lnu.sePublikationer
Ändra sökning
Länk till posten
Permanent länk

Direktlänk
BETA
Karlsson, Hyunjoo Kim
Alternativa namn
Publikationer (10 of 14) Visa alla publikationer
Karlsson, H. K., Månsson, K. & Sjölander, P. (2020). Unveiling the Time-dependent Dynamics between Oil Prices and Exchange Rates: A Wavelet-based Panel Analysis. Energy Journal, 41(6)
Öppna denna publikation i ny flik eller fönster >>Unveiling the Time-dependent Dynamics between Oil Prices and Exchange Rates: A Wavelet-based Panel Analysis
2020 (Engelska)Ingår i: Energy Journal, ISSN 0195-6574, E-ISSN 1944-9089, Vol. 41, nr 6Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

The objective of this paper is to re-examine the relationship between real oil prices and real effective exchange rates (REER) for major oil-exporting countries with floating exchange rates. We apply the wavelet-based principles of Gallegati et al. (2016) using monthly data for the period 1996 to 2015. In contrast to many previ-ous studies, our results support the theoretically expected positive nexus between the real oil prices and REER for our dataset. This (theoretically-expected) positive relationship is stronger at the larger time scales (that is, at the 4-8 and 8-16 month wavelet scales) compared to the smaller time scales (that is, at the 1-2 and 2-4 month wavelet scales). The findings of this study therefore add to the existing literature, since they disentangle the specific relationship between oil prices and exchange rates at different time scales, which has important policy implications.

Ort, förlag, år, upplaga, sidor
International Association for Energy Economics, 2020
Nyckelord
Oil prices, Commodity prices, Exchange rates, Time scales, Wavelet analysis
Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-92478 (URN)10.5547/01956574.41.6.hkar (DOI)
Tillgänglig från: 2020-03-02 Skapad: 2020-03-02 Senast uppdaterad: 2020-03-08
Karlsson, H. K. (2019). Investigation of the time-dependent dynamics between government revenue and expenditure in China: a wavelet approach. Journal of the Asia Pacific Economy
Öppna denna publikation i ny flik eller fönster >>Investigation of the time-dependent dynamics between government revenue and expenditure in China: a wavelet approach
2019 (Engelska)Ingår i: Journal of the Asia Pacific Economy, ISSN 1354-7860, E-ISSN 1469-9648Artikel i tidskrift (Refereegranskat) Epub ahead of print
Abstract [en]

Unlike previous studies on causal relationships between government revenue and expenditures in China, this study takes into consideration structural breaks in the data by performing wavelet decomposition prior to testing for Granger causality between the fiscal components. The use of wavelet decomposition is motivated by economic theories, which suggest allowing for different budgetary considerations at different time horizons, as well as by the existence of special properties in the data in the form of unit roots and structural breaks. The results from the Granger causality test when using the wavelet-decomposed quarterly data over the period 1980–2015 indicate that government revenue Granger-causes government expenditure (tax-and-spend hypothesis) in the wavelet scales of two to four quarters. The results also show that bidirectional causality (fiscal synchronisation) exists in the wavelet scale of eight to sixteen quarters. Understanding the causal relationships between revenue and expenditure at different time scales is important for formulating relevant policy measures in order to maintain fiscal sustainability in China.

Ort, förlag, år, upplaga, sidor
Taylor & Francis Group, 2019
Nyckelord
Government revenue, government expenditure, fiscal sustainability, Granger causality, wavelet analysis
Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-87090 (URN)10.1080/13547860.2019.1646573 (DOI)000480163000001 ()
Tillgänglig från: 2019-08-05 Skapad: 2019-08-05 Senast uppdaterad: 2020-03-12
Karlsson, H. K., Månsson, K. & Sjölander, P. (2018). Investigation of the nonlinear behaviour in real exchange rates in developing regions. Applied Economics Letters, 25(5), 335-339
Öppna denna publikation i ny flik eller fönster >>Investigation of the nonlinear behaviour in real exchange rates in developing regions
2018 (Engelska)Ingår i: Applied Economics Letters, ISSN 1350-4851, E-ISSN 1466-4291, Vol. 25, nr 5, s. 335-339Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

This article examines whether the purchasing power parity (PPP) theory holds or not for the economies in different developing regions located in Africa, Asia and Latin America. In order to investigate this issue, a nonlinear panel unit root test is used to determine if some or all of the real exchange rates in a panel follow a stationary exponential smooth transition autoregressive process. By applying the nonlinear panel unit root test, our results demonstrate an empirical support for the theory of PPP for the economies in developing regions.

