• Cyclicality of commodity markets with respect to us economic policy uncertainty based on granger causality in quantiles

      Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq; University of Derby; King Abdulaziz University (Wiley, 2020-10-21)
      Given the importance of U.S. in global commodity markets, the goal is to explore whether US economic policy uncertainty impacts the price performance of certain commodities. The analysis uses the Granger causality in quantiles method that allows us to test whether there are different effects under different market conditions. The results document that economic uncertainty impacts the returns on the commodities considered, with the effects clustering around the tail of their conditional distribution. Robust evidence was obtained under alternative definitions of uncertainty.
    • The monetary policy transmission mechanism and the role of money market funds in the Eurozone

      Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq; University of Derby; King Abdulaziz University (Scimago Journal, 2020-05-06)
      This paper investigates the pass-through mechanism of monetary policy through money market funds and bank loan rates under conventional and unconventional monetary policy. Using the Autoregressive Distributed Lag method, spanning the period 2003-2018, the findings document that the pass-through of bank loan rates is weaker than that of MMF rates (0.642 vs 1.044, respectively), especially during the unconventional monetary policy period (0.637 vs 1.568, respectively). They highlight that in this period, banks earned less from traditional lending business, due to low or even negative rates, while taking increasingly large risks.
    • The role of macroeconomic and geopolitical news on gold returns and volatility

      Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq; University of Derby; King Abdulaziz University (Oviedo University Press, 2021-02-21)
      The goal of this paper is to explore the simultaneous role of macroeconomic and geopolitical news in gold returns and its associated volatility. The analysis uses sentiment scores for certain macroeconomic and geopolitical global news, along with a GARCH modelling approach. The findings document that both types of news substantially impact gold returns and their associated volatility, with geopolitical news having a stronger impact.
    • US partisan conflict uncertainty and oil prices

      Apergis, Nicholas; Hayat, Tasawar; Saeed, Tareq; University of Derby; King Abdulaziz, University, Saudi Arabia; Quaid-I-Azam University, Pakistan (Elsevier BV, 2021-01-13)
      This empirical study significantly contributes in building emerging literature by investigating the impact of US partisan conflict uncertainty on international oil prices. It models oil prices through non-linear Quantile Autoregressive Distributed Lag (QARDL) methods in order to consider potential (non-linear) asymmetric effects of partisan political uncertainty on oil prices. The empirical results clearly document the asymmetric (non-linear) impact of partisan conflict uncertainty on international oil prices, which has been in contrast to the linear case. The findings also expose that the transmission mechanism of partisan political uncertainty to oil prices is validated through the economic growth channel. The empirical findings contribute to existing research by assisting investors in the oil industry with risk identification, analysis, and mitigation. The results can assist in discovering the links between US political risk and oil markets, determining an important element of political risk factors facing investors who want to participate in the oil industry.