American countries. For each country, we estimate by Monte Carlo simulation the critical values of the unit root test. We provide an economic discussion of the unit root test results and also study the robustness of MS-ARMA plus MS volatility with respect to smooth transition autoregressive models with Fourier function.
Revista:
ENERGY ECONOMICS
ISSN:
0140-9883
Año:
2014
Vol.:
42
Págs.:
365 - 377
In this paper we examine the impact of oil price shocks on stock returns in 12 oil importing European economies using Vector Autoregressive (VAR) and Vector Error Correction Models (VECM) for the period 1973:02-2011:12. We propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks. We find that the response of the European real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change. The results suggest the existence of a negative and significant impact of oil price changes on most European stock market returns. Furthermore, we find that stock market returns are mostly driven by oil supply shocks
Revista:
LAND ECONOMICS
ISSN:
0023-7639
Año:
2014
Vol.:
90
N°:
1
Págs.:
149 - 168
We use panel vector autoregression models to trace the dynamic response of output growth to flood shocks, using new data on large flood events in 135 countries between 1985 and 2008. Flood shocks tend to have a positive and significant average impact on per capita GDP growth. However, this effect is limited to developing countries and to moderate floods. The positive impact of floods is larger and more significant in the agricultural sector; while floods seem to have a direct effect on agricultural growth rates in developing countries, their effect on nonagricultural growth rates is mainly indirect
Revista:
SOCIAL INDICATORS RESEARCH
ISSN:
0303-8300
Año:
2013
Vol.:
112
N°:
3
Págs.:
549 - 567
This paper explores the relationship between air pollution, climate and reported subjective well-being (or happiness) in Spanish regions. The results show that, after controlling for most of the socio-economic variables affecting happiness, there are still significant regional differences in subjective well-being. Evidence also suggests that climate and air pollution variables play a significant role in explaining these regional differences in happiness. The analysis also allows us to calculate the monetary value of air quality and climate, deriving the average marginal rate of substitution between income and air quality and climate for the Spanish regions
Autores:
Ferreira, S.; Akay, A.; Brereton, F.; et al.
Revista:
ECOLOGICAL ECONOMICS
ISSN:
0921-8009
Año:
2013
Vol.:
88
Págs.:
1 - 10
Concerns for environmental quality and its impact on people's welfare are fundamental arguments for the adoption of environmental legislation in most countries. In this paper, we analyze the relationship between air quality and subjective well-being in Europe. We use a unique dataset that merges three waves of the European Social Survey with a new dataset on environmental quality including SO.sub.2 concentrations and climate in Europe at the regional level. We find a robust negative impact of SO.sub.2 concentrations on self-reported life satisfaction
Revista:
JOURNAL OF TIME SERIES ANALYSIS
ISSN:
0143-9782
Año:
2013
Vol.:
34
N°:
3
Págs.:
405 - 421
This article proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and segmented time trends, and stationary and non-stationary processes based on integer and/or fractional degrees of differentiation. Moreover, the spectrum is allowed to contain more than a single pole or singularity, occurring at both zero but non-zero (cyclical) frequencies. This framework is used to analyse five annual time series with a long span, namely dividends, earnings, interest rates, stock prices and long-term government bond yields. The results based on several likelihood criteria indicate that the five series exhibit fractional integration with one or two poles in the spectrum, and are quite stable over the sample period examined
Revista:
APPLIED ECONOMICS
ISSN:
0003-6846
Año:
2013
Vol.:
45
N°:
22
Págs.:
3220 - 3229
This article investigates the real convergence of 17 Latin American countries to the US economy for the period 1950 to 2011. Time series methods are used to test stochastic and beta-convergence. These methods include the possibility of one or two structural changes. The results show that when endogenous structural changes are considered several Latin American countries exhibit stochastic convergence. Nevertheless, real convergence to the US is found only for three Latin American countries: Chile, Costa Rica and Trinidad and Tobago, with these countries also presenting evidence of stochastic and beta-convergence
Revista:
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
ISSN:
0378-4371
Año:
2013
Vol.:
392
N°:
15
Págs.:
3198 - 3212
This paper deals with the analysis of long range dependence in the US stock market. We focus first on the log-values of the Dow Jones Industrial Average, Standard and Poors 500 and Nasdaq indices, daily from February, 1971 to February, 2007. The volatility processes are examined based on the squared and the absolute values of the returns series, and the stability of the parameters across time is also investigated in both the level and the volatility processes. A method that permits us to estimate fractional differencing parameters in the context of structural breaks is conducted in this paper. Finally, the 'day of the week' effect is examined by looking at the order of integration for each day of the week, providing also a new modeling approach to describe the dependence in this context
Revista:
STATISTICS AND COMPUTING
ISSN:
0960-3174
Año:
2012
Vol.:
22
N°:
2
Págs.:
349-358
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) seasonal orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that, in the case of a single break, the suggested procedure performs well even in small samples, accurately capturing the seasonal properties of the series, and correctly detecting the break date. As an illustration, the model is estimated using four US series (output, consumption, imports and exports). The results suggest that the seasonal patterns of these variables have changed over time: specifically, in the second subsample the systematic component of seasonality becomes insignificant, whilst the degree of persistence increases.