Ort, förlag, år, upplaga, sidor
Taylor & Francis, 2018
Nyckelord
Purchasing power parity, ESTAR, Panel data, Developing regions
Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-62776 (URN)10.1080/13504851.2017.1321830 (DOI)000429626300010 ()2-s2.0-85018357773 (Scopus ID)
Tillgänglig från: 2017-05-02 Skapad: 2017-05-02 Senast uppdaterad: 2019-12-06Bibliografiskt granskad
Karlsson, H. K., Li, Y. & Shukur, G. (2018). The Causal Nexus between Oil Prices, Interest Rates, and Unemployment in Norway Using Wavelet Methods. Sustainability, 10(8), 1-15, Article ID 2792.
Öppna denna publikation i ny flik eller fönster >>The Causal Nexus between Oil Prices, Interest Rates, and Unemployment in Norway Using Wavelet Methods
2018 (Engelska)Ingår i: Sustainability, ISSN 2071-1050, E-ISSN 2071-1050, Vol. 10, nr 8, s. 1-15, artikel-id 2792Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

This paper applies wavelet multi-resolution analysis (MRA), combined with two types of causality tests, to investigate causal relationships between three variables: real oil price, real interest rate, and unemployment in Norway. Impulse response functions were also utilised to examine effects of innovation in one variable on the other variables. We found that causal relations between the variables tend to be stronger as the wavelet time scale increases; specifically, there were no causal relationships between the variables at the lowest time scales of one to three months. A causal relationship between unemployment rate and interest rate was observed during the period of two quarters to two years, during which time a feedback mechanism was also detected between unemployment and interest rate. Causal relationships between oil price and both interest rate and unemployment were observed at the longest time scale of eight quarters. In conjunction with Granger causality analysis, impulse response functions showed that unemployment rates in Norway respond negatively to oil price shocks around two years after the shocks occur. As an oil exporting country, increases (or decreases) in oil prices reduce (or increase) unemployment in Norway under a time horizon of about two years; previous studies focused on oil importing economies have generally found the inverse to be true. Unlike most studies in this field, we decomposed the implicit aggregation for all time scales by applying MRA with a focus on the Norwegian economy. Thus, one main contribution of this paper is that we unveil and systematically distinguish the nature of the time-scale dependent relationship between real oil price, real interest rate, and unemployment using wavelet decomposition.

Ort, förlag, år, upplaga, sidor
MDPI, 2018
Nyckelord
Oil prices, Interest rates, Unemployment, Causal relationships, Wavelet analysis
Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-78053 (URN)10.3390/su10082792 (DOI)000446767700208 ()2-s2.0-85054931406 (Scopus ID)
Tillgänglig från: 2018-09-27 Skapad: 2018-09-27 Senast uppdaterad: 2020-01-24Bibliografiskt granskad
Karlsson, H. K., Karlsson, P. S., Månsson, K. & Sjölander, P. (2017). Wavelet quantile analysis of asymmetric pricing on the Swedish power market. Empirica, 44(2), 249-260
Öppna denna publikation i ny flik eller fönster >>Wavelet quantile analysis of asymmetric pricing on the Swedish power market
2017 (Engelska)Ingår i: Empirica, ISSN 0340-8744, E-ISSN 1573-6911, Vol. 44, nr 2, s. 249-260Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

In this article we investigate if the Swedish consumer prices for electricity are adjusted equally fast regardless of whether the NordPool power market prices are decreased or increased. Due to relatively moderate variations in the variables, we have applied quantile regression, since it is mainly the large changes (above the median) that essentially tend to have a considerable effect on the consumer prices. Moreover, in order to adjust for stochastic- and deterministic trends, autocorrelation, structural breaks as well as to measure APT effects in the short- and in the medium-run, we apply a wavelet decomposition approach. Our results show evidence that significantly positive asymmetric price transmission (APT) effects exist in this market. More specifically, in the short-run (based on the wavelet decomposition D1 for 1–2 months cycles), we find that that there is a higher propensity to rapidly and systematically increase the consumer prices subsequently to an increase in the NordPool market price, compared with the propensity to decrease their customers prices subsequently to a corresponding drop in the NordPool market prices. However, no significant APT effects were detected in the medium- or in the long-run (i.e. the asymmetric price transmission effects are observed only in the short-run). In summary, we could isolate significant APT effects in the short-run (1–2 months decomposition cycles), and for large changes in the dependent variable (percentiles = 0.9). Therefore, only large changes in the NordPool prices lead to feedback effects in the form of asymmetric price transmission effects. Our evidence supports the notion of firms’ downward stickiness of retail prices for maximizing profit, which are not expected to be found on a fully efficient market. Although our finding shows that the price inefficiency is short-lived, these large temporal inefficiencies are still costly for the consumers. It should be noted that blunt traditional powerless methods do not detect these APT effects, while our wavelet quantile methods are powerful and make a significant contribution in the literature by providing new empirical evidence.

