Afees Salisu

Afees Salisu
University of Pretoria | UP · Department of Economics

Extraordinary Professor

About

251
Publications
135,635
Reads
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3,713
Citations
Citations since 2016
212 Research Items
3604 Citations
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Introduction
Professor Afees Salisu is currently affiliated with three universities. He is an Extraordinary Professor at the University of Pretoria, Department of Economics; a University Professor and Doctoral Advisor at the Global Humanistic University, Curacao; and a Research Fellow at the University of Economics Ho Chi Minh City, Vietnam. He is also the current Director of the Centre for Econometrics & Applied Research (CEAR) and READT International Resources Ltd.

Publications

Publications (251)
Article
In this study, we consider as a predictor of gold return predictability, an alternative measure of systematic risk using the tail risk obtained from the four variants (Adaptive, Symmetric absolute value, Asymmetric slope and Indirect GARCH) of the Conditional Autoregressive Value at Risk (CAViaR) of Engle and Manganelli (2004). We conduct distinct...
Article
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The increasing concern about the far-reaching effects of climate change-related risk on sustainability has engendered the need to develop alternative indices to measure it. In this study, we review the existing measures of climate risk and offer useful areas for future research. We hope to revisit this exercise as new developments unfold and more r...
Article
We examine the predictive value of the uncertainty associated with growth in temperature for stock-market tail risk in the United States using monthly data that cover the sample period from 1895:02 to 2021:08. To this end, we measure stock-market tail risk by means of the popular Conditional Autoregressive Value at Risk (CAViaR) model. Our results...
Article
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This study is motivated around the COVID-19 pandemic as a source of rising financial market risks. Hence, we investigate whether pandemic-induced risks can be hedged by alternative investment in financial innovations captured in exchange traded funds (ETFs). We explore the hedging effectiveness of sectoral ETFs along with a battery of robustness me...
Article
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In this paper, we explore the connection between Central Bank Independence (CBI) and inflation under alternative political regimes. We formulate a predictive model that accommodates CBI in the analysis of inflation and thereafter we regroup the countries based on the choice of political regimes as well as the level of development. We find that CBI...
Article
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We examine the relationship between climate policy uncertainty (CPU) and stock market volatility using the GARCH-MIDAS framework to accommodate the variables in their available frequencies thereby circumventing information loss associated with data aggregation or splicing. We find that stock market volatility significantly responds to CPU and we fu...
Article
In this study, we investigate the connection between geopolitical risk (GPR) and global financial cycle (GFCy) as well as whether the former has predictive value for the out‐of‐sample predictability of the latter. We utilize both the historical and recent GPR data and their variants namely GPR act covering all ‘acts’ that constitute geopolitical ri...
Article
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This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while simultaneously accounting for individual-country peculiarities....
Article
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We assess the hedging capabilities of four prominent precious metals namely gold, palladium, platinum and silver against market risks due to epidemics and pandemics. The research objective is informed by the COVID-19 pandemic which amplifies health risks with attendant concerns for financial markets. We utilize the health-related uncertainty index...
Article
Recent studies show that El Niño episodes are generally inflationary because they tend to increase the prices of agricultural commodities and crude oil. Given this, in this paper we examine the inflation-hedging property of gold (along with silver) from a novel perspective by analysing the impact of a negative shock to the negative component of Sou...
Article
Purpose The purpose of this paper is to examine the response of Travel & Leisure (T&L) stocks of some advanced economies (the USA and United Kingdom) as well as Europe to uncertainty due to pandemics and epidemics. The motivation for the study is derived from the expectation that pandemics and epidemics which are infectious would limit activities a...
Article
This study examines the out-of-sample predictability of market risks measured as tail risks for stock returns of eight advanced countries using a long-range monthly data of over a century. We follow the Conditional Autoregressive Value at Risk (CAViaR) of Engle and Manganelli (2004) to measure the tail risks and consequently, we produce results for...
Article
In this study, we contribute to the literature in twofold. First, we analyse the nexus between oil price uncertainty shock and real exchange rate behavior from a global perspective using the Global Vector Autoregressive (GVAR) framework. Second, we attempt to examine the individual countries' characteristics in the propagation of global oil price u...
