ORCID Profile
0000-0002-4635-5136
Current Organisations
University of Western Australia
,
Edith Cowan University
,
University of Western Australia Business School
,
Trường Đại Học Quy Nhơn (Quy Nhơn University)
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Publisher: Elsevier BV
Date: 11-2020
Publisher: MDPI AG
Date: 18-05-2019
DOI: 10.3390/SU11102843
Abstract: Energy commodity prices are inherently volatile, since they are determined by the volatile global demand and supply of fossil fuel extractions, which in the long-run will affect the observed climate patterns. Measuring the risk associated with energy price changes, therefore, ultimately provides us with an important tool to study the economic drivers of climate changes. This study examines the potential use of long-memory estimation methods in capturing such risk. In particular, we are interested in investigating the energy markets’ efficiency at the aggregated level, using a novel wavelet-based maximum likelihood estimator (waveMLE). We first compare the performance of various conventional estimators with this new method. Our simulated results show that waveMLE in general outperforms these previously well-established estimators. Additionally, we document that while energy returns realizations follow a white-noise and are generally independent, volatility processes exhibits a certain degree of long-range dependence.
Publisher: Geist Science, Iqra University
Date: 06-2017
DOI: 10.20547/JFER1702201
Publisher: Elsevier BV
Date: 10-2022
Publisher: MDPI AG
Date: 26-08-2020
DOI: 10.3390/RISKS8030089
Abstract: Long-range dependency of the volatility of exchange-rate time series plays a crucial role in the evaluation of exchange-rate risks, in particular for the commodity currencies. The Australian dollar is currently holding the fifth rank in the global top 10 most frequently traded currencies. The popularity of the Aussie dollar among currency traders belongs to the so-called three G’s—Geology, Geography and Government policy. The Australian economy is largely driven by commodities. The strength of the Australian dollar is counter-cyclical relative to other currencies and ties proximately to the geographical, commercial linkage with Asia and the commodity cycle. As such, we consider that the Australian dollar presents strong characteristics of the commodity currency. In this study, we provide an examination of the Australian dollar–US dollar rates. For the period from 18:05, 7th August 2019 to 9:25, 16th September 2019 with a total of 8481 observations, a wavelet-based approach that allows for modelling long-memory characteristics of this currency pair at different trading horizons is used in our analysis. Findings from our analysis indicate that long-range dependence in volatility is observed and it is persistent across horizons. However, this long-range dependence in volatility is most prominent at the horizon longer than daily. Policy implications have emerged based on the findings of this paper in relation to the important determinant of volatility dynamics, which can be incorporated in optimal trading strategies and policy implications.
Publisher: Elsevier BV
Date: 2017
DOI: 10.2139/SSRN.2968742
Publisher: Wiley
Date: 13-05-2022
DOI: 10.1111/TWEC.13276
Abstract: At the centre of the multi‐dimensional impact of the COVID‐19 pandemic, the shortage of medical supplies in countries with weaker healthcare systems significantly reduced the effectiveness of national and international public health interventions. Using a database of test‐kit trade flows and barriers, we estimate the price responsiveness of test‐kit demand in a global s le of countries. These estimates allow us to investigate the degree to which import tariffs by leading producers could result in a disruption in global supply chains, price increases, and welfare loss. Simulation experiments indicate that the combination of rising demand for test kits and import dependence magnifies the impact of trade barriers on consumer welfare and this impact is more profound for developing countries.
Publisher: Elsevier BV
Date: 2017
DOI: 10.2139/SSRN.3038601
Publisher: Elsevier BV
Date: 08-2021
Publisher: Emerald
Date: 11-2022
DOI: 10.1108/JABES-03-2022-0040
Abstract: This study examines the co-integration relationships between Association of Southeast Nations (ASEAN) stock indices as a way to assess the feasibility of policy initiatives to strengthen market integration in ASEAN and identify implications for portfolio investors. The authors employ threshold co-integration tests and a non-linear autoregressive distributed lag (NARDL) model to study the asymmetric dynamics of ASEAN equity markets. The study’s data cover the 2009–2022 period for seven member states: Cambodia, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam. The authors find evidence supporting co-integration relationships adjustment toward equilibrium is asymmetric in the short run and symmetric in the long run for these countries. While co-movement in ASEAN equity markets seems encouraging for initiatives seeking to foster financial integration in regional economies, the benefits for international portfolio ersification appear to be neutralized. The issue of stock market integration is important among policymakers, investors and academics. This study examines the level of stock market integration in ASEAN during the 2009–2022 period. For this purpose, advanced co-integration techniques are applied to different frequencies of data (daily, weekly and monthly) for comparison and completeness. The empirical analysis of this study is conducted using the Enders and Siklos (2001) co-integration and threshold adjustment procedure. This advanced co-integration technique is superior compared to other co-integration techniques by permitting asymmetry in the adjustment toward equilibrium.
