Journal Articles
Permanent URI for this collectionhttp://10.0.100.92:4000/handle/123456789/21
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Item Time-varying causality and correlations between spot and futures prices of natural gas, crude oil, heating oil, and gasoline(Resources Policy, 2024-06) Mensi, Walid; Brahim, Mariem; Hammoudeh, Shawkat; Tiwari, Aviral Kumar; Kang, Sang HoonThis paper examines the time-varying Granger causality between spot and futures prices of petroleum (oil, gasoline, and heating oil) and natural gas markets. The methodology involves computing time-point grey correlations, performing time-varying causality tests, and estimating dynamic equicorrelations between pairs of these markets. The estimated results show that the futures and spot prices of those petroleum and natural gas are highly correlated. The relationship dynamics of two variables in the pairs intensified during extreme economic and political events as well as during COVID-19 spread and the Russia-Ukraine conflict. Among all the energy commodities, heating oil and crude oil (natural gas) present the highest (lowest) integrated grey correlations. In addition, the time-varying Granger causality test results show evidence evolving bidirectional information spillovers between the futures and spot prices of natural gas and gasoline. Moreover, the dynamic equicorrelation estimates show an evolving relationship between the futures and spot prices and provide support for the findings of the causality tests.Item Interbank systemic risk network in an emerging economy(Review of Accounting and Finance, 2024-10-23) Rahman, Molla Ramizur; Misra, Arun Kumar; Tiwari, Aviral KumarPurpose Interconnections among banks are an essential feature of the banking system as it helps in an effective payment system and liquidity management. However, it can be a nightmare during a crisis when these interconnections can act as contagion channels. Therefore, it becomes essentially important to identify good links (non-contagious channels) and bad links (contagious channels). Design/methodology/approach The article estimated systemic risk using quantile regression through the ΔCoVaR approach. The interconnected phenomenon among banks has been analyzed through Granger causality, and the systemic network properties are evaluated. The authors have developed a fixed effect panel regression model to predict interconnectedness. Profitability-adjusted systemic index is framed to identify good (non-contagious) or bad (contagious) channels. The authors further developed a logit model to find the probability of a link being non-contagious. The study sample includes 36 listed Indian banks for the period 2012 to 2018. Findings The study indicated interconnections increased drastically during the Indian non-performing asset crisis. The study highlighted that contagion channels are higher than non-contagious channels for the studied periods. Interbank bad distance dominates good distance, highlighting the systemic importance of banking network. It is also found that network characteristics can act as an indicator of a crisis. Originality/value The study is the first to differentiate the systemic contagious and non-contagious channels in the interbank network. The uniqueness also lies in developing the normalized systemic index, where systemic risk is adjusted to profitability.Item Connectedness among diverse financial assets: Evidence from cryptocurrency uncertainty indices(Technological Forecasting and Social Change, 2025-01) Batra, Shallu; Tiwari, Aviral Kumar; Yadav, Mahender; Danso, AlbertThis study examines the impact of cryptocurrency uncertainty indices on green bonds, currency, and commodity markets by using weekly data from January 1, 2014, to December 30, 2022. The study analyzes such relationships employing the time-varying robust Granger-Causality test coupled with the TVP-VAR-DY approach. The empirical findings unfold the heterogeneous effects of uncertainty indices toward diverse financial instruments pronounced during financial or economic turbulence. The DY approach indicates that total connectedness among financial assets varies significantly over time. The green bond market is the net receiver, while ishares Global Clean Energy ETF (ICLN) and VanEck Low Carbon Energy ETF (SMOG) indices transmit the shocks for the whole period. The findings suggest that holdings in the green bond market after the health crisis offer greater hedging opportunities to investors. The results have significant ramifications for financing, hedging, and policymaking.Item Dynamics of carbon risk, cost of debt and leverage adjustments(The British Accounting Review, 2025-03) Cumming, Douglas; Duppati, Geeta; Fernando, Ruwani; Singh, Shivendu Pratap; Tiwari, Aviral KumarWe evaluate the effects of carbon risk on the speed at which corporations adjust their leverage for the period 2006–2020. Primarily we address the question: Does national carbon risk impact firm-level speed of adjustment (SOA)? To address the main question, our study further classifies the companies in the sample based on borrowing costs and carbon risk. By doing so, we report on how borrowing costs may influence the company's conduct. Our research focuses on the energy sector, which is an important sector for emitting carbon. Our study uses physical climate risk changes as a proxy for carbon risk, and the second proxy for carbon risk is obtained by scaling the country's carbon emissions to the company level. We find that the carbon risk is positively related to the speed of adjustment; specifically, the firms with low cost of borrowing show a faster speed of adjustment toward the target than those whose cost of borrowing is higher. However, businesses with high (low) expenses and high carbon risk do not see a reason to change their leverage. In addition, we also examine the interaction effects of earnings yield, transaction contract cost, enforcement cost on carbon risk, and the speed of leverage adjustment. Our results confirm that the effects of transaction contract costs and enforcement costs are significant. The post-Paris Agreement period reveals a strong positive relationship between carbon risk and leverage SOA.Item Examining the avenues of sustainability in resources and digital blockchains backed currencies(Annals of Operations Research, 2023-05-03) Karim ,Sitara; Naeem, Muhammad Abubakr; Tiwari, Aviral Kumar; Ashraf , SaniaThe sustainability issues have been surmounted in the last decades. The digital disruption caused by blockchains and other digitally backed currencies has raised several serious concerns for policymakers, governmental agencies, environmentalists, and supply chain managers. Alternatively, sustainable resources are environmentally sustainable and naturally available resources which are employable by several regulation authorities to reduce the carbon footprint and attain energy transition mechanisms to support sustainable supply chains in the ecosystem. Using the asymmetric time-varying parameters vector auto-regressions approach, the current study examines the asymmetric spillovers between blockchain-backed currencies and environmentally supported resources. We find clusters between blockchain-based currencies and resource-efficient metals, highlighting similar-class dominance of spillovers. We portrayed several implications of our study for policymakers, supply chain managers, the blockchain industry, sustainable resources mechanisms, and regulatory bodies to emphasize that natural resources play a significant role in attaining sustainable supply chains servicing the benefits to society at large and to other stakeholders.