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Exploring global financial interdependencies among ASEAN-5, major developed and developing markets
Q1 Economics, Econometrics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.jeca.2024.e00398
Barkha Dhingra , Mohit Saini , Mahender Yadav , Gaurav Kumar , Pankaj Kumar
The outbreak of the virus in early 2020 led to widespread market volatility and significant declines in stock prices. The importance of the ASEAN-5 markets has emerged as a result of the pandemic. Post-covid-19 and Russia-Ukraine war, these markets have gained attention from investors and researchers. Therefore, it is crucial to understand the extent to which the ASEAN-5 markets are connected to other major markets in order to fully grasp the impact of the pandemic on global stock markets. Hence, this study aims to examine the connectedness among ASEAN-5, the US, the UK, India, and China's stock markets. The data for the period January 2017 to December 2022 were retrieved. DCC-GARCH is employed to fetch the connectedness for sub-periods: pre, during, and post-covid-19. The results in the pre-covid-19 period highlight that Indian markets are least connected with the others; the Philippines is the worst net volatility receiver. During covid-19, China is the net volatility receiver, in the post-covid-19 period; Singapore is the net volatility receiver. The results are robust to the Minimum Spanning Tree (MST) analysis. During the crisis, investors should rebalance or reallocate their portfolios due to increased connection and declining benefits of diversification. To prevent the local markets from being affected by other markets, policymakers should take action.
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引用次数: 0
Are the effects of monetary policy larger in recessions? A reconciliation of the evidence
Q1 Economics, Econometrics and Finance Pub Date : 2024-12-30 DOI: 10.1016/j.jeca.2024.e00394
Jeremy Piger , Thomas Stockwell
This paper investigates whether there are significant differences in the response of U.S. output to monetary policy shocks in expansions vs. recessions. Much of the existing literature has found that monetary policy shocks have larger effects during recessions. However, recent influential work by Tenreyro and Thwaites (2016) finds the opposite result, and leaves the literature on this important question with a lack of consensus. Using the empirical framework of Tenreryo and Thwaites (2016) as a baseline, we provide a systematic exploration for the key drivers of differing results regarding the effects of monetary policy shocks over the business cycle. We find two key elements drive the results, the first being whether the local projection impulse response function estimator is conducted in levels vs. long differences of the data, and the second being the treatment of outliers observed in measures of monetary policy shocks during the Volcker disinflation. We conclude that the evidence is more supportive of monetary policy shocks having larger effects during recessions.
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引用次数: 0
Evaluating the symmetry of trade policy: Evidence from liberalization reversals
Q1 Economics, Econometrics and Finance Pub Date : 2024-12-19 DOI: 10.1016/j.jeca.2024.e00395
Youssef Ait Benasser
Is trade policy symmetric? Using a dataset of trade agreements from 1986 to 2016, we identify 596 instances of trade liberalization reversals where standing agreements are revoked and barriers to trade are reinstated. We study the impact of these reversals on import volumes to understand whether the size of trade flows responses to liberalization and protectionist policies are symmetric. The baseline results do not reject the null hypothesis of perfect policy symmetry: after a liberalization policy is reversed trade flows are on average indistinguishable from flows that did not experience earlier liberalization. Heterogeneity analysis reveals, however, that attributes of reversed policies, such as length and depth, impact their symmetry properties. In a context of increased policy volatility and evolving trade policymaking framework, this study pioneers research about the relative impacts and the persistence of liberalization and protectionism. The findings equip policymakers with critical insights into the durable benefits of liberalization, amidst protectionist pressures, and open new avenues for future research to explore the intricate dynamics of trade policy symmetry.
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引用次数: 0
From debt arithmetic to fiscal sustainability and fiscal rules: Taking stock and policy lessons 从债务计算到财政可持续性和财政规则:盘点和政策教训
Q1 Economics, Econometrics and Finance Pub Date : 2024-11-30 DOI: 10.1016/j.jeca.2024.e00393
George Economides , Giota Koliousi , Natasha Miaouli , Apostolis Philippopoulos
We start by clarifying the role of the interest rate-growth rate differential for long-term fiscal sustainability with numerical examples for the Greek economy. In turn, building upon this popular approach, which is based on the intertemporal government budget constraint only, we make a number of methodological points that question the quantitative usefulness of standard calculations. Among other things, we argue that a structural approach is needed and this reveals the necessity of fiscal rules according to which fiscal instruments systematically react to public debt imbalances. This naturally enables us to evaluate the EU’s fiscal rules and to suggest simple and implementable alternatives. Throughout, we confront our arguments with data from the Euro Area.
