查看更多>>摘要：? 2022 Elsevier LtdIn this study we examine the asymmetric propagation of return spillovers between oil prices and Islamic stock prices at the sector level. To achieve that, we extend the work of Antonakakis et al. (2020a), by introducing measures of asymmetric dynamic connectedness based on a time-varying vector autoregressive (TVPVAR) model. Furthermore, in the spirit of Broadstock et al. (2020), we perform dynamic portfolio exercises based on common hedging techniques and the minimum connectedness portfolio approach to find out what better captures asymmetry. Our daily dataset includes Brent crude oil and nine Islamic sectoral stocks spanning from April 25, 2013 to September 2, 2021. The findings reveal that, with the exception of the early stages of the COVID pandemic, negative connectedness dominates the sample period, indicating that investors in Islamic markets tend to react more to negative news. In turn, the prevalence of positive connectedness in early 2020 suggests that Islamic markets were relatively resilient to the pandemic. Finally, the minimum connectedness portfolio approach captures asymmetry effectively thereby providing significant insights for portfolio management.
查看更多>>摘要：? 2022 Elsevier LtdThis paper first verifies the existence and determinants of multiple bubbles in the steam coal market in China since the abolition of the double-track pricing system of coal and electricity in 2012. The Generalized Supremum Augmented Dickey-Fuller (GSADF) method confirms that the explosive bubbles originated mainly in 2013, 2014, 2015, 2016, and 2020, but this is not in accordance with the bubble model. The formation of bubbles is mainly due to policy changes related to de-capacity and environmental regulation. Furthermore, we find that price bubbles start in producing regions and transmit to the consumption regions. The demand-side factors drive the bubbles to spread in the reverse direction. The implication can infer that policy intervention in the coal industry should be reduced to ensure a market-oriented price mechanism and market stability. Producers and consumers, and investors need to pay attention to the spill over of price bubbles among regions, especially in major coal-producing areas.
查看更多>>摘要：? 2022The current research study aims to investigate natural resources, commodity prices volatility and global economic performance covering the period from 1970 to 2021. This study uses various variables, i.e., total natural resources volatility (TNR), crude oil price (CR), oil rents (OR), and natural gas rents (NGR), to measure natural resources price volatility. This study uses the wavelet approach for empirical investigation of causal association in the short and long run. The empirical estimations of the wavelet power spectrum reveal that all the variables are vulnerable, specifically in global crisis events. Besides, the wavelet coherence approach indicates a bidirectional causal association exists between natural resources commodity price volatility (TNR, OR, NGR) and global economic performance. However, the causal impact of natural resources price volatility is found only in the short-run, while economic performance significantly causes volatility in natural resources price in the long run. Moreover, the wavelet coherence authenticates unidirectional causal association running from global economic performance to CR in both the short-run and long-run. This study provides some policy insights which could have essential economic and natural resources price volatility control measures for policy-makers and future researchers.
查看更多>>摘要：? 2022 Elsevier LtdChina's natural resources are a major factor in its rapid financial development. In this race of development, the environment is compromised and China became the top polluted country in the world. A sustainable environment is required for sustainable development. Unlike others, we examine CO2 emissions and ecological footprint (EFP) to compare the role of natural resource rents (NRR), consumer prices (CP), financial development (FD), and population density (PD) in China. To empirically estimate the proposed linkages, the latest econometric techniques are used i. e, “Stationarity and co-integration tests with structural breaks and the autoregressive distributed lag models”. Findings report U-shaped Environmental Kuznets Curve (EKC) for CO2 emissions and EFP, which means GDP is helping to control CO2 emissions and EFP in China. However, natural resources, consumer prices, and population density are increasing environmental degradation. Moreover, financial development is helpful to decrease carbon emissions and ecological footprints. China needs to re-consider the policy regarding consumer prices, dense inhabitant population and use of natural resources.
查看更多>>摘要：? 2022 Elsevier LtdDeveloping countries have experienced persistent increases in population growth and surging supply-demand gaps in natural resources. The growing resource gap has exposed fragile economies to a volatile environment when prices move rapidly upward. This study attempts to assess the role of macroeconomic policy indicators in determining the frequent and rapid price changes of natural resources by using data from 1996 to 2020. Neo-Classic growth theories have considered prices of natural resources as an exogenous factor affecting various macroeconomic variables; however, this study attempts to explore the long-run impact of governance and globalization on natural resource prices and acknowledge it as an endogenous factor. Second-generation methods have been used to assess heterogeneity and unit root in this study. Westerlund and Edgerton co-integration test results show the presence of co-integration among the study variables. This study has empirically estimated long-run elasticities and maintained the positive impact of globalization and governance on the volatility of natural resource prices for the Middle East North Africa countries. However, financial development and income reduce natural resource price volatility in these countries. This study also suggests policy implications based on empirical analysis.
