Journal of Economic Asymmetries最新文献_第2页

Portfolio investment analysis and asymmetric shock transmission among green investment, fixed income, and commodity markets 证券投资分析与绿色投资、固定收益和商品市场的不对称冲击传导

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 DOI: 10.1016/j.jeca.2025.e00432

Abdul Qadeer , Ahmed Imran Hunjra , Mina Sami , Lieven De Moor

This study explores asymmetric volatility transmission and connectedness across green investment, fixed income, and commodity markets using the novel R² decomposed DCC-GARCH connectedness measures. We further evaluate the implications of connectedness patterns for portfolio analysis and risk management. We find that bond indices act as dominant transmitters of volatility, while green and commodity indices mostly absorb shocks. The connectedness patterns shift significantly during periods of global stress, which confirms the time-varying and asymmetric nature of volatility across markets. We report that the S&P Global Clean Energy Index shows greater sensitivity to negative shocks and higher volatility during crisis episodes. The portfolio analysis, Sharpe ratios, and downside risk measures consistently favor the FTSE World Government Bond Index, which receives the highest weight allocation. The results support the construction of stable and low risk portfolios by assigning core weight to bonds and cautious exposure to green and commodity sectors. This study provides meaningful implications for portfolio managers and policymakers.

本研究利用新颖的R2分解的dc - garch连通性度量，探讨了绿色投资、固定收益和商品市场之间的不对称波动传导和连通性。我们进一步评估了连通性模式对投资组合分析和风险管理的影响。我们发现债券指数是波动率的主要传递者，而绿色指数和商品指数主要吸收冲击。在全球压力时期，连通性模式会发生显著变化，这证实了市场波动的时变和不对称性质。我们报告称，标普全球清洁能源指数在危机期间对负面冲击更敏感，波动性更高。投资组合分析、夏普比率和下行风险指标始终支持富时世界政府债券指数，该指数的权重分配最高。研究结果支持构建稳定和低风险的投资组合，将核心权重分配给债券，并谨慎投资于绿色和大宗商品行业。本研究为投资组合管理者和政策制定者提供了有意义的启示。

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引用次数: 0

Unveiling the asymmetry through NARDL approach: Do geopolitical risks impact green bonds? 通过NARDL方法揭示不对称性：地缘政治风险会影响绿色债券吗？

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 DOI: 10.1016/j.jeca.2025.e00443

Minu Kumari, Anil Kumar Sharma

This study examines the interplay between RGB and GPR, spanning from 2014 to 2023. Through the application of the Non-linear Autoregressive Distributed Lag (NARDL) model to monthly data, we shed light on both the short and long-run influence of global GPR on GB. Our findings reveal that GPR adversely affects green bonds, casting doubt on their capabilities as effective hedging tools. Moreover, in the realm of short-term analysis, green bonds emerge as a temporary safe haven. Furthermore, this study scrutinizes the GPR from the United States and India on RGB to analyze the effects of GPRs from developed and emerging economies on RGB. It is observed that in the short run, both positive and negative geopolitical risks from the US and India influence RGB. However, in the long run, only negative shocks from Indian geopolitical risk significantly affect RGB. Interestingly, asymmetry in the case of Indian GPR appears only over the long term, whereas LUSGPR displays asymmetric effects in both short- and long-run dynamics. This study holds value for both existing and prospective participants in the GB market, as well as for policymakers and regulatory institutions involved in guiding the development of the green bond market.

本研究考察了2014年至2023年期间RGB和GPR之间的相互作用。通过对月数据的非线性自回归分布滞后（NARDL）模型的应用，揭示了全球探地雷达对GB的短期和长期影响。我们的研究结果表明，GPR对绿色债券产生不利影响，使人们怀疑它们作为有效对冲工具的能力。此外，在短期分析领域，绿色债券成为了暂时的避风港。此外，本研究还考察了美国和印度的GPR对RGB的影响，以分析发达经济体和新兴经济体的GPR对RGB的影响。可以观察到，短期内，来自美国和印度的正面和负面地缘政治风险都会影响RGB。然而，从长期来看，只有来自印度地缘政治风险的负面冲击才会显著影响RGB。有趣的是，印度探地雷达的不对称性只出现在长期，而LUSGPR在短期和长期动态中都表现出不对称效应。本研究对国库券市场的现有和潜在参与者，以及参与指导绿色债券市场发展的政策制定者和监管机构都有价值。

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引用次数: 0

Causal links between public debt and inflation in sub-Saharan African countries 撒哈拉以南非洲国家公共债务与通货膨胀之间的因果关系

