This study compares the dynamic spillover effects of gold and Bitcoin prices on the oil and stock market during the COVID-19 pandemic via time-varying parameter vector autoregression. Both ...time-varying and time-point results indicate that gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, unlike gold, Bitcoin's response is the opposite, rejecting the safe haven property. Further analysis shows that the safe-haven effects of gold on the stock market become stronger when the pandemic critically spreads.
•Investigating whether gold or Bitcoin can be considered as a safe haven during the COVID-19 pandemic.•Comparing the dynamic spillover effects of both gold and Bitcoin prices on oil and stock market shocks via TVP-VAR model.•Gold is a safe haven for oil and stock markets during the COVID-19 pandemic. However, Bitcoin is not.•The safe haven effects of gold on the stock market become stronger when the pandemic critically spreads.•Gold can be considered as a safe haven under the impact of most events, whereas Bitcoin is the opposite.
This article examines the nonlinear Granger causality and time-varying influence between crude oil prices and the US dollar (USD) exchange rate using the Hiemstra and Jones (HP) test, the Diks and ...Panchenko (DP) test and the time-varying parameter structural vector autoregression model. By applying the iterated cumulative sums of squares (ICSS) algorithm and the DCC-GARCH model, the effects of structural breaks in volatility of the two markets are also investigated. The empirical analysis indicates that, first, crude oil prices are the nonlinear Granger-cause of the USD exchange rate, but not vice versa. Second, the USD exchange rate exerts a stronger and more stable negative influence on crude oil prices in the short term, and the influence gradually weakens after 2012. Finally, ignoring structural breaks can increase the negative volatility correlation between the oil and USD exchange rate markets, which is particularly remarkable during the financial crisis.
•The empirical evidence proves the negative correlation between economic policy uncertainty and Chinese enterprise risk taking, which complements the relevant literature.•Financing constraints level ...in the enterprise is an essential factor adjusting the effect of EPU on corporate risk-taking.
Using the firm-level data from China over the time period 2007-2018, we investigate how EPU affect the corporate risk-taking. Our empirical results show that EPU can significantly reduce the corporate risk-taking. However, such significant evidence mainly exists on the non-state-owned firms. Moreover, financing constraints level in the enterprise is an essential factor adjusting the effect of EPU on corporate risk-taking, and we find that firms with financing constraints become risk aversion in facing with EPU shocks. The conclusion of this study provides theoretical basis and practical reference for enterprises to make better decisions on high-risk and high-return investment projects.
This study investigates the environmental footprint impacts of nuclear energy consumption in the presence of environmental technology and globalization of the ten largest ecological footprint ...countries from 1990 up to 2017. By considering a set of methods that can help solve the issue of cross-sectional dependence, we employ the Lagrange multiplier bootstrap cointegration method, Driscoll-Kraay standard errors for long-run estimation and feasible generalized least squares (FGLS) and panel-corrected standard errors (PCSE) for robustness. The finding revealed significant negative effects of nuclear energy consumption, environmental-related technology, population density and significant positive effects of globalization and economic growth on ecological footprint. These results are also robust by assessing the long-run impacts of predictors on carbon footprint and CO2 emissions as alternate ecological measures. These conclusions provide the profound significance of nuclear energy consumption for environmentally sustainable development in the top ten ecological footprint countries and serve as an important reference for ecological security for other countries globally.
In this paper, by taking full consideration of distributed delay, demographics and contact heterogeneity of the individuals, we present a detailed analytical study of the Susceptible-Infected-Removed ...(SIR) epidemic model on complex population networks. The basic reproduction number Formula: see text of the model is dominated by the topology of the underlying network, the properties of individuals which include birth rate, death rate, removed rate and infected rate, and continuously distributed time delay. By constructing suitable Lyapunov functional and employing Kirchhoff's matrix tree theorem, we investigate the globally asymptotical stability of the disease-free and endemic equilibrium points. Specifically, the system shows threshold behaviors: if Formula: see text, then the disease-free equilibrium is globally asymptotically stable, otherwise the endemic equilibrium is globally asymptotically stable. Furthermore, the obtained results show that SIR models with different types of delays have different converge time in the process of contagion: if Formula: see text, then the system with distributed time delay stabilizes fastest; while Formula: see text, the system with distributed time delay converges most slowly. The validness and effectiveness of these results are demonstrated through numerical simulations.
