Price US Research Articles

An AFD-based adaptive impulse response model of time series

In this paper, an adaptive impulse response model of time series is proposed based on adaptive Fourier decomposition (AFD), which characterizes the data-driven impulse response model with “energy-resolution” and is applied to the effect analysis of shocks on time series. First, according to the observed time series, the frequency points of impulse response function are estimated, and the approximate expression of impulse response function in frequency domain is given. Second, AFD is carried out on the approximate impulse response function level by level, and the poles and coefficients of basis function of each level are obtained adaptively by using the criterion of energy maximization. Third, when the goodness of fit is greater than a certain threshold, all decomposition levels are determined and the adaptive impulse response model is established. Each decomposition level depicts the energy-based resolution characteristics of the impulse response model. Based on gold price return and US dollar index return in daily frequency from 2017 to 2022, this paper carried out AFD-based effect analysis with energy-resolution year by year. Results show that the proposed AFD-based adaptive impulse response model in this paper can describe the persistence effect of shocks of gold price on the US dollar index, and further measure the plainness of linkage relationship between these two time series. Decomposing impulse response to each decomposition level reveals consistence, convergency, and sufficiency of the impulse response model. The AFD-based adaptive data-driven model provides a new way for the analysis of time series in time-frequency domain.

SettingsAustin Williams. China’s Urban Revolution: Understanding Chinese Eco-Cities

Austin Williams. China’s Urban Revolution: Understanding Chinese Eco-Cities. London and New York: Bloomsbury Academic. 2017. 220 pages. Price US $ 124.95 (Hardback). China is still considered to be a polluter and its city life is deplorable with unbreathable air and contaminated drinking water. These are the thoughts of the past and China is now bidding to emerge as an environmental soft-power at an impressive rate. The main argument of this book revolves around China’s rapid urbanisation and China’s government-led eco-city building programme. It is an attempt to falsify the Manichean Worldview of China, which tries to provide comprehendible classifications of a country that is much advanced for that. With rapid development and wealth creation, China’s fast urbanisation has outpaced that of any other country in the world, adding 458 cities in just last 4 decades—110 cities in a decade. But China is now pausing to think what it had done right and wrong in the last 40 years. William starts the book by explaining what a city is as well as the eco-city, and simplifies the definition of eco-city provided by the Chinese government i.e. a city where main drinking water sources are ‘adequate’ and its air quality is rated ‘good’ on 123 days of a year. Then he moves on how China has turned barren lands into wealth creating giants. But all this wealth and prosperity at that pace resulted in urban challenges like degraded environment. Over the course of the book, William contextualises the Chinese society and its evolution with respect to political events. Wealth creation is still the top priority of the Chinese government. To portray a soft image of the country, China is trying on multiple facets. For example, the Chinese Society for Urban Studies has created a new 28-item eco-city friendly list, which is different from other checklists such as by UNHABITAT and BREEAM. Throughout the book William uses sarcastic notes on how China is learning to experiment with spaces either by inviting rural households to newly developed cities or by reforming the older ones. From the book, it looks like there is a long way ahead for China to become eco- friendly. [Aqeel Anwar Chaudhry]

Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition

This paper examines the dynamic return and volatility connectedness between oil price shocks (demand, supply, and risk shocks) and US sector returns from October 2001 to January 2022. For this purpose, we combine the decomposition of the time series in time scales through the wavelet approach with the application of the TVP-VAR model proposed by Antonakakis et al. (2020). Our results show the high dynamic connectedness between markets and allow the identification of the role of all sector indices (except Communication Services, Utilities and Real Estate) and risk shocks as net contributors of shocks to the system, whereas demand and supply shocks are net receivers of spillovers. We further explore and document from a portfolio performance perspective the benefits of diversified portfolios comprised of all consider sector indices that include assets linked to the calculation of oil price shocks according to Ready (2018).

