Pub Date : 2026-01-21DOI: 10.1016/j.jeca.2026.e00453
Nikos Fatouros , Myrto Kasioumi
Economists and policymakers have deemed the green energy transition as one of the most effective tools for tackling climate change. Generally, strategic interactions across countries play a significant role in the effectiveness of environmental policies. This paper emphasizes the critical role of cross-border coordination. Our analysis builds upon a standard macroeconomic model of energy policy choices to incorporate emission externalities from neighboring countries and examine how these countries’ actions influence domestic decisions regarding the green transition. Our findings suggest that countries transition slowly because foreign emissions reduce the perceived benefits of domestic decarbonization. Thus, countries remain trapped in a Prisoner’s Dilemma, while international cooperation is a key mechanism for achieving the socially optimal outcome.
{"title":"Green energy transition and the importance of cross-border coordination","authors":"Nikos Fatouros , Myrto Kasioumi","doi":"10.1016/j.jeca.2026.e00453","DOIUrl":"10.1016/j.jeca.2026.e00453","url":null,"abstract":"<div><div>Economists and policymakers have deemed the green energy transition as one of the most effective tools for tackling climate change. Generally, strategic interactions across countries play a significant role in the effectiveness of environmental policies. This paper emphasizes the critical role of cross-border coordination. Our analysis builds upon a standard macroeconomic model of energy policy choices to incorporate emission externalities from neighboring countries and examine how these countries’ actions influence domestic decisions regarding the green transition. Our findings suggest that countries transition slowly because foreign emissions reduce the perceived benefits of domestic decarbonization. Thus, countries remain trapped in a Prisoner’s Dilemma, while international cooperation is a key mechanism for achieving the socially optimal outcome.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"33 ","pages":"Article e00453"},"PeriodicalIF":0.0,"publicationDate":"2026-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146038124","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-01-17DOI: 10.1016/j.jeca.2026.e00452
Mehmet Pinar
Energy security is essential for building resilient economies and sustaining economic growth, as it directly influences productivity, competitiveness, and overall economic performance. While existing research has explored the relationship between energy security and economic development, the asymmetric effects of energy security on economic performance remain underexamined. This paper seeks to address that gap. To test the asymmetric effects of energy security, we use various energy security proxies (domestic energy production relative to consumption, energy production per capita, renewable energy share, energy intensity, and energy consumption per capita) and employ a panel dataset of 117 countries from 2000 to 2022, and apply a panel quantile estimation method. The results reveal strong heterogeneity across income levels. Energy production relative to consumption and population, and energy consumption per capita, have stronger positive effects on GDP per capita in lower quantiles, highlighting the importance of energy availability and access in the early stages of development. By contrast, the renewable energy share has a negative effect in poorer economies but turns positive in richer economies, reflecting the high costs of renewable energy adoption for low-income countries and the benefits it generates in advanced economies. Energy intensity consistently has a negative impact, but the magnitude varies nonlinearly across quantiles, underscoring the role of energy efficiency. The results are robust to alternative sample compositions excluding microstates and to an aggregate measure of energy security constructed using principal component analysis. Overall, the findings suggest that energy policy should be tailored to countries’ development levels.