我们首先用希腊经济的数值例子来阐明利率-增长率差异对长期财政可持续性的作用。反过来,在这种流行的方法(仅基于跨期政府预算约束)的基础上,我们提出了一些方法观点,质疑标准计算的定量有用性。除其他事项外,我们认为需要一种结构性方法,这揭示了财政规则的必要性,根据这些规则,财政工具系统地对公共债务失衡作出反应。这自然使我们能够评估欧盟的财政规则,并提出简单可行的替代方案。自始至终,我们都用欧元区的数据来反驳我们的论点。
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引用次数: 0
The asymmetric impact of leisure externalities on economic growth 休闲外部性对经济增长的非对称影响
Q1 Economics, Econometrics and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jeca.2024.e00388
Spyridon Boikos , Alberto Bucci
Leisure generates externalities for the economy as a whole, as individuals generally get some (dis-)utility from their leisure-time. However, the sign and the extent of the effect that these externalities have on a specific worker's productivity and on the productivity of all other factors used in combination with labor (hence on long-term economic growth) may be asymmetric across different economic activities. The objective of this paper is to shed light on the impact that sector-specific leisure-time externalities have on the innovation rate, on the sectorial allocation of (skilled) labor, and eventually on the long-run economic growth rate, without making any prior assumption on their sign and magnitude. In the baseline model the growth rate of per capita income moves together with all types of leisure externalities, whereas the innovation rate moves together with (and depends solely on) the R&D-sector-specific leisure externality. From numerical analyses, we conclude that sector-specific leisure-time externalities provide asymmetric effects on the growth rate of real per capita GDP and on the way skilled labor is allocated across different economic activities. The robustness of these conclusions is analyzed by using various definitions of leisure along with different utility functions (including leisure as an argument).
闲暇会给整个经济带来外部效应,因为个人通常会从闲暇时间中获得一些(非)效用。然而,在不同的经济活动中,这些外部性对特定工人的生产率以及与劳动力结合使用的所有其他要素的生产率(从而对长期经济增长)的影响的符号和程度可能是不对称的。本文旨在揭示特定部门闲暇时间外部性对创新率、(熟练)劳动力的部门分配以及最终对长期经济增长率的影响,而不对其符号和大小做任何预先假设。在基线模型中,人均收入增长率与所有类型的闲暇外部性一起变动,而创新率则与研发部门特有的闲暇外部性一起变动(并且只取决于这种外部性)。通过数值分析,我们得出结论:特定部门的闲暇外部性对实际人均 GDP 增长率和熟练劳动力在不同经济活动中的分配方式产生了不对称的影响。通过使用不同的闲暇定义和不同的效用函数(包括作为参数的闲暇),我们分析了这些结论的稳健性。
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引用次数: 0
Asymmetries during pandemics and wartime 大流行病和战争期间的不对称现象
Q1 Economics, Econometrics and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jeca.2024.e00381
Sabri Boubaker, Toan L.D. Huynh, Duc Khuong Nguyen
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引用次数: 0
Special issue: Asymmetries in the global economy 特刊:全球经济的不对称
Q1 Economics, Econometrics and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jeca.2024.e00365
Costas Siriopoulos, Dionisis Philippas
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引用次数: 0
Investigating the asymmetric effects of financial development on trade performance in Africa: Can digitalization, transport services, and regulatory quality drive the vision 2063? 调查金融发展对非洲贸易绩效的不对称影响:数字化、运输服务和监管质量能否推动 2063 年愿景?
Q1 Economics, Econometrics and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jeca.2024.e00390
Ibrahim Lanre Ridwan , Abdul Rahman Bin S. Senathirajah , Mamdouh Abdulaziz Saleh Al-Faryan
One of the key goals of the United Nations Sustainable Goals focuses on nations pursuing sustainable growth (SDG-2) and notable strands of studies have emphasized the fundamental roles financial development plays in its attainment. However, there is limited understanding regarding how financial development influences trade performance and competitive advantage. Consequently, this study aims to provide the first empirical evidence of the asymmetric effects of financial development on trade performance in Africa from 1996 to 2022. Additionally, the empirical model that controls for market size, transport services, and digitalization is evaluated through various methodologies, including Mean Group (MG), Pooled Mean Group (PMG), Dynamic Fixed Effects (DFE), and Quantile Regression (QR). The results indicate that while negative shocks adversely affect trade performance, positive shocks stemming from financial development enhance it. Moreover, trade performance is positively influenced by digitalization, market size, and trade openness, whereas it is negatively affected by transportation services. These findings carry important implications for policy-making.
