Abbas Valadkhani

Macroeconomics, Energy Economics, Econometrics

PhD
25.30

Publications

  • Source
    Abbas Valadkhani · Israfil Roshdi · Russell Smyth
    [Show abstract] [Hide abstract]
    ABSTRACT: We propose a multiplicative environmental data envelopment analysis (ME-DEA) approach to measure the performance of 46 countries that generate most of the world’s carbon dioxide (CO2) emissions. In the model, we combine economic (labour and capital), environmental (freshwater) and energy inputs with a desirable output (GDP) and three undesirable outputs (CO2, methane and nitrous oxide emissions). We rank each country according to the optimum use of its resources employing a multiplicative extension of environmental DEA models. By computing partial efficiency scores for each input and output separately, we thus identify major sources of inefficiency for all sample countries. Based on the partial efficiency scores obtained from the model, we define aggregate economic, energy and environmental efficiency indexes for 2002, 2007 and 2011, reflecting points in time before and after the official enactment of the Kyoto Protocol. We find that for most countries efficiency scores increase over this period. In addition, there exists a positive relationship between economic and environmental efficiency, although, at the same time, our results suggest that environmental efficiency cannot be realized without first reaching a certain threshold of economic efficiency. We also find support for the Paradox of Plenty, whereby an abundance of natural and energy resources results in their inefficient use.
    Full-text · Article · Jan 2016 · Energy Economics
  • Source
    Shuping Shi · Abbas Valadkhani · Russell Smyth · Farshid Vahid
    [Show abstract] [Hide abstract]
    ABSTRACT: House prices in some Australian capital cities have recently been on the rise to the extent that some describe this as an emerging bubble, but this claim remains formally untested to date. We apply a recently developed time series procedure to detect, and time stamp, bubbles in house price to rent ratios in Australian capital cities. The results show a sustained, yet varying, degree of speculative behaviour in all capital cities in the early 2000s. The onset of these bubbles were soon after the federal government introduced a major change to the capital gains tax law, and all of these bubbles collapsed with or before the global financial crisis. Recently, only Sydney and, with some delay, Melbourne have exhibited significant evidence of an exuberant rise in house prices compared to rents. We believe that the method that we apply has the potential to be a general early warning indicator to detect housing bubbles in other countries/markets. We provide the programming files to enable researchers to implement this test in other countries.
    Full-text · Technical Report · Nov 2015
  • Source
    Tom Kennedy · Russell Smyth · Abbas Valadkhani · George Chen
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper makes two contributions. Firstly, using taxation statistics we compile consistently defined Gini coefficients for the period 1942–2013 for all Australian states and territories. The computed Gini coefficients are comparable with available series reported by the Australian Bureau of Statistics. While income inequality exhibited a downward trend until 1979, it has since been on the rise not only over time, but also across states and territories. Secondly, we examine long-and short-run effects of income inequality by state on per capita output using all available panel data (1986–2013). We find that income inequality adversely affects per capita output in the long-run in the larger states (New South Wales, Queensland, South Australia and Victoria) with the opposite occurring in the ACT. Our findings are consistent with median voter theory when mean income exceeds the median income, incentivising individuals to vote for redistributive taxes and transfers.
    Full-text · Technical Report · Nov 2015
  • Source
    Abbas Valadkhani · Andrew C Worthington · Russell Smyth
    [Show abstract] [Hide abstract]
    ABSTRACT: In this paper we examine seasonality in house and unit (apartment) prices in the eight Australian state and territory capital cities (Adelaide, Brisbane, Canberra, Darwin, Hobart, Melbourne, Perth, and Sydney) using monthly data over the period December 1995 to July 2015. Employing a threshold autoregressive modelling approach, we determine in which months house and unit prices are, on average, more expensive or cheaper and in which capital cities seasonal price rises or falls are more significant. Our main finding is that sizable seasonal effects exist for both the very smallest (Darwin and Hobart) and very largest (Melbourne and Sydney) capital cities and that these seasonal effects are mostly predictable. We find that the relative seasonal return variations are more significant for house than unit prices. Further, the observed month-of-the-year effects have undergone significant changes in almost all capital cities for both house and unit prices since the 2008 global financial crisis (GFC). For example, before 2008 the most and least, expensive months of the year to purchase houses in Melbourne were January (+1.08%) and November (–0.74%). However, the most and least expensive months after 2008 for Melbourne were July (+3.22%) and May (–2.52%). By utilising such seasonal variations, both buyers and sellers can make informed financial decisions.
    Full-text · Technical Report · Oct 2015
  • Abbas Valadkhani · Barry O’Mahony

