Journal of Economic Asymmetries最新文献

英文中文

Collapsing bubbles in the prices of cryptocurrencies 加密货币价格泡沫破裂

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-04-26 DOI: 10.1016/j.jeca.2025.e00420

Chiara Oldani , Giovanni S.F. Bruno , Marcello Signorelli

This paper investigates the existence of bubbles in the daily prices of the most popular cryptocurrencies, Bitcoin (BTC), Ether (ETH), and Ripple (XRP), employing the recursive methods of Phillips et al. (2015) and Phillips et al. (2011) for testing and date-stamping episodes of exuberant behaviour over a period spanning seven years (2018–2024), including the COVID-19 pandemic crisis (2020–2021). The critical values of the tests are computed through the composite wild bootstrap technique by Phillips and Shi (2020) to make them robust to time-varying unconditional heteroscedasticity and the multiplicity issue in recursive tests. Results indicate that the prices of the most popular cryptocurrencies traded on decentralized ledgers, BTC and ETH, exhibited multiple episodes of exuberant behaviour, unambiguously for BTC and depending on the tests for ETH. Bubbles detected in the prices of BTC were due to the halving of the crypto, to market exuberance and to the pandemic crisis; bubbles detected on ETH prices were due to the launch of NFTs on the Ethereum blockchain, and to the change in investors’ expectations (from exuberant to pessimistic); the change in the stance of monetary policy burst the bubbles of BTC and ETH prices in 2024. No test supports the exuberance of XRP that is traded on a centralized ledger; weekly data confirm the absence of multiple bubbles. By looking at the presence of bubbles in these different digital ecosystems, we also consider how the technological differences can impact, possibly asymmetrically, bubbles' formation.

本文研究了最流行的加密货币比特币（BTC）、以太币（ETH）和瑞波币（XRP）每日价格中泡沫的存在，采用了Phillips等人（2015）和Phillips等人（2011）的递归方法，对七年（2018-2024）期间(包括2019冠状病毒病大流行危机（2020-2021）的繁荣行为进行了测试和日期戳。检验的临界值由Phillips和Shi（2020）通过复合野生自举技术计算，使其对时变无条件异方差和递归检验中的多重性问题具有鲁棒性。结果表明，在去中心化分类账（BTC和ETH）上交易的最受欢迎的加密货币的价格表现出多次旺盛的行为，这显然是针对BTC的，取决于对ETH的测试。在比特币价格中发现的泡沫是由于加密货币减半、市场繁荣和流行病危机；ETH价格的泡沫是由于在以太坊区块链上推出了nft，以及投资者预期的变化（从乐观到悲观）；2024年，货币政策立场的变化打破了比特币和以太坊价格的泡沫。没有测试支持在集中分类账上交易的瑞波币的繁荣；每周数据证实了多重泡沫的存在。通过观察这些不同数字生态系统中泡沫的存在，我们也考虑了技术差异如何影响泡沫的形成，可能是不对称的。

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引用次数: 0

The impact of the Covid-19 pandemic on gender labor market asymmetries in Germany 新冠肺炎疫情对德国性别劳动力市场不对称的影响

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-01-04 DOI: 10.1016/j.jeca.2024.e00396

Timo Baas

The Corona pandemic affected life and working conditions around the world. Some could work from home, some had to risk their lives at the workplace, and some got laid off. The selection of employees to one of these groups, however, was asymmetric about gender. More than 63 percent of employees providing services in Germany are female; females in health professions account for more than 75 percent, and in social professions, including daycare, the share of female employees is at 84 percent. These occupations were in high demand during the pandemic and cannot be practiced at home. Since women do more than 62 percent of housework and childcare, the high demand for female work creates a dilemma. While family obligations increased as childcare facilities and schools closed, women had to decide whether to remain or drop out of the labor market. In this paper’s estimated DSGE model, these choices are addressed by allowing for asymmetries in participation decisions and disutility of effort for male and female workers. While at the beginning of the pandemic, female employment increased relative to male, an increase in disutility drove females out of the labor market during the second lockdown. Instead, predominantly males entered, and females reacted to this increase by staying absent. This pattern resembles previous findings on historical pandemics and, in the literature, is called “the added worker effect.”