{"title":"Asymmetric effect of energy security on economic performance: evidence from panel quantile regression","authors":"Mehmet Pinar","doi":"10.1016/j.jeca.2026.e00452","DOIUrl":"10.1016/j.jeca.2026.e00452","url":null,"abstract":"<div><div>Energy security is essential for building resilient economies and sustaining economic growth, as it directly influences productivity, competitiveness, and overall economic performance. While existing research has explored the relationship between energy security and economic development, the asymmetric effects of energy security on economic performance remain underexamined. This paper seeks to address that gap. To test the asymmetric effects of energy security, we use various energy security proxies (domestic energy production relative to consumption, energy production per capita, renewable energy share, energy intensity, and energy consumption per capita) and employ a panel dataset of 117 countries from 2000 to 2022, and apply a panel quantile estimation method. The results reveal strong heterogeneity across income levels. Energy production relative to consumption and population, and energy consumption per capita, have stronger positive effects on GDP per capita in lower quantiles, highlighting the importance of energy availability and access in the early stages of development. By contrast, the renewable energy share has a negative effect in poorer economies but turns positive in richer economies, reflecting the high costs of renewable energy adoption for low-income countries and the benefits it generates in advanced economies. Energy intensity consistently has a negative impact, but the magnitude varies nonlinearly across quantiles, underscoring the role of energy efficiency. The results are robust to alternative sample compositions excluding microstates and to an aggregate measure of energy security constructed using principal component analysis. Overall, the findings suggest that energy policy should be tailored to countries’ development levels.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"33 ","pages":"Article e00452"},"PeriodicalIF":0.0,"publicationDate":"2026-01-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"146038125","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-01-12DOI: 10.1016/j.jeca.2026.e00450
Jallynna Usun , Dzul Hadzwan Husaini , Shazali Abu Mansor
This study hypothesizes that an increase in migrant workers may introduce asymmetric effects into the Phillips curve relationship in dynamic and open economies. As the share of migrant workers increases, the traditional price level–unemployment–output trade-off could become asymmetric, potentially reshaping price dynamics through labor market imbalances. Malaysia and Singapore have been used as case studies to explore this evolving structural asymmetry. Time series analysis has been employed to carefully analyze the sample study over the period 1980 to 2021. The findings reveal that gross domestic product (GDP), has a positive effect on the consumer price index (CPI), and that this effect is significantly amplified by higher levels of migrant workers. Conversely, while rising unemployment typically exerts downward pressure on price level, this negative effect is weakened in the presence of a larger migrant workforce. These results suggest that migrant workers play a key role in reshaping price dynamics. Given the role of migrant workers in amplifying price pressures, policymakers must carefully balance price level and income growth in order to preserve real gains and support sustainable economic development.
{"title":"Do migrant workers introduce asymmetries in the Phillips curve?","authors":"Jallynna Usun , Dzul Hadzwan Husaini , Shazali Abu Mansor","doi":"10.1016/j.jeca.2026.e00450","DOIUrl":"10.1016/j.jeca.2026.e00450","url":null,"abstract":"<div><div>This study hypothesizes that an increase in migrant workers may introduce asymmetric effects into the Phillips curve relationship in dynamic and open economies. As the share of migrant workers increases, the traditional price level–unemployment–output trade-off could become asymmetric, potentially reshaping price dynamics through labor market imbalances. Malaysia and Singapore have been used as case studies to explore this evolving structural asymmetry. Time series analysis has been employed to carefully analyze the sample study over the period 1980 to 2021. The findings reveal that gross domestic product (GDP), has a positive effect on the consumer price index (CPI), and that this effect is significantly amplified by higher levels of migrant workers. Conversely, while rising unemployment typically exerts downward pressure on price level, this negative effect is weakened in the presence of a larger migrant workforce. These results suggest that migrant workers play a key role in reshaping price dynamics. Given the role of migrant workers in amplifying price pressures, policymakers must carefully balance price level and income growth in order to preserve real gains and support sustainable economic development.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"33 ","pages":"Article e00450"},"PeriodicalIF":0.0,"publicationDate":"2026-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145978262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2026-01-08DOI: 10.1016/j.jeca.2026.e00449
Manuel A. Zambrano-Monserrate , Naila Erum , Brahim Bergougui
This research examines how the adoption of industrial robots (IR) has influenced the energy intensity of Chinese manufacturing firms between 2011 and 2019. Using a combination of fixed-effects (FE-OLS), instrumental-variable (IV/2SLS), and Method of Moments Quantile Regression (MMQR) estimations, the analysis investigates both average and distributional effects. In addition, an Enterprise Innovation and Efficiency Index (EIEI) is introduced as an exploratory indicator that summarizes firms’ investment capacity, financial structure, and managerial incentives. The findings reveal that industrial robots are generally associated with lower energy intensity, with stronger reductions observed among firms at the upper end of the distribution. The business cycle itself shows no direct influence, although its interaction with IR becomes relevant during periods of economic expansion. In highly concentrated industries, energy intensity tends to fall, but this effect weakens when automation deepens. Environmental regulation on its own is not significant; however, when combined with IR, it can temporarily raise energy use as firms adjust to new technologies. The EIEI results indicate that companies with stronger internal capabilities—greater investment resources, sound financial positions, and effective management—are better placed to achieve lasting energy efficiency. These findings emphasize the importance of promoting robotic automation in energy-intensive firms while aligning complementary strategies for sustainability.
