This study explores the relationship between economic growth and CO2 emissions in the so-called European Union 5 (EU-5) countries (Germany, France, Italy, Spain, and the United Kingdom) for the ...1985–2016 period. In doing so, we employ a carbon emission function to investigate the environmental Kuznets curve phenomenon, which describes a relationship between economic growth and environmental degradation. The empirical results confirm the existence of an N-shaped relationship between economic growth and CO2 emissions in the EU-5 countries. We incorporate additional variables such as renewable electricity consumption, trade openness, natural resource abundance, and energy innovation to augment the carbon emission function. Renewable electricity consumption, natural resources, and energy innovation improve environmental quality, while trade openness and the interaction between economic growth and renewable electricity consumption exert a positive impact on CO2 emissions. This study is novel in that it presents an interaction between economic growth and renewable electricity consumption. We also confirm the need for renewable energy regulations related to increasing renewable sources and promoting energy innovation to reduce the negative effects of energy and fossil energy resources on environmental degradation.
•The N-shaped EKC relationship exists between economic growth and CO2 emissions.•Renewable electricity consumption exerts negative effect on carbon emissions.•Natural resource availability improves environmental quality.•Economic growth/renewable electricity consumption relation increases CO2 emissions.
This paper investigates the linkage between natural resources and financial development by considering oil prices, economic growth and economic globalization as additional determinants in finance ...demand function for case of Pakistan over the period of 1972–2017. In doing so, we have applied long run covariability developed by Muller and Watson (2018) and robustness of empirical results is tested by applying cross-quantilogram introduced by Han et al. (2016). The empirical evidence reveals that natural resource abundance is positively correlated with financial development i.e. natural resources are blessing for financial development. Oil prices have positive effect on financial development. Economic growth has positive and significant impact on financial development. Contrarily, economic globalization hinders financial development. The empirical evidence indicates new insights for policy makers to use natural resources as economic tool to increases financial development for long run.
•The role of natural resources in finance-growth nexus is analyzed.•Annual data for Pakistan over the 1972–2017 period are used.•Natural resources are blessing for financial development.•Oil prices and economic growth have positive effect on financial development.•Economic globalization hinders financial development.
We assess whether the long-run volatilities of Bitcoin, global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical results provide evidence supporting this ...hypothesis, except in the case of bonds. For Bitcoin investors, the results imply the ability to use information about the state of global economic uncertainty to enhance the predictions of Bitcoin volatility. We further examine whether the correlation between Bitcoin and global equities, commodities, and bonds are affected by global economic policy uncertainty. Empirical results reveal that global economic policy uncertainty has a negative significant impact on the Bitcoin-bonds correlation and a positive impact on both Bitcoin-equities and Bitcoin-commodities correlations, suggesting the possibility of Bitcoin acting as a hedge under specific economic uncertainty conditions. Interestingly, the hedging effectiveness of Bitcoin for both global equities and global bonds enhances slightly after considering the level of global economic policy uncertainty. Such a weak effect of the state of global economic uncertainty on the hedging ability of Bitcoin implies that investors cannot substantially enhance the hedging performance of Bitcoin under different economic uncertainty conditions.
•The state of global EPU enhances the prediction of Bitcoin volatility.•Global EPU negatively impacts Bitcoin-bonds correlation.•Global EPU positively impacts Bitcoin-equities and Bitcoin-commodities correlations.•Bitcoin is a hedge under specific economic uncertainty conditions.•Hedging effectiveness enhances slightly if the level of global EPU is considered.
We examine whether Bitcoin can hedge global uncertainty, measured by the first principal component of the VIXs of 14 developed and developing equity markets. After decomposing Bitcoin returns into ...various frequencies, i.e., investment horizons, and given evidence of heavy-tails, we employ quantile regression. We reveal that Bitcoin does act as a hedge against uncertainty: it reacts positively to uncertainty at both higher quantiles and shorter frequency movements of Bitcoin returns. Further, we use quantile-on-quantile regression and identify that hedging is observed at shorter investment horizons, and at both lower and upper ends of Bitcoin returns and global uncertainty.