冠状病毒大流行影响了世界各地的生活和工作条件。有些人可以在家工作，有些人不得不在工作场所冒着生命危险，还有一些人被解雇了。然而，其中一个群体的员工选择在性别上是不对称的。在德国，提供服务的员工中有63%以上是女性；从事保健工作的女性占75%以上，而在包括日托在内的社会职业中，女性雇员的比例为84%。这些职业在大流行期间需求量很大，无法在家从事。由于女性承担了超过62%的家务和育儿工作，对女性工作的高需求造成了一种两难局面。随着托儿设施和学校的关闭，家庭义务增加，女性不得不决定是继续留在劳动力市场还是退出。在本文估计的DSGE模型中，这些选择是通过允许男性和女性工人参与决策的不对称和努力的负效用来解决的。虽然在大流行开始时，女性就业人数相对于男性有所增加，但在第二次封锁期间，负效用的增加迫使女性退出了劳动力市场。取而代之的是，主要是男性进入，而女性对这种增加的反应是缺席。这种模式类似于以前对历史流行病的发现，在文献中被称为“额外的工人效应”。

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引用次数: 0

How does climate policy uncertainty determine green innovation adoption? New perspectives from the BRICS 气候政策的不确定性如何决定绿色创新的采用？金砖国家的新视角

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-03-05 DOI: 10.1016/j.jeca.2025.e00411

Samar S. Alharbi , Mosab I. Tabash , Umar Farooq , Suzan Sameer Issa

The lack of information on climate policies designed by the government may lead to disruptive policies (specifically policies related to environmental sustainability) by the other sectors. The primary objective of the current study is to examine how climate policy uncertainty (CPU) affects the adoption of sustainable green innovations. The effects of CPU on environmental technology development (EDT) and environmental patent registration (EPR) in the BRICS economies between 2000 and 2022 are the focus of this study. This study investigates the relationship between CPU and green innovation using a rigorous methodological approach utilizing the FMOLS and CS-ARDL models. To account for the various factors influencing green innovation, the analysis includes a range of financial and economic indicators, including real interest rates (RIR), GDP FDI inflow, and financial development (FD). The results show that CPU has a significant negative impact on both EDT and EPR, indicating that the development and registration of environmental technologies are hampered by higher policy uncertainty. In contrast, positive effects on GDP FD and FDI encourage the development and adoption of green innovations. A further finding of the study is that investments in green technology are negatively impacted by RIRs' higher borrowing costs. The ramifications of these findings underscore the need for legislators to guarantee predictability and stability in regulations to promote green innovation. By creating a more uniform set of regulations, governments can encourage investment in and progress in environmental technologies. The research's novelty is found as it expands the existing literature exploring the impact of other types of uncertainties on green innovation, while the current analysis focuses on CPU-green innovation adoption nexus.

政府制定的气候政策信息的缺乏可能导致其他部门采取破坏性政策（特别是与环境可持续性相关的政策）。本研究的主要目的是研究气候政策不确定性（CPU）如何影响可持续绿色创新的采用。本研究的重点是2000年至2022年间，CPU对金砖国家环境技术发展（EDT）和环境专利注册（EPR）的影响。本研究利用FMOLS和CS-ARDL模型，采用严谨的方法研究了CPU与绿色创新之间的关系。为了考虑影响绿色创新的各种因素，该分析纳入了一系列金融和经济指标，包括实际利率（RIR）、GDP FDI流入和金融发展（FD）。结果表明，环境资源占用率对环境技术的开发和注册均有显著的负向影响，表明环境技术的开发和注册受到较高的政策不确定性的阻碍。相反，对GDP、FDI和FDI的积极影响鼓励了绿色创新的发展和采用。该研究的进一步发现是，绿色技术投资受到风险投资机构较高借贷成本的负面影响。这些发现的后果强调了立法者需要确保法规的可预测性和稳定性，以促进绿色创新。通过制定一套更加统一的法规，政府可以鼓励对环境技术的投资和进步。本研究的新颖之处在于它拓展了现有文献对其他类型不确定性对绿色创新影响的研究，而目前的分析主要集中在cpu -绿色创新采用关系上。

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引用次数: 0

Asymmetric threshold effects of economic growth on renewable energy in response to energy price fluctuations 能源价格波动下经济增长对可再生能源的不对称阈值效应

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-03-22 DOI: 10.1016/j.jeca.2025.e00414

