Papers by Juha-Pekka Junttila
Empirical economics, May 23, 2024
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International Review of Economics & Finance, 2017
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RePEc: Research Papers in Economics, Feb 18, 2002
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International Review of Financial Analysis, Oct 1, 2022
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Routledge eBooks, Jun 15, 2023
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Social Science Research Network, 2003
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SSRN Electronic Journal
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SSRN Electronic Journal
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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.
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Renewable Energy
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SSRN Electronic Journal, 2021
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SSRN Electronic Journal, 2021
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SSRN Electronic Journal, 2021
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KTM Jussi Heikkilä (jussi.heikkila@jyu.fi) on projektitutkija, KTT Juha-Pekka Junttila (juha-pekk... more KTM Jussi Heikkilä (jussi.heikkila@jyu.fi) on projektitutkija, KTT Juha-Pekka Junttila (juha-pekka.j-p.junttila@jyu.fi) professori (vastaava kirjoittaja) ja KTM Samu Kärkkäinen (samu.p.p.karkkainen@jyu.fi) 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
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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.
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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.
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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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