Ort, förlag, år, upplaga, sidor
Springer, 2017
Nyckelord
APT, Electricity market, Wavelets, Quantile regression
Nationell ämneskategori
Sannolikhetsteori och statistik
Forskningsämne
Statistik
Identifikatorer
urn:nbn:se:lnu:diva-52144 (URN)10.1007/s10663-016-9318-6 (DOI)000399692300003 ()2-s2.0-85018476623 (Scopus ID)
Tillgänglig från: 2016-04-19 Skapad: 2016-04-19 Senast uppdaterad: 2019-08-29Bibliografiskt granskad
Hacker, R. S., Karlsson, H. K. & Månsson, K. (2014). An investigation of the causal relations between exchange rates and interest rate differentials using wavelets. International Review of Economics and Finance, 29, 321-329
Öppna denna publikation i ny flik eller fönster >>An investigation of the causal relations between exchange rates and interest rate differentials using wavelets
2014 (Engelska)Ingår i: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 29, s. 321-329Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

This paper uses wavelet analysis to investigate causality between the spot exchange rate and the nominal interest rate differential for seven country pairs, which includes Sweden. Impulse response functions are also utilized to examine the signs of how one of these variables affects the other over time. One key empirical finding from the causality tests is that there is strengthening evidence of the nominal interest rate differential Granger causing the exchange rate as the wavelet time scale increases. When considering impulse responses on how the interest rate differential affects the exchange rate, there appears to be some evidence of more negative relationships at the shorter time scales (i.e. an increase in the Swedish interest rate compared to that of another country is associated with a lower Swedish krona price of the other country's currency) and more positive relationships at the longer time scales.

Nyckelord
Exchange rate, Intererst rate differential, Granger causality, Wavelet analysis, Uncovered interest rate parity
Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-41666 (URN)10.1016/j.iref.2013.06.004 (DOI)
Tillgänglig från: 2015-04-02 Skapad: 2015-04-02 Senast uppdaterad: 2019-08-30Bibliografiskt granskad
Karlsson, H. K. & Hacker, R. S. (2013). Time-varying betas of sectoral returns to market returns and exchange rate movements. Applied Financial Economics, 23(14), 1155-1168
Öppna denna publikation i ny flik eller fönster >>Time-varying betas of sectoral returns to market returns and exchange rate movements
2013 (Engelska)Ingår i: Applied Financial Economics, ISSN 0960-3107, E-ISSN 1466-4305, Vol. 23, nr 14, s. 1155-1168Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

The time-varying behaviour of the market and exchange risk betas of the US sectoral returns are estimated using a random walk process in connection with the Kalman filter. The empirical findings, in general, show that the market risks tend to shrink over longer time horizons, and that during the dot-com bubble burst and during the subprime financial crisis they tended to rise. During these crises they rose most notably in those industries most related to the crisis. Regarding exchange risk, industry returns appear in this study to be positively related to dollar appreciation, but that relationship declines with longer time horizons, in some cases resulting ultimately in a negative relationship between the US dollar and the industry returns. This latter result is consistent with the idea that the effect of a US dollar appreciation on competitiveness of the US exports becomes stronger with the longer time horizons. During the subprime financial crisis, the relation between excess returns and the exchange rate tended to fall, as was notably the case for the Technology sector during the dot-com bubble burst.

Nyckelord
exchange rates risk, time-varying beta, Kalman filter, sectoral returns
Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-41670 (URN)10.1080/09603107.2013.797555 (DOI)
Tillgänglig från: 2015-04-02 Skapad: 2015-04-02 Senast uppdaterad: 2019-08-30Bibliografiskt granskad
Karlsson, H. K. (2012). Dynamics of macroeconomic and financial variables in different time horizons. (Doctoral dissertation). Jönköping: Jönköping International Business School, Jönköping University
Öppna denna publikation i ny flik eller fönster >>Dynamics of macroeconomic and financial variables in different time horizons
2012 (Engelska)Doktorsavhandling, sammanläggning (Övrigt vetenskapligt)
Abstract [en]

This dissertation consists of an introductory chapter and four papers dealing with financial issues of open economies, which can be in two broad categorizations: 1) exchange rate movements and 2) stock market interdependence. The first paper covers how the exchange rate changes affect the prices of internationally traded goods. With the variables (the price of exports in exporters’ currency and the exchange rate, both of which are in logarithmic form) being cointegrated, a model with both long- and short-run characteristics (the Error Correction Model, ECM) is formulated.

The second paper relates to the standard macroeconomic models of exchange rate determination. This paper investigates the relationship between the exchange rate and the domestic-foreign interest rate differential.

