Claudiu Tiberiu Albulescu

Polytechnic University of Timisoara · Management

We test the interaction between governments’ COVID-19 interventions, COVID-19-induced uncertainty, and the volatility of sovereign bonds. Different from previous literature, we investigate the asymmetric response of bond market volatility to both governmental interventions and COVID-19-induced uncertainty. With a focus on the first waves of the pan...

In this preface, we investigate the past, study the present, and look for the future of financial modeling, risk management of energy and environmental instruments, and derivatives based on articles selected in this special issue (SI). We also summarize the significant findings of those articles and identify the research trends.

This study investigates the co-movements of gasoline and diesel prices in three European countries (i.e. Germany, France, and Italy) with different fuel tax systems in place. The methodology follows a time–frequency approach, allowing us to analyse the co-movements at different frequencies and moments in time. As a novelty, we study the impact of f...

Using data on 17 listed public banks from Russia over the period 2008 to 2016, we analyze whether international oil prices affect the bank stability in an oil-dependent country. We resort to a Pool Mean Group (PMG) estimator, and we show that an increase in oil prices has a long-run positive effect on Russian public banks stability. While positive...

This paper uses a quantile fixed-effect panel data approach to investigate how environmental policy stringency affects CO2 emissions in a set of 32 countries from 1990 to 2015, using OECD data. This approach allows us to identify the asymmetric impact of policy stringency on emissions, considering the emission level recorded in each analysed countr...

We study the impact of financial performance and corporate governance on the productivity of the Romanian Research and Development (R&D) sector. We draw on a dataset consisting of 116 Romanian R&D companies covering the time span from 2007 to 2016. Firm productivity is computed using several metrics of TFP (total factor productivity). We show, base...

This paper aims to analyze how the Education for Sustainable Development (ESD), a concept developed by the Organisation for Economic Co-operation and Development (OECD), can contribute to achieving environmental sustainability. Universities have a key role to play in understanding global environmental challenges through education, research, and com...

This paper assesses the convergence process in the health care expenditure for selected European Union (EU) countries over the past 50 years. As a novel contribution, we use bound unit root tests and, for robustness purposes, a series of tests for strict stationarity to provide new insights about the convergence process. We make a comparison betwee...

This paper uses a quantile fixed-effect panel data approach to investigate how environmental policy stringency affects CO2 emissions in a set of 32 OECD countries from 1990 to 2015. This approach allows us to identify the asymmetric impact of policy stringency on emissions, considering the emission level recorded in each analysed country. More prec...

The automotive industry dominates the economy of the west part of Romania, making necessary the identification of firm growth drivers. Accordingly, the purpose of this paper is to analyse the nonlinear impact of firm size in influencing firm growth. To do so, we use a panel quantile regression with fixed effects for a set of 19 automotive companies...

BACKGROUND: Productivity is essential for economic development. However, the computation of the total factor productivity (TFP) for research and development (R&D) firms is largely ignored by the previous literature, in particular in the Eastern European countries. OBJECTIVE: The purpose of this paper is to analyze to what extent the national human...

The purpose of the paper is to detect the changes in the causal relationship between international oil prices and the US dollar real effective exchange rate, using the Shi et al., 2018, Shi et al., 2020 approach. The proposed recursive evolving methods allow the identification of the causal change in the oil – exchange rate nexus – and of precise e...

We provide a new investigation of the relationship between oil and stock prices in the context of the outbreak of the new coronavirus crisis. Specifically, we assess to what extent the uncertainty induced by COVID-19 affects the interaction between oil and the United States (US) stock markets. To this end, we use a wavelet approach and daily data f...

After a long transition period, the Central and Eastern European (CEE) capital markets have consolidated their place in the financial systems. However, little is known about the price behavior and efficiency of these markets. In this context, using a battery of tests for nonlinear and chaotic behavior, we look for the presence of nonlinearities and...

We investigate the co-movements of fuel prices among France, Germany and Italy, using weekly data from January 3, 2005 to November 9, 2020 and making use of a time-frequency framework. Our wavelet coherence analysis indicates strong co-movements at medium and small frequencies, which are largely driven by the international oil prices. Further, when...

This paper investigates the degree of total factor productivity (TFP) convergence for the German electricity and gas industry. We use different approaches to compute the productivity level and several classic and new second-generation panel unit root tests to check the existence of a convergence process. For robustness purposes, we compare the conv...

