U.S. stocks in the presence of oil price risk: Large cap vs. small cap

This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is incorrect to make such generalization when considering oil risk/volatility spillovers from oil to U.S. stock, as evidence shows that oil price volatility impacts more on mid cap and small cap than large cap

MODELLING ROAD TRAFFIC CRASHES USING SPATIAL AUTOREGRESSIVE MODEL WITH ADDITIONAL ENDOGENOUS VARIABLE

Road traffic crashes have become a global issue of concern because of the number of deaths and injuries. The model of interest is a linear cross sectional Spatial Autoregressive (SAR) model with additional endogenous variables, exogenous variables and SAR disturbances. The focus is on RTC in Oyo state, Nigeria. The number of RTC in each LGA of the state is the dependent variable. A 33×33 weights matrix; travel density; land area and major road length of each LGA were used as exogenous variables and population was the IV. The objective is to determine the hotspots and examine whether the number of RTC cases in a given LGA is affected by the number of RTC cases of neighbouring LGAs and an instrumental variable. The hotspots include Oluyole, Ido, Akinyele, Egbeda, Atiba, Oyo East, and Ogbomosho South LGAs. The study concludes that the number of RTC in a given LGA is affected by the number of RTC in contiguous LGAs. The policy implication is that road safety and security measures must be administered simultaneously to LGAs with high concentration of RTC and their neighbours to achieve significant remedial effect

US stocks in the presence of oil price risk: Large cap vs. Small cap

This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is correct to make generalization about oil-U.S. stock relationship with large cap stocks when analysing returns spillovers, but the generalization is incorrect when considering stock caps returns volatility spillovers, particularly under falling and relatively stable oil prices

Modeling Exchange rate -interest rate differential nexus in BRICS: The role asymmetry and structural breaks

This paper validates, with a linear model, the theoretical construction that specifies negative relationship between interest rate differential and exchange rate in the BRICS countries. Further probe with a nonlinear model reveals that exchange rate responds asymmetrically to interest rate differential in the countries. In all, we show that accounting for asymmetry and structural breaks enhance the relationship

Economic Growth, Exchange Rate and Remittance Nexus: Evidence from Africa

This paper examined the nexus between economic growth and exchange rate, remittances, trade, and agricultural output based on data sourced from 1980 to 2018 for 10 selected African economies. We employed both the Dumitrescu and Hurlin time-domain Granger causality test and the Croux and Reusens frequency domain Granger causality test. Results from the time-domain test suggests that causality only exists between economic growth and both exchange rate and trade, with no significant relationship between economic growth and both remittances and agricultural output. When we employed frequency domain model in our analysis, the results suggested that there is a bi-directional temporary and permanent causality between economic growth and exchange rate, trade, agriculture, and remittances. Our results suggest the validity of both the J-Curve and Marshall–Lerner hypotheses in the studied economies. Our study offers some relevant policy implications