{"title":"Asymmetric effects of industrial robots on energy intensity: The moderating role of macroeconomic factors","authors":"Manuel A. Zambrano-Monserrate , Naila Erum , Brahim Bergougui","doi":"10.1016/j.jeca.2026.e00449","DOIUrl":"10.1016/j.jeca.2026.e00449","url":null,"abstract":"<div><div>This research examines how the adoption of industrial robots (IR) has influenced the energy intensity of Chinese manufacturing firms between 2011 and 2019. Using a combination of fixed-effects (FE-OLS), instrumental-variable (IV/2SLS), and Method of Moments Quantile Regression (MMQR) estimations, the analysis investigates both average and distributional effects. In addition, an Enterprise Innovation and Efficiency Index (EIEI) is introduced as an exploratory indicator that summarizes firms’ investment capacity, financial structure, and managerial incentives. The findings reveal that industrial robots are generally associated with lower energy intensity, with stronger reductions observed among firms at the upper end of the distribution. The business cycle itself shows no direct influence, although its interaction with IR becomes relevant during periods of economic expansion. In highly concentrated industries, energy intensity tends to fall, but this effect weakens when automation deepens. Environmental regulation on its own is not significant; however, when combined with IR, it can temporarily raise energy use as firms adjust to new technologies. The EIEI results indicate that companies with stronger internal capabilities—greater investment resources, sound financial positions, and effective management—are better placed to achieve lasting energy efficiency. These findings emphasize the importance of promoting robotic automation in energy-intensive firms while aligning complementary strategies for sustainability.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"33 ","pages":"Article e00449"},"PeriodicalIF":0.0,"publicationDate":"2026-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145927155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper aims to shed light on the dynamic interactions between the US Consumer Price Index and the Bureau of Labor Statistics Producer Price Index component for fuels and related products and power, using threshold cointegration together with parametric and non-parametric causality tests. This integrated approach not only validates findings across methods but also reveals more nuanced short-term dynamics than any single test could capture. The empirical results show that, in the long-run, disequilibrium states characterized as “turbulent” are mainly detected before 2000. On the other hand, “normal” regimes appear particularly after 2000. In the short-run, we observe a significant feedback relationship in the pre-2000 period, while a tendency of energy prices to cause the Consumer Price Index dominates in the post-2000 sample. This behavior highlights that the transmission of energy price shocks to the Consumer Price Index is asymmetric and evolves over time, providing useful insights for policymakers and market participants.
{"title":"Exploring dynamic interactions between energy prices and CPI","authors":"Maddalena Cavicchioli , Catherine Kyrtsou , Angeliki Papana","doi":"10.1016/j.jeca.2025.e00446","DOIUrl":"10.1016/j.jeca.2025.e00446","url":null,"abstract":"<div><div>This paper aims to shed light on the dynamic interactions between the US Consumer Price Index and the Bureau of Labor Statistics Producer Price Index component for fuels and related products and power, using threshold cointegration together with parametric and non-parametric causality tests. This integrated approach not only validates findings across methods but also reveals more nuanced short-term dynamics than any single test could capture. The empirical results show that, in the long-run, disequilibrium states characterized as “turbulent” are mainly detected before 2000. On the other hand, “normal” regimes appear particularly after 2000. In the short-run, we observe a significant feedback relationship in the pre-2000 period, while a tendency of energy prices to cause the Consumer Price Index dominates in the post-2000 sample. This behavior highlights that the transmission of energy price shocks to the Consumer Price Index is asymmetric and evolves over time, providing useful insights for policymakers and market participants.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"33 ","pages":"Article e00446"},"PeriodicalIF":0.0,"publicationDate":"2025-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145885125","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-22DOI: 10.1016/j.jeca.2025.e00448
Gabriel Rodríguez , Joseph Santisteban
Following Chan and Eisenstat (2018a), we use a family of regime-switching models to analyze the evolution of fiscal shocks impacts on Peru’s economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fit with the inclusion of regime switching volatility (RSV); (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and demand variables, and extending the sample to 2022Q4 to encompass the COVID-19 crisis.