查看更多>>摘要：? 2022 Elsevier LtdThe cyclicality of oil prices and stock returns in oil-exporting and oil-importing countries is investigated in this study. We considered the role of asymmetry along with the impact of inflation and exchange rate on the cyclical relationship. The cycle component of oil prices and stock returns is extracted using the Hamilton Filter, and the slope coefficient homogeneity is determined using the Swamy (1970) test. The nonlinear Panel ARDL developed by Shin et al. (2014) is employed as the estimation method to study the cyclical nexus of oil price and stock returns. Our findings indicate that when asymmetry is taken into account, the influence of inflation rate on the cyclical link between oil prices and stock returns is insignificant. However, we find the role of exchange rate significant. We find that the exchange rate transforms an initially procyclical link between the oil price and stock returns in oil-exporting nations into a short-run countercyclical relationship. It also transforms a supposedly countercyclical relationship between oil price and stock returns in oil-importing into a long-run procyclical relationship. Overall, the exchange rate is critical to the cyclicality of oil prices and stock returns, whereas inflation is negligible.
查看更多>>摘要：? 2022 Elsevier LtdThe existence, causes, and mechanism of the “resource curse,” whereby resource-rich regions underperform in economic growth, have been fully discussed, but the impacts of resource taxation on the resource curse have not been thoroughly investigated. To bridge this gap in the literature, this study advances literature by examining the impact and mechanism by which resource taxes affect the resource curse. We seek to shed light on the differentiated role of specific tax and ad valorem tax in alleviating the resource curse. Based on the panel data of 114 resource-based prefecture-level cities in China, we empirically investigate the impact of resource taxes on economic growth and resource curse using a difference-in-difference model, finding that the policy adjustment of the Chinese resource tax from a specific tax to an ad valorem tax significantly restrained the economic growth of pilot cities while exacerbating their susceptibility to the resource curse through two mechanisms: an output-inhibiting effect and a supply-side Giffen effect. These findings have various implications for governments of resource-rich economies as they seek to adjust and optimize resource taxes to avoid the resource curse.
查看更多>>摘要：? 2022 Elsevier LtdAccurately predicting precious metal prices is of extreme significance as they possess an essential position in both financial and industrial fields. To achieve higher prediction accuracy, in this paper, a modified ensemble empirical mode decomposition (MEEMD) method integrated with long short-term memory neural network (LSTM) is used for precious metal price prediction. The multi-scale permutation entropy (MPE) analysis demonstrated that MEEMD has better decomposition effect than ensemble empirical mode decomposition (EEMD). Then input each intrinsic mode function (IMF) obtained by MEEMD into LSTM for prediction. Finally add each IMF forecasting value to get the final prediction results. Compared with traditional multilayer perceptron neural network (MLP), support vector regression (SVR) and a combination forecasting model super learner (SL), MEEMD-LSTM improves the prediction performance in one-step ahead prediction and multi-step ahead prediction. The multi-horizon model confidence set (MCS) test are adopted to comprehensively and statistically testify the best prediction performance of MEEMD-LSTM. Furthermore, this research indicates that the model still shows better prediction accuracy either under different proportions of the training set to the test set or in different periods of business cycle. This competitive precious metal price forecasting model is a promising technique for government agencies, investors and related enterprises.
查看更多>>摘要：? 2022 Elsevier LtdThe financial system plays a significant role in subsidizing an economy's adaption to environmental challenges and promoting its resilience to ecological perils in the context of financial needs. So, researchers have shifted their efforts to exploring financial development as a mitigating factor of environmental deprivation. In a similar context, the current study examines the role of green investment and natural resource rent in boosting Financial Inclusion (FI) in China from the period of 1990-to 2018. In compliance, a novel empirical estimation technique popularised, the “quantile autoregressive distributed lag” (QARDL) model, is used to assess the influence of green investment (GIN) and natural resource rent (NRR), and per capita income on the financial inclusion for China. We have used the QARDL model to overcome the drawbacks of using any conventional model such as the ARDL model. In addition, it will give us a robust approach and in-depth analysis of the issue under discussion. According to the empirical findings, green investment is positively and significantly associated with financial inclusion throughout the quantiles in the long run. Natural resource rent exerts a positive and significant influence on financial inclusion in higher quantiles in the long run. In addition, the per capita income significantly increases the financial inclusion at all quantiles. The empirical analysis explored the bi-directional causality in the selected variables. According to current empirical results, green investment and natural resource rent are the two most influential factors in boosting financial inclusion in the case of China. Hence, policies should be made on initiating new projects, green investment, and promoting natural resource rent-seeking attitude by mitigating the misuse of natural resources and refining the prevailing natural resource tax laws in China.
查看更多>>摘要：? 2022 Elsevier LtdThe new energy technology brought by the fourth industrial revolution has stimulated the enthusiasm for energy transformation. However, unstable renewable energy brought by energy gaps stimulates the rise in the supply of traditional energy sources. While the energy supply situation is very complex in the epidemic and geopolitical conflicts, the road under energy transformation is facing security issues. We apply the quantile connectedness to uncover the price linkage between energy markets, further investigating energy prices' vulnerability to the global shocks in the ordinary and extreme markets. The size of the system spillover shock from (or to) energy markets is increased mainly in the extreme markets compared to the normal market. Under extreme fluctuations, oil-related energy sources become transmitters from the receivers, increasing the energy market's spillover risk. The risk spillover in the energy system is mainly concentrated on petroleum products. In the long run, the stability of the oil market is essential for energy security during the transformation process. Given the transmission of shocks across energy prices, especially in the highly favourable situation, has been highlighted that can spread to other energy markets, the government should increase the diversification of the energy supply.
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