Zakaria Boulanouar , Lobna Essid , Saqib Farid , Lassaad Ben Mahjoub

Using a panel smooth threshold regression to analyze data from 17 Middle East and North Africa (MENA) countries, this study investigates how asymmetries in energy price (EP) fluctuations impact renewable energy (RE) development, considering varying economic growth rates. The findings reveal that EP fluctuations influence RE development differently across income levels. In high-income countries, higher EPs stimulate RE expansion, while in low-income nations, they hinder it. These results support the substitution hypothesis, indicating that higher EPs encourage a shift toward alternative RE sources, though only within the high-GDP per capita regime in the MENA region. This evidence challenges the notion of a one-size-fits-all energy policy for MENA, highlighting the need for tailored strategies based on individual countries' economic contexts. High-income nations should prioritize subsidy removal to incentivize RE investments, whereas low-income countries require phased approaches to maintain economic stability. The study's broader implications extend to global energy policy, advocating for differentiated strategies that balance sustainable energy transitions with economic growth.

本研究使用面板平滑阈值回归分析了来自17个中东和北非（MENA）国家的数据，探讨了能源价格（EP）波动的不对称性如何影响可再生能源（RE）的发展，考虑到不同的经济增长率。研究结果表明，不同收入水平的居民收入波动对可再生能源发展的影响不同。在高收入国家，较高的gdp刺激了可再生能源的扩张，而在低收入国家，则阻碍了可再生能源的扩张。这些结果支持替代假说，表明较高的人均gdp鼓励向替代资源的转变，尽管只是在中东和北非地区的高人均gdp体制内。这一证据挑战了中东和北非地区“一刀切”能源政策的概念，强调了根据各国经济背景制定量身定制战略的必要性。高收入国家应优先取消补贴以激励可再生能源投资，而低收入国家则需要分阶段采取措施来维持经济稳定。该研究的更广泛含义延伸到全球能源政策，倡导平衡可持续能源转型与经济增长的差异化战略。

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引用次数: 0

Can fear of currency appreciation gear up reserve accretion? 对货币升值的担忧会加速外汇储备的增加吗？

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-02-20 DOI: 10.1016/j.jeca.2025.e00408

Keerthana Sunny George , M. Ramachandran

This paper investigates whether the Reserve Bank of India's intervention in the foreign exchange market has preference asymmetry and also attempts to find out whether reserve accumulation is significantly an outcome of such an asymmetric intervention. In this regard, we construct quarterly models of reserve demand wherein shocks to rupee appreciation and depreciation with their pace are included to capture the asymmetry in intervention, apart from incorporating certain key control variables as determinants. The econometric estimates obtained from the autoregressive distributed lag model confirm that intervention reflects asymmetric preference; the authority seems to tame rupee appreciation more aggressively than rupee depreciation of the same magnitude. Moreover, the reaction to pace of rupee appreciation is found to be much stronger than to pace of rupee depreciation; thus, providing additional support for the asymmetry in intervention. Further, the empirical results are subjected to robustness check and the evidence remains robust to an alternative definition of reserves. The overall evidence, thus, suggests that there is a fear of currency appreciation, which appears to be one of the important factors behind the large stockpile of reserves in India.

本文考察了印度储备银行对外汇市场的干预是否存在偏好不对称，并试图找出储备积累是否明显是这种不对称干预的结果。在这方面，我们构建了储备需求的季度模型，其中包括对卢比升值和贬值的冲击及其速度，以捕捉干预中的不对称性，除了将某些关键控制变量作为决定因素外。从自回归分布滞后模型得到的计量经济学估计证实，干预反映了不对称偏好；当局似乎更积极地控制卢比升值，而不是同样幅度的卢比贬值。此外，人们对卢比升值速度的反应要比对卢比贬值速度的反应强烈得多；因此，为干预的不对称性提供了额外的支持。此外，实证结果受到稳健性检查，证据仍然是稳健性储备的另一种定义。因此，总体证据表明，存在对货币升值的担忧，这似乎是印度大量储备背后的重要因素之一。

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引用次数: 0

Asymmetric relationship between diversification and liquidity creation: Empirical evidence from GCC 多元化与流动性创造的不对称关系：来自海湾合作委员会的经验证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-03-04 DOI: 10.1016/j.jeca.2025.e00409

