Research Articles (Economics)

Permanent URI for this collectionhttp://hdl.handle.net/2263/2391

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The US-China tension, global supply disruptions and the agricultural commodity markets : a dynamic multivariate panel data analysis
Salisu, Afees A.; Abdulhakeem, Abdulhameed (Emerald, 2026)
PURPOSE : The US–China trade friction represents a major geopolitical shock that disrupts global trade flows, supply chains, and commodity markets. This study aims to provide new evidence on how US–China trade tensions (UCT) influence the realized volatility of agricultural commodity prices, with a focus on both futures and spot markets, and to examine the differential responses of these markets to geopolitical and supply chain shocks. DESIGN/METHODOLOGY/APPROACH : Using a dynamic multivariate analysis with data spanning from April 1998 to February 2024, which encompasses multiple trade cycles, including the 2018–2019 US–China trade war and the post-pandemic recovery, we uncover how geopolitical tensions transmit to commodity markets via the global disruption channel. FINDINGS : Our findings show that the futures market tends to exhibit stronger and more persistent volatility in response to trade tensions than spot markets, reflecting the forward-looking nature of futures trading and the role of speculation in amplifying uncertainty. Moreover, our robustness analysis confirms that the volatility response is more pronounced for certain commodities directly exposed to the US-China trade nexus. In contrast, globally traded soft commodities exhibit more muted reactions. ORIGINALITY/VALUE : This study makes three key contributions. We (1) introduced the US-China trade tensions (UCT) as a novel source of geopolitical uncertainty in global agricultural commodity markets (2) employed the new indices of the US-China Tension Index and the Global Supply Chain Pressure Index (GSCPI) to capture multidimensional global risks (3) applied the dynamic multivariate panel framework to assess how UCT shocks propagate through commodity spot and futures markets, influencing volatility and price dynamics.
Climate risks and green stocks in Vietnam
Salisu, Afees A. (Emerald, 2026)
PURPOSE : Vietnam is among the countries most vulnerable to tropical cyclone risks, and its carbon-intensive production model influences its climate change trajectory. Nevertheless, various initiatives have been undertaken to tap into the country’s green economy potential, and I advance the related literature by exploring the connection between climate risks and green assets in Vietnam. DESIGN/METHODOLOGY/APPROACH : Firstly, by employing the predictive models, I examine the predictive power of climate risks for the returns of green assets in Vietnam between 2010 and 2023 using monthly data. Secondly, to address endogeneity and heteroscedasticity, I employ the feasible quasi-generalized least squares estimator, evaluating both in-sample and out-of-sample connections between climate risks and green assets in Vietnam. FINDINGS : My findings include the following: (1) Green stocks in Vietnam do effectively hedge against climate risk in recent samples that coincide with commitments to international climate agreements, suggesting the importance of data frames and the government’s commitment to modelling climatic outcomes. (2) Classification of assets based on the Vietnam Sustainability Index (VNSI) provides more theoretically compelling results, highlighting the need for robust measures of sustainability. (3) Controlling for key fundamentals, such as oil prices and exchange rate fluctuations, is essential to avoid model misspecification and potential overestimation of climate risk effects on green investment returns. (4) My findings show that incorporating climate risk into the predictive model for green asset returns significantly enhances forecast accuracy of the asset returns compared to benchmark models, such as the historical average and random walk, which overlook this risk factor. ORIGINALITY/VALUE : I provide two major contributions to the literature. (1) I investigate the predictive power of climate risks for the returns of green assets in Vietnam. (2) I conduct both the in-sample and out-of-sample predictability of the connections, as significant in-sample predictability outcomes do not necessarily translate into improved out-of-sample forecasts.