{"title":"Regime-switching, fiscal policy shocks and macroeconomic fluctuations in Peru","authors":"Gabriel Rodríguez , Joseph Santisteban","doi":"10.1016/j.jeca.2025.e00448","DOIUrl":"10.1016/j.jeca.2025.e00448","url":null,"abstract":"<div><div>Following Chan and Eisenstat (2018a), we use a family of regime-switching models to analyze the evolution of fiscal shocks impacts on Peru’s economic growth from 1995Q1 to 2019Q4. Key findings include: (i) identification of two distinct economic regimes with different macroeconomic fundamentals tied to improvements in fiscal and monetary policy; (ii) enhanced model fit with the inclusion of regime switching volatility (RSV); (iii) a positive trend in the size of spending multipliers, though they remain below unity; (iv) during the 2008 Global Financial Crisis, capital expenditure shocks mitigated the decline in economic growth by 2 percentage points, highlighting their counter-cyclical potential. These findings are corroborated by robustness checks, which include changes in priors, variable reordering, adjustments in external and demand variables, and extending the sample to 2022Q4 to encompass the COVID-19 crisis.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"33 ","pages":"Article e00448"},"PeriodicalIF":0.0,"publicationDate":"2025-12-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145841929","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-12-17DOI: 10.1016/j.jeca.2025.e00447
Emanuele Caggiano , Filippo Maurici
This paper investigates the asymmetric effects of business cycle volatility on economic growth in a panel of 99 countries over 1951–2019. Within a -convergence framework, we decompose cyclical dynamics into three components: position relative to trend, amplitude of deviations, and phase. Three key findings emerge. First, we find robust evidence of -convergence, which is stronger in per-capita terms than in aggregate output, showing that demographic dynamics partly mask the pace of productivity-driven catch-up. Second, large deviations from trend carry a significant growth penalty, pointing to stable slope asymmetry across specifications. Third, phase effects are not statistically significant, indicating that expansions and recessions do not produce structural jumps in average growth. A Gaussian-mixture clustering of volatility regimes further reveals that pooled regressions are dominated by low-volatility observations, while in high-volatility environments convergence is sharper and volatility costs are more severe. Overall, the evidence supports models in which volatility magnifies effective risk and depresses investment, and highlights the need for stabilization strategies that are both counter-cyclical and volatility-sensitive.
{"title":"Gone with the cycle: The asymmetric impact of business cycle on growth","authors":"Emanuele Caggiano , Filippo Maurici","doi":"10.1016/j.jeca.2025.e00447","DOIUrl":"10.1016/j.jeca.2025.e00447","url":null,"abstract":"<div><div>This paper investigates the asymmetric effects of business cycle volatility on economic growth in a panel of 99 countries over 1951–2019. Within a <span><math><mi>β</mi></math></span>-convergence framework, we decompose cyclical dynamics into three components: position relative to trend, amplitude of deviations, and phase. Three key findings emerge. First, we find robust evidence of <span><math><mi>β</mi></math></span>-convergence, which is stronger in per-capita terms than in aggregate output, showing that demographic dynamics partly mask the pace of productivity-driven catch-up. Second, large deviations from trend carry a significant growth penalty, pointing to stable slope asymmetry across specifications. Third, phase effects are not statistically significant, indicating that expansions and recessions do not produce structural jumps in average growth. A Gaussian-mixture clustering of volatility regimes further reveals that pooled regressions are dominated by low-volatility observations, while in high-volatility environments convergence is sharper and volatility costs are more severe. Overall, the evidence supports models in which volatility magnifies effective risk and depresses investment, and highlights the need for stabilization strategies that are both counter-cyclical and volatility-sensitive.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"33 ","pages":"Article e00447"},"PeriodicalIF":0.0,"publicationDate":"2025-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145760738","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-01DOI: 10.1016/j.jeca.2025.e00440
Sofia Vidalis , Iordanis Petsas , Jinghan Cai , Runqing Guan , Yunzhi Lu , Aram Balagyozyan
In this paper we use the board gender diversity reforms as a quasi-natural experiment to study how female participation in the board affects firm values. We find that the market shows asymmetric responses in the short run vs. in the long run: the Jensen's alphas of the firms significantly increase after the board gender reform, but the short-run cumulative abnormal returns are significantly negative. Notably, these effects are stronger in European countries, where integrated regulatory frameworks amplify the positive impact on firm performance. Our empirical results are highly consistent with the literature that documents board gender diversity promotes innovations (Griffin et al., 2021): Short-run investor skepticism, transitional frictions, together with a constant beta may lead to a temporary negative CAR, but in the long run, higher level innovations lead to lower beta and better performance, resulting in higher Jensen's alpha.
