Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models

We examine and compare a large number of generalized autoregressive conditional heteroskedastic (GARCH) and stochastic volatility (SV) models using series of Bitcoin and Litecoin price returns to assess the model fit for dynamics of these cryptocurrency price returns series. The various models examined include the standard GARCH(1,1) and SV with an AR(1) log-volatility process, as well as more flexible models with jumps, volatility in mean, leverage effects, t-distributed and moving average innovations. We report that the best model for Bitcoin is SV-t while it is GARCH-t for Litecoin. Overall, the t-class of models performs better than other classes for both cryptocurrencies. For Bitcoin, the SV models consistently outperform the GARCH models and the same holds true for Litecoin in most cases. Finally, the comparison of GARCH models with GARCH-GJR models reveals that the leverage effect is not significant for cryptocurrencies, suggesting that these do not behave like stock prices.     

The hydroelectricity consumption and economic growth in Asian countries - evidence using an asymmetric cointegration approach

ABSTRACT

This study examines the four commonly tested hypotheses in hydroelectricity consumption – economic growth literature for 12 Asian countries. Our results from a recently developed hidden cointegration technique uncover rich and significant relationships between negative and positive components of the variables under consideration. In particular, we find evidence to support the neutrality hypothesis in five countries (Bangladesh, Indonesia, Pakistan, Philippines, and Thailand), the growth hypothesis in four countries (India, Japan, South Korea and Taiwan), and both growth and conservation hypotheses in three countries (China, Malaysia, and New Zealand). These findings suggest that appropriate economic policies should be elaborated on the basis of the country’s specific hydroelectricity consumption–growth nexus. Finally, our new evidence suggests that the lack of stable relationship between hydroelectricity consumption and economic growth documented in previous studies for some of these countries could be due to the failure to properly account for the nonlinearity property in the data.     

Are exchange rates interdependent? Evidence using wavelet analysis

We examine the co-movement in daily returns of USD–INR, EUR–INR, GBP–INR, and JPY–INR currency pair futures contracts traded on the National Stock Exchange of India (NSE) using the wavelet cohesion approach. This study contributes to the literature by examining the scantly studied area of co-movement in exchange rates and using the wavelet approach, which allows us to analyse time–frequency-wise co-movement of the time series. The empirical results indicate that the currency futures markets are nearly perfectly integrated in the long run (monthly, quarterly and biannual scales) offering little potential gains from international portfolio diversification. The discrepancies between currency futures markets are small and almost fade away within 3–6 months. Moreover, international currency diversification might offer relatively higher potential gains at intraweek, weekly, and fortnightly time horizons owing to lower correlations among the currencies under consideration. Finally, our multiple-wavelet correlation and cross-correlation analysis shows that GBP acts as a potential leader/follower across scales. The results of our analysis indicate the dynamic pattern of co-movement among the major currency futures contracts, which provides several implications for portfolio managers and international investors participating in the Indian market.     

Do global financial crises validate assertions of fractal market hypothesis?

The frequent occurrence of crises in recent decades has triggered a debate between the proponents of Efficient market hypothesis and Fractal market hypothesis. While, the proponents of Efficient market hypothesis view crises as non-existent and highly improbable, the advocates of Fractal market hypothesis view crises as the dominance of certain investment horizons. We test whether the assertion of Fractal Market hypothesis regarding the dominance of certain frequencies during financial crises hold for the global stock markets. Following Kristoufek (Sci Rep 3:2857, 2013) the wavelet power spectra based on continuous wavelet framework are used to test the said hypothesis. It is shown that stock markets around the globe indicate the dominance of higher frequencies during the crises periods, hence, validate the assertions of Fractal market hypothesis. The results drawn are robust to the use of different countries as well as different crises.     

Renewable and nonrenewable energy production and economic growth in sub-Saharan Africa: a hidden cointegration analysis

The objective of this article is to investigate the hypothesis of asymmetric effects between economic growth and renewable and nonrenewable energy production. To this end, both the linear cointegration and the hidden cointegration methodology are employed, with the latter allowing a straightforward delimitation of the data in an economically sensible way. We test for the presence of hidden cointegration across 12 sub-Saharan African countries spanning the period 1971–2011. The empirical results confirm the growth hypothesis for a subset of countries, suggesting that their growth could be adversely affected by conservation policies, while for a second subgroup of countries they confirm the conservation hypothesis, indicating that conservation policies could enhance the growth process in these countries. The differentiation of the results could be captured entirely by the linear approach, indicating that the lack of cointegration between renewable energy production and economic growth found in previous studies may be due to failures to properly delimit the nonlinearity property in the data.     

