Research Articles (Economics)

Permanent URI for this collectionhttp://hdl.handle.net/2263/2391

Browse

Now showing 1 - 20 of 1478

Political geography and stock market volatility : the role of political alignment across sentiment regimes
Cepni, Oguzhan; Demirer, Riza; Gupta, Rangan; Pierdzioch, Christian (Wiley, 2026-02)
We study the nexus between political geography and stock market volatility by examining the interrelation between political geography and the predictive relation between the state- and aggregate-level stock market volatility via recently constructed measures of political alignment. Using data for 1994–2023 and random forests, we show that the importance of the state-level volatilities as drivers of aggregate volatility displays considerable variation in the cross-section and across time. Stronger political alignment of a state with the ruling party is associated with a lower contribution of the state's volatility to aggregate volatility. This negative link is significant during high-sentiment periods.
Time-varying spillover of multi-scale positive and negative bubbles in stock and oil markets
Foglia, Matteo; Gupta, Rangan; Caraiani, Petre; Pacelli, Vincenzo (Elsevier, 2026-01)
The objective of this paper is to analyze time-varying spillover between bubbles in oil and stock markets of the U.S. In this regard, we first use the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to detect both positive and negative bubbles in the short-, medium and long-term in the two markets. In the second-step, we utilize a Time-Varying Parameter Vector Autoregressive (TVP-VAR) model to conduct the spillover analysis among the indexes of oil and stock positive and negative bubbles. Based on data covering the monthly period of January 1999 to June 2025, we find that negative bubble spillovers are significantly stronger and more directional than positive ones, with the U.S. equity market emerging as the transmitter to the oil market post-2008. This represents a structural shift from the traditional oil-to-equity transmission paradigm. Moreover, spillover effects are most pronounced at short- and medium-term horizons, intensifying during crisis periods. Our findings suggest that oil is increasingly behaving as a financial asset rather than a physical commodity, with important implications for portfolio diversification and risk management. HIGHLIGHTS • TVP-VAR spillover between oil and stock bubbles analyzed. • MS-LPPLS-CIs detect positive and negative bubbles in the short-, medium and long-term. • Negative bubble spillovers are significantly stronger and more directional. • U.S. equity market is the transmitter to the oil market post-2008. • Spillover effects most pronounced at short- and medium-term horizons.
The effects of uncertainty on economic conditions across US states : the role of climate risks
Sheng, Xin; Gupta, Rangan; Liao, Wenting; Cepni, Oguzhan (Wiley, 2026-02)
We analyze the impact of uncertainty on the Economic Conditions Index (ECI) of the 50 US states in a panel data set-up, over the weekly period of the 3rd week of April 1987 to the 4th week of March 2023. Using impulse response functions (IRFs) from a linear local projections (LP) model, we show that uncertainty, as captured by the stochastic volatility (SV) of the ECIs, negatively impacts ECI in a statistically significant manner. More importantly, using a nonlinear LP model, the IRFs reveal that the adverse effect of uncertainty is significantly stronger under the high-regime of climate risks when compared to the low-regime of the same. Understandably, our results have important policy implications.
Supply bottlenecks and machine learning forecasting of international stock market volatility
Somani, Dhanashree; Gupta, Rangan; Karmakar, Sayar; Plakandaras, Vasilios (Elsevier, 2025-12)
This study explores the information value of the daily Supply Bottlenecks Index (SBI) – derived from newspaper articles – to forecast daily return volatilities of seven major developed stock markets: China, France, Germany, Italy, Spain, the UK, and the US. Volatility is measured using the interquantile range, obtained through an asymmetric slope autoregressive quantile regression model applied to stock returns to estimate conditional quantiles. From this, we derive key distributional moments including skewness, kurtosis, and lower- and upper-tail risks, which are then incorporated into a linear forecasting framework alongside leverage effects. Using Lasso shrinkage techniques to address potential overfitting, we find that the model incorporating higher-order moments outperforms a benchmark model based solely on own- and cross-country volatilities. Notably, the predictive accuracy improves further when supply constraint indicators from all seven countries are included. These results hold important implications for investors as we later highlighted.