Forecasting growth-at-risk of the United States : housing price versus housing sentiment or attention
Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian (Springer, 2025-09-09)
We examine the predictive power of national housing market-related behavioral variables, along with their connectedness at the state level, in forecasting US aggregate economic activity (such as the Chicago Fed National Activity Index (CFNAI) and real Gross Domestic Product (GDP) growth), as opposed to solely relying on state-level housing price return connectedness. Our results reveal that while standard linear regression models show statistically insignificant differences in forecast accuracy between the connectedness of housing price returns and behavioral variables, quantile regression models, which capture growth-at-risk, demonstrate significant forecasting improvements. Specifically, state-level connectedness of housing sentiment enhances forecast accuracy of the CFNAI at lower quantiles of economic activity, indicative of downturns, whereas connectedness of housing attention is more effective at upper quantiles, corresponding to upturns. The results for GDP growth suggest that, while both sentiment and attention contribute to forecasting performance at lower quantiles, only attention improves forecasting performance at upper quantiles. In terms of statistical significance, the results for GDP growth, however, are less conclusive than those for the CFNAI. Taken together, these findings underscore the importance of incorporating regional heterogeneity and behavioral aspects in economic forecasting.
Energy market uncertainty and economic conditions at the global and US State levels
Salisu, Afees A.; Olaniran, Abeeb Olatunde (Springer, 2026-01)
This study evaluates the predictability of energy uncertainty in relation to economic activity across the global and the large open economy of the United States. Two distinct objectives guide the research: first, to explore the nexus between energy uncertainty and economic activity using various metrics, and second, to examine how well energy uncertainty enhances the forecast performance of economic activity across three different benchmark models, including a random walk with and without drift, and a historical average. The analysis incorporates two lag structures to capture additional dynamics, ensuring a comprehensive understanding of the relationship between energy uncertainty and economic activity. Results indicate that heightened energy uncertainty generally stifles economic activity, although this effect weakens over a longer lag structure. This finding is consistent for both in-sample and out-of-sample forecasts, and remains robust even when certain fundamentals are incorporated as controls, highlighting the strength of the research. These findings hold significant implications for both micro- and macroeconomic perspectives, underscoring the potential contribution of this research to the field of economics. The implications for policymakers are particularly noteworthy, as they provide valuable insights for decision-making in the energy sector.
The employment-effects of greening the South African economy
Njokwe, Getrude; Bohlmann, Jessika; Chitiga-Mabugu, Margaret; Omotoso, Kehinde Oluwaseun; Mushongera, Darlington (Taylor and Francis, 2025-07-03)
This study aims to develop a method for classifying occupations into green and non-green jobs and examines the impact of the green economy on employment. It focuses on patterns across industries and the characteristics of individuals employed as the country transitions to a green economy. The study utilises the local Organising Framework for Occupations (OFO) and the International Occupational Information Network (O*NET) to categorise jobs, applying parametric and non-parametric approaches to identify the determinants of green jobs. The proportion of green jobs in South Africa has been slowly increasing, constituting 13.8% of all jobs in 2024. These jobs are mainly found in utilities, mining, construction, and finance. They are primarily occupied by younger individuals with moderate education. Most positions are held by men, with white and black individuals as the main demographic groups, largely within the formal sector. These findings are important for policies promoting inclusive green economy growth.
Do investors in clean energy ETFs herd? The role of climate risks
Babalos, Vasilios; Sibande, Xolani; Bouri, Elie I.; Gupta, Rangan (Emerald, 2026-01)
PURPOSE : This study aims to investigate herding behaviour in US Clean Energy (CE) exchange-traded funds (ETFs) and examine the role of climate risks in influencing such behaviour over the period from May 1, 2016, to June 19, 2024. DESIGN/METHODOLOGY/APPROACH : We employ a baseline herding model and extend it to examine asymmetric effects across market conditions. The analysis incorporates time-varying herding measures and examines the impact of both transitional and physical climate risks on herding probability using regression techniques. FINDINGS : The baseline model reveals significant herding behaviour in CE ETFs. The extended model indicates that herding is present in both down and up markets, with a stronger effect in down markets, suggesting asymmetry. Herding is also found to be time-varying. Notably, high levels of transitional climate risk reduce the probability of herding in CE ETFs, whereas physical climate risk does not exert any significant impact on herding probability. RESEARCH LIMITATIONS/IMPLICATIONS : The study focuses specifically on US CE ETFs over a defined period, which may limit generalizability to other markets or asset classes. The findings provide insights into the behavioural dynamics of sustainable investment markets during periods of varying climate risk. PRACTICAL IMPLICATIONS : The results suggest that high levels of transitional climate risk encourage market efficiency in CE ETFs and promote climate hedging behaviour by investors. This has important implications for portfolio managers and policymakers in understanding market dynamics in sustainable finance. ORIGINALITY/VALUE : This study provides novel empirical evidence on the relationship between climate risks and herding behaviour in CE ETFs, contributing to the growing literature on behavioural finance in sustainable investment markets.
