Journal of Economic Asymmetries最新文献

英文中文

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 : 2025-11-01 Epub 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

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 : 2025-11-01 Epub 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

Asymmetric impacts of geopolitical risks on energy Trade: Divergent vulnerabilities in emerging vs. advanced economies 地缘政治风险对能源贸易的不对称影响：新兴经济体与发达经济体的不同脆弱性

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 Epub Date: 2025-06-07 DOI: 10.1016/j.jeca.2025.e00427

Chokri Zehri , Abdullah Alsadan , Latifa Saleh ben Ammar

This study investigates the system-wide consequences of rising geopolitical risks (GPR) on global energy trade, emphasizing asymmetric vulnerabilities between emerging market economies (EMEs) and advanced economies (AEs)—a critical gap in existing scholarship. Combining autoregressive distributed lag (ARDL) modeling and impulse response analyses on 55 countries (1990–2023), we assess how geopolitical tensions disrupt energy trade dynamics, accounting for global volatility and domestic economic conditions. Our findings uncover marked asymmetries: while geopolitical risks persistently suppress energy trade, with long-term effects outweighing transient shocks, EMEs are disproportionately destabilized due to their heavy reliance on energy exports and weaker institutional capacity. AEs, conversely, demonstrate greater resilience through diversified economies, strategic reserves, and policy flexibility, though post-2008 geopolitical fragmentation and financial instability intensify disruptions across all economies. Impulse response simulations reveal that geopolitical shocks trigger sharper declines in energy trade flows for EMEs, with steeper and more prolonged contractions than AEs. Compounding these unequal burdens, escalating trade taxes strain EMEs’ fiscal stability and energy security, whereas AEs deploy fiscal buffers to cushion shocks. By exposing how geopolitical risks cascade through energy systems, the study underscores the urgency of multilateral cooperation to address structurally embedded asymmetries, particularly the fragility of EMEs in global energy frameworks.

本研究探讨了不断上升的地缘政治风险（GPR）对全球能源贸易的全系统后果，强调了新兴市场经济体（eme）和发达经济体（ae）之间的不对称脆弱性——这是现有学术研究中的一个重大缺口。结合自回归分布滞后（ARDL）模型和对55个国家（1990-2023）的脉冲响应分析，我们评估了地缘政治紧张局势如何破坏能源贸易动态，考虑到全球波动和国内经济状况。我们的研究结果揭示了明显的不对称性：地缘政治风险持续抑制能源贸易，其长期影响超过短暂冲击，而新兴市场由于严重依赖能源出口和较弱的制度能力而不成比例地不稳定。相反，发达国家通过经济多元化、战略储备和政策灵活性表现出更强的抵御能力，尽管2008年后地缘政治碎片化和金融不稳定加剧了所有经济体的破坏。脉冲响应模拟显示，地缘政治冲击引发新兴市场国家能源贸易流量急剧下降，收缩幅度更大、持续时间更长。不断升级的贸易税加剧了这些不平等负担，给新兴市场国家的财政稳定和能源安全带来压力，而发达国家则利用财政缓冲来缓冲冲击。通过揭示地缘政治风险如何在能源系统中层叠蔓延，该研究强调了多边合作解决结构性不对称的紧迫性，特别是新兴市场在全球能源框架中的脆弱性。

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引用次数: 0

Green transitions and asymmetric volatility spillovers: A time-varying GAS copula analysis of clean and fossil energy markets 绿色转型和不对称波动溢出：清洁能源和化石能源市场的时变GAS耦合分析

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 Epub Date: 2025-10-19 DOI: 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.

本研究考察了清洁能源和化石能源市场之间的不对称和时变波动连通性，重点关注非线性依赖关系和尾部风险动态。使用GJR-GARCH模型结合时变GAS联结，我们分析了清洁能源指数与三大主要化石燃料市场（布伦特原油、天然气和取暖油）之间的共同运动和尾部依赖关系。这种方法抓住了肥尾、波动聚类和不对称溢出等特征，为压力下的市场间关系提供了更深入的见解。结果显示，在经济低迷期间，更强的尾部协同运动和波动性溢出——静态模型经常忽略的模式。GAS copula框架有效地跟踪了不断变化的相关性和波动性，优于恒定copula模型。使用风险价值和预期不足的风险评估强调了下行风险的不对称性质，表明多样化的好处在不同的市场制度下是不同的。这些发现强调，有必要对不对称进行建模，以便在能源金融中建立更具弹性的投资组合和气候敏感的风险管理。它们对能源投资组合多样化、气候政策设计和能源市场系统性金融风险管理具有重要意义。

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引用次数: 0

Does female participation improve firm value? Board gender diversity reform and asymmetric market responses 女性参与是否能提升公司价值？董事会性别多元化改革和不对称的市场反应

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 Epub Date: 2025-10-28 DOI: 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。

引用次数: 0

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 制度转换模型估计了银行流动性对G20国家银行绩效的影响：偿付能力、贷款总额和债务总额的作用适中

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 Epub Date: 2025-11-07 DOI: 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.