Investment adjustment costs and growth dynamics
Gupta, Rangan; Ma, Wei (Elsevier, 2025-12)
We develop a monetary endogenous growth overlapping generations model characterized by investment adjustment costs as a negative function of productive government expenditures, and an inflation-targeting central bank. We show that growth dynamics arise, otherwise not possible in a standard monetary endogenous growth model with a money growth-rule and an exogenous adjustment cost parameter. Furthermore, hinging crucially on the strength of the response of the adjustment cost to productive public spending, single or multiple equilibria emerge, with the high-growth (low-growth) equilibrium in the latter case being stable (unstable), but locally indeterminate (locally determinate).
Macroeconomic shocks and SMME’s employment in South Africa : evidence from ARDL and ECM approaches
Adesile, Olusegun; Habanabakize, Thomas (Adonis and Abbey Publishers, 2025-12)
Small and medium enterprises (SMMEs) play a significant role in any country’s economy and specifically in job creation. However, the potency of SMMEs depends on various factors that include macroeconomic factors such as fuel or petroleum price, interest rate, and exchange rate fluctuations. The current study aims to investigate macroeconomic shocks and SMME’s employment in South Africa. To achieve this objective, the Autoregressive Distributed Lag (ARDL) and Error-Correction Models were applied to time series data spanning from 2009 to 2022. The study findings revealed that petrol price and interest rate negatively influence SMME’s employment in both the long-run and the short-run. However, the exchange rate was found to have a positive effect on employment in the long-run as well as the short-run. Consequently, the study for the South African SMME employment growth The study recommends that the South African government adopt “Sustainable Energy and Economic Growth Policy” as this policy could assist in stabilising energy costs, reducing fuel price volatility through strategic reserves or subsidies, and implementing inflation-control measures such as improving supply chains and promoting local production. By addressing high energy costs and inflation, the policy would create a favourable environment for SMMEs to thrive, invest, expand, and generate employment, leading to overall economic growth
Climate policy uncertainty and the forecastability of inflation
Salisu, Afees A.; Ogbonna, Ahamuefula E.; Gupta, Rangan; Zhang, Yunhan (Elsevier, 2026-03)
We investigate the predictive content of climate policy uncertainty (CPU) for forecasting the inflation rate of the United States (US) over the monthly period of 1987:05–2024:11. We evaluate the performance of our proposed CPU-based predictive model, estimated via the Feasible Quasi Generalized Least Squares (FQGLS) approach, against a historical average benchmark model, with the FQGLS technique adopted to account for heteroscedasticity and autocorrelation in the data. We find statistical evidence in favour of a CPU-based model relative to the benchmark, as well as in the case of an extended model involving physical risks of climate change and financial and macroeconomic factors, extracted from a large data set, when CPU is included. The predictive superiority of climate policy-related uncertainties relative to the historical mean remains robust across alternative local and global CPU metrics, as well as in a mixed-frequency setup, given the availability of high-frequency (weekly) CPU data. Moreover, the importance of local- and global-CPUs is also found to hold for forecasting the inflation rates of 11 other advanced and emerging countries, in a statistically significant manner relative to the historical average model. Across all 12 economies, own- and global-CPUs perform equally well in forecasting the respective inflation rates. The general importance of uncertainties surrounding policy decisions to tackle climate change in shaping the future path of inflation, understandably, carries implications for the monetary authority.
