Debojyoti Das

The relationship between oil prices and US economy revisited

ABSTRACT The authors revisit the relationship between US economic growth and crude oil prices considering Industrial Production Index and West Texas Intermediate crude oil spot prices as respective proxies for a period spanning over January 1986 to June 2017. To capture the asymmetric and time-varying relationship, the authors employ maximum overlap discrete wavelet transform (MODWT)-based quantile regression (QR) analysis. Interestingly, MODWT-based QR analysis provides evidence of supply-driven link between crude oil prices and economic growth in the short run. However, in the medium to long run a demand-driven link is dominant. In addition, the QR results without MODWT also advocate a demand-driven link. Overall, the result of this study adds a new dimension to the literature on the relationship between crude oil prices and economic growth by focusing upon the time-frequency varying business cycle fluctuations.

A wavelet analysis for exploring the relationship between economic policy uncertainty and tourist footfalls in the USA

ABSTRACT We attempt to establish the relationship between Economic Policy Uncertainty (EPU) and international tourist footfalls in the USA. In the first stage, we investigate the influence of country-specific EPU and global EPU on tourist footfalls. Since, these two are overlapping in nature, in the second stage, we study the isolated influence of country-specific EPU on footfalls by eliminating the influence of global EPU and vice versa. We consider a study period spanning over January 1997 to April 2017. To capture the variations in the relationship at different time dimensions, we apply wavelet-based techniques. We observe the following: (a) the impact of policy uncertainty shock has a little immediate impact on tourist footfalls, (b) medium to long-run shocks persist due to occurrence of major undesirable economic events, and (c) the influence of domestic (country-specific) EPU is dominant in comparison to global EPU for the USA.

Has co-movement dynamics in emerging stock markets changed after global financial crisis? New evidence from wavelet analysis

ABSTRACT In this article, we revisit the issue of contagion, interdependence and changes in correlation structure after the Global Financial Crisis (GFC) of 2008 between developed and emerging markets in a time-frequency domain using a wavelet-based approach for the period spanning over 1 January 1999 to 8 November 2016. We report evidences of: (a) weaker contagion for Latin American emerging markets during GFC, (b) a strong contagion effect for emerging markets in Europe and the Middle East and (c) a fall in long-run co-movements after GFC, which means by investing in emerging markets, the diversification benefits can be derived in the long run. We report evidence of coexistence of contagion and permanent change in correlation structure.

Bilateral intra-industry trade flows and intellectual property rights protections: further evidence from the United Kingdom

ABSTRACT This paper investigates the relationship between the United Kingdoms (hereafter referred as UK) bilateral intra-industry trade (IIT) and foreign intellectual property rights (IPRs) protections. The empirical investigation is based on pooled UK data and benefits from the theoretical distinction between horizontal and vertical IIT. It also estimates a gravity equation for international trade using both fixed and random effects models. We then extend the analysis by employing the GMM system for dynamic panel models. The principal findings suggest that the UKs IIT is stimulated when the level of a trading partners IPRs and its imitative ability are considered jointly. However, when IPRs and imitation abilities are considered separately, their disparate effects are not an important factor in determining UK IIT flows.