Forecasting the volatility of stock returns in the G7 countries over centuries : the role of climate risks
Bouri, Elie I.; Gupta, Rangan; Liphadzi, Asingamaanda; Pierdzioch, Christian (Springer, 2026-01)
We investigate whether changes in temperature anomalies, along with their second, third, and fourth statistical moments, can serve as indicators of physical climate risks and provide valuable insights for forecasting historical stock return volatility in Canada, France, Germany, Italy, Japan, the United Kingdom (UK), and the United States (US) the G7 countries. This analysis controls for factors such as leverage, skewness, and excess kurtosis in stock price fluctuations. Using extensive monthly data spanning from 1915 to 2024 for Canada and Italy, from 1898 to 2024 for France, from 1870 to 2024 for Germany, from 1914 to 2024 for Japan, from 1693 to 2024 for the UK, and from 1791 to 2024 for the US, our findings indicate that the moments of stock markets play a more significant role than climate risks in accurately forecasting stock return volatility. Further analysis confirms that the impacts of climate risks are already reflected in the statistical moments of stock returns. We discuss the implications of these findings for investment decisions and economic policy, suggesting that investors and policymakers in the G7 countries should focus more on statistical moments rather than physical climate risks when producing forecasts of stock market volatility for their decision-making processes.
Tailored paths towards gender equality : insights from South Africa and Australia
Inglesi-Lotz, Roula; Bohlmann, Jessika; Oosthuizen, Anna Maria; Chitiga-Mabugu, Margaret; Bohlmann, Heinrich; Njokwe, Getrude; Cabalu, Helen; Inchauspe, Julian; Suenaga, Hiroaki; Truong, N.T. Khuong (Wiley, 2025-12)
This study examines how context-specific gender equality policies address disparities by comparing South Africa's equity-based and Australia's equality-oriented approaches. Through a comparative lens, it analyses the effectiveness of tailored affirmative action policies, including South Africa's Employment Equity Act and Australia's Workplace Gender Equality Act, in addressing gender disparities. While South Africa emphasises redressing past imbalances and promoting equity for historically disadvantaged groups, Australia focuses on advancing workplace diversity and equitable pay. The analysis explores critical metrics such as the Global Gender Gap Index, employment-to-population ratios, and the Gender Inequality Index to highlight differences in progress and challenges each country faces. Findings reveal that although both countries prioritise gender equality, their approaches reflect distinct sociopolitical and economic priorities. South Africa's policies are deeply rooted in transformative justice and constitutional mandates, whereas Australia's initiatives integrate gender analysis into fiscal and corporate strategies. Despite progress, significant gaps persist, particularly in economic participation and societal gender biases. The study underscores the importance of evidence-based and context-specific policies in achieving Sustainable Development Goal 5. It advocates for exchanging insights and adapting strategies to local contexts, emphasising the limitations of universal solutions in addressing complex gender inequalities. By comparing these two cases, this research contributes to a broader understanding of how countries can advance gender equality while navigating unique historical and socio-economic landscapes.
Abortion legalization, teen sexual and reproductive health behaviors, and women’s empowerment in South Africa
Njokwe, Getrude; Kijima, Yoko (BioMed Central, 2025-08-20)
Restrictive abortion laws in many African nations are associated with risks such as unsafe procedures and teenage motherhood. This study examines how abortion legalization influences sexual and reproductive health and women’s empowerment in South Africa, using a difference-in-differences design. Analyzing variations in birth cohorts and access to health care facilities with abortion services across provinces, the study finds no direct causal impact of the abortion policy on teenage motherhood, fertility rates, early sexual debut, high school completion, or college attendance, though negative associations with teenage motherhood and fertility rates and positive associations with early sexual debut, high school completion, and college attendance, were observed. The study suggests that limited access to health care facilities with abortion services and cultural taboos contribute to underreporting of behaviors. Given these findings, we recommend prioritizing access to contraception and creating supportive environments for adolescent girls living in vulnerable situations, including improved access to health care facilities that offer abortion services.