Publisher: Geist Science, Iqra University
Date: 2018
DOI: 10.20547/JFER1803101
Publisher: Wiley
Date: 06-04-2023
Abstract: Recent research has documented the immediate negative impact of the COVID‐19 pandemic on household and business consumption, but there is still limited investigation into the medium‐term effects in specific consumption categories. This paper addresses this gap using a vector autoregression analysis of a system of aggregated consumer final demand across Australia. We highlight the importance of studying a demand system, as opposed to investigating independent consumption categories, due to the interactive evolution of consumption during the pandemic. Modelling the paths of various consumption categories in response to shocks from one another, we find that, despite the large and abrupt shocks to consumption during the first two quarters of 2020, most categories reverted to pre‐COVID levels when restrictions were lifted. Importantly, transportation had the largest and most persistent decline. Overall, shocks to sectors other than food, alcohol and education were outside the counterfactual forecast confidence intervals estimated based on pre‐COVID information.
Publisher: Wiley
Date: 02-04-2022
DOI: 10.1111/JOES.12504
Abstract: The value of a country's currency is often considered as the most important price in the economy. Exchange‐rate changes can significantly affect the profitability of exporters, the prices paid by consumers, as well as complicating the comparison of the economies of different countries. In this article, we illustrate the workings of the purchasing power parity (PPP) and demonstrate its practical use with cross‐country data covering the 50 years since the collapse of the Bretton Woods monetary system. We find that despite the prolonged gyrations of currency values and the multitude of trade barriers, the forces of arbitrage and resource re‐allocation are sufficient to overcome many of these distortions in the longer term. We also provide a broad survey of other prominent themes, both extant and emerging, in international economics that highlight the importance of the relationship between exchange rates and prices.
Publisher: Elsevier BV
Date: 2020
DOI: 10.2139/SSRN.3678447
Publisher: Wiley
Date: 09-08-2023
DOI: 10.1111/TWEC.13471
Abstract: Intangible capital is an important growth driver in the modern knowledge‐based and innovation‐driven economy. While there seems to be sufficient support for the role of intangible capital from developed economies, evidence from fast‐growing developing countries is much more limited. This paper explores the heterogeneous pattern and potential determinants of firm‐level intangible capital investment in Vietnam. We found that firm size, human capital, and information and communication technology increase the likelihood to invest in intangible capital. Additionally, an inverted‐U shaped relation is identified between market competition and intangible capital investment: Moderate levels of market competition induce firms in Vietnam to invest more in innovative activities, but the effect of stronger competition diminishes.
Publisher: Geist Science, Iqra University
Date: 03-2014
Publisher: Elsevier BV
Date: 09-2021
Publisher: Elsevier BV
Date: 2014
DOI: 10.2139/SSRN.2968753
Publisher: Elsevier BV
Date: 11-2022
Publisher: Wiley
Date: 05-07-2022
DOI: 10.1111/ROIW.12603
Abstract: This study proposes a new measure of the tradability of 120+ commodities based on price dispersion. This approach is used to construct price indices of tradables and non‐tradables for 150+ countries. The expenditure share of tradables is lower for richer countries, while the relative price of non‐tradables, which plays an important role in the determination of real exchange rates, is higher. Secondly, a common‐factor approach (based on principal components) is introduced to compress the large volume of information on prices and quantities consumed globally. We find that cross‐commodity correlations are higher for prices than for consumption. In addition, income is responsible for most of the variation in the first principal component of consumption but explains less of the first price component. This suggests consumption are driven primarily by domestic factors, while prices are determined by factors outside the country, along the lines of the Purchasing Power Parity theory.
Publisher: Springer Science and Business Media LLC
Date: 26-05-2022
Publisher: Elsevier BV
Date: 06-2019
Publisher: Geist Science, Iqra University
Date: 2016
DOI: 10.20547/JFER1601103
Publisher: Elsevier BV
Date: 2021
DOI: 10.2139/SSRN.3759091
Location: New Zealand
Location: New Zealand
No related grants have been discovered for Long Vo.