Is interest rate uncertainty a predictor of investment volatility? evidence from the wild bootstrap likelihood ratio approach

Olasehinde‐Williams, Godwin; Özkan, Oktay

doi:10.1007/s12197-022-09570-2

Cited by 8 publications

(4 citation statements)

References 40 publications

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“…Wang et al [9] also argued that green finance is vulnerable, especially in the face of financial uncertainty. Godwin and Oktay's [10] study also proved that there is a significant positive correlation between interest rate uncertainty on the volatility of investment. High interest rate uncertainty may distort the market mechanism for raising long-term capital.…”

Section: Theoretical Backgroundmentioning

confidence: 88%

The impact of interest rate uncertainty on renewable energy investments: Compared with conventional energy investments

Chen

2024

ACE

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In contrast to other types of energy investments, governments often use long-term power purchase agreements (PPAs), subsidy policies, etc., to lock in returns on renewable energy investments. To some extent, these initiatives ensure that renewable energy investment has a fixed future cash flow. The publics demand for an increase in the proportion of renewable energy also forces the government to maintain an annual investment in renewable energy. However, it remains uncertain whether peoples willingness to invest would not be severely affected, and whether renewable energy investment volumes are uniquely robust in the face of financial uncertainty. In this paper, linear regression method is used to analyse the impact of short-term interest rate uncertainty on renewable/conventional energy investment, and covariance analysis is used to test whether these impacts are significantly different. The data indicate that short-term interest rate uncertainty has a significant negative impact. Investment in both types of energy shrinks rapidly in the face of high interest rate uncertainty. No obvious stability is found on renewable energy investment volume in the face of short-term interest rate uncertainty.

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Section: Theoretical Backgroundmentioning

confidence: 88%

The impact of interest rate uncertainty on renewable energy investments: Compared with conventional energy investments

Chen

2024

ACE

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“…Financial repression is generally associated with the management of cross-border capital flows, a stronger relationship between the government and banks, interest rate caps, and relatively high reserve requirements (Reinhart, 2012). Arguments in support of restrictions of interest rates are mostly related to market failures and information frictions (see Stiglitz, 1989Stiglitz, , 1993Stiglitz, , 2000Jafarov et al, 2019;Olasehinde-Williams & Özkan, 2022). Support for this position was widespread between the 1960s and 1980s; it has also regained prominence since the global economic crisis of the late 2000s (see Aloy et al, 2014;Reinhart & Sbrancia, 2015;Chari et al, 2020).…”

Section: Literature Reviewmentioning

confidence: 99%

“…For the aforementioned reasons, several researchers have advocated placing legal restrictions on interest rates to guard against market failures and information frictions that could be triggered by volatility (see Olasehinde-Williams & Özkan, 2022). On the other hand, it is also widely encouraged that interest rates should be left to the forces of demand and supply.…”

Section: Introductionmentioning

confidence: 99%

Interest Rate Volatility and Economic Growth in Nigeria: New Insight from the Quantile Autoregressive Distributed Lag (QARDL) Model

Olasehinde-Williams,

Omotosho,

Bekun

2024

J Knowl Econ

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This is a study on interest rate volatility, a crucial form of volatility which affects local and foreign investments in the real and financial sectors. Whether to prioritize interest rate stability to prevent distortions in the market mechanism or to prioritize other macroeconomic objectives while allowing interest rates to independently react to market forces is a key question for Nigeria’s apex monetary authority. Answering this question is the primary motivation for this research. This paper is an attempt to establish the effect of interest rate volatility on economic growth and further conclude on the suitability of the financial liberalization policy in Nigeria. To reach an evidence-based conclusion, the paper analyzes the relationship between interest rate volatility and economic growth in Nigeria for the period 1981–2020. The QARDL procedure was employed to establish the short-run and long-run quantile-specific impacts of interest rate volatility. As a final step, Granger causality tests are conducted to investigate the predictive powers of the variables. It is discovered from the econometric analysis that interest rate volatility adversely affects the economic performance of Nigeria in both the short run and long run. Consequently, full liberalization is not suitable for the economy. Moreover, we find that the short-run adverse growth effect of interest rate volatility is greater when the economy is already in a relatively weak state, whereas the long-run adverse growth effect is greater when the economy is already in a relatively strong position. The findings sufficiently prove that full interest rate liberalization is not Pareto efficient for Nigeria. Hence, greater supervision of the interest rate corridor system to reduce volatility in the rates and minimize chances of persistent upward or downward bias is advised. Study limitations and directions for further research are also provided.