Shoaib Ali , Ghulame Rubbaniy , Costas Syriopoulos , Kienpin Tee

This study examines how bank diversification affects liquidity creation by using the bank level data of GCC countries. We use data from 205 banks in GCC over the period of 2005–2019. To test the hypothesized relationship, we employ the GMM methodological framework. The findings of the study reveal that both income and asset diversification adversely affect the narrow and broad measure of banks' liquidity creation. However, funding diversification positively(negatively) influences the broad(narrow) measure of liquidity creation. The results highlight that bank diversification is a double-edged sword; although it can help in reducing risk, but it also vanishes the banks' ability to create liquidity. However, the in-depth and detailed analyses reveal that the impact is asymmetrical across large, small, well-capitalized, and undercapitalized banks. Furthermore, comparing the normal and crisis periods highlights that banks behave differently in different economic conditions. The results have several implications for the bank managers and decision makers; they must consider the trade-off between liquidity creation and level of diversification. Additionally, the asymmetry in results implies that managers must consider the level/bank's specific characteristics while making such strategic decisions.

本研究通过使用海湾合作委员会国家的银行层面数据来检验银行多元化如何影响流动性创造。我们使用了2005-2019年期间海湾合作委员会205家银行的数据。为了检验假设的关系，我们采用了GMM方法框架。研究结果表明，收入和资产多样化对银行流动性创造的狭义和广义指标都有不利影响。然而，资金多样化正（负）影响流动性创造的广义（狭义）措施。结果表明，银行多元化经营是一把双刃剑；尽管这有助于降低风险，但它也使银行丧失了创造流动性的能力。然而，深入和详细的分析表明，对大型银行、小型银行、资本充足银行和资本不足银行的影响是不对称的。此外，对正常时期和危机时期的比较突出表明，银行在不同的经济条件下表现不同。研究结果对银行管理者和决策者有几点启示；他们必须考虑流动性创造与多样化水平之间的权衡。此外，结果的不对称意味着管理者在做出此类战略决策时必须考虑级别/银行的具体特征。

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引用次数: 0

Explaining the asymmetric S&P 500 equity index in five themes: The success and failure of macro narratives 用五个主题解释标准普尔500指数的不对称：宏观叙事的成功与失败

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-04-11 DOI: 10.1016/j.jeca.2025.e00415

A.G. Malliaris , Mary Malliaris , Mark S. Rzepczynski

Economists often use narratives that focus on a limited number of variables to describe stock market behavior. We use a neural network methodology to evaluate the appropriateness of five common narratives. Four narratives address the themes of monetary policy and financial conditions, the real macroeconomy, the global economy, and the stock market fundamentals. The fifth is a unified theme combining the best features from the previous four-macro narratives. Theme based neural network models highlight the successes and periodic failures of macro factor narratives. This paper confirms the usefulness of the narrative themes proposed to explain the asymmetric behavior of the S&P 500 Index. The monetary and unified themes perform the best.

经济学家经常使用关注有限数量变量的叙述来描述股市行为。我们使用神经网络方法来评估五种常见叙事的适当性。四种叙述涉及货币政策和金融状况、实体宏观经济、全球经济和股市基本面等主题。第五个是一个统一的主题，结合了前四个宏观叙事的最佳特征。基于主题的神经网络模型强调宏观因素叙事的成功和周期性失败。本文证实了在解释标普500指数不对称行为时提出的叙事主题的有效性。货币和统一主题表现最好。

引用次数: 0

Exploring global financial interdependencies among ASEAN-5, major developed and developing markets 探索东盟五国、主要发达市场和发展中市场之间的全球金融相互依存关系

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub 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.

2020年初，新冠肺炎疫情爆发，导致市场普遍波动，股价大幅下跌。由于这次大流行病，东盟五国市场的重要性已经显现出来。在2019冠状病毒病和俄乌战争之后，这些市场受到了投资者和研究人员的关注。因此，必须了解东盟五国市场与其他主要市场的联系程度，以便充分掌握这一大流行病对全球股票市场的影响。因此，本研究旨在检视东盟五国、美国、英国、印度和中国股市之间的连通性。检索了2017年1月至2022年12月期间的数据。DCC-GARCH用于获取子时间段的连通性：covid-19之前、期间和之后。2019冠状病毒病前时期的结果突出表明，印度市场与其他市场的联系最少；菲律宾是净波动率最差的国家。在2019冠状病毒病期间，中国是后疫情时期的净波动接受者；新加坡是净波动接受者。结果对最小生成树（MST）分析具有鲁棒性。在危机期间，投资者应该重新平衡或重新配置他们的投资组合，因为联系增加和多样化收益下降。为了防止本地市场受到其他市场的影响，政策制定者应该采取行动。