Oil Price Fluctuations and US Banks

Oil Price Fluctuations and US Banks

Willingness to pay for colorectal cancer screening: A systematic review

Colorectal cancer (CRC) screening is crucial to reduce the global economic burden related to CRC. The purpose of this study is to examine studies on assessing willingness to Pay (WTP) for CRC screening and to investigate any potential variables influencing WTP. A systematic review was conducted through databases in accordance with Preferred Reporting Items for Systematic Reviews and Meta-Analyses guideline. The study included 10 English-language studies that evaluated WTP for CRC screening. The study assessed how much participants were willing to pay for the assumed test cost by calculating the proportion of their WTP value. All values were converted to 2023 USD using a consumer price indices calculator and US Treasury converter. This study showed that the WTP value for CRC screening varied from USD 11.07 to USD 658.65. The co-payment rate ranged from 0.15 to 83.73. The factors influencing WTP value includes sociodemographic factors and the screening test attributes. Our study revealed the variative relationship between sociodemographic parameters and test features in influencing individuals’ decisions about CRC screenings. Understanding the importance of both demographic factors and test attributes is crucial for future research to develop targeted strategies for improving CRC screening uptake. Additionally, insights into WTP value aid in shaping public policies for CRC screening programs.

Optimizing Stock Portfolio using Markowitz Model

The stock market is a well-known illustration of an investing option with obvious returns. Its volatility provides a basis for carefully analyzing its prior results in an effort to forecast future market returns. This paper discusses the various models used for selecting investment portfolios and utilizes the Markowitz decision-making model to aid in selecting an optimal investment portfolio based on historical price data and US Treasury 10-year bond rate data. Four stocks were included in the model, with two popular and highly volatile stocks, and two fast-growing stocks. The Markowitz model that maximizes the Sharpe ratio favors the two fast-growing stocks, whereas the same calculations for minimizing risk favor the more volatile stocks, but only lowers risk marginally and reduce returns significantly. The paper further analyzed the accuracy of the Markowitz model in this specific case and provided the Fama French model as a usable alternative that will likely provide alternative suggestions that are more correlated to real-life scenarios.

Oil price shocks and US unemployment: evidence from disentangling the duration of unemployment spells in the labor market

Oil price shocks and US unemployment: evidence from disentangling the duration of unemployment spells in the labor market

Gulf property damage, housing price trends and US bankruptcy filings

PurposeThis paper aims to examine potential causes of bankruptcy as they relate to hurricane damage. Investigate whether hurricanes result in personal bankruptcy filings due to real property damages. Strengthen existing descriptive results by using fully modified ordinary least squares (FMOLS).Design/methodology/approachLagged FMOLS model is used with data from states that suffered hurricane damage between 2000 through 2020. FMOLS controls for various financial distresses that can cause bankruptcy filings.FindingsBankruptcy is usually filed for within one year of a hurricane. Changes in house prices and hurricane severity were significant indicators of bankruptcy filings. However, the divorce rate, commonly thought of as a primary reason for bankruptcy, is insignificant.Research limitations/implicationsData was available on a state level for the independent variables. Hurricane damage needed to be financially significant enough for inland flooding to be measurable and influential.Practical implicationsEstablishes that financial distress comes from several sources, not just home damage. Financial distress is highly correlated with whether a home was insured. Divorce does not cause bankruptcy filings.Social implicationsFederal flood insurance programs should be reexamined. Having a broader all-risk homeowner policy could reduce the number of households that file for bankruptcy after a hurricane.Originality/valueExisting research uses descriptive statistics and obtains mixed findings regarding the association between hurricane damage and bankruptcy filings. The FMOLS approach provides clarity about this association.