Role of inflation and exchange rates in shaping the country's food security landscape : Nigeria's food price puzzle
Aye, Goodness C.; Edoja, Prosper E.; Enwa, Sarah; Gupta, Rangan; Eshoforen, Emmanuel (Clute Institute, 2025-01)
This study investigates the intricate roles of inflation and exchange rates in shaping Nigeria's food security landscape, particularly focusing on food price volatility and its economic implications. Utilizing time series data from 2000 to 2023, the research employs econometric techniques such as the Johansen co-integration test, VAR model, and GARCH methodology to explore long-and short-term relationships among inflation, exchange rates, and the prices of key food commodities, including maize, rice, cassava, and sorghum. Findings reveal significant long-term co-integrating relationships, highlighting the influence of exchange rate fluctuations on food price volatility, with varied impacts across different commodities. While inflation also affects prices, its short-term impact appears inconsistent. The study further identifies volatility clustering in food prices, driven by past shocks, though the persistence of volatility is limited. Granger cau-sality tests underscore directional influences, with inflation rates and some food price volatilities exhibiting predictive power over exchange rate fluctuations. These insights underscore the need for robust monetary and fiscal policies to stabilize exchange rates and mitigate the adverse effects of inflation, ensuring a more secure and sustainable food system in Nigeria.
The bank lending channel of monetary policy transmission in South Africa
Pirozhkova, Ekaterina; Viegi, Nicola (Elsevier, 2025-12)
This paper studies the bank lending channel of monetary policy in South Africa. We measure credit supply with homeloan data from banks and nonbanks and we use monetary shocks via high-frequency asset price reactions to policy announcements in a proxy-SVAR model. We find that the bank lending channel is operative, as banks reduce the supply of homeloans after monetary tightening, negatively impacting the housing market. In addition, we show that the deposit channel underpins the bank lending channel’s effectiveness. After a monetary tightening, banks widen the deposits spread and the volume of deposits shrinks, as expected. Since retail deposits are vital stable funding for banks, this mechanism drives the lending channel.
Independence of central banks in nondemocratic regimes : implications for price stability
Olaniran, Abeeb Olatunde; Ndako, Umar B. (Bulletin of Monetary Economics and Banking, 2025-10-08)
This study examines the impact of central bank independence on inflation in nondemocratic regimes, with a specific focus on the differences between Islamic and nonIslamic groups. It utilizes nonstationary heterogeneous panels to estimate both the longrun and short-run responses of inflation to central bank independence. Additionally, it employs a panel smooth transition regression model to identify any potential threshold effects in this relationship. Our findings reveal an inverse relationship between central bank independence and inflation rates for both groups in the long run. Our result suggests that non-Islamic authoritarian countries may struggle more than Islamic ones to maintain price stability through interest rate channels, which could explain their increasing adoption of a zero interest rate policy. Furthermore, we find evidence of threshold effects that, if overlooked, could result in biased conclusions.
Causal links between public debt and inflation in sub-Saharan African countries
Aimola, Akingbade U.; Monkam, Nara F. (Elsevier, 2025-11-25)
This study aims to investigate and compare both symmetric and asymmetric causal relationships between public debt and inflation across a panel of 14 sub-Saharan African countries over the period 1990 to 2021. It also examines trends in Country Policy and Institutional Assessment (CPIA) scores, particularly in the domains of debt policy and the efficiency of revenue mobilization. The analysis employs Konya's (2006) symmetric bootstrap panel causality test and an asymmetric approach developed by Yılancı and Aydın (2017), which builds on Granger and Yoon (2002) and Konya's methodology. The results reveal notable nonlinearity and considerable cross-country variation. Under the symmetric specification, causality from public debt to inflation is found in only four countries. However, when asymmetry is incorporated, this number increases to twelve. Similarly, while causality from inflation to debt is observed in four countries using the symmetric model, the asymmetric framework reveals evidence in eleven countries. These findings contribute to literature by offering a comparative perspective on the debt-inflation nexus. Moreover, the results indicate the presence of cross-sectional dependence across the panel and confirm country-specific heterogeneity. The analysis of CPIA indicators also points to varied levels of institutional capacity in public debt management and revenue mobilization across the region. Notably, Kenya's top performance in revenue mobilisation suggests that robust institutional frameworks can enhance the predictive relationship between increase public debt levels and inflation. The study's findings carry significant implications for fiscal and monetary policy in sub-Saharan Africa.