Article
In this study, we examine the connection between geopolitical risk (GPR) and stock market volatility in emerging economies. Our motivation for this study is premised on the need to assess both the predictability and the associated economic gains in relation to the subject in order to offer more useful insights to investors and practitioners. To the...
Article
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We examine the predictive value of risk perceptions as measured in terms of the gold-to-silver and gold-to-platinum price ratios for stock-market tail risks and their connectedness in eight major industrialized economies using monthly data for the period 1916:02-2020:10 and 1968:01-2020:10, where we use four variants of the popular Conditional Auto...
Article
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We examine the effect of public debt on private investment in selected emerging economies. Using a panel threshold regression model, we estimate a threshold value of about 3 percent, on average, below which public debt stimulates private investment. Our additional analysis involving selected developed economies suggests that the crowding out effect...
Article
The predictability of uncertainty for real housing returns in the United Kingdom is examined using regional data covering twelve (12) regions namely East Midlands, East of England, and the Humber. We utilize both housing price uncertainty (HPU) and economic policy uncertainty (EPU) data while we render analyses for three data samples-full sample an...
Article
This study examines the role of the global financial cycle (GFCy) in the propagation of uncertainty shocks from the United States to other national economies using a large‐scale global vector autoregressive model of 33 countries. Although the dominant role of US uncertainty over global economic dynamics is established, the findings highlight the mo...
Article
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This paper examined the nexus between economic growth and exchange rate, remittances, trade, and agricultural output based on data sourced from 1980 to 2018 for 10 selected African economies. We employed both the Dumitrescu and Hurlin time-domain Granger causality test and the Croux and Reusens frequency domain Granger causality test. Results from...
Article
We explore the predictive value of the various indices developed to capture COVID-19 pandemic for daily stock return predictability of 24 Emerging Market economies (based on data availability). We identify eight measures of COVID-19 indices, namely, the uncertainty due to pandemics and epidemics (UPE) index, Global Fear Index (GFI), COVID index, va...
Article
In this study, we investigate the effect of oil price on the real GDP growth of Nigeria. We contribute to the extant literature on oil price-growth nexus in three ways. First, we employ one of the recently developed Mixed Data Sampling models owing to its ability to accommodate both high and low data frequencies in the same predictive model. Second...
Article
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We analyze the role of macroeconomic uncertainty in predicting synchronization in housing price movements across all the United States (US) states plus District of Columbia (DC). We first use a Bayesian dynamic factor model to decompose the house price movements into a national, four regional (Northeast, South, Midwest, and West), and state-specifi...
Article
In this study, we make a three-fold contribution to the literature on gold market analysis. First, we provide evidence for the predictive value of US Nonfarm Payroll (USNP) in the out-of-sample forecast of gold market volatility. Second, we extend our analysis to other precious metals and the US stock market index for robustness purposes. Third, we...
Article
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This study investigates the nature and causes of youth unemployment in Nigeria, with the aim of proffering evidence-based workable solutions as policy recommendation. Its contribution to the literature on youth unemployment is the joint examination of the nature and causes of youth unemployment, which gives a holistic view and provides sufficient b...
Article
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In this study, we examine the behaviour of unemployment in Nigeria using fractional integration & fractional cointegration techniques. Based on the fractional integration technique, we find that unemployment in Nigeria exhibits mean reverting properties but with a longer time horizon for any shock effect to fizzle out. The fractional cointegration...
Data
The Global Fear Index (GFI) data for the COVID-19 pandemic to support economic, financial, and social policy analyses of the impacts of the pandemic.
Article
Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements of output growth for the United States (US). The predictability of monthly industrial production growth and quarterly real Gross...
Article
We analyze the predictive role of oil-price uncertainty for changes in the UK unemployment rate using morethan a century of monthly data covering the period from 1859 (when the drilling of the first oil well startedat Titusville, Pennsylvania, United States) to 2020. To this end, we use a machine-learning technique knownas random forests. Random fo...