We provide a new investigation of the relationship between oil and stock prices in the context of the outbreak of the new coronavirus crisis. Specifically, we assess to what extent the uncertainty induced by COVID-19 affects the interaction between oil and the United States (US) stock markets. To this end, we use a wavelet approach and daily data f...

This paper investigates the effect of COVID-19 and crude oil prices on the United States (US) economic policy uncertainty (EPU), with a focus on the pre-pandemic phase of the sanitary crisis. Using daily data for the period January 21 – March 13, 2020, our Autoregressive Distributed Lag (ARDL) model shows that the new infection cases reported at gl...

This paper analyzes the factors explaining the slight decrease of CO2 emissions in the European Union (EU), recorded during the last period. With a focus on 12 EU countries, we apply a panel data analysis over the period 1990 to 2017 and we investigate the impact of renewable energy share in energy production, and the role of EU environmental regul...

We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to di...

Recent inflation dynamics in the United States (US) questioned the role of driving forces of inflation in the long run. Although the US recorded one of the longest economic recovery periods and the labour market conditions improved after the Global crisis from 2008 to 2009, the inflation level remained relatively low. Starting from this evidence, t...

This work assesses the influence of financial constraints on firms’ investment structure. Previous works state that financially constrained firms chose to invest more in tangible assets, in the detriment of intangible assets. However, none of these researches investigated the structure of investment of firms from scientific R&D industry. Therefore,...

As industries develop, the factors driving their valuations also change. During the initial development phase, perceived business potential is the main factor, while during the growth and maturity phases, other factors such as size, market position, and lastly profitability and cash flow become the main drivers. The study looks at the evolution of...

This paper studies the extreme dependencies among energy, agriculture and metal commodities markets, with an emphasis on local co-movements. By applying a novel, copula-based, local Kendall's tau approach to measure nonlinear local dependence in regions, we identified asymmetric co-movements in and between bull and bear markets, as well as the chan...

This paper tests the long-run role of renewables’ share in electricity production and of total energy consumption in explaining the CO2 emissions resulting from fuel combustion. As documented earlier in the literature, the energy consumption has one of the most important influences on the carbon emissions. Nevertheless, there is no agreement about...

Using data on 17 listed public banks from Russia over the period 2008 to 2016, we analyze whether international oil prices affect the bank stability in an oil-dependent country. We posit that a decrease in international oil prices has a negative long-run macroeconomic impact for an oil-exporting country, which further deteriorates the bank financia...

Annals of Operations Research invites submissions for a special issue on "Financial Modelling and Risk Management of Energy and Environmental Instruments and Derivatives". The deadline for submission is 31 January 2021. This an open call for papers directed to all the researchers and analysts in this area. Submission will begin 31 July 2020 and cl...

Unlike most prior studies examining the causal relationship between the overall stock market and real estate securities, this study investigates the causal relationship between banking and real estate sectors in the US within a quantile causality framework by using daily data from August 31, 2006, to September 9, 2016. The non-linearity tests we us...

This paper investigates the effect of the novel coronavirus and crude oil prices on the United States (US) economic policy uncertainty (EPU). Using daily data for the period January 21-March 13, 2020, our Autoregressive Distributed Lag (ARDL) model shows that the new infection cases reported at global level, and the death ratio, have no significant...

Coronavirus (COVID-19) creates fear and uncertainty, hitting the global economy and amplifying the financial markets volatility. The oil price reaction to COVID-19 was gradually accommodated until March 09, 2020, when, 49 days after the release of the first coronavirus monitoring report by the World Health Organization (WHO), Saudi Arabia floods th...

40 days after the start of the international monitoring of COVID-19, we search for the effect of official announcements regarding new cases of infection and death ratio on the financial markets volatility index (VIX). Whereas the new cases reported in China and outside China have a mixed effect on financial volatility, the death ratio positively in...

This paper studies the extreme dependencies between energy, agriculture and metal commodity markets, with a focus on local co-movements, allowing the identification of asymmetries and changing trend in the degree of co-movements. More precisely, starting from a non-parametric mixture copula, we use a novel copula-based local Kendall's tau approach...

This paper assesses the role of financial performance in explaining firms' investment dynamics in the wine industry from the three European Union (EU) largest producers. The wine sector deserves special attention to investigate firms' investment behavior given the high competition imposed by the latecomers. More precisely, we investigate how the ca...