本文以董事会性别多元化改革为准自然实验，研究女性参与董事会对企业价值的影响。我们发现，在董事会性别改革后，市场在短期和长期表现出不对称的反应：公司的Jensen α显著增加，但短期累积异常收益显著为负。值得注意的是，这些影响在欧洲国家更为强烈，在那里，综合监管框架放大了对公司绩效的积极影响。我们的实证结果与记录董事会性别多样性促进创新的文献高度一致（Griffin et al., 2021）：短期投资者怀疑、过渡摩擦以及恒定的beta可能导致暂时的负CAR，但从长远来看，更高水平的创新会导致更低的beta和更好的绩效，从而导致更高的Jensen’s alpha。
{"title":"Does female participation improve firm value? Board gender diversity reform and asymmetric market responses","authors":"Sofia Vidalis , Iordanis Petsas , Jinghan Cai , Runqing Guan , Yunzhi Lu , Aram Balagyozyan","doi":"10.1016/j.jeca.2025.e00440","DOIUrl":"10.1016/j.jeca.2025.e00440","url":null,"abstract":"<div><div>In this paper we use the board gender diversity reforms as a quasi-natural experiment to study how female participation in the board affects firm values. We find that the market shows asymmetric responses in the short run vs. in the long run: the Jensen's alphas of the firms significantly increase after the board gender reform, but the short-run cumulative abnormal returns are significantly negative. Notably, these effects are stronger in European countries, where integrated regulatory frameworks amplify the positive impact on firm performance. Our empirical results are highly consistent with the literature that documents board gender diversity promotes innovations (Griffin et al., 2021): Short-run investor skepticism, transitional frictions, together with a constant beta may lead to a temporary negative CAR, but in the long run, higher level innovations lead to lower beta and better performance, resulting in higher Jensen's alpha.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"32 ","pages":"Article e00440"},"PeriodicalIF":0.0,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145415055","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-01DOI: 10.1016/j.jeca.2025.e00439
Mehdi Mili , Ebrahim Sohrab , Tahar Hamza
This study examines the asymmetric and time-varying volatility connectedness between clean and fossil energy markets, focusing on nonlinear dependencies and tail risk dynamics. Using a GJR-GARCH model combined with a time-varying GAS copula, we analyze co-movements and tail dependence between clean energy indices and three major fossil fuel markets: Brent Crude, Natural Gas, and Heating Oil. This approach captures features like fat tails, volatility clustering, and asymmetric spillovers, offering deeper insights into inter-market relationships under stress. Results reveal stronger tail co-movements and volatility spillovers during downturns — patterns that static models often miss. The GAS copula framework effectively tracks evolving correlations and volatilities, outperforming constant Copula models. Risk assessments using Value at Risk and Expected Shortfall emphasize the asymmetric nature of downside risk, showing that diversification benefits vary across market regimes. These findings emphasize the need to model asymmetries for more resilient portfolio construction and climate-sensitive risk management in energy finance. They carry important implications for energy portfolio diversification, climate policy design, and the management of systemic financial risk in energy markets.