We study the relationship between Bitcoin and commodities by assessing the ability of Bitcoin to act as a diversifier, hedge, or safe haven against daily movements in commodities in general, and ...energy commodities in particular. We focus on energy commodities because energy, in the form of electricity, is an essential input in the Bitcoin production. For the entire period, results show that Bitcoin is a strong hedge and a safe-haven against movements in both commodity indices. We further examine whether that ability is also present for non-energy commodities and our analysis show insignificant results when energy commodities are excluded from the general commodity index. We also account for the December 2013 Bitcoin price crash and our results reveal that Bitcoin hedge and safe-haven properties against commodities and energy commodities are only present in the pre-crash period, whereas in the post-crash period Bitcoin is no more than a diversifier. In addition to uncovering the time-varying role of Bitcoin, we highlight the dissimilarity in the dynamic correlations between the extreme downward and extreme upward movements.
•Study Bitcoin, gold, and commodities as safe havens for various stock indices.•Apply wavelet coherency approach and assess diversification with wavelet VaR.•Bitcoin/gold/commodities and stocks are ...weakly dependent at various time scales.•Benefits of diversification vary in the time-frequency space.•Bitcoin is the least dependent and exhibits a superiority over gold and commodities.
In this study, we compare the safe-haven properties of Bitcoin, gold, and the commodity index against world, developed, emerging, USA, and Chinese stock market indices for the period 20 July 2010–22 February 2018. We apply the wavelet coherency approach and show that the overall dependence between Bitcoin/gold/commodities and the stock markets is not very strong at various time scales, with Bitcoin being the least dependent. We study the diversification potential at the tail of the return distribution through wavelet value-at-risk (VaR) and reveal that the degree of co-movement between gold and stock returns affects the portfolio’s VaR level. Specifically, the benefits of diversification vary in the time-frequency space, with Bitcoin exhibiting a superiority over both gold and commodities. Our findings are useful for investors and financial advisors searching for the best asset among Bitcoin, gold, and commodities to hedge extreme negative movements in stock market indices, while accounting for the heterogeneity in the horizons of investors.
We revisit the issue of informational efficiency of Bitcoin using a battery of computationally efficient long-range dependence estimators for a period spanning over July 18, 2010 to June 16, 2017. We ...report that the market is informational efficient as consistent to recent findings of Urquhart (2016), Nadarajah and Chu (2017) and Bariviera (2017).
•We revisit the issue of informational efficiency of Bitcoin.•We use a battery of robust long-range dependence estimators.•We establish efficiency of Bitcoin prices.•Inefficiency exists during April–August, 2013 and August–November, 2016.
•We study interactions between oil prices, exchange rates and stock markets.•We consider the effects of economic policy uncertainty (EUP).•We use a VAR and an MS-VAR models.•We show non-linear ...interrelations between currency, oil and stock markets.
We contribute to the ongoing literature on the interactions between oil prices, exchange rates and stock markets by considering the effects of economic policy uncertainty (EUP). Based on a VAR and a multivariate Markov switching vector autoregressive (MS-VAR) models, we show (i) significant interrelations between currency, oil and stock markets; (ii) relationships between the variables are rather non-linear; (iii) links between the variables change from one regime to the next, but they are stronger during volatile periods; and (iv) oil plays an active role in the transmission of price shocks to both the exchange rate and stock markets.
We contribute to the growing literature on information flow among US equities, strategic commodities (oil and gold) and Brazil, Russia, India, China and South Africa equities. Unlike prior ...literature, however, we apply a graph theory approach that incorporates a dynamic conditional correlation model to disclose the dynamics of information integration and investigate the impact of political, war, macroeconomic and financial events on the changes in information flow among implied volatility indices. Our findings indicate that the integration structure of an information transmission network is unstable and changes over time. The impact patterns of events are dissimilar—some events have an impact on the local market only, whereas others have a global impact. The key point is that the impact of events on the integration structure among market volatilities is limited, although events can affect the degree of co-movement among markets. Our findings can provide important implications for dynamic global portfolios.
•We study information flow among US equities, strategic commodities (oil and gold) and BRICS equities.•We apply a graph theory approach that incorporates a dynamic conditional correlation model.•We investigate the impact of various events on the changes in information flow.•The integration structure of an information transmission network is unstable and changes over time.•The impact patterns of events are dissimilar.
•We study the impact of economic policy uncertainty on stock markets in the US over 1900–2014.•We show that an increase in policy uncertainty reduces significantly stock returns.•We show that this ...effect is stronger and persistent during extreme volatility periods.
We contribute to the literature by studying the impact of economic policy uncertainty on stock markets in the United States over the period 1900–2014. We show that an increase in policy uncertainty reduces significantly stock returns and that this effect is stronger and persistent during extreme volatility periods.
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