Conventional and unconventional monetary policy rate uncertainty and stock market volatility : a forecasting perspective
Liu, Ruipeng; Segnon, Mawuli; Gupta, Rangan; Bouri, Elie (Walter de Gruyter, 2025-09)
Theory suggests the existence of a bi-directional relationship between stock market volatility and monetary policy rate uncertainty. In light of this, we forecast volatilities of equity markets and shadow short rates (SSR) – a common metric of both conventional and unconventional monetary policy decisions, by applying a bivariate Markov-switching multifractal (MSM) model. Using daily data of eight advanced economies (Australia, Canada, Euro area, Japan, New Zealand, Switzerland, the UK, and the US) over the period of January 1995 to February 2025, we find that the bivariate MSM model outperforms, in a statistically significant manner, not only the benchmark historical volatility and the univariate MSM models, but also the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) framework, particularly at longer forecast horizons. Our findings are robust to different out-of-sample periods, and superiority of the bivariate MSM is also confirmed relative to the corresponding Generalized Autoregressive Score (GAS) model. This finding confirms the bi-directional relationship between stock market volatility and uncertainty surrounding conventional and unconventional monetary policies, which in turn has important implications for academics, investors and policymakers.
Do climate risks predict US housing returns and volatility? Evidence from a quantiles-based approach
Bouri, Elie; Gupta, Rangan; Marfatia, Hardik A.; Nel, Jacobus (World Scientific Publishing, 2025-03)
This paper analyzes the ability of textual-analysis-based daily proxies of physical (natural disasters and global warming) and transition (US climate policy and international summits) climate risks to predict daily movements in the US housing market in the entire conditional distribution of housing returns and volatility. Using data for the period 2 August 2007 to 29 November 2019, a nonparametric causality-in-quantiles test is used, accounting for nonlinearity and structural breaks between housing returns and climate risk factors. The Granger causality analysis shows that climate risk factors (and the associated uncertainty) predict housing returns and volatility across the entire conditional distribution. These results are robust to alternative daily data of aggregate housing prices for the US and 10 major metropolitan statistical areas. Insights from our findings are beneficial for the decision-making of investors, policymakers and the academic research community.
The tails of gravity : using expectiles to quantify the trade-margins effects of economic integration agreements
Bergstrand, Jeffrey H.; Clance, Matthew W.; Silva, J.M.C. Santos (Elsevier, 2025-09)
Although there is evidence suggesting that the effects of trade liberalizations likely vary across the distribution of trade flows, trade economists have focused almost entirely on conditional mean estimates of their trade elasticities. We propose the novel use of Poisson-based expectile regressions to estimate the heterogeneous effects of trade liberalizations across the entire conditional distribution. Like standard Poisson regression, this method does not need the dependent variable to be logged, accommodates a mass of observations at zero, and is easy to implement, allowing the estimation of gravity equations with the standard three-way fixed effects specification. Using the proposed estimator, we find systematic evidence that trade liberalizations have larger effects at the lower tail of the conditional distribution. We then use the proposed method to investigate the causes of this heterogeneity, and our results suggest that the success of trade liberalizations strongly depends on potential for expansions along the extensive margin.
