Papers by Juha-Pekka Junttila
Empirical economics, May 23, 2024
Based on a strongly data-intensive machine learning approach, this study first identifies the mos... more Based on a strongly data-intensive machine learning approach, this study first identifies the most essential globally traded commodities in view of their role for the global macroeconomic performance. At the second stage we estimate a global vector autoregressive model to assess in more detail these global reactions. Our results from the first stage indicate that of the 55 analyzed commodity markets, only four are revealed as the most important. At the second step, our GVAR analysis indicates that the commodity market effects on macroeconomic activity are neither unanimous across the commodities nor across macrovariables. As an overall result, the commodity market exposure is clearly stronger among the advanced countries such as the euro area, other developed economies, and China, compared to the emerging economies of Africa, Asia, and Latin America, at both the country and regional levels. This puts a lot of pressure on economic policies aimed at reducing, e.g., the depriving effects of commodity market price development on aggregate economic performance of these countries.
International Review of Economics & Finance, 2017
We analyze the effects of stock market and exchange rate information in a forward-looking Taylor ... more We analyze the effects of stock market and exchange rate information in a forward-looking Taylor rule for monthly data from 14 OECD countries during the years 1999-2016. Especially the stock market information in the form of dividend but also the currency market information in the form of real exchange rate are revealed to be relevant in Taylor rule for many of the countries examined by helping to strengthen the role of inflation and real economic activity deviations in the policy rule. In many cases the rule also seems to be opportunistic, i.e., the inflation target has been timevarying.
RePEc: Research Papers in Economics, Feb 18, 2002
International Review of Financial Analysis, Oct 1, 2022
Routledge eBooks, Jun 15, 2023
Social Science Research Network, 2003
This paper investigates the stock market response to R&D expenditures in 11 industrial countries ... more This paper investigates the stock market response to R&D expenditures in 11 industrial countries to provide an international comparison of the value relevance of the R&D expenditures in different business and macroeconomic environments. The results indicate that there is a significantly positive connection between stock prices and the R&D expenditures in most of the countries even after controlling for the industry effect and the financial structure of the firm. The valuation impact of accounting losses is revealed to be different from that of profits.
Annals of Operations Research
This study analyses the impact of different uncertainties on commodity markets to assess commodit... more This study analyses the impact of different uncertainties on commodity markets to assess commodity markets' hedging or safe-haven properties. Using time-varying dynamic conditional correlation and wavelet-based Quantile-on-Quantile regression models, our findings show that, both before and during the COVID-19 crisis, soybeans and clean energy stocks offer strong safe-haven opportunities against cryptocurrency price uncertainty and geopolitical risks (GPR). Soybean markets weakly hedge cryptocurrency policy uncertainty, US economic policy uncertainty, and crude oil volatility. In addition, GSCI commodity and crude oil also offer a weak safe-haven property against cryptocurrency uncertainties and GPR. Consistent with earlier studies, our findings indicate that safe-haven traits can alter across frequencies and quantiles. Our findings have significant implications for investors and regulators in hedging and making proper decisions, respectively, under diverse uncertain circumstances.
SSRN Electronic Journal, 2021
SSRN Electronic Journal, 2021
SSRN Electronic Journal, 2021
KTM Jussi Heikkilä ([email protected]) on projektitutkija, KTT Juha-Pekka Junttila (juha-pekk... more KTM Jussi Heikkilä ([email protected]) on projektitutkija, KTT Juha-Pekka Junttila ([email protected]) professori (vastaava kirjoittaja) ja KTM Samu Kärkkäinen ([email protected]) jatko-opiskelija Jyväskylän yliopiston kauppakorkeakoulussa. Tutkimuksen tuloksia on esitetty Taloustutkijoiden XXXIV kesäseminaarissa sekä keväällä 2017 järjestetyllä Jyväskylän yliopiston kauppakorkeakoulun Talouspolitiikan analyysi -kurssilla. Kiitämme Roope Uusitaloa, Jukka Pekkarista, Aino Kalmbachia, Tuomas Takaloa, Mauri Kotamäkeä, Ralf Sundia sekä Taloustutkijoiden XXXIV kesäseminaarin ja Talouspolitiikan analyysi -kurssin osallistujia rakentavista kommenteista. Kiitämme myös anonyymia lausunnonantajaa ja Antti Suvantoa hyödyllisistä kommenteista. Talouspolitiikan epävarmuus ja talouskehitys: Empiirisiä havaintoja Suomesta
Macroeconomics: Consumption, 2016
In this paper, we construct a new disaggregated net financial wealth data set for the OECD and so... more In this paper, we construct a new disaggregated net financial wealth data set for the OECD and some emerging markets countries. We find that since the beginning of 1990s, the net wealth positions of countries have developed differently. First, for a group of central and northern European countries, as well as Canada and Japan, improvements in private sector net financial wealth have resulted in improvements in net national financial wealth despite worsening public sector net wealth positions. Second, in the crisis-ridden countries of Portugal, Ireland, Iceland, Greece and Spain, private sector net wealth position improvements have not compensated for deteriorating public sector situations. Third, the net financial wealth of post-communist transition economies decreased over the sample period due to worsening private sector positions, public sector positions, or both. However, this pattern has recently changed in most post-communist states.
Macroeconomics: Consumption, 2021
We incorporate the division of income between capital and labor into analysis on the relationship... more We incorporate the division of income between capital and labor into analysis on the relationship between inequality and growth. Using historical data, we document that changes in the top 1 % income shares are positively associated with subsequent growth of per capita GDP when the capital share of income is low, whereas under high capital share, the association is negative. We show that these findings are compatible with a theoretical analysis that emphasises how changes in the distribution of income translate into the accumulation of capital and overall economic activity through the interplay between precautionary saving motives and consumption smoothing. We also investigate how accounting for financial frictions affects our main findings.
Journal of Empirical Finance, 2021
This paper investigates the volatility processes of stablecoins and their potential stochastic in... more This paper investigates the volatility processes of stablecoins and their potential stochastic interdependencies with Bitcoin volatility. We employ a novel approach to choose the optimal combination for the power law exponent and the minimum value for the volatilities bending the power law. Our results indicate that Bitcoin volatility is well-behaved in a statistical sense with a finite theoretical variance. Surprisingly, the volatilities of stablecoins are statistically unstable and contemporaneously respond to Bitcoin volatility. Also, whereas the volatilities of stablecoins are not Granger-causal for Bitcoin volatility, lagged Bitcoin volatility exhibits Granger-causal effects on the volatilities of stablecoins. We conclude that Bitcoin volatility is a fundamental factor in the valuation of stablecoins.
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Papers by Juha-Pekka Junttila