    No preview · Article · Oct 2015 · Annals of Tourism Research
  • Source
    Abbas Valadkhani · Russell Smyth · Farshid Vahid
    [Show abstract] [Hide abstract]
    ABSTRACT: Competitive diesel pricing can yield tangible benefits to truck drivers, fleet operators and farmers. The ability, and willingness, of wholesale distributers to asymmetrically pass on changes in diesel costs to consumers can adversely distort the market. Existing studies for Australia have focused on petrol (gasoil) prices, while there has been no testing for asymmetry in diesel prices. We test for rocket and feather effects in Australian wholesale diesel prices at their source. We find that in all seven seaport cities, when the price of oil goes up, diesel prices shoot up like a rocket and when the price of oil decreases, diesel prices fall like a feather. The asymmetric responses are more noticeable when oil prices are rising than falling. Results support the view that suppliers adopt or coordinate almost the same asymmetric pricing behaviour before distributing diesel among retailers.
    Full-text · Article · Oct 2015 · Energy Economics
  • Abbas Valadkhani · Barry O'Mahony
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the dynamic changes in the number of tourists arriving in Australia from 53 markets using monthly data (1991m1–2014m4). A modified capital asset pricing model incorporating Markov switching and Bai–Perron search models is adopted to measure the extent to which individual arrival series exhibit systematic co-movements in relation to total arrivals as a global composite barometer. The study identifies 15 large and growing markets from different countries and regions with the switching/shifting betas greater than +1, suggesting a diverse portfolio that, if properly managed, will continue to sustain Australia's tourism industry. The study presents a series of marketing and promotion strategies to improve marketing efficiency and implications for further research are discussed.
    No preview · Article · Aug 2015 · Current Issues in Tourism
  • Source
    Abbas Valadkhani · Russell Smyth
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the long-and short-run relationship between Australian house and unit prices across all capital cities over the period December 1995 to June 2015. We find that house and unit prices are cointegrated and, based on the results of Granger causality and generalised impulse responses, that house prices significantly influence unit prices across all cities. However, bi-directional causality (responses) exists only for major capital cities with the exception of Brisbane. We also, for the first time, apply self-excited threshold models to explore the complex interplay between house and unit prices in Australia. We find that when the market for units is self-excited, or bullish, the positive effects of house prices on unit prices are noticeably larger than otherwise. There is a varying degree of herd mentality in the Australian property market with Sydney and Darwin being the most and least " excitable " capital cities, respectively.
    Full-text · Technical Report · Aug 2015
  • Abbas Valadkhani
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the dynamic behaviour of the Okun coefficient using quarterly data (1980Q3–2014Q1). It is found that a rise in labour productivity and a fall in output can increase unemployment. A 1 per cent reduction in the unemployment rate requires only a 2.4 per cent increase in real output growth above the average growth rate, but during recessions this figure increases to 4.53 per cent. The probability of observing a higher coefficient was limited to recessionary periods. Given that recessions are now less frequent, Okun's law continues to be a useful rule of thumb in Australia.
    No preview · Article · Aug 2015 · Economic Record
  • Source
    Abbas Valadkhani · Russell Smyth
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines whether the relationship between unemployment and output, known as Okun's law, has been stable in the United States (US) in the period since World War II. A feature of our modeling approach is that we employ a Markov switching model in which we allow for both the presence of possible asymmetries within, and across, regimes and for the variance in the error term to switch over time. The extent of within-regime asymmetry is found to be much stronger than across-regime asymmetry. We provide evidence of a weakening of Okun's law since the 1981-1982 recession. We also show that jobless recovery, as witnessed most recently in the aftermath of the global financial crisis (GFC), is not a new phenomenon in the US, but also dates back to the early 1980s recession. We conclude through providing insights into the US jobless recovery and offering suggestions, based on our findings, for reducing the adverse effect of recessions in the future.
    Full-text · Article · Jul 2015 · Economic Modelling
  • Abbas Valadkhani
    [Show abstract] [Hide abstract]
    ABSTRACT: This article examines asymmetric size- and sign-dependent effects of the output gap on the US quarterly inflation rate using data from the last half a century (1959Q2-2013Q1). Consistent with previous studies, it is found that the consumer price index is cointegrated with the unit labour cost and the price of oil. A short-run dynamic model is then estimated in which variations in the output gap are divided into three groups: large-positive; large-negative; and small-medium positive/negative. The results provide convincing evidence that only sufficiently large (positive or negative) variations of the output gap can significantly influence inflation. Put otherwise, relatively small to medium changes in the output gap exert no significant impact on inflation and if not separated, they can somewhat obscure the significant effects associated with large variations of the output gap. This study can lead to greater consensus on the inflation-output gap nexus. The findings remain robust despite the use of different measures of output gap and they are consistent with the modern doctrine but with a new caveat: inflation responds to both positive and negative changes in the output gap as long as such variations are of sizable magnitudes.