The US-China tension, global supply disruptions and the agricultural commodity markets : a dynamic multivariate panel data analysis
Salisu, Afees A.; Abdulhakeem, Abdulhameed (Emerald, 2026)
PURPOSE : The US–China trade friction represents a major geopolitical shock that disrupts global trade flows, supply chains, and commodity markets. This study aims to provide new evidence on how US–China trade tensions (UCT) influence the realized volatility of agricultural commodity prices, with a focus on both futures and spot markets, and to examine the differential responses of these markets to geopolitical and supply chain shocks. DESIGN/METHODOLOGY/APPROACH : Using a dynamic multivariate analysis with data spanning from April 1998 to February 2024, which encompasses multiple trade cycles, including the 2018–2019 US–China trade war and the post-pandemic recovery, we uncover how geopolitical tensions transmit to commodity markets via the global disruption channel. FINDINGS : Our findings show that the futures market tends to exhibit stronger and more persistent volatility in response to trade tensions than spot markets, reflecting the forward-looking nature of futures trading and the role of speculation in amplifying uncertainty. Moreover, our robustness analysis confirms that the volatility response is more pronounced for certain commodities directly exposed to the US-China trade nexus. In contrast, globally traded soft commodities exhibit more muted reactions. ORIGINALITY/VALUE : This study makes three key contributions. We (1) introduced the US-China trade tensions (UCT) as a novel source of geopolitical uncertainty in global agricultural commodity markets (2) employed the new indices of the US-China Tension Index and the Global Supply Chain Pressure Index (GSCPI) to capture multidimensional global risks (3) applied the dynamic multivariate panel framework to assess how UCT shocks propagate through commodity spot and futures markets, influencing volatility and price dynamics.
Climate risks and green stocks in Vietnam
Salisu, Afees A. (Emerald, 2026)
PURPOSE : Vietnam is among the countries most vulnerable to tropical cyclone risks, and its carbon-intensive production model influences its climate change trajectory. Nevertheless, various initiatives have been undertaken to tap into the country’s green economy potential, and I advance the related literature by exploring the connection between climate risks and green assets in Vietnam. DESIGN/METHODOLOGY/APPROACH : Firstly, by employing the predictive models, I examine the predictive power of climate risks for the returns of green assets in Vietnam between 2010 and 2023 using monthly data. Secondly, to address endogeneity and heteroscedasticity, I employ the feasible quasi-generalized least squares estimator, evaluating both in-sample and out-of-sample connections between climate risks and green assets in Vietnam. FINDINGS : My findings include the following: (1) Green stocks in Vietnam do effectively hedge against climate risk in recent samples that coincide with commitments to international climate agreements, suggesting the importance of data frames and the government’s commitment to modelling climatic outcomes. (2) Classification of assets based on the Vietnam Sustainability Index (VNSI) provides more theoretically compelling results, highlighting the need for robust measures of sustainability. (3) Controlling for key fundamentals, such as oil prices and exchange rate fluctuations, is essential to avoid model misspecification and potential overestimation of climate risk effects on green investment returns. (4) My findings show that incorporating climate risk into the predictive model for green asset returns significantly enhances forecast accuracy of the asset returns compared to benchmark models, such as the historical average and random walk, which overlook this risk factor. ORIGINALITY/VALUE : I provide two major contributions to the literature. (1) I investigate the predictive power of climate risks for the returns of green assets in Vietnam. (2) I conduct both the in-sample and out-of-sample predictability of the connections, as significant in-sample predictability outcomes do not necessarily translate into improved out-of-sample forecasts.
Forecasting growth-at-risk of the United States : housing price versus housing sentiment or attention
Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian (Springer, 2025-09-09)
We examine the predictive power of national housing market-related behavioral variables, along with their connectedness at the state level, in forecasting US aggregate economic activity (such as the Chicago Fed National Activity Index (CFNAI) and real Gross Domestic Product (GDP) growth), as opposed to solely relying on state-level housing price return connectedness. Our results reveal that while standard linear regression models show statistically insignificant differences in forecast accuracy between the connectedness of housing price returns and behavioral variables, quantile regression models, which capture growth-at-risk, demonstrate significant forecasting improvements. Specifically, state-level connectedness of housing sentiment enhances forecast accuracy of the CFNAI at lower quantiles of economic activity, indicative of downturns, whereas connectedness of housing attention is more effective at upper quantiles, corresponding to upturns. The results for GDP growth suggest that, while both sentiment and attention contribute to forecasting performance at lower quantiles, only attention improves forecasting performance at upper quantiles. In terms of statistical significance, the results for GDP growth, however, are less conclusive than those for the CFNAI. Taken together, these findings underscore the importance of incorporating regional heterogeneity and behavioral aspects in economic forecasting.