本研究采用面板平滑过渡自回归（PSTAR）模型调查银行流动性对银行绩效的影响，样本来自14个G20国家的113家银行，时间跨度为2000年至2022年。实证结果显示，两个LDR阈值分别为51.558和54.022，两者之间存在非线性关系。在第一种机制中，银行流动性对业绩产生不利影响，反映了过度闲置准备金的成本。在第二种情况下，流动性的影响转为积极，尽管影响不大，这表明银行开始更有效地配置其流动资源。在第三种机制下，正向效应增强，系数更强，表明最优流动性水平可以显著提高盈利能力。使用系统GMM方法的鲁棒性检查证实了这种非线性倒u关系，其正效应为0.067，负平方项为0.64e - 3，突出了较高水平下流动性的边际收益递减。此外，分析还揭示了显著的正交互效应：流动性与偿付能力的结合增强了银行绩效；通过贷款配置的流动性放大了盈利能力；流动性和负债率之间的相互作用也对绩效产生积极影响。这些发现表明，监管机构和央行应采取灵活的流动性政策，鼓励银行在保持足够缓冲的同时有效地配置过剩资金，并利用充足的资本和审慎的杠杆框架增强G20银行体系的金融稳定性和可持续盈利能力。

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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 : 2025-11-01 Epub 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

Energy price dynamics in the face of uncertainty shocks and the role of exchange rate regimes: A global cross-country analysis 面对不确定性冲击的能源价格动态和汇率制度的作用：全球跨国分析

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 Epub Date: 2025-05-17 DOI: 10.1016/j.jeca.2025.e00425

António Afonso , José Alves , João Jalles , Sofia Monteiro

This paper investigates the impact of geopolitical risk (GPR) and global uncertainty (WUI) on energy prices across 185 economies from 1980 to 2023, while accounting for the role of exchange rate regimes. Using a panel fixed-effects model and a panel SVAR framework, we examine whether uncertainty shocks translate into energy price inflation and how exchange rate regimes influence these dynamics. The results indicate that geopolitical risk and global uncertainty have significant effects on energy prices, with stronger price reactions under flexible exchange rate regimes. We further decompose the effects by country classification, revealing that oil-exporting economies and emerging markets exhibit distinct responses. Our findings highlight the importance of exchange rate policies in mitigating uncertainty-driven energy price volatility. The paper contributes to the literature by providing a global empirical perspective on uncertainty-energy price interactions, with relevant implications for policymakers managing exchange rate regimes and energy market stability.

本文研究了1980年至2023年间地缘政治风险（GPR）和全球不确定性（WUI）对185个经济体能源价格的影响，同时考虑了汇率制度的作用。使用面板固定效应模型和面板SVAR框架，我们研究了不确定性冲击是否转化为能源价格通胀，以及汇率制度如何影响这些动态。结果表明，地缘政治风险和全球不确定性对能源价格有显著影响，弹性汇率制度下的价格反应更强。我们进一步按国家分类分解影响，发现石油出口经济体和新兴市场表现出不同的反应。我们的研究结果强调了汇率政策在缓解不确定性驱动的能源价格波动方面的重要性。本文通过提供不确定性-能源价格相互作用的全球经验视角，为政策制定者管理汇率制度和能源市场稳定提供了相关启示，从而对文献做出了贡献。

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引用次数: 0

The macroeconomic effects of climate policy uncertainty: Evidence from Portugal 气候政策不确定性的宏观经济影响：来自葡萄牙的证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-11-01 Epub Date: 2025-06-19 DOI: 10.1016/j.jeca.2025.e00426

Hugo Morão

This study examines the macroeconomic impact of policy uncertainty in climate decision-making. It employs data mining to 23 Portuguese news sources to construct a novel monthly Climate Policy Uncertainty (CPU) series, which is then used in a Structural Vector Autoregression (SVAR) model to analyze its macroeconomic effects. These responses collectively reveal significant economic restructuring in response to climate policy uncertainty. The combination of reduced industrial production and increased unemployment suggests substantial supply-side adjustment costs during the transition. However, the positive stock market response indicates that financial markets view these changes as ultimately beneficial for certain sectors, particularly those aligned with environmental sustainability.

本研究考察了政策不确定性对气候决策的宏观经济影响。它利用23个葡萄牙新闻来源的数据挖掘来构建一个新颖的月度气候政策不确定性（CPU）系列，然后将其用于结构向量自回归（SVAR）模型来分析其宏观经济影响。这些反应共同揭示了为应对气候政策的不确定性而进行的重大经济调整。工业生产减少和失业增加的结合表明，在转型期间，供应方面的调整成本很高。然而，股市的积极反应表明，金融市场认为这些变化最终有利于某些部门，特别是那些与环境可持续性相一致的部门。

引用次数: 0

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 Epub Date: 2025-07-29 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

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