Oil price volatility and US dollar exchange rate volatility of some oil-dependent economies

This paper examines the relationship and related causality patterns of oil price volatility and exchange rate volatility of a group of oil-dependent economies before and after the 2008–2009 global financial crisis. We employed weekly time-series data of oil price and exchange rates for 2000–2007 (pre-crisis) and 2010–2016 (post-crisis). United States dollar exchange rates are for Ghanaian cedi, Nigerian naira, Russian ruble, Indian rupee, South African rand, and the Euro. To investigate the volatility impacts that exist between oil price and exchange rates during both sub-sample periods, we merged Vector Autoregressive (VAR) with GARCH and EGARCH models in the form of Bivariate VAR-GARCH and VAR-EGARCH. We further adopted the Toda-Yamamoto causality test to investigate related causality patterns. Empirical findings revealed both bidirectional and unidirectional relationship between oil price volatility and the exchange rates volatility of four out of the six oil-dependent economies considered for the study. These findings were more prevalent in the post-crisis period than the pre-crisis period. We also confirmed both bidirectional and unidirectional causality pattern between oil price volatility and exchange rate volatility of the same four currencies as observed with the VAR results in both sub-sample periods.

Investment behavior during COVID pandemic: An evidence from emerging Asian Markets

This study investigates the investor behavior in Asian emerging markets during the COVID pandemic period and assesses the asymmetric patterns and the influence of global and regional return dynamics on local investor behavior. It uses daily firm-level data from January 2001 to December 2020 for nine Asian emerging countries: China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Taiwan and Thailand to estimate the impact of extreme price movements, market liquidity and US and Chinese market returns on local return dispersions using a non-linear specification. The findings indicate that rational price behavior prevailed in all markets over the COVID period. Though herding manifested itself occasionally during the low trading volume days in the pandemic period; overall, herd formation was not observed conditioned on domestic or non-domestic factors. Infact, our comparison of pre-COVID and COVID periods shows a significant shift in investment behavior away from herding and in favor of market efficiency for emerging markets of China, India and Korea. The findings on prevalence of rational price behavior are unique and reflective of improved informational environment in Asian emerging markets.

Oil price volatility and the US stock market

In this paper, we investigate the relationship between oil price volatility and US real stock returns using a multivariate framework in which a structural vector autoregression (SVAR) is modified to accommodate the effects of stochastic volatility (SV) in oil prices on stock returns. Our measure of oil price volatility is the conditional variance of the oil price change forecast error. We isolate the effects of volatility in the change in the price of oil on real stock returns and calculate the dynamic responses of stock returns to a shock to oil price volatility. We find evidence that increased oil price volatility has a negative effect on US real stock returns. We support our evidence with the transmission mechanism that details on how the effects of oil price volatility shocks might be channeled into the stock market. Our results remain unchanged in the context of the disaggregate returns for a number of industry portfolios, suggesting that investors should consider oil price volatility in addition to other potential factors that affect stock returns.

Oil supply risk and affecting parameters associated with oil supplementation and disruption

The fossil fuel energy carriers significantly affect the energy security. The oil security has turned to one of the main political agenda by considering the two world’s oil crises. In this study, an index of oil supply vulnerability has been developed to compare the world’s top fifteen oil importing South Asian countries. The index includes comprehensive set of indicators like imported oil over GDP ratio, market liquidity, GDP per capita, geopolitical risk, diversification, the ratio of oil importation over consumption, transportation risk, oil price volatility and US $ volatility. Two popular techniques (composite indicator (CI) and the principal component analysis (PCA)) were used to combine all the aforesaid indicators. Although numerous techniques have been used to assess the oil vulnerability index, for example DEA like models and Markowitz theory of portfolio, none of them incorporated the principal component analysis and composite indicator together to develop an oil vulnerability index. Results shows that the South Asian countries have highest economic, supply and overall oil vulnerability risk whereas the second group countries Belgium, Thailand, Spain, Netherlands, Japan, Korea, India and China are in a relatively less risky as compared to South Asian countries. Contrary to this third group of countries are Canada, Singapore, UK, and France, Italy, Germany and US are considered as a least vulnerable country.

Negative house price co-movements and US recessions

We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signalling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.

