Search results

In the Iranian economy, investing in the housing market has been very important and beneficial for investors and households, because of inflationary environment, low real interest rates, underdeveloped financial and tax systems and economic sanctions. Hence, prediction of house prices is the main concern of housing market agents in the economy. The purpose of this paper is to test the stationary properties of Iran's provinces to improve the prediction of future housing prices.

In this paper, the authors have tested the stationary properties of 20 Iran’s province centers over the period from 1993 to 2017 using a novel Fourier quantile unit root test and conventional ordinary/generalized least squares (O/GLS) linear unit root/stationary tests.

According to conventional O/GLS linear unit root/stationary tests, most of the house prices series exhibit random walk behavior, whereas by applying the Fourier quantile unit root test, the null hypothesis of unit root is rejected for 15 out of 20 series. Other results indicated that house prices of cities responded differently to positive and negative shocks.

Previous studies only addressed conventional OLS or GLS linear unit root or stationary tests, but novel Fourier quantile unit root test was not used. New results were obtained based on this unit root test, that, as a priori knowledge, will help benefiting from the positive effects, or avoiding being victimized by the negative effects.

This paper aims to examine the stochastic convergence of the per capita CO₂ emissions among the top four crude oil exporter countries, namely, Canada, Iraq, Russia and Saudi Arabia, from 1960 to 2017. Assessing the stationarity and unit root properties of the environmental series in these countries is important as their large fossil fuel resources increases the potential for rising CO₂ emissions compared to other countries.

In addition to implementing the conventional unit root tests, the authors also benefit from the application of three nonlinear unit root tests, namely, wavelet unit root test, nonlinear unit root test of Güriş (2019) and the Fourier quantile unit root test. These methods are robust to the presence of possible structural breaks and other forms of nonlinearities, while the wavelet unit root test enables us to examine the stochastic behavior of the variables in both time and frequency domains. Hence, they all provide more reliable inferences on the convergences of the CO₂ emissions compared to their standard competitors.

The standard unit root test results show strong evidence in favor of non-stationarity in all countries. This conclusion supports the results of the other nonlinear unit root tests and the overall findings of the Fourier quantile unit root test. The wavelet unit root test provides a controversial finding. However, due to its limitations, its findings must be interpreted with caution. The details of the Fourier quantile unit root test indicate that per capita CO₂ emissions follow mean-reverting properties in middle quantile ranges for Canada, Russia and Iraq. This validates the asymmetric behaviors of per capita CO₂ emissions in these countries.

The novelty of the work can be stated in two ways. First, among the available studies, this is the first paper to emphasize the importance of examining the convergence of per capita CO₂ emissions among the top four oil exporters. Second, to the best of the knowledge, no study has yet been undertaken in which all these methods have been simultaneously applied. Sustainable environmental policies depend heavily on the CO₂ series’ properties. Thus, the findings can provide significant environmental and economic implications for policymakers to construct feasible and optimal policies in climate change mitigation.

This paper aims to examine the predictive power of the volume of Economic Uncertainty Related Queries and the Macroeconomic Uncertainty Index on the Bitcoin returns.

Data consists of 118 monthly observations from September 2010 to June 2020. Due to the departure of series from Gaussian distribution and the existence of outliers, the authors use the quantile analysis framework to investigate the persistency of the shocks, the long-run relationships and Granger causality among the variables.

This research provides several important findings. First, the substantial differences between conventional and quantile test results stress the importance of the method selection. Second, throughout the conditional distribution of the series, stochastic properties of the variables, long-run and the causal relationships between the variables might be significantly different. Third, rich information provided by the quantile framework might help the investors design better investment strategies.

This study differs from the previous research in terms of variable selection and econometric methodology. Therefore, it presents a more comprehensive framework that suggests implications for empirical researchers and Bitcoin investors.

In the new global economy, environmental degradation is still among the crucial struggles braving policymakers. The intention of the current analysis, therefore, is to investigate the asymmetric impact of energy use, trade openness, population changes and urbanization, on the ecological footprint (EF) in four ASEAN countries by using time span data extending from 1972 to 2018.

The stationarity of the variables was first demonstrated by using a quantile autoregression unit root test. Then the cointegration relationship among quantiles was verified. In the third step, this study investigated the pattern of causality in quantiles which allowed them to model any locational asymmetry in such a relationship. In the final part of the paper, the asymmetric quantile approaches the methods adopted to address the ways in which the considered variables impacted on the EF.