Article
This study tests both the in-sample and out-of-sample predictive value of oil tail risk for the tail risk of US Dollar exchange rates (USD/CAD, USD/GBP and USD/JPY), where the conditional autoregressive value at risk (CAViaR) of the Engle and Manganelli (2004) is used to estimate the tail risks under 1% and 5% VaRs. Thereafter , we construct a pred...
Article
This study examines the predictive power of the global financial cycle (GFCy) over oil market volatility using the GARCH-MIDAS framework. The GARCH-MIDAS model provides an appropriate setting to forecast high frequency oil market volatility using global predictors that are only available at low frequency. We show that the global financial cycle car...
Article
Motivated by the COVID-19 pandemic, we construct a predictive model for stock returns that incorporates uncertainty index for pandemics and epidemics (UPE). Specifically, we examine whether Islamic stocks are either vulnerable or have better hedge potential when compared to the performance of their conventional counterparts. In general, we find tha...
Article
In this study, we examine the predictive value of tail risks for oil returns using the longest possible data available for the modern oil industry, i.e., 1859–2020. The Conditional Autoregressive Value at Risk (CAViaR) of Engle and Manganelli (2004) is employed to generate the tail risks for both 1% and 5% VaRs across four variants (adaptive, symme...
Poster
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For more information on the issue, please visit the Special Issue website at https://www.mdpi.com/journal/sustainability/special_issues/economic_sus.
Article
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We examine the predictive prowess of the U.S. Nonfarm Payroll (USNFP) for output growth in the U.S. covering over six decades from 1947 to 2021. Using two different measures of output growth (with Gross Domestic Product growth being used for the main analysis and growth in Industrial Production Index for robustness check), our predictability result...
Article
In this study, we quantify the propagation effects of the U.S. monetary policy uncertainty (MPU) shock on real equity prices of 33 advanced and emerging countries over the period 1980Q1 to 2019Q4. We employ a large-scale global vector autoregressive (GVAR) model which simultaneously accounts for country-specific macroeconomic conditions as well as...
Poster
Full-text available
Energy RESEARCH LETTERS (ERL) invites submissions for a Special Issue (SI) focused on the theme of “Climate Risk and Crude Oil Market”. The rising global risks and uncertainties associated with climate change have engendered increased demand for green investments, indicating greater opportunities for firms involved in eco-friendly assets. Researche...
Poster
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Asian Economics Letters (AEL) invites submissions for a 2022 Special Issue (SI) focused on the theme of “Climate Risk and Financial Markets Stability”. The rising global risks and uncertainties associated with climate change have engendered increased demand for green investments. While this emerging trend offers greater opportunities to firms invol...
Article
This paper adds a novel perspective to the literature by exploring the predictive performance of two relatively unexplored indicators of financial conditions, i.e. financial turbulence and systemic risk, over stock market volatility using a sample of seven emerging and advanced economies. The two financial indicators that we utilize in our predicti...
Article
In this paper, we develop a proxy for global uncertainty based on the volatility of gold market over the annual periods from 1311 to 2019, and then use this proxy metric to forecast historical growth-rates for eight advanced economies, namely, France, Germany, Holland, Italy, Japan, Spain, the United Kingdom (UK), and the United States (US). We fin...
Article
We forecast real stock returns of South Africa over the monthly period of 1915:01 to 2021:03 using real oil, gold and silver prices, based on an autoregressive type distributed lag model that controls for persistence and endogeneity bias. Oil price proxies for fundamentals, while gold and silver prices capture sentiments. We find that the metrics f...
Article
Full-text available
Purpose: We evaluate the comparative effects of US monetary and fiscal policy uncertainty shocks on real equity prices and real gross domestic product in developed and emerging economies. Design/Methodology/Approach: We employ the Global Vector Autoregressive (GVAR) model to trace the propagation effects of both U.S. monetary and fiscal policy unce...
Article
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This study examines the hedging effectiveness of financial innovations against crude oil investment risks, both before and during the COVID-19 pandemic. We focus on the non-energy exchange traded funds (ETFs) as proxies for financial innovations given the potential positive correlation between energy variants and crude oil proxies. We employ a mult...