Oil shocks, US economic uncertainty, and emerging stock markets

ABSTRACTThis paper investigates the impacts of oil price shocks and US economic uncertainty on emerging equity markets within a structural VAR model. I find that both precautionary oil demand and US economic uncertainty shocks have significant negative effects on emerging stock returns, whereas aggregate demand shocks cause a sustained rise of the returns. In particular, the direct effects of oil shocks on emerging stock returns are amplified by the endogenous response of US economic uncertainty. Variance decomposition analysis shows that oil market fundamentals and US economic uncertainty are an important determinant of emerging equity returns, accounting for 35% and 24% of their long-term variations, respectively. The heterogeneous impacts of structural shocks on individual emerging markets, however, suggest that a well-diversified portfolio can be obtainable.

Toda and Yamamoto Causality Test between US $ Exchange Rates and Stock Market Prices in Sri Lanka

co‑integration test, and the short‑run dynamic causal relationship is tested using Granger’s causality and Toda and Yamamoto [1] causality test.
 Place and Duration of Study: The study use daily data from the 02nd of October 1998 to 07th of September 2018. 
 Results: The results show that there is no long-term equilibrium relationship between All Share Price Index and US Dollar-Sri Lankan Rupees exchange rate. According to Granger’s causality and Toda-Yamamoto causality tests, the results indicate that there is a unidirectional causality running from All Share Price Index and US Dollar-Sri Lankan Rupees exchange rate in the short run.
 Conclusion: The study concludes that stock market causes on Exchange rate in Sri Lankan economy in the short run, but not vice versa.
 Contribution: This study is useful for macroeconomic policymakers and financial managers to have a better understanding of the movements between among the variables. The better understanding of short-term movements of these two variables helps to make the more informed investment and financing decisions.

Climate Change in Wildlands: Pioneering Approaches to Science and ManagementAndrew J.Hansen, William B.Monahan, David M.Theobold and Thomas S.Oliff, eds. Island Press, Washington, 2016, xiv + 391 pp. Price US $35.00. ISBN: 9781610917124 (paperback, also available in hardback and as an Ebook).

Austral EcologyVolume 44, Issue 1 p. 164-165 Book Review Climate Change in Wildlands: Pioneering Approaches to Science and Management , Andrew J. Hansen, William B. Monahan, David M. Theobold and Thomas S. Oliff, eds. Island Press, Washington, 2016, xiv + 391 pp. Price US $35.00. ISBN: 9781610917124 (paperback, also available in hardback and as an Ebook). Rodney J. Keenan, Rodney J. Keenan rkeenan@unimelb.edu.au School of Ecosystem and Forest Sciences, The University of Melbourne, Parkville, Victoria, AustraliaSearch for more papers by this author Rodney J. Keenan, Rodney J. Keenan rkeenan@unimelb.edu.au School of Ecosystem and Forest Sciences, The University of Melbourne, Parkville, Victoria, AustraliaSearch for more papers by this author First published: 23 February 2018 https://doi.org/10.1111/aec.12585Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinkedInRedditWechat No abstract is available for this article. Volume44, Issue1February 2019Pages 164-165 RelatedInformation

Exchange Rate, Trade Balance And Growth In Nigeria: An Asymmetric Cointegration Analysis