A relevant issue associated with the relationship between export prices and exchange rates for different industries is found in the third paper. The responsiveness of firms’ profitability to changes in exchange rates (i.e. exchange rate exposure) is tested using a factor model.

After the three papers noted above, the dissertation moves on to the final paper which explores the relationship between national stock markets (i.e. interdependence). The causal linkages of the U.S. stock market to each of six eastern Asian national stock markets (China, Hong Kong, Japan, Singapore, South Korea and Taiwan) as well as the causal linkages among those Asian equity markets are tested in a vector autoregression (VAR) model using wavelet-decomposed data.

Ort, förlag, år, upplaga, sidor
Jönköping: Jönköping International Business School, Jönköping University, 2012. s. 48
Serie
JIBS Dissertations Series, ISSN 1403-0470 ; 077
Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-78458 (URN)978-91-86345-29-7 (ISBN)
Disputation
2012-04-13, 10:00 (Engelska)
Opponent
Handledare
Tillgänglig från: 2018-10-25 Skapad: 2018-10-24 Senast uppdaterad: 2019-08-30Bibliografiskt granskad
Karlsson, H. K. (2012). Price linkages between the East Asia stock markets in different time horizons. In: Presented at the 3rd Linnaeus University Workshop in Stochastic Analysis and Applications. Växjö, Sweden, May 24-25, 2012: . Paper presented at 3rd Linnaeus University Workshop in Stochastic Analysis and Applications. Växjö, Sweden, May 24-25, 2012.
Öppna denna publikation i ny flik eller fönster >>Price linkages between the East Asia stock markets in different time horizons
2012 (Engelska)Ingår i: Presented at the 3rd Linnaeus University Workshop in Stochastic Analysis and Applications. Växjö, Sweden, May 24-25, 2012, 2012Konferensbidrag, Enbart muntlig presentation (Övrigt vetenskapligt)
Abstract [en]

This paper examines the causal relationship between the US and Asian equity markets as well as the causal relationship among the Asian equity market themselves (China, Hong Kong, Japan, Singapore, Korea, and Taiwan). The links between the national stock markets of these economies and the most influential stock market, that of the US, is extensively analyzed, especially in different sample periods including three crisis periods since the late 1990s (the Asian financial crisis, dot-com bubble burst, and the subprime financial crisis). This paper shows that the major equity markets in the East Asian region are closely integrated, thereby diminishing the potential for Asian portfolio diversification. The causal linkage of the US equity market to the Asian equity markets does not have notably different patterns depending on whether it is during a crisis period or not. This finding holds for the finest time scale of 1-2 days movements of the stock price indices. The influence of the US equity market is much less at larger time scales throughout all sub-sample periods. The leading role of the US equity market substantially weakens while the interdependence among the Asian equity markets is stronger at longer time scales of 8 to 16 days. A general finding is that there is evidence of a varying number of causal relationships among the equity markets in this study as well as changes in directions of causality in different time scales.

Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-78452 (URN)
Konferens
3rd Linnaeus University Workshop in Stochastic Analysis and Applications. Växjö, Sweden, May 24-25, 2012
Tillgänglig från: 2018-10-23 Skapad: 2018-10-23 Senast uppdaterad: 2019-09-09Bibliografiskt granskad
Hacker, R. S., Karlsson, H. K. & Månsson, K. (2012). The relationship between exchange rates and interest rate differentials : A wavelet approach. The World Economy, 35(9), 1162-1185
Öppna denna publikation i ny flik eller fönster >>The relationship between exchange rates and interest rate differentials : A wavelet approach
2012 (Engelska)Ingår i: The World Economy, ISSN 0378-5920, E-ISSN 1467-9701, Vol. 35, nr 9, s. 1162-1185Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

This paper uses wavelet analysis to investigate the relationship between the spot exchange rate and  interest rate differential for seven pairs of countries, with a small country, Sweden, included in each case. The key empirical results show that there tends to be a negative relationship between the spot exchange rate (domestic-currency price of foreign currency) and the nominal interest rate differential (approximately the domestic interest rate minus the foreign interest rate) at the shortest time scales, while a positive relationship is shown at the longest time scales. This indicates that among models of exchange rate determination using the asset approach, the sticky-price models are supported in the short-run and flexible-price models in the long-run.

Nationell ämneskategori
Nationalekonomi
Forskningsämne
Ekonomi, Nationalekonomi
Identifikatorer
urn:nbn:se:lnu:diva-41671 (URN)10.1111/j.1467-9701.2012.01466.x (DOI)
Tillgänglig från: 2015-04-02 Skapad: 2015-04-02 Senast uppdaterad: 2019-08-30Bibliografiskt granskad
Organisationer

Sök vidare i DiVA

Visa alla publikationer