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-09-25 DOI: 10.1016/j.jeca.2025.e00438

Akingbade U. Aimola, Nara Monkam

This study aims to investigate and compare both symmetric and asymmetric causal relationships between public debt and inflation across a panel of 14 sub-Saharan African countries over the period 1990 to 2021. It also examines trends in Country Policy and Institutional Assessment (CPIA) scores, particularly in the domains of debt policy and the efficiency of revenue mobilization. The analysis employs Konya's (2006) symmetric bootstrap panel causality test and an asymmetric approach developed by Yılancı and Aydın (2017), which builds on Granger and Yoon (2002) and Konya's methodology. The results reveal notable nonlinearity and considerable cross-country variation. Under the symmetric specification, causality from public debt to inflation is found in only four countries. However, when asymmetry is incorporated, this number increases to twelve. Similarly, while causality from inflation to debt is observed in four countries using the symmetric model, the asymmetric framework reveals evidence in eleven countries. These findings contribute to literature by offering a comparative perspective on the debt-inflation nexus. Moreover, the results indicate the presence of cross-sectional dependence across the panel and confirm country-specific heterogeneity. The analysis of CPIA indicators also points to varied levels of institutional capacity in public debt management and revenue mobilization across the region. Notably, Kenya's top performance in revenue mobilisation suggests that robust institutional frameworks can enhance the predictive relationship between increase public debt levels and inflation. The study's findings carry significant implications for fiscal and monetary policy in sub-Saharan Africa.

本研究旨在调查和比较1990年至2021年期间14个撒哈拉以南非洲国家公共债务与通货膨胀之间的对称和非对称因果关系。它还审查了国家政策和机构评估（CPIA）得分的趋势，特别是在债务政策和收入调动效率领域。该分析采用了Konya（2006）的对称引导面板因果检验和Yılancı和Aydın（2017）开发的不对称方法，该方法基于Granger和Yoon（2002）以及Konya的方法。结果显示出显著的非线性和相当大的跨国变化。在对称规范下，从公共债务到通货膨胀的因果关系只存在于四个国家。然而，如果考虑到不对称性，这个数字就会增加到12。同样，虽然使用对称模型在四个国家观察到通货膨胀与债务之间的因果关系，但不对称框架在11个国家显示了证据。这些发现通过提供债务与通胀关系的比较视角，为文献做出了贡献。此外，结果表明横断面依赖性在整个小组中存在，并证实了国家特异性异质性。对CPIA指标的分析还指出，整个地区在公共债务管理和收入动员方面的机构能力水平各不相同。值得注意的是，肯尼亚在收入动员方面的最佳表现表明，健全的制度框架可以增强公共债务水平上升与通胀之间的预测关系。这项研究的发现对撒哈拉以南非洲的财政和货币政策具有重要意义。

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引用次数: 0

Stock market sensitivities to European monetary policy 股市对欧洲货币政策的敏感性

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-09-18 DOI: 10.1016/j.jeca.2025.e00437

Juan M. Nave, Javier Ruiz

In this paper, we analyze the transmission of common monetary policy shocks in the euro area to its main stock markets. To this end, we implement SVAR models where the ECB monetary policy is modeled as a function of euro area aggregate economic factors and global economic conditions, which we proxy using US economic variables. Our results suggest, in line with economic theory, that the transmission of monetary policy to euro area stock markets exhibits heterogeneity driven by differences in the characteristics of listed firms. To investigate the sources of this heterogeneity, we test the hypothesis that the sectoral composition of financial markets explains the variation in responses. However, our findings provide evidence against this hypothesis – differences in the reaction of stock markets to monetary policy shocks are not fully accounted for by their sectoral composition.

本文分析了欧元区共同货币政策冲击对其主要股票市场的传导。为此，我们实施了SVAR模型，其中欧洲央行的货币政策被建模为欧元区总经济因素和全球经济状况的函数，我们使用美国经济变量来代理。我们的研究结果表明，与经济学理论一致，货币政策对欧元区股票市场的传导表现出由上市公司特征差异驱动的异质性。为了研究这种异质性的来源，我们检验了金融市场的部门构成解释了反应的变化的假设。然而，我们的研究结果提供了反对这一假设的证据——股票市场对货币政策冲击的反应差异并没有完全由它们的行业构成来解释。

引用次数: 0

Fuel price effects on motor vehicle collisions: Evidence from Greece 燃油价格对机动车碰撞的影响：来自希腊的证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-09-08 DOI: 10.1016/j.jeca.2025.e00435

