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Article
Publication date: 2 August 2021

Guenichi Hassen and Khalfaoui Hamdi

This paper examines the effect of oil price uncertainty on corporate social responsibility (CSR) for 507 US firms over the period 1985–2019.

Abstract

Purpose

This paper examines the effect of oil price uncertainty on corporate social responsibility (CSR) for 507 US firms over the period 1985–2019.

Design/methodology/approach

To investigate the nexus between oil price uncertainty and CSR, we have proceeded with a fixed-effects panel regression model over the period 1985–2019.

Findings

Using a dataset of 507 US firms, different specifications of CSR and two alternatives measures of oil price uncertainty, we show that oil price uncertainty negatively influences the CSR in the global US panel and firm's characterized panel. This negative effect is dependent on firms' size, firm's age and value of book share of firms.

Research limitations/implications

US firms are exposed to more risk when carrying high levels of debt, resulting in reduced spending to improve social and environmental conditions. While the negative effect of oil price uncertainty on CSR is exacerbated in economic crisis periods.

Practical implications

US firms are influenced by energy price volatility especially by oil price fluctuations which are the main factor of American economic growth. The rise of oil price uncertainty reduces sustainable corporate development and investment in the green economy.

Social implications

Rethinking renewable energies as an alternative solution in order to guarantee the performance and sustainability of social, environmental and cultural activities.

Originality/value

Young and small firms, lower-share outstanding firms and high book value per share firms are the most negatively affected by oil price uncertainty and therefore their social responsibilities are reduced. However, by introducing interaction variables in the main model, we find that the most indebted firms on one hand and big firms and high-number shares outstanding firms, on the other hand, are the most influenced by oil price uncertainty which consequently limits their social and environmental responsibility.

Details

Journal of Economic Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3585

Keywords

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Article
Publication date: 8 April 2020

Spyros Spyrou

This paper examines the impact of macroeconomic and risk factors on the profitability and volatility of professional momentum portfolios for the US, the UK, Japan and…

Abstract

Purpose

This paper examines the impact of macroeconomic and risk factors on the profitability and volatility of professional momentum portfolios for the US, the UK, Japan and Germany, for the period 1998–2018. Many of the factors employed, such as energy price changes and economic policy uncertainty, have been largely neglected in the relevant literature.

Design/methodology/approach

Regression analysis, VECTOR AUTOREGRESSION (VAR), Panel-VAR, Variance Decomposition Analysis

Findings

The results indicate that, since the financial crises in the US and the EU, energy prices and economic-policy uncertainty have become important return determinants, along with market-related uncertainty that seems to have a stable impact over time, especially for the U.S. and U.K. portfolios.

Research limitations/implications

Economic policy uncertainty significantly affects contemporaneous momentum returns in the US, UK and Japan, mainly between 2007 and 2018, while market-related uncertainty affects all markets during all subperiods. In addition, the variance of market-related uncertainty (VIX) explains a large percentage of the variance in the momentum returns for the US, UK and Germany.

Practical implications

The main implication of the findings for portfolio managers is that a manager may increase (decrease) exposure to the momentum factor during optimistic (pessimistic) periods and during periods of rising energy prices (high economic policy and market-related uncertainty).

Originality/value

The paper examines the impact of factors, such as energy prices and economic policy uncertainty, which have been largely neglected in the relevant literature on the possible drivers of the momentum strategies. It employs professional portfolios that are often used in practice as benchmark indexes.

Details

Review of Behavioral Finance, vol. 12 no. 4
Type: Research Article
ISSN: 1940-5979

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Article
Publication date: 12 June 2020

Mei-Se Chien and Nur Setyowati

This paper aims to investigate how different uncertainty shocks affect international housing prices.

Abstract

Purpose

This paper aims to investigate how different uncertainty shocks affect international housing prices.

Design/methodology/approach

The authors set up a model of housing price instability with four uncertainty variables and apply the panel generalized method of moments method and quantile regression to estimate the linear and non-linear linkages among the variables based on data of 56 countries from 2001Q1 to 2018Q2.

Findings

Some empirical findings are as follows. Higher macroeconomic uncertainty and global economic policy risk increase housing price instability, whereas greater financial uncertainty and geopolitical risk present reverse effect. Four uncertainty variables are good signals for housing price changes in Asia, and geopolitical risk takes leading role in Europe. Macroeconomic uncertainty positively impacts housing price instability only at a low or middle level in all regions, as financial uncertainty, global economic policy uncertainty and geopolitical risk effects in all regions are smaller at the middle or high level of housing price instability; this confirms the existence of non-linear correlation between each variable.

Originality/value

The findings help investors and policymakers gain a better notion of housing price instability and control into uncertainty signal that could cause housing price instability crash.

Details

International Journal of Housing Markets and Analysis, vol. 14 no. 1
Type: Research Article
ISSN: 1753-8270

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Article
Publication date: 15 May 2017

Xiaofen Tan and Yongjiao Ma

The purpose of this paper is to empirically analyze the impact of macroeconomic uncertainty on a large sample of 19 commodity markets.

