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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

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

Keywords

Open Access
Article
Publication date: 16 June 2022

Dejan Živkov and Jasmina Đurašković

This paper aims to investigate how oil price uncertainty affects real gross domestic product (GDP) and industrial production in eight Central and Eastern European countries (CEEC).

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Abstract

Purpose

This paper aims to investigate how oil price uncertainty affects real gross domestic product (GDP) and industrial production in eight Central and Eastern European countries (CEEC).

Design/methodology/approach

In the research process, the authors use the Bayesian method of inference for the two applied methodologies – Markov switching generalized autoregressive conditional heteroscedasticity (GARCH) model and quantile regression.

Findings

The results clearly indicate that oil price uncertainty has a low effect on output in moderate market conditions in the selected countries. On the other hand, in the phases of contraction and expansion, which are portrayed by the tail quantiles, the authors find negative and positive Bayesian quantile parameters, which are relatively high in magnitude. This implies that in periods of deep economic crises, an increase in the oil price uncertainty reduces output, amplifying in this way recession pressures in the economy. Contrary, when the economy is in expansion, oil price uncertainty has no influence on the output. The probable reason lies in the fact that the negative effect of oil volatility is not strong enough in the expansion phase to overpower all other positive developments which characterize a growing economy. Also, evidence suggests that increased oil uncertainty has a more negative effect on industrial production than on real GDP, whereas industrial share in GDP plays an important role in how strong some CEECs are impacted by oil uncertainty.

Originality/value

This paper is the first one that investigates the spillover effect from oil uncertainty to output in CEEC.

Details

Applied Economic Analysis, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN:

Keywords

Article
Publication date: 19 May 2022

Ting Fan, Asadullah Khaskheli, Syed Ali Raza and Nida Shah

In the past few years, numerous economic uncertainty challenges have occurred globally. These uncertainties grasp the attention of the researchers and they examine the…

Abstract

Purpose

In the past few years, numerous economic uncertainty challenges have occurred globally. These uncertainties grasp the attention of the researchers and they examine the role of economic policy uncertainties in several aspects. Therefore, this study contributes to the literature by exploring the house prices volatility and economic policy uncertainty nexus in G7 countries.

Design/methodology/approach

The authors applied the newly introduced econometric technique, the GARCH-MIDAS model, to the sample size of January 1998–May 2021.

Findings

The result shows a significant relationship between house prices volatility and economic policy uncertainty. Moreover, economic policy uncertainty acts as a significant determinant of house prices volatility. In addition, the out-of-sample also shows that the economic policy uncertainty is an effective predictor and the GARCH-MIDAS has a better predictive ability.

Originality/value

This paper makes a unique contribution to the literature with reference to developed economies, being a pioneering attempt to investigate the GARCH-MIDAS model to analyze the relationship between housing prices volatility and economic policy uncertainty by applying more rigorous and advanced econometric techniques.

Details

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

Keywords

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

Keywords

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

Keywords

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…

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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

Keywords

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

Keywords

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…

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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

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

Keywords

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