This study examines the dependence and contagion risk between Bitcoin (BTC), Litecoin (LTC) and Ripple (XRP) using non-parametric mixture copulas (developed by Zimmer, 2012) and recently proposed methods of full-range tail dependence copulas (advanced by Hua, 2017, Su and Hua, 2017), for the period from 04-08-2013 to 17-06-2018. The Chi-plots and K...

We examine the frequency domain connectedness among international crude oil and agriculture commodities, covering the period of 1990M1-2017M5. The frequency domain connectedness is examined at three frequencies, which roughly correspond to one to six months, six to twelve months, and a period of more than twelve months. We also use a network based...

We provide novel insight to the emerging literature on the role of U.S. monetary policy as a driver of a global financial cycle by examining the possible causal effect of U.S. economic policy uncertainty on the connectedness of crude oil and currency markets, using a sample of commodity currencies from advanced and emerging nations. A battery of li...

This paper replicates estimates according to Sapkota and Bastola (2017) and provides additional insights for the relationship between Foreign Direct Investment (FDI), income and environmental pollution in Latin America. To this end, we address the heterogeneity in terms of economic development and environmental pollution, heterogeneity that charact...

We explore the possible causal effect of economic policy uncertainty on the connectedness of crude oil and currency markets using a sample of commodity currencies from advanced and emerging nations. A battery of linear and nonlinear Granger-based causality tests indicate the presence of a causal relationship between economic policy uncertainty and...

Inside the EU, the commercial integration of the CEE countries has gained remarkable momentum before the crisis appearance, but it has slightly slowed down afterwards. Consequently, the interest in identifying the factors supporting the commercial integration process is high. Recent findings in the new trade theory suggest that FDI influence the tr...

This paper investigates the effect of currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro on CEE money demand functions. In addition, we develop a model with microeconomic foundations, which identifies the difference between currency substitution and money demand sensitivity to exchange rate var...

We provide new evidence on the relationship between inflation and its uncertainty in the United States on an historical basis, covering the period from 1775 to 2014. First, we use a bounded approach for measuring inflation uncertainty, as proposed by Chan et al. (2013), and compare the results with the Stock and Watson (2007) and Chan (2015) method...

This paper tests the stability of the money-demand function in selected Central and Eastern European countries and investigates the extent to which money helps predict inflation. We first show that long-run money demand is better described with an open-economy model, which considers a currency-substitution effect, rather than the closed-economy mod...

Romania has recently begun the exploration of shale gas reserves and, it is expected that these unconventional resources to be exploited by hydraulic fracturing. The use of this technology is controversial in high-populated areas, where the economic, social and especially the environmental impact is practically unknown. However, for the public opin...

We investigate the long-run relationship between profitability, liquidity and capitalization for companies acting in the public administration and defense sector from Hungary and Romania, using firm-level data for the period 2006–2015. Our panel cointegration analysis proves the existence of a long-run relationship between the analyzed variables. T...

We generalize a money demand micro-founded model to explain Romanians’ recent loss of interest for the euro. We show that the reason behind this loss of interest is a severe decline in the relative degree of the euro liquidity against that of the Romanian leu. Our empirical findings also suggest that the two currencies are rather complements than s...

This paper investigates the bivariate dependence structure between four international exchange rates (EUR, GBP, CAD, JPY), against the US Dollar, using daily data for the time-span 1999–2014. We use different time-invariant and time-varying copula functions with different forms of tail dependence, and discover a positive dependence between all exch...

This study contributes to the literature on metal commodity market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet coherence analysis to nonferrous metal futures markets in Shanghai and London. We show that London's nonferrous futures market generally leads Shanghai's...

This paper tests the relationship between cash flow and the investment decision of firms from the Romanian agriculture sector. Although the role of cash flow in influencing the investment decision is explained by the financial frictions theory, the investment – cash flow nexus is controversial in empirical investigations. However, only few studies...

We apply a series of bounded unit root tests to revisit the unemployment persistence in eight European Union (EU) countries. We find strong evidence in favour of the hysteresis hypothesis in all the cases. This result can be explained by a reduced labour mobility, a decreasing wage inflation and a high uncertainty regarding the future level of unem...

In the present paper, we assess the long-run relationship between FDI inflows and the financial environment in 16 EU countries. For this purpose, we use a cointegration technique for heterogeneous panels and the FMOLS and DOLS estimators, over the period 2001–2015. We show that financial conditions are important for FDI inflows. More precisely, the...

