Counterfactual shock in energy commodities affects stock market dynamics: Evidence from the United States

Ahmed, Maruf Yakubu; Sarkodıe, Samuel Asumadu

doi:10.1016/j.resourpol.2021.102083

Cited by 20 publications

(13 citation statements)

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“…The endogenous variables employed include the Nasdaq indexes for gold, silver, copper, and steel––used as proxy for commodity price in the market ( Nasdaq, 2020 ). We use the West Texas Intermediate (WTI) crude oil spot price widely recognized as commodity benchmark index for crude oil ( Ahmed and Sarkodie, 2021 ); Henry Hub natural gas price, corn, and soybean price as extra independent variables ( FRED, 2020 ). The commodity prices and U.S economic policy uncertainty were computed as simple first difference of natural log of daily commodity prices whereas COVID-19 outcomes entail natural log of daily compounding cases ( Salisu and Adediran, 2019 ).…”

Section: Methodsmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

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This paper investigates the switching effect of COVID-19 pandemic and economic policy uncertainty on commodity prices. We employ Markov regime-switching dynamic model to explore price regime dynamics of eight widely traded commodities namely oil, natural gas, corn, soybeans, silver, gold, copper, and steel. We fit two Markov switching regimes to allow parameters to respond to both low and high volatilities. The empirical evidence shows oil, natural gas, corn, soybean, silver, gold, copper, and steel returns adjust to shocks in COVID-19 outcomes and economic policy uncertainty at varying degrees––in both low volatility and high volatility regimes. In contrast, oil and natural gas do not respond to changes in COVID-19 deaths in both regimes. The findings show most commodities are responsive to historical price in terms of demand and supply in both volatility regimes. Our findings further show a high probability that commodity prices will remain in low volatility regime than in high volatility regime––owing to COVID-19-attributed market uncertainties. These findings are useful to both investors and policymakers––as precious metals and agricultural commodities show less negative response to exogenous variables. Thus, investors and portfolio managers could use precious metals, viz. Gold for short-term cover against systematic risks in the market during the period of global pandemic.

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Section: Methodsmentioning

confidence: 99%

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Ahmed

Sarkodıe

2021

Resources Policy

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“…The ARDL bounds testing approached developed by Pesaran et al [31] analyzes the long-run relationship among variables with a mixed order of integration of I(0) or I(1) or without pre-specification of the variables that are either I(0) or I(1) [76]. However, it cannot be applied to I(2) variables [77]. The ARDL approach is single dynamic model equation and unrestricted error correction model that reparametrizes and analyze the short-run and long-run relationships of the endogenous and exogenous variables [31,77].…”

Section: Methodsmentioning

confidence: 99%

“…However, it cannot be applied to I(2) variables [77]. The ARDL approach is single dynamic model equation and unrestricted error correction model that reparametrizes and analyze the short-run and long-run relationships of the endogenous and exogenous variables [31,77]. Furthermore, this approach absorbs a sufficient number of lags to obtain the data generating process in general to a specific model [31].…”

Section: Methodsmentioning

confidence: 99%

“…This study further applies the novel dynamic ARDL simulation model developed by Jordan and Philips [30] to examine the one explanatory variable counterfactual response while others remain constant on the explained variable. The empirical process enhances the complicated interpretation of the current ARDL model [77]. The dynamic ARDL simulations algorithm is helpful for testing co-integration, short-run and long-run equilibrium relationships in both differences and levels [8].…”

Section: Methodsmentioning

confidence: 99%

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Analyzing the Role of Renewable Energy and Energy Intensity in the Ecological Footprint of the United Arab Emirates

Doğan

Shah

2021

Sustainability

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Even though a great number of researchers have explored the determinants of environmental pollution, the majority have used carbon emissions as an indicator while only recent studies have employed the ecological footprint which is a broader and more reliable indicator for the environment. The present study contributes to the literature by exploring for the first time in the literature the role of real output, energy intensity (technology), and renewable energy in the ecological footprint under the STIRPAT framework for a Gulf Cooperation Council (GCC) country—the United Arab Emirates. By applying the novel bounds testing with dynamic simulations on the data from 1992–2017, the findings of this paper reveal that energy intensity and renewable energy have a negative and significant influence on the ecological footprint but real output has a positive and significant impact on it. In other words, the empirical results indicate that a rise in the real income increases environmental pollution while increases in renewable energy and advances in technology mitigate the level of emissions. The findings also suggest that the government should establish new programs, investment opportunities, and incentives in favor of energy intensity-related technology and renewable energy for the sake of environmental sustainability. The outcomes from this research analysis are useful for policymakers, industrial partners, and project designers in the United Arab Emirates.

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“…;Al-mulali et al, 2013;Kahouli, 2017;Khan et al, 2019;Ahmed & Sarkodie, 2021;Olasehinde-Williams et al, 2021;Ozkan, 2021;Özkan & Çakar, 2021;Godil et al, 2022; …”

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Evaluating the impact of technological innovation and energy efficiency on load capacity factor: Empirical analysis of India

Özkan,

Saleem,

Sharif

2023

Preprint

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The determinants of environmental degradation have been investigated many times by utilizing carbon dioxide emissions and/or ecological footprint. However, these traditional environmental degradation indicators do not consider the supply side of environmental problems. Therefore, this study focuses on the dynamic influence of financial development, energy efficiency, economic growth, and technological innovation on environmental degradation in India through the load capacity factor, including both supply and demand sides of environmental problems. For that purpose, the recently developed dynamically simulated autoregressive distributed lag (ARDL) method is employed using the annual time-series data extending from 1980–2020. The dynamically simulated ARDL results demonstrate that financial development, economic growth, and technological innovation have a dynamic adverse impact on the load capacity factor, whereas energy efficiency has a positive dynamic influence on environmental quality. In addition, the results support the validity of the environmental Kuznets curve hypothesis as the negative effect of economic growth on environmental quality decreases over time. Based on the study findings, policy recommendations are provided for India. Finally, this study utilizing load capacity factor as an indicator for environmental quality will provide new topics in exploring the determinants of environmental degradation.

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Counterfactual shock in energy commodities affects stock market dynamics: Evidence from the United States

Cited by 20 publications

References 9 publications

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

COVID-19 pandemic and economic policy uncertainty regimes affect commodity market volatility

Analyzing the Role of Renewable Energy and Energy Intensity in the Ecological Footprint of the United Arab Emirates

Evaluating the impact of technological innovation and energy efficiency on load capacity factor: Empirical analysis of India

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