联合国可持续发展目标的关键目标之一是各国努力实现可持续增长(SDG-2),相关研究强调了金融发展在实现可持续增长中的重要作用。然而,人们对金融发展如何影响贸易绩效和竞争优势的了解还很有限。因此,本研究旨在提供首个实证证据,证明 1996 年至 2022 年金融发展对非洲贸易绩效的非对称影响。此外,还通过各种方法,包括均值组(MG)、集合均值组(PMG)、动态固定效应(DFE)和定量回归(QR),对控制市场规模、运输服务和数字化的实证模型进行了评估。结果表明,负面冲击会对贸易绩效产生不利影响,而金融发展带来的正面冲击则会提高贸易绩效。此外,贸易绩效受到数字化、市场规模和贸易开放度的积极影响,而受到运输服务的消极影响。这些发现对决策具有重要意义。
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引用次数: 0
Asymmetric distance and business cycles (ΑDBC): A new understanding of distance in international trade models through the example of Iran's trade corridors 非对称距离与商业周期(ΑDBC):以伊朗贸易走廊为例,重新认识国际贸易模型中的距离问题
Q1 Economics, Econometrics and Finance Pub Date : 2024-11-01 DOI: 10.1016/j.jeca.2024.e00389
Hercules Haralambides , Iman Bastanifar , Kashif Hasan Khan , Zahra Shahryari
We introduce a new concept of distance, and the way this could affect gravity-based trade modeling. Our motivation is twofold: a) global uncertainty in trade relations allows us to treat distance as an asymmetric shock in economic modeling; b) economies of scale in seaborne trade make geographical distance less relevant in trade models, substituted by economic distance, as this can be proxied by ocean freight rates. This, for instance, allows China to import iron ore from Brazil, at three times the distance compared to Australia. We enhance the New Keynesian Dynamic Stochastic General Equilibrium Model (DSGE) by incorporating a distance shock parameter into the transaction costs function. We test this on Iran's participation in the Shanghai Cooperation Organization as well as in the International North-South Transport Corridor. We conclude that longer physical distances do not necessarily have a negative impact on trade.
我们引入了一个新的距离概念,以及这一概念可能对基于引力的贸易模型产生的影响。我们的动机有两个方面:a) 贸易关系中的全球不确定性使我们能够在经济建模中将距离视为非对称冲击;b) 海运贸易中的规模经济使地理距离在贸易模型中的相关性降低,取而代之的是经济距离,因为经济距离可以用海运费来表示。例如,这使得中国可以从巴西进口铁矿石,而距离是澳大利亚的三倍。通过在交易成本函数中加入距离冲击参数,我们改进了新凯恩斯动态随机一般均衡模型(DSGE)。我们在伊朗加入上海合作组织和国际南北运输走廊的过程中对此进行了检验。我们的结论是,更长的物理距离并不一定会对贸易产生负面影响。
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引用次数: 0
Relative prices and relative supplies in the UK beef meat industry: A wavelet cross-correlation analysis 英国牛肉肉类行业的相对价格和相对供应:小波交叉相关分析
Q1 Economics, Econometrics and Finance Pub Date : 2024-09-28 DOI: 10.1016/j.jeca.2024.e00387
Panos Fousekis
The objective of the paper is to assess the contemporaneous and temporal links between the relative beef prices and the composition of beef supply (slaughters) in the UK, using weekly data and wavelet cross-correlation analysis. For female bovine animals (heifers and adult cows) and for most of the frequencies considered, the price ratio has a negative contemporaneous association with the supply ratio while for male bovine animals (steers and young bulls) it has a positive one. The difference in the sign of the contemporaneous link is in line with the argument in the Animal Economics literature that, while bovines (female or male) are both consumption and capital goods, the value of females as capital tends to be greater than that of males. Moreover, the contemporaneous links are asymmetric (i.e., their absolute magnitude depends on the frequency they are calculated). The temporal links are strong. For female bovines and for small frequencies, the relative prices are likely to lead relative supplies; for male bovines, it holds the opposite.
本文旨在利用周数据和小波交叉相关分析,评估英国牛肉相对价格与牛肉供应(屠宰)构成之间的同期和时间联系。对于雌性牛(小母牛和成年母牛)和大多数频率而言,价格比率与供应比率的同期关系为负,而对于雄性牛(阉牛和小公牛)而言,价格比率与供应比率的同期关系为正。同期联系的符号差异符合动物经济学文献的论点,即虽然牛(雌性或雄性)既是消费品也是资本品,但雌性牛作为资本的价值往往高于雄性牛。此外,同期联系是不对称的(即其绝对值取决于计算频率)。时间联系很强。对于雌性牛和小频率牛,相对价格可能领先于相对供应;而对于雄性牛,情况恰恰相反。
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Journal of Economic Asymmetries
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