Abstract

Purpose

The purpose of this paper is to empirically analyze the impact of macroeconomic uncertainty on a large sample of 19 commodity markets.

Design/methodology/approach

The authors rely on Jurado et al.’s (2015) measure of macroeconomic uncertainty based on a wide range of monthly macroeconomic and financial indicators and estimate a threshold VAR model to assess whether the impact of macroeconomic uncertainty on commodity prices differs under the high- or low-uncertainty state.

Findings

The findings show that positive macroeconomic uncertainty shocks affect commodity prices returns negatively on average and the impact of macroeconomic uncertainty is generally higher in high-uncertainty states compared with low-uncertainty states. Besides, although the safe-haven role of precious metals is confirmed, energy and industrial markets are more sensitive to short-run and long-run macroeconomic uncertainty, respectively.

Research limitations/implications

The findings in this study suggest that commodity prices reflect not only the level of economic fundamental but also the volatility of economic fundamental.

Originality/value

This study empirically analyzes and verifies the influence of macroeconomic uncertainty not only on oil prices but also on four groups of 19 raw materials. As for the methodological issues, the authors rely on a structural threshold vector autoregressive specification for modeling commodity price returns to account for potentially different effects depending on the macroeconomic uncertainty states.

Details

China Finance Review International, vol. 7 no. 2
Type: Research Article
ISSN: 2044-1398

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Article
Publication date: 1 February 2001

Ritsuko Yamazaki

The purpose of this research is to examine the way uncertainty plays a role in built land prices. This paper provides basic real option pricing models of land prices on…

Abstract

The purpose of this research is to examine the way uncertainty plays a role in built land prices. This paper provides basic real option pricing models of land prices on the demand side in central Tokyo. The model in this research analyzes micro land prices covering individual lot data provided by the Land Price Index. Since land prices are determined by both macro economic environment and micro lot‐specific attributes, this paper utilizes both time‐series economic data and cross‐sectional lot‐specific data. The model incorporates both time‐series (macro) and cross‐sectional (micro) data including uncertainty terms. In addition to the total uncertainty in asset prices over years, this research also gives some ideas of cross‐sectional uncertainty in land price variations by utilizing cross‐sectional amenity variables. These cross‐sectional and time‐series variables including the two uncertainty variables are arithmetically combined and the OLS method is conducted. The data set consists of 4,368 land price data from 1985 through 2000. The results from the option‐based models favor the application of the real option theory in land prices. The total uncertainty with respect to built asset return has a substantial effect on increasing land prices, which implies that an increase in uncertainty leads to an increase in land prices.

Details

Journal of Property Investment & Finance, vol. 19 no. 1
Type: Research Article
ISSN: 1463-578X

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Article
Publication date: 4 March 2019

Khandokar Istiak and Md Rafayet Alam

The purpose of this paper is to investigate the possible asymmetric response of inflation expectations to oil price and policy uncertainty shocks.

Abstract

Purpose

The purpose of this paper is to investigate the possible asymmetric response of inflation expectations to oil price and policy uncertainty shocks.

Design/methodology/approach

The authors used the test of asymmetric impulse responses proposed by Kilian and Vigfusson (2011) to explore the issue of asymmetry.

Findings

Unlike other studies that assume symmetric effects, this study finds asymmetric effects of oil price and policy uncertainty on inflation expectations for positive and negative shocks and for pre- and post-financial-crisis periods. In particular other things being same, a same magnitude oil price shock has greater effect on inflation expectations in post-crisis period than in pre-crisis period. Moreover, in post-crisis period a positive increasing oil price shock has greater effect on inflation expectations than a negative decreasing oil price shock.

Practical implications

The paper concludes that FED’s greater focus on output stabilization since financial crisis has made inflation expectations less anchored and a sudden surge in oil price may quickly trigger inflation through inflation expectations.

Originality/value

Exploring the issue of the possible asymmetric effects of oil price and economic policy uncertainty on inflation expectations is a relatively new topic (as other studies only assumed symmetry and did not investigate the possible asymmetry in this regard).

Details

Journal of Economic Studies, vol. 46 no. 2
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 6 September 2018

Zhen Hong, C.K.M. Lee and Linda Zhang

The purpose of this paper is twofold, first providing researchers with an overview about the uncertainties occurred in procurement including applicable approaches for…

Abstract

Purpose

The purpose of this paper is twofold, first providing researchers with an overview about the uncertainties occurred in procurement including applicable approaches for analyzing different uncertain scenarios, and second proposing directions to inspire future research by identifying research gaps.

Design/methodology/approach

Papers related to supply chain risk management and procurement risk management (PRM) from 1995–2017 in several major databases are extracted by keywords and then further filtered based on the relevance to the topic, number of citations and publication year. A total of over 156 papers are selected. Definitions and current approaches related to procurement risks management are reviewed.