In this paper, we explore the co-movements and contagion between six international stock index futures markets. In contrast to the empirical studies which dominate the literature and focus on the case of spot markets, relatively little is known about the returns and the volatility dynamics of the futures markets. To address this deficiency, we empl...

This paper investigates the impact of external and internal conditions on firms’ investment in CEE countries, applying a panel data analysis, over the time-span 2008–2014. We use AMADEUS statistics for 412 companies and we focus on the extractive industry. The external conditions are associated with the macroeconomic uncertainty related to the econ...

This study challenges the efficient market hypothesis, relying on the Dow Jones sector Exchange-Traded Fund (ETF) indices. For this purpose, we use the generalized Hurst exponent and multifractal detrended fluctuation analysis (MF-DFA) methods, using daily data over the timespan from 2000 to 2015. We compare the sector ETF indices in terms of marke...

This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variations. More precisely, we posit t...

The purpose of this paper is to investigate the degree of convergence in health expenditures for six EU countries over the time-span 1972 to 2013, namely Austria, Finland, Germany, Netherlands, Portugal and Spain. To examine the convergence of health expenditures we rely on the health expenditures to GDP ratio group average. Different from previous...

The purpose of this paper is to investigate the impact of counter-cyclical fiscal policies and FDI inflows on macroeconomic stabilization in the selected Euro area countries. Performing a panel data analysis for 9 economies over the timespan 1980-2014 and, using a Pooled Mean Group estimator, it was shown that a counter-cyclical fiscal policy, asso...

The second annual scientific conference of the Monetary and Economic Research Center (MRC) was held from 13th to 14th of October 2016 at the University of National and World Economy (UNWE) in Sofia, Bulgaria. Founded in 2014, MRC diffuses knowledge in monetary theory, history, policy and institutions, associating empirical researches, developing ne...

We use a continuous wavelet approach and deploy asymmetric, multi-horizon Granger-causality tests between the return series of the oil price and the India-US exchange rate, over the time-span 1980M1–2016M2. The results highlight important co-movements in the post-reform period, especially for the 2–4-years band. The wavelet Granger-causality tests...

In the wake of the inflation-targeting strategy in Romania, we estimate the impact of international oil prices upon the consumer price index (CPI) and core inflation. The inflation target was systematically missed by the monetary authorities who explain this failure by exogenous factors. Using a frequency domain framework, we show that the oil pric...

We generalize a money demand micro-founded model to explain Romanians' recent loss of interest for the euro. We show that the reason behind this loss of interest is a severe decline in the relative degree of the euro liquidity against that of the Romanian leu.

The present article assesses the role of entrepreneurship in strengthening the national innovative capacity of the European countries. For this purpose, we use the Global Entrepreneurship Monitor data for the entrepreneurial activity, while the innovative capacity is assessed based on the Global Innovation Index and the Summary Innovation Index. Ou...

This paper investigates the long-run relationship between the entrepreneurial activity, tax evasion and corruption in 15 European countries. We posit that tax evasion and corruption have a negative influence on entrepreneurship, but some endogeneity issues appear when investigating this relationship. Therefore, we use a panel cointegration analysis...

Labor productivity stands between the main indicators assessing national economic conditions and contributing to the economic growth and welfare. This paper adds to the literature investigating the macroeconomic determinants of labor productivity, focusing on the role of the International Organization for Standardization (ISO) quality certification...

This paper examines the stationarity properties of the renewable-to-total electricity consumption ratio. For this purpose we use Becker et al.’s (2006) flexible Fourier stationarity test as a benchmark, and the recent advanced Fourier ADF unit root test, for 90 countries, over the period 1980–2011. The results of the first test document the station...

This study applies ‘old’ and ‘new’ second-generation panel unit root tests to check the validity of the long-run real interest rate parity (RIP) hypothesis for ten Central and Eastern European Countries (CEECs) with respect to the Euro area and an average of the CEECs’ real interest rates. When the ‘new’ panel unit root tests are carried out relati...

This article uses a time–space approach to check the UK business cycle synchronization with Germany and the US. As a novelty, we consider the co-movements in terms of economic growth rate structure. In line with the existing studies, we discover that the UK business cycle is more synchronized with the US then with Germany, and that the co-movements...

We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. secto