Bo Sjö

Business Cycle (De)Synchronization in the Aftermath of the Global Financial Crisis: Implications for the Euro Area

Abstract The introduction of Euro currency was a game-changing event intended to induce convergence of Eurozone business cycles on the basis of greater monetary and fiscal integration. The benefit of participating into a common currency area exceeds the cost of losing autonomy in national monetary policy only in case of cycle co-movement. However, synchronization was put back mainly due to country-specific differences and asymmetries in terms of trade and fiscal policies that became profound at the outset of the global financial crisis. As opposed to previous studies that are mostly based on linear correlation or causality modeling, we utilize the cross-wavelet coherence measure to detect and identify the scale-dependent time-varying (de)synchronization effects amongst Eurozone and the broad Euro area business cycles before and after the financial crisis. Our results suggest that the enforcement of an active monetary policy by the ECB during crisis periods could provide an effective stabilization instrument for the entire Euro area. However, as dynamic patterns in the lead-lag relationships of the European economies are revealed, (de)synchronization varies across different frequency bands and time horizons.

Panel cointegration of Chinese A and B shares

We study information flows in Chinas stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors’ A shares over foreign investors’ B shares, as well as cointegration between the A- and B-share prices on the Shanghai and Shenzhen stock exchanges. We find that the A-share premia are nonstationary, and that the A- and B-share prices are not cointegrated up till January 2001. After February 2001, when domestic investors were allowed to trade B shares, the A-share premia become stationary and the A- and B-share prices cointegrated. One interesting result from the panel data analysis is that most firms’ A and B shares are cointegrated, but not all firms. Cointegration is more likely for firms with a small A-share premium, low ratio of nontradeable shares, high growth rate and large B-share market capitalization relative to the A-share market capitalization. Our findings suggest that the relaxation of the investment restrictions decreased the segmentation between the A- and B-share markets in China.

Remittances, Financial Development and Economic Growth in Bangladesh:

In Bangladesh, remittances from migrant workers are an important component of national income and a source for financing consumption and investment. This article investigates the relationship between remittances, financial sector development and economic growth in Bangladesh over the period of 1976–2011. In the long run, the inflow of remittances and the expansion of the financial sector drive the growth in GDP, whereas in the short run, remittances act as a shock absorber to income changes.

The role of trade openness and investment in examining the energy-growth-pollution nexus: Empirical evidence for China and India

ABSTRACT Most of the existing literature dealing with the relationship between carbon emissions, energy consumption and economic growth either suffers from ignoring relevant variables such as trade openness or investment, or suffers from using econometric methods that are unable to distinguish between short- and long-term causality and are not robust to the degree of integration of time series used for the analysis. This article suggests using the autoregressive distributed lag approach along with additional explanatory variables such as measures of trade and investment to shed a new light on the link between emissions, energy consumption and income in the two largest and energy-intensive developing economies: China and India. Our results, over the 1971–2009 period, provide evidence that investment plays a major role in shaping the relationship between carbon emissions, energy consumption and income in China while this is not the case in India. Furthermore, trade openness is found to play a key function in the short term in China but does not contribute to the emissions-energy-growth scenario in India.

Risk-taking, Ownership and Excess Reserves in the Ghanaian Banking System

This study looks at the effects of ownership structure and the risk-taking behaviour of banks in Ghana. Using data from 21 banks during 2000–2010, the study employs random effects panel data regressions. The results show that banks prefer to hold high excess reserves instead of lending to borrowers when they perceive the markets to be risky. Locally owned banks tend to be more efficient in managing their risk than foreign-owned banks, while closed corporations tend to perform better in managing risk than locally owned banks. JEL Classification: G21, G31, G28, O16

Market Efficiency and Price Discovery in Cocoa Markets

ABSTRACT This paper tests the efficiency and price discovery mechanism in the cocoa cash and futures markets over the period March 1981–August 2009. The results indicate that the price discovery is done in the cash market and spreads to the futures markets and that the futures price can be seen as an unbiased predictor of future cash prices. There is no sign of a risk premium in the futures price. Since the cash behaves like a random walk we cannot reject market efficiency.