Does international tourism affect international trade and economic growth? The Indian experience

This study attempts to investigate the relationship between international tourism, trade, and economic growth in India over the period from April 1991 to July 2012. To account for potential asymmetries in the relationship, we make use of new asymmetric Granger-causality tests and frequency analysis. We show that there is bidirectional Granger-causality between trade and tourism in positive components, whereas unidirectional Granger-causality runs from tourism to trade for negative components. Moreover, we find evidence of bidirectional Granger-causality between economic growth and tourism in positive components, but unidirectional Granger-causality running from economic growth to tourism for negative components. On the other hand, the results from frequency analysis provide evidence of Granger-causality between trade and tourism, and also between economic growth and tourism, at different frequency bands.     

Quantile price convergence and spillover effects among Bitcoin,Fintech, and artificial intelligence stocks

This research explores the distributional and directional predictabilities among Fintech, Bitcoin, and artificial intelligence stocks from March 2018 to January 2021 using nonparametric causality-in-quantile and crossquantilogram approaches. We also examine connectedness across the assets using a quantile VAR approach. The results indicate the existence of bidirectional causality-in-variance between the variables in a normal market. We also find that directional predictability among the assets is oscillatory over time lags. Finally, we observe a strong price connectedness for highly positive and negative changes. These results further document the diversification potential and safe-haven properties of technology-related assets for portfolio investors.     

Analysing the spillover of inflation in selected Euro-area countries

Journal of Quantitative Economics - We examined the spillover of inflation in selected Euro-area countries using monthly consumer price index (CPI) based inflation data covering the period 1955M1...     

A global food–energy–water nexus with heterogeneity,non-stationarity and cross-sectional dependence

We estimate the Food–Energy–Water (FEW) nexus for 21 countries worldwide, with data available from year 1990–2000 in order to investigate the relationship between food production and two scarce resources: energy and water. Food production is proxied by four alternative variables: The index of agricultural production, the index of crops production, the index of livestock production and the value added from agriculture. Water and energy as independent variables are controlled by methane and nitrogen emissions, capital, labor and five versions of fertilizer proxy: pesticides, insecticides, fungicides, herbicide and other. For robust estimation, we have perused a number of standard and novel panel estimators such as the common correlated effects mean group estimator and the augmented mean group estimator (AMG). These estimators can account both for non-stationarity and the cross-dependence problems. Based on standard estimators such as the generalized least squares estimator or the Arellano-Bond generalized method of moments GMM, they reveal the existence of a significant FEW nexus while the mean group estimator, the group mean DOLS estimator, the common correlated effects and the augmented mean group estimator (AMG) do not yield significant coefficients for water and energy. In the latter models only labor and pesticides are significant at 5%. Also, the unobserved total factor productivity appears significant at 5% under the AMG estimation. When significant, energy and water elasticities ranged from ? 0.001 to ? 0.256 and from ? 0.014 to ? 0.084 respectively.     

A wavelet analysis for exploring the relationship between economic policy uncertainty and tourist footfalls in the USA

We attempt to establish the relationship between Economic Policy Uncertainty (EPU) and international tourist footfalls in the USA. In the first stage, we investigate the influence of country-specific EPU and global EPU on tourist footfalls. Since, these two are overlapping in nature, in the second stage, we study the isolated influence of country-specific EPU on footfalls by eliminating the influence of global EPU and vice versa. We consider a study period spanning over January 1997 to April 2017. To capture the variations in the relationship at different time dimensions, we apply wavelet-based techniques. We observe the following: (a) the impact of policy uncertainty shock has a little immediate impact on tourist footfalls, (b) medium to long-run shocks persist due to occurrence of major undesirable economic events, and (c) the influence of domestic (country-specific) EPU is dominant in comparison to global EPU for the USA.