The outcomes demonstrated that the estimated coefficient of the variables was generally found significant and in line with the expected impact sign. Likewise, locational asymmetry was detected from the fact that the considered variables at the upper tails did not operate in the same way as those in the lower ones. In this case, the results suggest that a rise in energy consumption, as well as a negative shock to economic growth and/or trade openness, all diminish environmental quality. In contrast, promoting economic growth, a positive shock to trade openness, and human capital reduce environmental degradation.

As far as is known, the current study among the early attempt to explore the asymmetric impact of trade openness, energy use, population changes and urbanization, on the EF in the ASEAN countries.

Might the impact of the global economic policy uncertainty (GEPU) and the long-term bond yields on oil prices be asymmetric? This paper aims to consider the effects of the GEPU and the US long-term government bond yields on oil prices using quantile-based analysis and nonlinear vector autoregression (VAR) model. The author hypothesized whether the negative and positive changes in the GEPU and the long-term bond yields of the USA have different effects on oil prices.

To address this question, the author uses quantile cointegration model and the impulse response functions (IRFs) of the censored variable approach of Kilian and Vigfusson (2011).

The quantile cointegration test showed the existence of non-linear cointegration relationship, whereas Granger-causality analysis revealed that positive/negative variations in GEPU will have opposite effects on oil prices. This result was supported by the quantile regression model’s coefficients and nonlinear VAR model’s IRFs; more specifically, it was stressed that increasing/decreasing GEPU will deaccelerate/accelerate global economic activity and thus lead to a fall/rise in oil prices. On the other hand, the empirical models indicated that the impact of US 10-year government bond yields on oil prices is asymmetrical, while it was found that deterioration in the borrowing conditions in the USA may have an impact on oil prices by slowing down the global economic activity.

As a robustness check of the quantile-based analysis results, the slope-based Mork test is used.

Might the impact of the financial stress on exchange markets be asymmetric and exposed to regime changes? Departing from the existing literature, highlighting that the domestic and foreign financial stress in terms of money market have substantial effects on exchange market, this paper aims to investigate the impacts of the bond yield spreads of three emerging countries (Mexico, Russia, and South Korea) on their exchange market pressure indices using monthly observations for the period 2010:01–2019:12. Additionally, the paper analyses the impact of bond yield spread of the US on the exchange market pressure indices of the three mentioned emerging countries. The authors hypothesized whether the negative and positive changes in the bond yield spreads have varying effects on exchange market pressure indices.

To address the research question, we measure the bond yield spread of the selected countries by using the interest rate spread between 10-year and 3-month treasury bills. At the same time, the exchange market pressure index is proxied by the index introduced by Desai et al. (2017). We base the empirical analysis on nonlinear vector autoregression (VAR) models and an asymmetric quantile-based approach.

The results of the impulse response functions indicate that increases/decreases in the bond yield spreads of Mexico, Russia and South Korea raise/lower their exchange market pressure, and the effects of shocks in the bond yield spreads of the US also lead to depreciation/appreciation pressures in the local currencies of the emerging countries. The quantile connectedness analysis, which allows for the role of regimes, reveals that the weights of the domestic and foreign bond yield spread in explaining variations of exchange market pressure indices are higher when exchange market pressure indices are not in a normal regime, indicating the role of extreme development conditions in the exchange market. The quantile regression model underlines that an increase in the domestic bond yield spread leads to a rise in its exchange market pressure index during all exchange market pressure periods in Mexico, and the relevant effects are valid during periods of high exchange market pressure in Russia. Our results also show that Russia differs from Mexico and South Korea in terms of the factors influencing the demand for domestic currency, and we have demonstrated the role of domestic macroeconomic and financial conditions in surpassing the effects of US financial stress. More specifically, the impacts of the domestic and foreign financial stress vary across regimes and are asymmetric.

This study enriches the literature on factors affecting the exchange market pressure of emerging countries. The results have significant economic implications for policymakers, indicating that the exchange market pressure index may trigger a financial crisis and economic recession.

This paper aims to contribute to the clarification of whether the dependence and causality between oil and the macrofundamentals change across different quantiles of the distribution function.

Within the context of an asymmetric quantile approach, we drop the assumption that variables operate at the upper tails of the distribution in the way that they operate at the mean.