Energy market uncertainty and economic conditions at the global and US State levels
Salisu, Afees A.; Olaniran, Abeeb Olatunde (Springer, 2026-01)
This study evaluates the predictability of energy uncertainty in relation to economic activity across the global and the large open economy of the United States. Two distinct objectives guide the research: first, to explore the nexus between energy uncertainty and economic activity using various metrics, and second, to examine how well energy uncertainty enhances the forecast performance of economic activity across three different benchmark models, including a random walk with and without drift, and a historical average. The analysis incorporates two lag structures to capture additional dynamics, ensuring a comprehensive understanding of the relationship between energy uncertainty and economic activity. Results indicate that heightened energy uncertainty generally stifles economic activity, although this effect weakens over a longer lag structure. This finding is consistent for both in-sample and out-of-sample forecasts, and remains robust even when certain fundamentals are incorporated as controls, highlighting the strength of the research. These findings hold significant implications for both micro- and macroeconomic perspectives, underscoring the potential contribution of this research to the field of economics. The implications for policymakers are particularly noteworthy, as they provide valuable insights for decision-making in the energy sector.
The employment-effects of greening the South African economy
Njokwe, Getrude; Bohlmann, Jessika; Chitiga-Mabugu, Margaret; Omotoso, Kehinde Oluwaseun; Mushongera, Darlington (Taylor and Francis, 2025-07-03)
This study aims to develop a method for classifying occupations into green and non-green jobs and examines the impact of the green economy on employment. It focuses on patterns across industries and the characteristics of individuals employed as the country transitions to a green economy. The study utilises the local Organising Framework for Occupations (OFO) and the International Occupational Information Network (O*NET) to categorise jobs, applying parametric and non-parametric approaches to identify the determinants of green jobs. The proportion of green jobs in South Africa has been slowly increasing, constituting 13.8% of all jobs in 2024. These jobs are mainly found in utilities, mining, construction, and finance. They are primarily occupied by younger individuals with moderate education. Most positions are held by men, with white and black individuals as the main demographic groups, largely within the formal sector. These findings are important for policies promoting inclusive green economy growth.
Do investors in clean energy ETFs herd? The role of climate risks
Babalos, Vasilios; Sibande, Xolani; Bouri, Elie I.; Gupta, Rangan (Emerald, 2026-01)
PURPOSE : This study aims to investigate herding behaviour in US Clean Energy (CE) exchange-traded funds (ETFs) and examine the role of climate risks in influencing such behaviour over the period from May 1, 2016, to June 19, 2024. DESIGN/METHODOLOGY/APPROACH : We employ a baseline herding model and extend it to examine asymmetric effects across market conditions. The analysis incorporates time-varying herding measures and examines the impact of both transitional and physical climate risks on herding probability using regression techniques. FINDINGS : The baseline model reveals significant herding behaviour in CE ETFs. The extended model indicates that herding is present in both down and up markets, with a stronger effect in down markets, suggesting asymmetry. Herding is also found to be time-varying. Notably, high levels of transitional climate risk reduce the probability of herding in CE ETFs, whereas physical climate risk does not exert any significant impact on herding probability. RESEARCH LIMITATIONS/IMPLICATIONS : The study focuses specifically on US CE ETFs over a defined period, which may limit generalizability to other markets or asset classes. The findings provide insights into the behavioural dynamics of sustainable investment markets during periods of varying climate risk. PRACTICAL IMPLICATIONS : The results suggest that high levels of transitional climate risk encourage market efficiency in CE ETFs and promote climate hedging behaviour by investors. This has important implications for portfolio managers and policymakers in understanding market dynamics in sustainable finance. ORIGINALITY/VALUE : This study provides novel empirical evidence on the relationship between climate risks and herding behaviour in CE ETFs, contributing to the growing literature on behavioural finance in sustainable investment markets.