Andreas Psarras , Theodore Panagiotidis , Andreas Andronikidis

This study examines the relationship between petrol prices and vehicle collisions using Greek data from 2012 to 2021. Generalized autoregressive conditional heteroscedasticity models are employed for daily motor vehicle collisions. Our analysis reveals that petrol prices have a significant impact on vehicle collisions. Fatal vehicle collisions decrease during relatively high petrol prices, whereas light-injury vehicle collisions increase. No significant relationship was found between severe-injury vehicle collisions and fuel prices. We also analyze daily data on motorcycle vehicle collisions and find a positive relationship between these accidents and fuel prices. When considering models with lagged fuel prices, our results indicate that in all cases, vehicle collisions decrease during periods of increasing fuel prices. These findings suggest that policies targeting motorcycling safety are particularly necessary during times of rising fuel prices.

本研究使用希腊2012年至2021年的数据来研究汽油价格与车辆碰撞之间的关系。采用广义自回归条件异方差模型对日常机动车碰撞进行分析。我们的分析表明，汽油价格对车辆碰撞有重大影响。在相对较高的汽油价格期间，致命的车辆碰撞减少，而轻伤车辆碰撞增加。严重伤害车辆碰撞与燃料价格之间没有显著关系。我们还分析了摩托车碰撞的日常数据，发现这些事故与燃料价格之间存在正相关关系。当考虑燃油价格滞后的模型时，我们的结果表明，在所有情况下，车辆碰撞在燃油价格上涨期间减少。这些发现表明，在燃油价格上涨时期，针对摩托车安全的政策尤为必要。

引用次数: 0

Asymmetric transmission of crude oil prices into fuel prices - Evidence from Pakistan 原油价格向燃料价格的不对称传导——来自巴基斯坦的证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-08-27 DOI: 10.1016/j.jeca.2025.e00436

Muhammad Imran Chaudhry , Ghina Irfan , Omar Al-Titi

Research on the pass-through of international crude oil prices into domestic fuel prices has mainly focused on countries with market-driven fuel prices, but overlooked countries wherein fuel prices are set by the government. Against this background, we study the dynamics of price transmission between international crude oil markets and petroleum, light diesel and kerosene retail markets in Pakistan, an oil-importing developing country where fuel prices are regulated by the government. Our hand-collected dataset consists of the government's biweekly notifications on petroleum, light diesel and kerosene retail prices in Pakistan, and international crude oil prices from January-2007 to March-2022. We employ threshold-cointegration models and the associated asymmetric vector error-correction model to analyze the long-run and short-run mechanisms of fuel price adjustments in Pakistan. Our empirical estimates reveal that Pakistan's fuel retail markets are cointegrated with international crude oil markets, but the underlying price-adjustment process is relatively slow. We find evidence of the “rockets and feathers” phenomenon in petroleum retail prices, but not in light diesel and kerosene retail prices in Pakistan. The “rockets and feathers” phenomenon in petroleum retail prices is driven by the government's tendency to exploit decreases in international crude oil prices to increase taxes on petroleum, instead of lowering petroleum retail prices in Pakistan. The observed differences in the mechanisms of price transmission from international crude oil markets into the petroleum, light-diesel and kerosene retail markets in Pakistan highlight that government-regulated fuel prices serve as a policy lever for balancing fiscal constraints with political economy considerations in oil-importing developing countries.

关于国际原油价格对国内燃料价格传递的研究主要集中在市场驱动燃料价格的国家，而忽视了由政府设定燃料价格的国家。在此背景下，我们研究了国际原油市场与巴基斯坦石油、轻柴油和煤油零售市场之间的价格传导动态。巴基斯坦是一个石油进口发展中国家，燃料价格由政府监管。我们手工收集的数据集包括政府从2007年1月至2022年3月每两周发布的巴基斯坦石油、轻柴油和煤油零售价格通知，以及国际原油价格。我们采用阈值协整模型和相关的非对称矢量误差修正模型来分析巴基斯坦燃料价格调整的长期和短期机制。我们的实证估计表明，巴基斯坦的燃料零售市场与国际原油市场协同整合，但潜在的价格调整过程相对缓慢。我们在巴基斯坦的石油零售价格中发现了“火箭和羽毛”现象的证据，但在轻柴油和煤油零售价格中却没有。石油零售价格的“火箭和羽毛”现象是由政府倾向于利用国际原油价格下跌来增加石油税，而不是降低巴基斯坦的石油零售价格所驱动的。从国际原油市场到巴基斯坦石油、轻柴油和煤油零售市场的价格传导机制所观察到的差异突出表明，在进口石油的发展中国家，政府管制的燃料价格是平衡财政限制与政治经济考虑的政策杠杆。