Our innovative approach indicates that the response of oil prices not only differs according to the underlying source of the variables shock but also differs across the quantiles.

Although a number of recent studies are closely related to our present research, our novel findings offer some important insights that foreshadow the empirical results. The current research addresses to answer the following questions, in sequence: (i) Is there any extreme value dependence between the crude oil and macroeconomic variables? If yes, (ii) is the dependence symmetric or asymmetric? Finally, (iii) can this dependence be driven by the phases of the economic cycle?

The objective of the research is threefold. First, the study examines the fiscal policy – income inequality nexus in SA. Second, the study addressed the potential asymmetric effects in fiscal policy – income inequality nexus in SA (i.e. we assessed the effects of fiscal policy on income inequality at different quantiles of the income inequality) using secondary data from 1980–2020. Third, the study also identifies the optimal fiscal policy instrument that achieve the greatest distributional objectives.

The study adopts the traditional ordinary least square (OLS) and the innovative Quantile estimation techniques.

The study found that fiscal policy marginally reduces the income inequality at the lower quantiles (t: 0.05). Specifically, the results show that government spending on health and education reduces income inequality at the lower quantiles (t: 0.05; t: 0.25), albeit exerts a statistically weak impact. On the other hand, the results show that at the upper quantiles, fiscal policy has no statistically significant impact on income inequality. However, we do not find either direct or indirect tax to have any impact on income inequality at any conventional level of significance. This suggests that government spending on health and education have the greater potential to reduce income inequality in South Africa. The research and policy implications are discussed.

The study addressed the asymmetric phenomenon in income inequality-fiscal policy nexus in South Africa.

The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-12-2023-0956

The purpose of this paper is to test the weak form of the efficient market hypothesis (EMH) using monthly data from 2004M08 to 2018M04 for two Canadian stock indices: the Islamic (DJICPI) and the conventional (CCSI). This paper investigates whether Islamic and/or conventional stock market would be efficient through the non-stationarity test of the stock indices.

The authors conduct the linearity test of Harvey et al. (2008) to identify whether the considered series has linear or nonlinear behavior. If the time series exhibits nonlinear evolution, then the authors apply nonlinear unit root tests (three KSS type tests and Sollis tests).

Linearity test results say that LCCSI has nonlinear behavior, while Dow Jones Islamic Canadian Price Index, LDJICPI, is a linear process. Then, the findings of this paper show that only Canadian Islamic Price Index (DJICPI) has the characteristics of random walk indicating that only conventional stock markets are inefficient. The major implication is that in Canada, fund managers and investors can (cannot) enjoy excess returns to their investment in conventional (Islamic) stock market.

Numerous empirical studies of the weak EMH are carried out within a linear framework. However, stock indices can show nonlinear behavior as a result of 2008 global financial crisis. To contribute to the existing literature on the Islamic and conventional stock market efficiency, the authors take into account both structural breaks and nonlinearity. Thus, as a testing strategy for weak EMH, the authors perform (Harvey et al., 2008) linearity test to examine the presence of nonlinear behavior and correct for outliers effect when it is needed.

In this study, we aim to test the stochastic convergence of per capita clean energy use in 30 OECD (Organization for Economic Co-operation and Development) countries for the period of 1965–2017.

This study employed both linear and nonlinear panel unit root tests, and unlike other studies, this study allowed fractional values in addition to integer values for frequencies in the Fourier functions. Integer values of frequency indicate temporary breaks, while fractional values show permanent breaks.

The results of the linear panel unit root test indicate that clean energy use does not converge to group average for almost all OECD countries. However, the results of nonlinear panel unit root tests provide evidence that the stochastic convergence hypothesis of clean energy consumption cannot be rejected for most countries. This study does not find any evidence for stochastic convergence of clean energy use in Australia, Canada, Denmark, Ireland, Norway or Sweden. Therefore, the policies regarding clean energy are mandatory in these countries due to their effectiveness. This study also reveals that there are permanent structural breaks in the convergence process of clean energy consumption in approximately half of OECD countries.

This study considers temporary and permanent smooth structural shifts in addition to nonlinearity when testing the stationarity of clean energy consumption in a country i relative to the group average. This new method eliminates deficiencies of the previous panel data techniques. Thus, it provides more reliable results compared to existing literature.