Fiscal autonomy and the path to sustainable local economic development : a multilevel municipal analysis in South Africa
Monkam, Nara F.; Saba, Charles Shaaba (Wiley, 2025-10)
Despite fiscal reforms aimed at achieving Sustainable Development Goal Target 17.1—strengthening domestic resource mobilization for development—the impact of fiscal autonomy on local economic development (LED) in South Africa remains underexplored. Therefore, this study examines the impact of fiscal autonomy across 248 municipalities from 2009 to 2023, employing a range of advanced econometric methods. The results highlight a complex relationship: System Generalized Method of Moments analysis shows fiscal autonomy negatively affects LED in metropolitan municipalities (Category A) but has positive effects in the full sample, as well as in district (Category C) and local municipalities (Category B). The methods of moments quantile bootstrap regression shows that fiscal autonomy promotes LED across all quantiles for the full sample and in Category B. However, Category A exhibits a negative impact, whereas Category B shows an insignificant negative effect across all quantiles. These findings emphasize the need for differentiated policies. Metropolitan municipalities require targeted governance and fiscal reforms to mitigate negative outcomes while expanding fiscal autonomy for local and district municipalities could significantly enhance LED. This research offers practical insights for tailored fiscal strategies, promoting sustainable economic growth across South Africa's varied municipal landscapes.
Political “color” and the impact of climate risks on output growth : evidence from a panel of US states
Sheng, Xin; Gupta, Rangan; Cepni, Oguzhan; Motsuenyane, Masego (Elsevier, 2025-12)
In this paper, we show that the effect of climate risks on economic growth in a panel of 48 contiguous states of the US is contingent on the party affiliation of the local politicians, as captured by a Democratic-Republican Index (DRI). Specifically, our results, based on a regime-dependent local projections model, indicate that extreme weather-related shocks tend to negatively impact output growth more severely, especially in the medium- to long-run, in the Republican-leaning states with low-DRI values compared to those characterized by high-DRIs over the annual period 1967 - 2023. In addition, when we incorporate the information on states that have undertaken explicit targets for reduction of greenhouse gas emissions, following the Climate Change Action Plan implemented in 1993, we find that the significant long-horizon negative effect continues to hold only for the states with low-DRIs, i.e., those that are Republicans-oriented.
Threshold effects of macroeconomic uncertainty on monetary policy in G7 countries
Simaanya, Frederica; Aye, Goodness C.; Breitenbach, Marthinus Christoffel (African Finance and Economics Consult, 2025-06)
Macroeconomic uncertainty poses significant challenges for policymakers, especially in the context of designing effective monetary policy. Despite extensive research on the effects of macroeconomic uncertainty on economic outcomes, the specific thresholds at which macroeconomic uncertainty influences policy decisions remain underexplored. This study addresses this gap by examining the threshold effects of macroeconomic uncertainty proxied with economic policy uncertainty on monetary policy in G7 countries. Using quarterly data from 2000 to 2024 and employing the Structural Vector Autoregression (SVAR) model, we uncover a distinct uncertainty threshold that divides the sample into two regimes: low-macroeconomic uncertainty and high-macroeconomic uncertainty periods. Our results reveal that policymakers face a critical dilemma during high-macroeconomic uncertainty periods, where the effects of macroeconomic uncertainty shocks on key macroeconomic variables are significantly amplified. By identifying and quantifying these threshold effects, we contribute new insights into how macroeconomic uncertainty alters the effectiveness of monetary policy. This study further emphasizes the importance of adaptive and responsive policy frameworks, particularly when financial markets are unstable. These results are crucial for policymakers and researchers aiming to better understand and navigate the complex dynamics of macroeconomic uncertainty in monetary policy formulation.
The relationship between electric vehicle adoption and electricity consumption : evidence from Europe
Nel, Jacobus; Inglesi-Lotz, Roula (Elsevier, 2025-10)
The relationship between electric vehicle (EV) stock and electricity consumption is complex, with many factors influencing both variables. Furthermore, higher EV adoption can have adverse and unforeseen impacts on electrical networks and generation capacity requirements, necessitating the development of proactive policies and tariff decisions. To this end, this study investigates this relationship for 20 European countries from 2000 until 2022, utilising an Error Correction Model to estimate the impact of EV sales on electricity consumption. Results indicate positive and statistically significant results for certain sub-samples, which can have far-reaching implications for policymakers and generation and network capacity planners.

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