Economic cycles and downside commodities risk

Powell, Robert; Vo, Duc Hong; Pham, Thach N.

doi:10.1080/13504851.2017.1316818

Cited by 14 publications

(13 citation statements)

References 12 publications

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“…For example, an extended period is desirable to consider a potential difference between various periods, in particular crisis and normal periods. Advanced techniques on risk measurements can also be considered and utilized such as credit risk measurements (Powell et al 2017(Powell et al , 2018. In addition, this study only focuses on the Ho Chi Minh City stock market which may not be the complete proxy for the Vietnamese listed firms.…”

Section: Discussionmentioning

confidence: 99%

An Empirical Test of Capital Structure Theories for the Vietnamese Listed Firms

Nguyen

Hồ

2019

JRFM

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Raising capital efficiently for the operations is considered a fundamental decision for any firms. Since the 1960s, various theories on capital structure have been developed. Various empirical studies had also been conducted to examine the appropriateness of these theories in different markets. Unfortunately, evidence is mixed. In the context of Vietnam, a rising powerful economy in the Asia Pacific region, this important issue has been largely ignored. This paper is conducted to provide additional evidence on this important issue. In addition, different factors affecting the capital structure decisions from the Vietnamese listed firms are examined. The Generalized Method of Moment approach is employed on the sample of 227 listed firms in Ho Chi Minh City stock exchange over the period from 2008 to 2017. Findings from this study suggest that the Vietnamese listed firms follow the trade-off theory to determine their capital structure (i.e., to determine the optimal debt level). In contrast, no evidence has been found to confirm that the pecking order theory can explain the financing decisions of the Vietnamese listed firms, as previously expected. In addition, findings from this study also indicate that ‘Fund flow deficit’ and ‘Change in sales’ are the most two important factors that affect the amount of debt issued for the Vietnamese listed firms. Implications for academics, practitioners, and the Vietnamese government have also been emerged from the findings of this paper.

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Section: Discussionmentioning

confidence: 99%

An Empirical Test of Capital Structure Theories for the Vietnamese Listed Firms

Nguyen

Hồ

2019

JRFM

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“…Previous studies show that agricultural supplies respond to price and non-price factors. As farmers have an incentive to allocate their resources to the most profitable crops, agricultural supplies will respond to price fluctuation of agricultural products (Powell et al, 2018(Powell et al, , 2019. On the other hand, non-price factors, such as rural infrastructure, access to credit, weather conditions and soil fertility can affect inputs, the efficiency, and yields of agricultural production (Thiele, 2000).…”

Section: Conceptual Frameworkmentioning

confidence: 99%

Sustainable agriculture & energy in the U.S.: A link between ethanol production and the acreage for corn

Vo¹

2020

Economics &Amp; Sociology

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The world has been witnessing the dual crises from the Covid-19 pandemic since 2019: (i) the economic crisis; and (ii) the health crisis. During crisis, it is important to revisit the sustainability of two of the most important policies on agriculture and energy for any country. Corn has played an increasingly important role in the U.S. agricultural market. As of 2018, corn accounts for about 95 per cent of the U.S. total feed grain. As such, corn is generally placed at the centre of the policies on agriculture in the U.S. The primary reason for the rise in corn production and use is due to the expansion of ethanol production. This expansion pushes corn prices to increase and provides an incentive for people to enlarge corn acreage. In addition, ethanol production has rapidly expanded over the last few decades in the U.S. Corn ethanol is expected to be a viable alternative for oil. We consider that the expansion of ethanol and corn production has many consequences. Corn price and the prices of many agricultural commodities have dramatically increased during the last decade. In this paper, the Auto Regressive Distributed Lags (ARDL) technique together with the bounds test and the estimation of short-run and long-run elasticity are utilized for the 1980-2018 period using the U.S. data. Empirical results from our paper confirm the long-run relationships between corn used in ethanol and the acreage for corn. In addition, results from our analyses support the view that the expansion of corn ethanol is a key reason behind the increase in corn acreage. We also consider that the increase in demand for corn used in ethanol production is more likely to affect the acreage. This finding implies the important role of ethanol production and expansion in the change of land use in the U.S.

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“…It is noted that the parametric CVaR is calculated by the average returns beyond the parametric VaR. This practice follows the approach adopted in various studies, such as Allen et al (2012) and Powell et al (2017), among others:…”

Section: Methodsmentioning

confidence: 99%

“…Various papers have attempted to estimate the market risk level by using the VaR and CVaR methods concurrently. Powell et al (2017) categorized the S&P Goldman Sachs Commodity Index into groups and used the modified CVaR method to assess the level of risk in particular periods, as classified according to GDP growth. The findings from this empirical study indicate that there are marked differences in the levels of risk for the various commodities for a variety of sub-samples.…”

Section: Empirical Analysismentioning

confidence: 99%

Market Risk Analysis of Energy in Vietnam

Tran

Nguyen

et al. 2019

Risks

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The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for economic development by the Vietnam Government through to 2020. The oil and gas industry is a separate energy-related major industry, and it is evaluated separately from energy. The data set is from 2009 to 2017, which is decomposed into two distinct sub-periods after the Global Financial Crisis (GFC), namely the immediate post-GFC (2009–2011) period and the normal (2012–2017) period, in order to identify the behavior of market risk for Vietnam’s major industries. For the stock market in Vietnam, the website used in this paper provided complete and detailed data for each stock, as classified by industry. Two widely used approaches to measure and analyze risk are used in the empirical analysis, namely Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). The empirical findings indicate that Energy and Pharmaceuticals are the least risky industries, whereas oil and gas and securities have the greatest risk. In general, there is strong empirical evidence that the four key industries display relatively low risk. For public policy, the Vietnam Government’s proactive emphasis on the targeted industries, including energy, to achieve sustainable economic growth and national economic development, seems to be working effectively. This paper presents striking empirical evidence that Vietnam’s industries have substantially improved their economic performance over the full sample, moving from relatively higher levels of market risk in the immediate post-GFC period to a lower risk environment in a normal period several years after the end of the calamitous GFC.

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Economic cycles and downside commodities risk

Cited by 14 publications

References 12 publications

An Empirical Test of Capital Structure Theories for the Vietnamese Listed Firms

An Empirical Test of Capital Structure Theories for the Vietnamese Listed Firms

Sustainable agriculture & energy in the U.S.: A link between ethanol production and the acreage for corn

Market Risk Analysis of Energy in Vietnam

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