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引用次数: 0

The asymmetric effects of medical tourism and information technology on economic growth: evidence from panel quantile regression 医疗旅游和信息技术对经济增长的不对称影响：来自面板分位数回归的证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-08-05 DOI: 10.1016/j.jeca.2025.e00433

Chor-Foon Tang , Karoon Suksonghong

Medical tourism is a sub-segment of tourism that is lucrative for recipient countries. Estimated at US$11.56 billion in 2022, the market value of medical tourism is projected to reach US$53.51 billion in 2028. Given the importance of that industry, this study attempts to contribute to the literature on medical tourism, information and telecommunication technology (ICT) and economic growth. Unlike previous related studies, we explore the asymmetric effects of medical tourism and ICT on economic growth using panel quantile regression, using a balanced 2013–2021 panel sample across 48 countries. To enhance robustness and reliability, our growth model accommodates various control variables (e.g. capital, population growth, energy consumption). We found that although medical tourism and ICT contribute significantly to economic growth, this effect tends to be asymmetric. Moreover, the effect of ICT is greater in low- and middle-income countries, whereas the effect of medical tourism is greater in upper-middle-income countries.

医疗旅游是旅游业的一个细分市场，对接受国来说是有利可图的。医疗旅游的市场价值估计在2022年为115.6亿美元，预计到2028年将达到535.1亿美元。鉴于该行业的重要性，本研究试图为医疗旅游，信息和电信技术（ICT）和经济增长的文献做出贡献。与之前的相关研究不同，我们使用面板分位数回归，在48个国家使用平衡的2013-2021面板样本，探索医疗旅游和信息通信技术对经济增长的不对称影响。为了提高稳健性和可靠性，我们的增长模型适应了各种控制变量（如资本、人口增长、能源消耗）。我们发现，尽管医疗旅游和信息通信技术对经济增长有显著贡献，但这种影响往往是不对称的。此外，信息通信技术的影响在低收入和中等收入国家更大，而医疗旅游的影响在中高收入国家更大。

引用次数: 0

Unraveling asymmetric connectedness: Board diversity, green energy and climate change combat: An asymmetry in economic dynamics 揭开不对称连接：董事会多样性，绿色能源和气候变化斗争：经济动态的不对称

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-08-05 DOI: 10.1016/j.jeca.2025.e00431

Muhammad Nawaz , Kamran Mohy-ud-Din , Syed Muhammad Salman , Salah Ud Din Ahmad , Muhammad Ishaq Bhatti

This paper examines the role of Board Diversity in advancing environmental stewardship, with a particular emphasis on climate change mitigation. It utilizes a panel dataset of 5412 firm-year observations from 451 publicly listed firms within the S&P 1500 index covering 2012–2023. Paper constructs asymmetric indices to capture the dynamics of board gender diversity and renewable energy utilization. It employs GMM-based quantile model to estimate parameters. The empirical findings reveal a consistently positive association between board gender diversity and the deployment of renewable energy across various quantiles of the distribution, Diverse cultural backgrounds among directors enhance such projects, but foreign nationalities may impede them. It is observed that the U.S. listed firms benefit from workforce diversity in climate opportunities. Women in top management boost renewable energy initiatives, yet U.S. directors' skills show no climate impact, suggesting room for improvement. The study show the critical role of diversity in climate mitigation and renewable energy, emphasizing the urgency and importance of the issue for effective climate action.

本文探讨董事会多样性在推进环境管理方面的作用，特别强调减缓气候变化。它使用了一个面板数据集，其中包括5412家公司的年度观察结果，这些公司来自标准普尔1500指数中的451家上市公司，涵盖2012年至2023年。本文构建了非对称指数来捕捉董事会性别多样性和可再生能源利用的动态。采用基于gmm的分位数模型对参数进行估计。实证研究结果显示，董事会性别多样性与可再生能源的部署在分布的各个分位数之间始终存在正相关关系，董事文化背景的多样性促进了这些项目，但外国国籍可能会阻碍它们。可以观察到，美国上市公司受益于劳动力多样性的气候机会。高层管理中的女性推动了可再生能源倡议，但美国董事的技能没有显示出对气候的影响，这表明还有改进的空间。该研究显示了多样性在减缓气候变化和使用可再生能源方面的关键作用，强调了这一问题对采取有效气候行动的紧迫性和重要性。