Article
We examine the tail risk spillovers between Canada and U.S. stock markets using over a century data, and also account for the roles of tail risks of other advanced economies (France, Germany, Japan, Italy, Switzerland, and the UK) and oil-market tail risk. We use the “best” tail risk measure obtained from different variants of the Conditional Autor...
Article
In this study, we offer a global perspective on the impacts of the COVID-19 pandemic on financial markets using a multi-country Threshold-Augmented Global Vector Autoregressive Model of Chudik et al. (2020). We document a negative impact of the pandemic on real equity prices across countries (except the United States) and country groupings with the...
Article
In this study, we estimate a multi-country Threshold-Augmented Global Vector Autoregressive (TGVAR) model to analyze the response of real GDP of emerging economies (Brazil, India, China, and South Africa) with reference to selected advanced economies (US, UK, & Germany) to the COVID-19 shock. The result of the counterfactual analysis beyond the 201...
Article
This paper seeks to add to the literature on short-run exchange rate predictability by focusing on BRICS exchange rates. We utilize both time-varying and constant parameter models, and account for a variety of macro fundamentals, including those suggested by Taylor rules. For the sample of countries, a Taylor rule model with homogeneous coefficient...
Article
In this paper, we investigate the effect of oil price uncertainty shock on real Gross Domestic Product (GDP) of 33 developed and emerging economies using the Global Vector Autoregressive (VAR) framework that allows us to capture the transmission of global shocks while simultaneously accounting for distinct characteristics of individual countries. U...
Article
In this paper, we trace the transmission of monetary policy shocks from three prominent sources of global financial and trade shocks (US, Europe, and China) to the two largest emerging economies in Sub-Saharan Africa (SSA) (Nigeria and South Africa). To pursue this study's objective , we employ Global Vector Autoregression (GVAR) model and update t...
Article
This study tests the contributions of urban and rural inflation to inflation persistence in Nigeria using the fractional cointegration VAR model and the univariate fractional integration approaches. The results indicate a high contribution of urban and rural inflation to the overall inflation persistence in Nigeria albeit with contrasting evidence...
Article
The predictability of geopolitical risks (GPR) for exchange rate volatility of the BRICS is examined using both historical and recent GPR data. Relying on the GARCH-MIDAS-X model based on available data frequencies, we find that, the BRICS exchange rates are more vulnerable to recent GPR data than the historical data. Additional analysis suggests c...
Article
We examine the predictive value of tail risks of oil returns for the realized variance of oil returns using monthly data for the modern oil industry (1859:10-2020:10). The Conditional Autoregressive Value at Risk (CAViaR) framework is employed to generate the tail risks for both 1% and 5% VaRs across four variants of the CAViaR framework. We find e...
Article
In this study, we investigate the impact of global geopolitical risk (GPR) of different forms on the economies of advanced countries (G7 and Switzerland). We construct a predictive model, following the approach of Lewellen (2004. "Predicting returns with financial ratios." Journal of Financial Economics 74 (2): 209-235) and Westerlund and Narayan (...
Article
Using monthly data for the period from 1916 to 2020, we report that geopolitical risk, when decomposed into threats and actual risk, has predictive value for tail risk in the oil market. When we study the full sample of data, we find that threats increase tail risk in the oil market, while actual acts related risk reduces tail risk at longer foreca...
Article
Full-text available
In this study, we extend the literature analyzing the predictive content of commodity prices for exchange rates by examining the role of palm oil price. Our analysis focuses on Indonesia and Malaysia, the two top producers and exporters of palm oil, and utilizes daily data covering the period from December 12, 2011 to March 29, 2021, which is parti...
Chapter
The relationship between COVID‐19 pandemic and CO2 emission is not unexpected given the “stay at home” implication of the various stringency measures. Thus, we broadly examine the contemporaneous and dynamic impacts of uncertainty due to pandemics and epidemics (UPE) on US sectoral CO2 emissions. The study relies on a new measure of UPE whose impac...
Article
Full-text available
In this paper, we examine the predictive content of uncertainty due to pandemics and epidemics (UPE) for the exchange rate movements of selected Asian economies. Our results show evidence of superior out-of-sample predictability of a UPE-based predictive model over the benchmark model. Nonetheless, the predictability of UPE is stronger before the C...