    No preview · Article · Feb 2015 · Applied Economics
  • Source
    Abbas Valadkhani · Israfil Roshdi · Russell Smyth
    [Show abstract] [Hide abstract]
    ABSTRACT: We employ a multicomponent Data Envelopment Analysis (DEA) framework to examine the interplay between economic and energy efficiency for all 29 OECD countries and then classify each country into one of four categories in terms of their relative economic and energy efficiency. In addition to using a broader set of inputs and improved measure of labour compared with prior studies, we make a methodological contribution in that we develop a new complete multi-component DEA measure for examining the efficiency performance of individual countries. Our proposed measure provides an efficiency index, not only at the country level, but also decomposes overall efficiency into economic and energy components. The G7 countries display the worst performance, in terms of CO 2 and energy efficiencies. For the sample as a whole, there is a positive and marginally significant relationship between economic efficiency and energy efficiency. This finding suggests that higher economic and energy efficiencies are not necessarily incompatible goals.
    Full-text · Technical Report · Jan 2015
  • Abbas Valadkhani · George Chen · Bernice Kotey
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the dynamic asymmetric relationship between changes in the Reserve Bank of Australia's (RBA) cash rate and the interest rate for small business loans using monthly data (1990-2011). The results provide support for the rockets-and-feathers hypothesis with respect to both the amount and adjustment asymmetries. While the RBA's rate rises exert a one-to-one and instantaneous impact on the loan rate, its rate cuts are only slowly and partially passed onto small businesses with a delay of 1-2 months. The results also suggest that the recent global financial crisis increased the cost of borrowing for small businesses in Australia by 2.21 %. These findings indicate that small businesses have limited time to respond to interest rate rises and not provided with the full benefit of interest rate decreases. Addressing this problem should ease the interest rate burden for small businesses and enhance their contribution to the economy.
    No preview · Article · Dec 2014 · Small Business Economics
  • Abbas Valadkhani · Andrew Worthington
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper presents an alternative framework for modeling the behavior of banks in setting lending and/or saving rates. In a short-run dynamic model, we correct for deviations from the long-run path using three feedback coefficients capturing different disequilibria. This enables us to test for both amount and adjustment asymmetries by considering the size and direction of any deviations. We use this model to examine the relationship between the official cash rate (set by the Reserve Bank of Australia as a monetary policy tool) and the standard variable mortgage rates of Australian Big-4 banks using weekly data from 2001 to 2012. The evidence indicates both types of asymmetries along with synchronized rate-setting behavior. Overall, the banks immediately pass on 120% of any rate rise, but only 85% of any rate cut. Further, when mortgage rates are substantially above the equilibrium path, we find no significant attempt to lower rates, but faster adjustment when rates are below equilibrium values. This finding has important implications for the RBA's monetary policy transmission mechanism and the effectiveness of the expansionary versus contractionary policy.
    No preview · Article · Dec 2014 · Economic Modelling
  • Source
    Abbas Valadkhani · Alperhan Babacan · Parviz Dabir-Alai
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper proposes an alternative input–output (IO) price model in which all sectors of the economy are divided into two groups: (1) endogenous non-energy sectors; (2) exogenous but interrelated energy sectors. Using the latest IO table (2009–2010) of the Australian economy, we then used the proposed model to assess the impacts of an increase in 4 different energy prices (i.e. Oil and Gas Extraction; Petroleum and Coal Products; Electricity; and Utility Gas) on production costs of 110 non-energy sectors. We found that energy price rises will increase the production costs in tradable, less-labour intensive manufacturing sectors (such as basic chemical; electricity transmission, distribution; glass and glass products) as well as transport (road; air and space; water and road) and agricultural sub-industries (i.e. forestry; fishing; sheep, grains, dairy, cattle; logging) more than the other sectors. As expected, the service industries were least affected by energy price shocks. The effects of a rise in the prices of Electricity and Utility Gas on production cost of non-energy sectors are significantly less than those of two upstream energy sources (i.e. Oil and Gas Extraction; Petroleum and Coal products).
    Full-text · Article · Nov 2014 · Economic Analysis and Policy
  • Abbas Valadkhani