Forecasting the volatility of stock returns in the G7 countries over centuries : the role of climate risks
Bouri, Elie I.; Gupta, Rangan; Liphadzi, Asingamaanda; Pierdzioch, Christian (Springer, 2026-01)
We investigate whether changes in temperature anomalies, along with their second, third, and fourth statistical moments, can serve as indicators of physical climate risks and provide valuable insights for forecasting historical stock return volatility in Canada, France, Germany, Italy, Japan, the United Kingdom (UK), and the United States (US) the G7 countries. This analysis controls for factors such as leverage, skewness, and excess kurtosis in stock price fluctuations. Using extensive monthly data spanning from 1915 to 2024 for Canada and Italy, from 1898 to 2024 for France, from 1870 to 2024 for Germany, from 1914 to 2024 for Japan, from 1693 to 2024 for the UK, and from 1791 to 2024 for the US, our findings indicate that the moments of stock markets play a more significant role than climate risks in accurately forecasting stock return volatility. Further analysis confirms that the impacts of climate risks are already reflected in the statistical moments of stock returns. We discuss the implications of these findings for investment decisions and economic policy, suggesting that investors and policymakers in the G7 countries should focus more on statistical moments rather than physical climate risks when producing forecasts of stock market volatility for their decision-making processes.
Tailored paths towards gender equality : insights from South Africa and Australia
Inglesi-Lotz, Roula; Bohlmann, Jessika; Oosthuizen, Anna Maria; Chitiga-Mabugu, Margaret; Bohlmann, Heinrich; Njokwe, Getrude; Cabalu, Helen; Inchauspe, Julian; Suenaga, Hiroaki; Truong, N.T. Khuong (Wiley, 2025-12)
This study examines how context-specific gender equality policies address disparities by comparing South Africa's equity-based and Australia's equality-oriented approaches. Through a comparative lens, it analyses the effectiveness of tailored affirmative action policies, including South Africa's Employment Equity Act and Australia's Workplace Gender Equality Act, in addressing gender disparities. While South Africa emphasises redressing past imbalances and promoting equity for historically disadvantaged groups, Australia focuses on advancing workplace diversity and equitable pay. The analysis explores critical metrics such as the Global Gender Gap Index, employment-to-population ratios, and the Gender Inequality Index to highlight differences in progress and challenges each country faces. Findings reveal that although both countries prioritise gender equality, their approaches reflect distinct sociopolitical and economic priorities. South Africa's policies are deeply rooted in transformative justice and constitutional mandates, whereas Australia's initiatives integrate gender analysis into fiscal and corporate strategies. Despite progress, significant gaps persist, particularly in economic participation and societal gender biases. The study underscores the importance of evidence-based and context-specific policies in achieving Sustainable Development Goal 5. It advocates for exchanging insights and adapting strategies to local contexts, emphasising the limitations of universal solutions in addressing complex gender inequalities. By comparing these two cases, this research contributes to a broader understanding of how countries can advance gender equality while navigating unique historical and socio-economic landscapes.
Abortion legalization, teen sexual and reproductive health behaviors, and women’s empowerment in South Africa
Njokwe, Getrude; Kijima, Yoko (BioMed Central, 2025-08-20)
Restrictive abortion laws in many African nations are associated with risks such as unsafe procedures and teenage motherhood. This study examines how abortion legalization influences sexual and reproductive health and women’s empowerment in South Africa, using a difference-in-differences design. Analyzing variations in birth cohorts and access to health care facilities with abortion services across provinces, the study finds no direct causal impact of the abortion policy on teenage motherhood, fertility rates, early sexual debut, high school completion, or college attendance, though negative associations with teenage motherhood and fertility rates and positive associations with early sexual debut, high school completion, and college attendance, were observed. The study suggests that limited access to health care facilities with abortion services and cultural taboos contribute to underreporting of behaviors. Given these findings, we recommend prioritizing access to contraception and creating supportive environments for adolescent girls living in vulnerable situations, including improved access to health care facilities that offer abortion services.