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引用次数: 0

Fiscal asymmetries under a debt consolidation strategy: Evidence from Colombia 债务整合战略下的财政不对称：来自哥伦比亚的证据

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-02-06 DOI: 10.1016/j.jeca.2025.e00405

Carlos Andrés Zapata Quimbayo , Raúl Alberto Chamorro Narváez

This paper develops and implements a fiscal DSGE model tailored to Colombia, a small and open emerging economy (SOEE). The study focuses on the asymmetric effects of fiscal consolidation strategies in this context. The model, constructed as a New-Keynesian DSGE framework, is estimated using Bayesian techniques with data specific to the Colombian economy and relevant external variables. It includes heterogeneous households (Ricardian and non-Ricardian), domestic producers of final and intermediate goods, importers, exporters, and a national government responsible for fiscal policy and a central bank responsible for monetary policy. Key frictions such as the formation of consumption habits, capital stock utilization, risk-adjusted uncovered interest rate parity, and price and wage rigidities are also included. The results suggest that fiscal multipliers vary significantly depending on the fiscal instrument used, with spending cuts having a more contractionary effect on output than tax increases. Moreover, consolidation measures fall severely on non-Ricardian households, exacerbating income inequality. The model highlights fiscal asymmetries, showing that sectors more dependent on public spending face contractions under fiscal consolidation. These findings provide valuable insights into the dynamics of fiscal and monetary policy in SOEEs and serve as an important tool for policy analysis and economic forecasting in emerging markets such as Colombia.

本文开发并实施了针对哥伦比亚这一小型开放型新兴经济体的财政DSGE模型。本研究的重点是在这种背景下财政整顿策略的不对称效应。该模型是作为新凯恩斯主义DSGE框架构建的，使用贝叶斯技术对哥伦比亚经济和相关外部变量的特定数据进行估计。它包括异质家庭（李嘉图和非李嘉图）、国内最终产品和中间产品生产商、进口商、出口商，以及负责财政政策的国家政府和负责货币政策的中央银行。关键的摩擦，如消费习惯的形成，资本存量的利用，风险调整后未发现的利率平价，以及价格和工资的刚性也包括在内。结果表明，财政乘数根据所使用的财政工具而有显著差异，削减支出对产出的收缩作用比增加税收更大。此外，整顿措施严重影响了非李嘉图家庭，加剧了收入不平等。该模型突出了财政不对称，表明在财政整顿下，更依赖公共支出的部门将面临收缩。这些发现为了解国有企业财政和货币政策的动态提供了有价值的见解，并为哥伦比亚等新兴市场的政策分析和经济预测提供了重要工具。

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引用次数: 0

Herding effect of both global and local crises in BRICS countries 金砖国家全球性和地方性危机的羊群效应

Q1 Economics, Econometrics and Finance

Journal of Economic Asymmetries

Pub Date : 2025-06-01 Epub Date: 2025-03-24 DOI: 10.1016/j.jeca.2025.e00407

Marija Tatomir, Norio Hibiki

This research addresses the asymmetric acknowledgment given to local versus global crises, particularly within the BRICS nations. Local crises often surpass global events in their impact but remain underexplored. Using a comprehensive approach combining Financial and Economic, Public Sentiment, and Governance data, the research applies a novel Axiom and Inference model to identify overlooked crises. Results indicate that local crises in BRICS countries have measurable impacts exceeding global benchmarks, with distinctive patterns of herding behaviour: China primarily responds to global crises, India reacts equally to both, and Brazil, Russia, and South Africa exhibit stronger herding during local crises. The findings challenge traditional crisis frameworks, emphasizing the need to recognize and address local and non-financial crises to mitigate their potential escalation into global phenomena.

本研究解决了对地方危机与全球危机的不对称认识，特别是在金砖国家内部。地方危机的影响往往超过全球事件，但仍未得到充分探讨。该研究采用综合的方法，结合了金融和经济、公众情绪和治理数据，应用了一种新的公理和推理模型来识别被忽视的危机。结果表明，金砖国家的地方危机具有超过全球基准的可衡量影响，具有独特的羊群行为模式：中国主要对全球危机做出反应，印度对两者的反应相同，巴西、俄罗斯和南非在地方危机期间表现出更强的羊群行为。研究结果挑战了传统的危机框架，强调有必要认识和解决地方和非金融危机，以减轻其升级为全球现象的可能性。

引用次数: 0

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