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the dynamic relationship between the price of crude oil and the CPI energy price sub-index in Canada and the U.S. using a Markov-regime switching model and the Bai-Perron sequential method. Since these two series are cointegrated during the sample period (January 1961─June 2013), a short-run dynamic model is thus estimated for each country in which all coefficients and the error-variance terms can freely switch over time between two values prevailing in Regimes 0 and 1. Previous studies indicate that the price of crude oil does not currently affect the aggregate CPI as much as it did in the 1970s. This finding is not disputed in this paper. However, the sequentially-determined-break date as well as time-varying regime-switching probabilities point to two new findings. First, the marginal effects of changes in oil price on consumer energy prices (not the aggregate CPI) have consistently increased and become more instantaneous for both countries after the Western U.S. Energy Crisis of 2000. Second, the speed of adjustment (proxied by different error-correction coefficients) has also risen, particularly for the U.S. Therefore, oil prices exert far more positive and immediate impacts on energy costs in the post- than pre-1999 periods.
    No preview · Article · Sep 2014 · Energy Economics
  • Abbas Valadkhani
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the way in which output gap influences quarterly inflation during the period 1970q1-2013q1 in Canada, the UK and the US by adopting a Markov regime-switching model. In addition to the regime-dependent effects of the output gap, this study controls for the regime-invariant influences arising from changes in wages, oil prices and the nominal effective exchange rate. An interesting finding of this paper relates to the positive but varying impact of the output gap on inflation. Two significantly different regimes are identified whereby the probability of switching to regime 2 (represented by a relatively high output gap coefficient) peaks markedly and consistently across all three countries only when quarterly changes in inflation become noticeably large and volatile. The cross-country results provide compelling evidence that the coefficient assigned to the output gap rises significantly when the economy experiences sizable perturbations.
    No preview · Article · Sep 2014 · International Review of Economics & Finance
  • Viet Le · Abbas Valadkhani
    [Show abstract] [Hide abstract]
    ABSTRACT: This paper examines the efficiency performance of exporting versus non-exporting manufacturing small and medium enterprises (SMEs) using the Business Longitudinal Database compiled by the Australian Bureau of Statistics for the period 2005–2006. The results from an analysis of 543 manufacturing SMEs indicate that overall manufacturing SMEs improved their technical efficiency levels over time, particularly the exporting ones nearly reaching 80%. Among firms of the same size and the same narrowly defined industry, we found that the non-exporting SMEs tended to have lower efficiency levels compared to their exporting counterparts. One may attribute these efficiency differences to the inclusion of more exporting firms in the database and/or the better use of production technology by exporting SMEs. This paper calls for a focus on improving SME efficiency performance as an effective way to enhance their success in global export markets by pursuing a number of initiatives/programs already implemented in other OECD countries.
    No preview · Article · Aug 2014 · Economic Analysis and Policy
  • Amir Moradi-Motlagh · Abbas Valadkhani · Ali Salman Saleh
    [Show abstract] [Hide abstract]
    ABSTRACT: The purpose of this article is threefold. First, we measure both technical and scale efficiency of major Australian banks during the period 2006 to 2012 using data envelopment analysis (DEA). Second, the robustness and sensitivity of efficiency scores are tested based on a bootstrap approach. Third, the bootstrap results are employed to examine by how much different scenarios of improving technical efficiency scores can result in cost savings for individual banks. The results indicate a notable difference between the original and bootstrap efficiency estimates. While the conventional DEA results show that more than half of banks are fully technical efficient, the bootstrap results reveal a more accurate account of efficiency disparities from best-practicing banks.
    No preview · Article · Jul 2014 · Applied Economics Letters
  • Source
    Mahmood Mehdiloozad · Israfil Roshdi · Abbas Valadkhani
    [Show abstract] [Hide abstract]
    ABSTRACT: Within the framework of the directional distance function, this study scrutinizes the super-efficiency (SE) technique in data envelopment analysis (DEA) to achieve two main objectives. Our primary goal is to propose two, Fractional and Linear, generalized directional super-efficiency (GDSE) measures that completely resolve the crucial infeasibility problem, frequently encountered in the conventional SE measures. As the second objective of our study, we examine the key role of the direction vector in the measurement of SE, and highlight its effects on the SE models’ properties. Furthermore, we demonstrate that our framework encompasses all previous approaches as special cases. Our approach has several advantages over the existing ones in operationalizing the concept of SE. First, our GDSE measures always generate feasible results. Second, they overcome the SE estimation biases caused by the input and output slacks. Third, our proposed measures satisfy several desirable properties such as monotonicity, unit independence and translation invariance. Finally, they are capable of effectively dealing with negative data. Through three numerical examples, we demonstrate that the GDSE measures outperform the existing SE measures when it comes to satisfying all desirable properties.
    Full-text · Article · Jul 2014

121 Following View all

106 Followers View all