The regeneration of old residential areas in China is facing a complex trap involving all kinds of stakeholders. On the one hand, ambiguous property rights, huge infrastructure investment arrears, ...and strict urban planning regulations make it challenging for market forces and social capital to enter the field of regeneration of old residential areas. On the other hand, the lack of an effective urban governance and social mobilization system leads to governance failures in the regeneration process. To break out of the above traps theoretically and practically, we construct an analytical framework called the Urban Regeneration Engine Model, in which the city government and the urban regeneration operator act as dual engines of urban regeneration. This dual engine drives the increase in social capital in the regeneration process and promotes the participation of the government, enterprises, residents, social organizations, and financial institutions. The positive feedback that comes from social capital increase further diversifies the fundraising sources, reduces the governance cost, and promotes the sustainable development of the community. Taking the Jinsong Community, one of the earliest residential communities in Beijing after the reform and opening up, as an example, this paper shows that the Urban Regeneration Engine Model provides a feasible and effective model for the regeneration of old residential areas in China and other developing countries facing similar problems.
•We construct an analytical framework called Urban Regeneration Engine Model (UREM).•We provide a perspective on social capital as the driving force of sustainable regeneration for old residential areas.•The city government and the urban regeneration operator act as dual engines in the UREM.•UREM promotes the participation of various social stakeholders by increasing social capital in the community.
This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon ...futures prices. The GARCH-MIDAS model is applied for evaluating the impact of different EPU indexes on the price volatility of European Union Allowance (EUA) futures. We then compare the predictive power for the volatility of the two GARCH-MIDAS models based on different EPU indexes and six GARCH-type models. Our empirical results show that the GARCH-MIDAS models, which exhibit superior out-of-sample predictive ability, outperform GARCH-type models. The results also indicate that EPU has noticeable effect on the volatility of EUA futures. Specifically, the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU index. Robustness checks further confirm that the EPU index (especially the EPU index of the EU) has strong predictive power for EUA futures prices. Additionally, using the volatility forecasting methods that GARCH-MIDAS models combine with the EPU index, investors can construct their portfolios to realize economic returns.
This paper combines a Granger causality test and a VAR model to investigate the relationships among oil price shocks, global economic policy uncertainty (GEPU), and China's industrial economic ...growth. Based on monthly data from 2000 to 2017, we reveal that GEPU and world oil prices jointly Granger cause China's industrial economic growth; world oil prices have a positive effect on China's industrial economic growth, while GEPU has a negative effect. Further analyses investigate the asymmetry effect of oil prices and find that the negative component shows a more significant impact on China's industrial economic growth. The results are robust to different oil price and EPU proxies.
The error correction coefficients, known as the loading factors, are a key component for information share. To date, only constant loading factors have been considered for information share. This ...paper attempts to consider the autoregressive loading factors and their implications on the information share. Based on the minute-by-minute data from the S&P 500 cash and E-mini futures markets, this paper reveals that the loading factors are indeed autoregressive. Furthermore, we propose three AR(1) processes for the loading factors and assess their performance in information share compared to the constant loading factor model. Overall, this research provides supporting empirical evidence for using autoregressive loading factors for the information share measurement.
This paper investigates the evolution of the information transmission between Chinese and international crude oil markets from the perspective of return and volatility spillovers through a ...quantile-based framework. Using a causality-in-quantiles test, we find the asymmetric and nonlinear transmission featured by uni-directional spillovers from international WTI to China’s Shanghai oil markets in different conditions of the two markets, but not the other way around. Moreover, the degree of the information transmission is estimated using a Quantile-on-Quantile approach. Through this, marginal impacts of return and volatility of the WTI oil benchmark on that of the Shanghai oil market in a full-distributional environment are respectively gauged. We find that both return and volatility spillovers demonstrate an overall positive and heightening intensity with increases in the corresponding quantiles of the Shanghai oil market. The spillovers would be weakened by extreme events in the China domestic market, suggesting an important role of internal innovations in governing the Chinese and international oil market relationship. Overall, our results do not support the ‘one great pool’ hypothesis in the global oil market, and possess important implications. A battery of robustness checks reassures our findings.
•The relationship between China and global oil markets is analyzed via a quantile method.•The transmission is only from WTI to Shanghai oil markets across data distributions.•Transmission magnitudes are positive and rise with increasing Shanghai oil quantiles.•The transmission would be weakened due to extreme events in the domestic market.•Policy implications of the rejection of global oil market integration are discussed.
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