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引用次数: 0

Conditional forecast for public debt and threshold effects: Evidence from South EU countries 公共债务的条件预测和门槛效应：来自南欧国家的证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-07-03 DOI: 10.1016/j.jeca.2025.e00430

Dimitrios Asteriou , Dimitrios Koufopoulos , Konstantinos Spanos

In this study, we employ a Bayesian Seemingly Unrelated regression (SUR) model for the South EU countries to make a conditional forecast for the public debt in a medium term-horizon (six years ahead). Our forecast incorporates multiple macroeconomic shocks, specifically: (i) fiscal austerity, captured through changes in government budget balances; (ii) the international business cycle, proxied by US GDP growth; and (iii) energy cost shocks, proxied by fluctuations in global oil prices. Adopting various scenarios, the results show that lower budget deficit and higher economic growth lead to the fastest downward debt trajectory. The findings also suggest that the optimum level of budget deficit limit is 2.7 % of GDP and is achieved when government expenditures and revenue are lower than 40.9 % and 38.19 % respectively. Interestingly, the international business cycle plays a fundamental role, since economic growth of the South EU countries exerts even more pressure to debt reduction when US GDP growth is higher than 3 %. The effect of inflation on debt conditioned by energy cost, the results indicate that inflation may cause more debt when oil price is high, but this effect seems to be for a short-term period. The main policy implication from the results is that the downward trajectory of debt hinges on sustainable fiscal limits and economic expansion.

在本研究中，我们采用贝叶斯看似无关回归（SUR）模型对南欧国家中期（未来六年）的公共债务进行了有条件的预测。我们的预测包含多种宏观经济冲击，具体而言：(i)财政紧缩，体现在政府预算平衡的变化中；（ii）以美国GDP增长为代表的国际商业周期；（三）以全球油价波动为代表的能源成本冲击。采用不同的情景，结果表明，较低的预算赤字和较高的经济增长导致了最快的债务下降轨迹。研究结果还表明，当政府支出和收入分别低于GDP的40.9%和38.19%时，预算赤字上限的最佳水平为GDP的2.7%。有趣的是，国际商业周期在其中起着根本性的作用，因为当美国GDP增长高于3%时，南欧国家的经济增长对债务削减的压力更大。通货膨胀对债务的影响取决于能源成本，结果表明，当油价高时，通货膨胀可能导致更多的债务，但这种影响似乎是短期的。研究结果的主要政策含义是，债务的下行轨迹取决于可持续的财政限制和经济扩张。

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引用次数: 0

Product market power, informational asymmetries and stock liquidity: Evidence from Indian firms 产品市场力量、信息不对称与股票流动性：来自印度公司的证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-07-02 DOI: 10.1016/j.jeca.2025.e00429

Tinu Iype Jacob , Sunil Paul

This study investigates the impact of product market power on stock liquidity against the backdrop of rising market power and global financial market integration. It also explores the nonlinearities associated with this relationship. In addition, we examine the interaction of firm size and leverage with market power and how it shapes the market power–stock liquidity relationship. The study uses a firm-year panel of 865 NSE-listed firms from India over the period 2011–2021, and employs panel regression techniques to analyze these. Product market power is measured using price-cost markups, and stock liquidity is captured using the inverse of the illiquidity ratio and share turnover. The analysis indicates an inverted U-shaped relationship between product market power and stock liquidity. Results also highlight the role of informational asymmetries and strategic opacity in this relationship. Further, the asymmetric role of leverage and firm size in the influence of product market power on stock liquidity is confirmed. The impact of product market power on stock liquidity and the moderating/mediating influence of informational asymmetries and leverage can have significant implications for the design of policies by the firms and authorities that monitor the competitiveness of markets.

本研究探讨在市场力上升及全球金融市场整合的背景下，产品市场力对股票流动性的影响。它还探讨了与这种关系相关的非线性。此外，我们研究了企业规模和杠杆与市场力量的相互作用，以及它如何塑造市场权力-股票流动性关系。该研究使用了2011-2021年期间印度865家nse上市公司的公司年面板，并采用面板回归技术对其进行分析。产品市场力量是用价格成本加成来衡量的，股票流动性是用非流动性比率和股票周转率的倒数来衡量的。分析表明，产品市场支配力与股票流动性呈倒u型关系。结果还强调了信息不对称和战略不透明在这种关系中的作用。进一步证实了杠杆和企业规模在产品市场支配力对股票流动性影响中的不对称作用。产品市场力量对股票流动性的影响以及信息不对称和杠杆的调节/中介影响，对监测市场竞争力的公司和当局设计政策具有重大影响。

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引用次数: 0