Role of inflation and exchange rates in shaping the country's food security landscape : Nigeria's food price puzzle
Aye, Goodness C.; Edoja, Prosper E.; Enwa, Sarah; Gupta, Rangan; Eshoforen, Emmanuel (Clute Institute, 2025-01)
This study investigates the intricate roles of inflation and exchange rates in shaping Nigeria's food security landscape, particularly focusing on food price volatility and its economic implications. Utilizing time series data from 2000 to 2023, the research employs econometric techniques such as the Johansen co-integration test, VAR model, and GARCH methodology to explore long-and short-term relationships among inflation, exchange rates, and the prices of key food commodities, including maize, rice, cassava, and sorghum. Findings reveal significant long-term co-integrating relationships, highlighting the influence of exchange rate fluctuations on food price volatility, with varied impacts across different commodities. While inflation also affects prices, its short-term impact appears inconsistent. The study further identifies volatility clustering in food prices, driven by past shocks, though the persistence of volatility is limited. Granger cau-sality tests underscore directional influences, with inflation rates and some food price volatilities exhibiting predictive power over exchange rate fluctuations. These insights underscore the need for robust monetary and fiscal policies to stabilize exchange rates and mitigate the adverse effects of inflation, ensuring a more secure and sustainable food system in Nigeria.
The bank lending channel of monetary policy transmission in South Africa
Pirozhkova, Ekaterina; Viegi, Nicola (Elsevier, 2025-12)
This paper studies the bank lending channel of monetary policy in South Africa. We measure credit supply with homeloan data from banks and nonbanks and we use monetary shocks via high-frequency asset price reactions to policy announcements in a proxy-SVAR model. We find that the bank lending channel is operative, as banks reduce the supply of homeloans after monetary tightening, negatively impacting the housing market. In addition, we show that the deposit channel underpins the bank lending channel’s effectiveness. After a monetary tightening, banks widen the deposits spread and the volume of deposits shrinks, as expected. Since retail deposits are vital stable funding for banks, this mechanism drives the lending channel.
Independence of central banks in nondemocratic regimes : implications for price stability
Olaniran, Abeeb Olatunde; Ndako, Umar B. (Bulletin of Monetary Economics and Banking, 2025-10-08)
This study examines the impact of central bank independence on inflation in nondemocratic regimes, with a specific focus on the differences between Islamic and nonIslamic groups. It utilizes nonstationary heterogeneous panels to estimate both the longrun and short-run responses of inflation to central bank independence. Additionally, it employs a panel smooth transition regression model to identify any potential threshold effects in this relationship. Our findings reveal an inverse relationship between central bank independence and inflation rates for both groups in the long run. Our result suggests that non-Islamic authoritarian countries may struggle more than Islamic ones to maintain price stability through interest rate channels, which could explain their increasing adoption of a zero interest rate policy. Furthermore, we find evidence of threshold effects that, if overlooked, could result in biased conclusions.
Causal links between public debt and inflation in sub-Saharan African countries
Aimola, Akingbade U.; Monkam, Nara F. (Elsevier, 2025-11-25)
This study aims to investigate and compare both symmetric and asymmetric causal relationships between public debt and inflation across a panel of 14 sub-Saharan African countries over the period 1990 to 2021. It also examines trends in Country Policy and Institutional Assessment (CPIA) scores, particularly in the domains of debt policy and the efficiency of revenue mobilization. The analysis employs Konya's (2006) symmetric bootstrap panel causality test and an asymmetric approach developed by Yılancı and Aydın (2017), which builds on Granger and Yoon (2002) and Konya's methodology. The results reveal notable nonlinearity and considerable cross-country variation. Under the symmetric specification, causality from public debt to inflation is found in only four countries. However, when asymmetry is incorporated, this number increases to twelve. Similarly, while causality from inflation to debt is observed in four countries using the symmetric model, the asymmetric framework reveals evidence in eleven countries. These findings contribute to literature by offering a comparative perspective on the debt-inflation nexus. Moreover, the results indicate the presence of cross-sectional dependence across the panel and confirm country-specific heterogeneity. The analysis of CPIA indicators also points to varied levels of institutional capacity in public debt management and revenue mobilization across the region. Notably, Kenya's top performance in revenue mobilisation suggests that robust institutional frameworks can enhance the predictive relationship between increase public debt levels and inflation. The study's findings carry significant implications for fiscal and monetary policy in sub-Saharan Africa.

Browse

Recent Submissions