Revista:
SOCIAL INDICATORS RESEARCH
ISSN:
0303-8300
Año:
2012
Vol.:
108
N°:
1
Págs.:
185 - 196
In this paper we study the impact of education on happiness in Spain using individual-level data from the European Social Survey, by means of estimating Ordinal Logit Models. We find both direct and indirect effects of education on happiness. First, we find an indirect effect of education on happiness through income and labour status. That is, we find that people with a higher education level have higher income levels and a higher probability of being employed, and thus, report higher levels of happiness. Second, and after controlling by income, labour status and other socio-economic variables, we find that education has a positive (and direct) impact on happiness. We interpret this result as evidence of a ¿self-confidence¿ or ¿self-estimation¿ effect from acquiring knowledge. Finally, we find that the direct impact of education on happiness does not depend of the level of education (primary, secondary or tertiary)
Revista:
JOURNAL OF MEDIA ECONOMICS
ISSN:
0899-7764
Año:
2012
Vol.:
25
N°:
1
Págs.:
8 - 34
This article concerns the study of the impact of media consumption on happiness in Spain using data from the fourth wave of the European Social Survey, distinguishing between watching TV, listening to the radio, reading newspapers, and using the Internet. A negative effect of TV watching was found on individual happiness, mainly among women; those with higher incomes; and those with paying jobs¿that is, among those with a higher opportunity cost of time. However, this negative effect on happiness does not appear for radio listening, newspaper reading, or Internet usage
Revista:
AMERICAN JOURNAL OF ECONOMICS AND BUSINESS ADMINISTRATION
ISSN:
1945-5488
Año:
2011
Vol.:
3
N°:
4
Págs.:
586 - 588
The article presents a study which investigates the accuracy of fractional and non-fractional forecasting models in predicting stock market returns in Spain. It states that daily data from the Spanish stock market recorded on the IBEX 35 from January 4, 2011 to March 28, 2006 were utilized in the study. It reveals that a small degree of mean reversion behavior was observed in the stock market prices during the said period
Revista:
CUADERNOS DE ECONOMIA (ESPAÑA)
ISSN:
0210-0266
Año:
2011
Vol.:
34
Págs.:
1-8
Revista:
ESTUDIOS DE ECONOMIA APLICADA
ISSN:
1133-3197
Año:
2011
Vol.:
29
N°:
3
Págs.:
723 - 736
Este trabajo investiga el grado de persistencia en las llegadas internacionales de turistas a España empleando técnicas de integración fraccional. Los resultados que se obtienen son los siguientes. Los resultados sugieren que las hipótesis de I(0) e I(1) se rechazan y que la serie de llegada de turistas a España se puede modelizar como una serie I(d) donde d toma valores en el intervalo (0.421, 0.780) implicando un proceso de memora larga y con reversion a la media. Sin embargo, teniendo en cuenta la existencia de un cambio estructural, este ocurre en Mayo del 2007, y las dos submuestras son entonces integradas fraccionalmente con un parámetro de integración superior a 1 en ambas submuestras, y rechazando por tanto la hipótesis de reversión a la media
Revista:
JOURNAL OF APPLIED ECONOMICS
ISSN:
1514-0326
Año:
2011
Vol.:
14
N°:
1
Págs.:
101-117
Revista:
PAPELES DE EUROPA
ISSN:
1989-5917
Año:
2010
N°:
20
Págs.:
4 - 19
Este trabajo contrasta la hipótesis de convergencia en PIB per capita durante el período 1950-2008 para una muestra de países de Europa Central y del Este, utilizando técnicas de series temporales. La aplicación de los contrastes de raíces unitarias indica que ha habido convergencia real entre los países de la región, aunque no cuando definimos la convergencia respecto a Alemania, país de referencia de la Unión Europea. Sin embargo, cuando permitimos la existencia de cambios estructurales, se observa un proceso de acercamiento de algunos países (Albania, Bulgaria y la antigua Checoslovaquia) respecto a Alemania desde los años 90, sugiriendo que los cambios ocurridos en estos países desde esa década han afectado positivamente a la convergencia.
Revista:
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
ISSN:
0275-5319
Año:
2010
Vol.:
24
N°:
2
Págs.:
113 - 122
In this paper we test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the US bull and bear periods using Bry and Boschan (1971) algorithm. We examine the order of integration in the S&P 500 stock market index covering a daily period from August 1929 to December 2006 in bull and bear phases. Our results indicate the existence of different episodes of mean reversion, which mainly correspond to bull market periods.
Revista:
JOURNAL OF FUTURES MARKETS
ISSN:
0270-7314
Año:
2010
Vol.:
30
N°:
5
Págs.:
490 - 507
In this study, we examine the possibility of long-range dependence in some energy futures markets for different maturities. In order to test for persistence, we use a variety of techniques based on non-parametric, semi-parametric and parametric methods. The results indicate that there is little or no evidence of long memory in gasoline, propane, oil and heating oil at different maturities. However, when we focus on the volatility process, proxied by the absolute returns, we find strong evidence of long memory in all the variables at different contracts.