Findings

Five main risks in procurement process are identified. Apart from summarizing current strategies, suggestions are provided to facilitate strategy selection to handle procurement risks. Seven major future challenges and implications related PRM and different uncertainties are also indicated in this paper.

Research limitations/implications

Procurement decisions making under uncertainty has attracted considerable attention from researchers and practitioners. Despite the increasing awareness for risk management for supply chain, no detail and holistic review paper studied on procurement uncertainty. Managing procurement risk not only need to mitigate the risk of price and lead time, but also need to have sophisticated analysis techniques in supply and demand uncertainty.

Originality/value

The contribution of this review paper is to discuss the implications of the research findings and provides insight about future research. A novel research framework is introduced as reference guide for researchers to apply innovative approach of operations research to resolve the procurements uncertainty problems.

Details

Industrial Management & Data Systems, vol. 118 no. 7
Type: Research Article
ISSN: 0263-5577

Keywords

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Article
Publication date: 18 November 2013

Stefan Meyer and Xiaohua Yu

Because of large time lags between the production decision, completion and sale of output, any uncertainty during the process of production, such as bad weather, disease…

Abstract

Purpose

Because of large time lags between the production decision, completion and sale of output, any uncertainty during the process of production, such as bad weather, disease or financial crisis, can affect the prices within food markets systematically. Therefore, the paper aims to analyze the influence of production uncertainties on world's wheat and corn prices.

Design/methodology/approach

In a specially designed two-step method, at first, the contributions of deterministic and uncertainty factors to wheat and corn production in around 100 countries are decomposed. Then, a panel model is applied to estimate the combined impact of each type of factors on the prices. Furthermore, the authors decompose the explained variances of the panel models in order to determine the importance of each type of factors for price adjustments.

Findings

The uncertainties in wheat production do significantly affect both wheat and corn prices on a global scale, whilst those of corn do not. Moreover, the variance decompositions reveal that deterministic factors contribute much more to the explanation of world food prices than indeterministic factors.

Practical implications

As deterministic factors are much more important than uncertainty factors for explaining market price movements, farmers should organize themselves to coordinate production in order to stabilize world food prices.

Originality/value

The paper proposes a simple methodology, which enables scholars to integrate production uncertainties into food price analyses.

Details

China Agricultural Economic Review, vol. 5 no. 4
Type: Research Article
ISSN: 1756-137X

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Article
Publication date: 1 August 2004

S. Chan Choi and Sharan Jagpal

Most pricing studies assume that firms have complete information about demand. In practice, managers must make decisions, given incomplete information about the demand for…

Abstract

Most pricing studies assume that firms have complete information about demand. In practice, managers must make decisions, given incomplete information about the demand for their own products as well as those of their rivals. This paper develops a duopoly pricing model in which firms market differentiated products in a world of uncertainty. Results show that the predictions of standard strategic pricing models may not hold when firms face parameter uncertainty and are risk‐averse. Under well‐defined conditions, there may be a “first‐mover” disadvantage to the firm that attempts to be the Stackelberg price leader in the market, especially in a market where demand is highly uncertain. Interestingly, if parameter uncertainty is sufficiently high, it may even be necessary for the price leader to share market information with its rival. When firms are risk‐averse, uncertainty generally decreases equilibrium prices and the variabilities of profits.

Details

Journal of Product & Brand Management, vol. 13 no. 5
Type: Research Article
ISSN: 1061-0421

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Article
Publication date: 4 April 2016

Aktham Maghyereh and Basel Awartani

This paper aims to examine the impact of oil price uncertainty on the stock market returns of ten oil importing and exporting countries in the Middle East and North Africa…

Abstract

Purpose

This paper aims to examine the impact of oil price uncertainty on the stock market returns of ten oil importing and exporting countries in the Middle East and North Africa (MENA) region. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports.

Design/methodology/approach

This paper intuitively applies the generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean vector autoregression (VAR) model using weekly data over the period January 2001-February 2014.

Findings

The findings indicate that oil uncertainty matters in the determination of real stock returns. There is a negative and significant relationship between oil price uncertainty and real stock returns in all countries in the sample. The influence of oil price risk is more serious in those economies that depend heavily on oil revenues to grow.

Practical implications

The findings have important implications. For instance, managers should be aware of the linkages between oil price uncertainty and equity returns when they use oil to hedge and diversify equities, particularly in economies where oil is important for economic growth. The policymakers in oil importing countries should encourage companies to improve efficiency in the usage of energy and to resort to alternative sources to avoid fluctuations in earnings and equity prices. In the countries that heavily depend on oil efforts should focus on diversifying the domestic economy away from oil to protect against oil price fluctuations.

Originality/value

To the best of our knowledge, this is the first attempt to study the influence of oil price uncertainty in the MENA region. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports. The empirical findings of the paper have valuable policy implications for investors, market participants and policymakers.

Details

Journal of Financial Economic Policy, vol. 8 no. 1
Type: Research Article
ISSN: 1757-6385

Keywords

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