Article
Full-text available
In this paper, the predictive value of geopolitical risk (GPR) for the return volatility of Islamic stocks in Indonesia and Malaysia is examined. GPR data, whether global or country-specific, heighten the return volatility of Islamic stocks in both countries, albeit with a greater impact on Indonesia. Additional analyses show improved out-of-sample...
Article
This paper subjects six alternative indicators of global economic activity to empirically examine their relative predictive powers in the forecast of crude oil market volatility. GARCH-MIDAS approach is constructed to accommodate all the relevant series at their available data frequencies, thereby circumventing information loss and any associated b...
Article
Relying on the Uncovered Equity Parity (UEP), we formulate a predictive model that links movements in exchange rate to stock return differential between the domestic market and the foreign (US) market. We also test for any probable asymmetric relationship between the two variables while also accounting for the role of observed common (global) facto...
Article
In this stud y, we examine the hedging relationship be tween gold and US sectoral stocks du ring the COVID-19 pandemic. We employ a multivariate volatility framework, which accounts for salient features of the series in the computation of optima l weights and optima l hedging ratios. We find evidence of hedging effectiveness be tween gold and secto...
Article
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We forecast monthly realized volatility (RV) of the oil price based on an extended heterogenous autoregressive (HAR)-RV model that incorporates the role of the El Niño Southern Oscillation (ENSO), as captured by the Equatorial Southern Oscillation Index (EQSOI). Based on the period covering 1986 January to 2020 December and studying various rolling...
Article
We consider whether a newspaper article count index related to the Organization of the Petroleum Exporting Countries (OPEC), which rises in response to important OPEC meetings and events connected with OPEC production levels, contains predictive power for the foreign exchange rates of G10 countries. The applied Bayesian inference methodology synthe...
Article
We examine the role of large information sets in the predictability of US stock using a large data set of over 400 predictors covering macro-, financial-, trade- and commodity-related variables over the period of 1960:Q1 to 2018:Q4. We consider 13 alternative models ranging from autoregressive models with no predictors to 5-factor, 60-factor and hi...
Article
In this study, we exploit the information contained in financial innovations in precious metals for hedging the risks associated with the Asia-Pacific equities during the current pandemic. We measure financial innovations as exchange traded funds (ETFs) for gold, silver, platinum and palladium which contrast with investment in the physical precious...
Article
In this paper, we test the role of news in the predictability of return volatility of digital currency market during the COVID-19 pandemic. We use hourly data for cryptocurrencies and daily data for the news indicator, thus, the GARCH MIDAS framework which allows for mixed data frequencies is adopted. We validate the presupposition that fear-induce...
Article
Full-text available
This study contributes to the emerging literature offering alternative measures of uncertainty due to the COVID-19 pandemic. We combine both news-and macro-based trends to construct an index. The former involves the use of Google trends with plausible variants of words used to capture the pandemic, which are combined using principal components anal...
Article
This study complements the emerging literature on the COVID-19 pandemic and provides direction, in the case of Nigeria, for targeting monetary policy response to mitigate the pandemic's economic consequences. We simulate three scenarios: (i) do-nothing; (ii) reduce MPR gradually and (iii) reduce MPR drastically; amidst falling oil prices. The do-no...
Article
The study evaluates the return and volatility transmission between the health and tourism stocks. The outbreak of Covid-19 pandemic brought about an unprecedented crisis in the global health and financial market with the tourism sector being among the largest casualty as it experiences an almost total collapse as a result of economic lockdowns and...
Article
In this study, we contribute to the literature in three ways. First, we test whether the response of stock returns to interest rate differential contrasts between high and low interest rate environments. Second, we further test whether positive and negative interest rate differentials impact differently on stock returns. For completeness, we examin...
Article
In this paper, we contribute to the literature in the following ways. First, we test whether stock returns respond differently to exchange rates in high and low interest rate environments. Second, we further probe into possible asymmetric effects of appreciation and depreciation on stock returns. Third, we examine the role of extreme (negative) low...