{"title":"Green transitions and asymmetric volatility spillovers: A time-varying GAS copula analysis of clean and fossil energy markets","authors":"Mehdi Mili , Ebrahim Sohrab , Tahar Hamza","doi":"10.1016/j.jeca.2025.e00439","DOIUrl":"10.1016/j.jeca.2025.e00439","url":null,"abstract":"<div><div>This study examines the asymmetric and time-varying volatility connectedness between clean and fossil energy markets, focusing on nonlinear dependencies and tail risk dynamics. Using a GJR-GARCH model combined with a time-varying GAS copula, we analyze co-movements and tail dependence between clean energy indices and three major fossil fuel markets: Brent Crude, Natural Gas, and Heating Oil. This approach captures features like fat tails, volatility clustering, and asymmetric spillovers, offering deeper insights into inter-market relationships under stress. Results reveal stronger tail co-movements and volatility spillovers during downturns — patterns that static models often miss. The GAS copula framework effectively tracks evolving correlations and volatilities, outperforming constant Copula models. Risk assessments using Value at Risk and Expected Shortfall emphasize the asymmetric nature of downside risk, showing that diversification benefits vary across market regimes. These findings emphasize the need to model asymmetries for more resilient portfolio construction and climate-sensitive risk management in energy finance. They carry important implications for energy portfolio diversification, climate policy design, and the management of systemic financial risk in energy markets.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"32 ","pages":"Article e00439"},"PeriodicalIF":0.0,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145568265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2025-11-01DOI: 10.1016/j.jeca.2025.e00442
Malek Abaab , Mohamed Drira , Kamel Helali
This study employs a Panel Smooth Transition Autoregressive (PSTAR) model to investigate the impact of bank liquidity on bank performance, using a sample of 113 banks across 14 G20 countries from 2000 to 2022. The empirical findings reveal a nonlinear relationship characterized by two LDR thresholds at 51.558 and 54.022. In the first regime, bank liquidity exerts an adverse effect on performance, reflecting the costs of excessive idle reserves. In the second regime, the impact of liquidity turns positive, albeit moderate, indicating that banks begin to deploy their liquid resources more efficiently. In the third regime, the positive effect intensifies, with a stronger coefficient, demonstrating that optimal liquidity levels can significantly enhance profitability. Robustness checks using the system GMM approach confirm this nonlinear, inverted-U relationship, with a positive effect of 0.067 and a negative squared term of 0.64e−3, highlighting diminishing marginal returns to liquidity at higher levels. Furthermore, the analysis uncovers significant, positive interaction effects: liquidity combined with solvency strengthens bank performance; liquidity deployed through loans amplifies profitability; and the interaction between liquidity and debt ratios also positively affects performance. These findings indicate that regulators and central banks should adopt flexible liquidity policies that encourage banks to deploy excess funds productively while maintaining adequate buffers, with substantial capital and prudent leverage frameworks enhancing financial stability and sustainable profitability across G20 banking systems.
{"title":"Regime-switching model estimates the impact of bank liquidity on bank performance across G20 countries: a moderate role for solvency, total loans, and total debt","authors":"Malek Abaab , Mohamed Drira , Kamel Helali","doi":"10.1016/j.jeca.2025.e00442","DOIUrl":"10.1016/j.jeca.2025.e00442","url":null,"abstract":"<div><div>This study employs a Panel Smooth Transition Autoregressive (PSTAR) model to investigate the impact of bank liquidity on bank performance, using a sample of 113 banks across 14 G20 countries from 2000 to 2022. The empirical findings reveal a nonlinear relationship characterized by two LDR thresholds at 51.558 and 54.022. In the first regime, bank liquidity exerts an adverse effect on performance, reflecting the costs of excessive idle reserves. In the second regime, the impact of liquidity turns positive, albeit moderate, indicating that banks begin to deploy their liquid resources more efficiently. In the third regime, the positive effect intensifies, with a stronger coefficient, demonstrating that optimal liquidity levels can significantly enhance profitability. Robustness checks using the system GMM approach confirm this nonlinear, inverted-U relationship, with a positive effect of 0.067 and a negative squared term of 0.64e<sup>−3</sup>, highlighting diminishing marginal returns to liquidity at higher levels. Furthermore, the analysis uncovers significant, positive interaction effects: liquidity combined with solvency strengthens bank performance; liquidity deployed through loans amplifies profitability; and the interaction between liquidity and debt ratios also positively affects performance. These findings indicate that regulators and central banks should adopt flexible liquidity policies that encourage banks to deploy excess funds productively while maintaining adequate buffers, with substantial capital and prudent leverage frameworks enhancing financial stability and sustainable profitability across G20 banking systems.</div></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"32 ","pages":"Article e00442"},"PeriodicalIF":0.0,"publicationDate":"2025-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145464864","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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