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“…Verilerin normallik durumlarını inceleyebilmek için ayrıca gerçekleştirilen J-B normallik testi sonuçlarına göre de çalışma verilerinin dağılımını normal dağılım özelliği göstermektedir.Analizlerin ikinci adımında, çalışma verilerin durağanlık seviyeleri incelenmektedir. Çalışma verilerinin durağanlık seviyelerini belirlemek için literatürde (bkz:Özkan & Çakar, 2020 Adedoyin vd., 2021; Khan vd., 2021; Olasehinde-Williams vd., 2021; Abbasi vd., 2022; Adebayo vd., 2022; Ali vd., 2022;Çoban & Özkan, 2022; Hossain vd., 2022;Li & Shao, 2022;Olasehinde-Williams & Özkan, 2022;Wang, 2022) sıklıkla kullanılan yöntemlerden olan Augmented Dickey-Fuller (ADF;Dickey & Fuller, 1979) vePhillips-Perron (PP;Phillips & Perron, 1988) birim kök testleri gerçekleştirilmiştir. Birim kök testleri çıktıları Tablo 1'de raporlanmıştır.…”

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Ki̇rli̇li̇k Hale Hi̇potezi̇: Türki̇ye'de Doğrudan Yabanci Yatirimlar, Ekonomi̇k Büyüme Ve Ekonomi̇k Küreselleşmeni̇n Çevreye Asi̇metri̇k Etki̇si̇ni̇n Doğrusal Olmayan Ardl Yaklaşimi İle Araştirilmasi

Özkan

ÇOBAN

2022

ijmeb

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Sanayi Devrimi ile başlayan süreç ve sonrasında çevresel sürdürülebilirliği tehdit eden gelişmeler ile beraber küresel olarak çevresel bozulma süreci hızlanmıştır. Çevresel bozulma sürecinin özellikle küresel ısınma ve iklim değişikliği ile beraber dünya çapında etkilerini hissettirmesi, çevresel bozulmanın belirleyicilerine yönelik araştırmaların sayısının artmasını sağlamıştır. Bu çalışmada, doğrudan yabancı yatırımlar, ekonomik büyüme ve ekonomik küreselleşmenin çevreye asimetrik etkisi ve kirlilik hale hipotezinin geçerliliği Türkiye için araştırılmıştır. Bu amaç için, 1970-2018 arasındaki yıllık veriler kullanılarak doğrusal olmayan ARDL yöntemi ile analizler gerçekleştirilmiştir. Analizler sonucunda (1) doğrudan yabancı yatırımlardaki artışların (azalışların) uzun dönemde ekolojik ayak izini azalttığı (arttırdığı) ve dolayısıyla kirlilik hale hipotezinin geçerli olduğu; (2) ekonomik büyümedeki artışların (azalışların) sadece uzun (kısa) dönemde ekolojik ayak izi üzerinde etkili olduğu; (3) ekonomik küreselleşmedeki azalışların ekolojik ayak üzerinde sadece uzun dönemde etkili olduğu belirlenmiştir. Bu sonuçlar doğrultusunda politika yapıcılara, çevreye olumlu etkileri olduğundan dolayı daha fazla doğrudan yabancı yatırımları Türkiye’ye çekebilecek ve ekonomik büyüme ile ekonomik küreselleşmenin artırılması süreçlerinde daha çevreci politikalar izlemeleri önerilmektedir.

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Is interest rate uncertainty a predictor of investment volatility? evidence from the wild bootstrap likelihood ratio approach

Cited by 8 publications

References 40 publications

The impact of interest rate uncertainty on renewable energy investments: Compared with conventional energy investments

The impact of interest rate uncertainty on renewable energy investments: Compared with conventional energy investments

Interest Rate Volatility and Economic Growth in Nigeria: New Insight from the Quantile Autoregressive Distributed Lag (QARDL) Model

Ki̇rli̇li̇k Hale Hi̇potezi̇: Türki̇ye'de Doğrudan Yabanci Yatirimlar, Ekonomi̇k Büyüme Ve Ekonomi̇k Küreselleşmeni̇n Çevreye Asi̇metri̇k Etki̇si̇ni̇n Doğrusal Olmayan Ardl Yaklaşimi İle Araştirilmasi

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