Article
The global lockdowns including movement restrictions during COVID‐19 pandemic impacted the hospitality business negatively and by extension the trading of related stocks such as travel & tourism stocks. Owing to the long standing hedging potential of gold, we examine whether this potential can be extended to the travel & tourism stocks in order to...
Article
This study examines the safe haven prowess of gold against some exogenous shocks due to the COVID-19 pandemic. We further make a comparison of our findings with those obtained for the period before it. Our results confirm the potential of gold market to serve as a safe haven during the pandemic albeit with a higher effectiveness before the pandemic...
Article
We forecast US output growth using an array of both Classical and Bayesian models including the recently developed Dynamic Variable Selection prior with Variational Bayes [DVSVB] of Koop and Korobilis (2020). We accommodate over 300 predictors that are incrementally captured from 5 factors, 60 factors to over 300 factors covering relevant economic...
Article
We attempt to predict the exchange rate returns of the BRICS (Brazil, Russia, India, China, and South Africa) countries with the global oil price using monthly datasets covering the period of 1973 to 2020. We formulate a predictive model that accounts for the salient features of the predictor and the predicted series in line with the recent literat...
Article
This article examines the hedging effectiveness of U.S. stocks against uncertainties due to equity market (financial risk) and pandemics (health risk), including Covid-19 pandemic. Consequently, we consider two categories of U.S. stocks—defensive and non-defensive stocks drawn from 10 different sectors and distinctly analysed over two data samples—...
Article
Motivated by the drive to achieve monetary union in the Economic Community of West African States (ECOWAS), the vulnerability of member countries to global and regional shocks is examined, using the global VAR (GVAR) framework so constructed for the purpose. The global shocks are those due to global commodity prices, oil and food prices, while the...
Article
Full-text available
In this study, we examine the response of emerging stock markets due to the uncertainty of pandemics and epidemics (UPE), including the COVID-19 pandemic. We demonstrate this by evaluating the stock return predictability of 24 emerging market stocks using the new datasets on uncertainty due to pandemics as well as the global fear index for the COVI...
Article
We forecast macroeconomic and financial uncertainties of the US over the period of 1960:Q3 to 2018:Q4, based on a large data set of 303 predictors using a wide array of constant parameter and time varying models. We find that uncertainty is indeed forecastable, but while accurate point forecasts can be achieved without incorporating time-variation...
Article
Using the case of four leading African economies, namely Algeria, Egypt, Nigeria and South Africa, this paper explores the possibility of asymmetric relationship between exchange rate and interest rate differential. In addition, it also tests whether accounting for structural breaks matters for the nexus. The results vary for the four countries bas...
Article
We use constant and time-varying parameters vector autoregressive models that allow the estimation of the impact of monetary policy shocks on volatility of macroeconomic variables in the United Kingdom. Estimates suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 10% on aver...
Article
In this paper, we hypothesize that firm/sector-specific news will enhance the predictability of firm returns, using consumer stocks of Vietnam. We construct a news-based predictive panel data model for firm returns that accounts for unobserved common factors in line with Chudik and Pesaran (2015), and Westerlund et al. (2017). While the firm-specif...
Article
This paper assesses the role of gold as a safe haven or hedge against crude oil price risks. We employ the asymmetric VARMA-GARCH model, using daily data from January 2016 to August 2020. To account for the impact of COVID-19 pandemic, we partitioned the data into two to reflect the periods before and during the pandemic. Our empirical results find...
Article
Full-text available
In this paper, we examine the potential of the Asia-Pacific Islamic stock market to serve as a good hedge against uncertainty due to pandemics and epidemics (UPE). Relying on a new dataset for UPE, we find evidence in favour of the hedging potential of the Asia-Pacific Islamic stocks against UPE albeit with lower hedging effectiveness during the CO...
Research Proposal
Full-text available
This is a call for Graduate Research Fellowships 2020/2021 applications, advertised by the Centre for Econometric and Allied Research, University of Ibadan. It is targeted at Ph.D. students of Agricultural Economics, Economics, Mathematics and Statistics, who desire to improve their knowledge in theoretical and applied econometrics. Successful cand...

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