Background and Statement of the Problem: It has been established that countries with high political and economic risks will draws investment funds away prospective investors from other countries, thus, such countries are at greater risks of loss of confidence in her currency stability and movement of capital to more stable economies. The aforementioned problems may discourage growth, macroeconomic stability, human capital development and institutional changes. Thus, there is the need to investigate the asymmetric cointegrating relationship, if any among the rate of exchange, trade balance and growth in Nigeria. Research Methodology and Data: With the primary assumption of the likelihood of an asymmetric adjustment process in the disequilibrium, the study deployed the M-TAR (Momentum - Threshold Autoregressive) and the TAR (Threshold Autoregressive) models. Annual data on imports, exports, domestic real income, world real income, domestic consumer price index and US consumer price index were used and this comes from the World Bank Development Indicators for the period 1960–2016 and all data are denominated in US-Dollars. Research Findings: The result shows that for the TAR model, cointegration exists among the three variables (economic growth, balance of trade and real exchange rate). An asymmetric adjustment disequilibrium process also exists. The point estimates suggest that the adjustment speed is lower when the balance of trade is worsens. The asymmetric ECM suggests that trade balance, real exchange rate and growth respond to disequilibrium and that the coefficient of domestic income and exchange rate are negative and that of foreign income is positive and statistically significant. Policy Implication: Government of Nigeria should concentrate her policy efforts towards import substitution strategy that will facilitate the production of currently imported goods locally, thereby creating sustainable employment and development of industrial manufacturing sector in Nigeria.

Responding to Climate Change: Lessons from a Hot‐SpotPaulBurton (ed.). CSIRO Publishing, Collingwood, 2014. x + 203 pp. Price US $79.95 (paperback). ISBN: 9780643108615.

Austral EcologyVolume 42, Issue 7 p. e15-e15 Book Review Responding to Climate Change: Lessons from a Hot-Spot , Paul Burton (ed.). CSIRO Publishing, Collingwood, 2014. x + 203 pp. Price US $79.95 (paperback). ISBN: 9780643108615. Greg Hunt, Greg Hunt ghunt@seccca.org.au South East Councils Climate Change Alliance, Narre Warren, Victoria, AustraliaSearch for more papers by this author Greg Hunt, Greg Hunt ghunt@seccca.org.au South East Councils Climate Change Alliance, Narre Warren, Victoria, AustraliaSearch for more papers by this author First published: 19 October 2017 https://doi.org/10.1111/aec.12452Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinkedInRedditWechat No abstract is available for this article. Volume42, Issue7November 2017Pages e15-e15 RelatedInformation

Metro Area Common House Price Declines and US Recessions

We investigate the relation between large negative house price co-movements in the cross-section of US cities and the national business cycle. The occurrences of large negative house price co-movements across cities cluster over time and these clusters are closely linked to NBER recession dates. A simple co-movement measure that aggregates large negative city-level house price returns reliably predicts future recession periods. Weighting cities according to population or GDP when constructing the negative co-movement variable yields the largest forecasting power, indicating that larger cities that contribute more to the national GDP are more influential in terms of correctly signaling future recessions. Moreover, large negative house price co-movements contribute above and beyond traditional recession predictors, suggesting an important role for city-level housing information as an early warning indicator.

U.S. oil company stock returns and currency fluctuations

Purpose – The purpose of this is paper is to pay a closer look at the 2008-2009 financial crisis (and its aftermath) and analyzes stock returns of nine major US oil companies as well as the oil and gas sector under daily data from January 1992 to April 2012. Design/methodology/approach – The authors adopt the arbitrage pricing theory model to examine the relationship between stock returns and their influences including oil price return, yield spreads, and US dollar index return. The authors also provide a test for structural changes in each regression model of return series to capture for multiple breaks. To examine the asymmetric effect of oil price returns on stock returns, the authors separate oil price returns series into two series: positive changes in oil price and negative changes in oil price. Findings – The authors find stock returns of oil companies as well as the oil and gas sector are positively affected by oil prices and have stronger effects in the downward direction. Interestingly, The authors find the effects of oil price movements on stock returns increase over time. The authors examine the possibility that investors wishing to hedge against a weakening USD invest in US oil companies and find that more than half of these companies benefit from a weaker USD against the JPY, while all strongly benefit from a weaker USD against major currencies. Originality/value – The authors employ daily data for two-decade period including the last global financial crisis. Due to the long-term period covered in this study, sequential Bai-Perron tests are used to detect structural breaks of stock return series. In addition, the data-dependent procedures result in good specifications throughout with white-noise processes in almost all cases.