Journal of Economic Asymmetries最新文献

We present empirical evidence that euro area banks following a retail-oriented financial intermediation business model exhibit a lower level of non-performing loans in their loan portfolio compared to the banks involved to a larger degree in market activities. This result is confirmed separately for the subsets of banks operating in distress and non-distress countries. We primarily utilise a business model classification that is underpinned by granular confidential supervisory data collected in the context of the EU Single Supervisory Mechanism. We control for macroeconomic developments, a number of bank-specific determinants and endogeneity, using an instrumental variables approach. Our results remain robust to the application of a wide range of specifications and estimation methods.

This study examines which asymmetric variables lead to the better forecast performance of downside and upside risks. The models used in this study measure downside and upside risks using realized semivariance. In addition to their past values, the models utilize return, volume, and jump components as asymmetric variables. We apply these models to major exchange-traded funds (ETFs) and show that asymmetric return variables increase the forecast performance of downside and upside risks for all ETFs. For bond, commodity, and crude oil ETFs, asymmetric trading volume variables are also found to be an important factor in better forecast performance. These results indicate that asymmetric information plays an important role in forecasting downside and upside risks, enabling superior risk management and investment strategy formulation.

This paper innovatively explores the relationship between a country’s government debt and the use of renewable energy. Incorporating key socio-economic and financial variables, critical to the United Nations SDG-7, we build a panel dataset for G7 countries from 1990-2021. Using cointegrating regression methods (FMOLS and DOLS), Quantile Regressions (QR) and pairwise panel causality tests, we find bidirectional causality between government debt and renewable energy consumption (REC). The empirical findings emphasize the important policy implications for sustainable economic development. Escalating government debt can hinder investment in renewable energy infrastructure, while increased renewable energy has a positive impact on government debt dynamics. Policymakers are encouraged to prioritize fiscal responsibility to secure resources for renewable energy investments. Moreover, incentivizing renewable energy deployment promotes long-term fiscal benefits and creates a positive feedback loop. In fact, a comprehensive understanding of the relationship between government finances and environmental sustainability is crucial for an optimal balance.

This study examines the effect of regulatory independence of the central bank in shaping the impact of electoral cycles on bank lending behaviour in Africa. It employs the dynamic system Generalized Method of Moments (SGMM) Two-Step estimator for a panel dataset of 54 African countries over the period, 2004–2022. The study found that banks lend substantially higher during election years, and reduce lending patterns thereafter. The study shows that countries that enforce monetary policy autonomy of the central bank induce a negative impact on bank lending behaviour while those that apply strong macro-prudential independent action and central bank independence reduce lending in the long term. The study provides evidence to support that regulatory independence of the central bank dampens the positive effect of elections on bank lending around election years while they amplify the reductive effects on bank lending after election periods. There is a wake-up call for countries with weak independent central bank regulatory policy to strengthen their independent regulatory policy frameworks and political institutions. This will enable them better strategize to yield a desirable outcome of bank lending to the real economy during election years.

Do fluctuations in U.S. short-term interest rates, both decreases and increases, have distinct effects on the monetary policies of emerging market economies (EMEs)? We use various empirical techniques to examine the responses of EMEs' monetary decisions across distinct phases of U.S. monetary policy (USMP). Our analysis uses data from 17 economies with inflation goals and predominantly flexible exchange rate systems from 2000 to 2020. Our findings underscore the asymmetric contagion effects of USMP. Both U.S. short-term rates decrease and increase, demonstrating a significant contagion effect in the near term. Conversely, U.S. long-term rates influence the domestic rates of EMEs when tighter, with no observed contagion during easing. Moreover, EMEs with higher GDP growth rates and trade balances demonstrate lower susceptibility to contagion. Conversely, in confirmation of the global financial cycle theory, an increase in capital inflows and surging stock market indices is correlated with heightened contagion. Our study suggests that EMEs should closely monitor and react to USMP changes to maintain financial stability and recommends that U.S. policymakers consider the international impacts of its policies, advocating for increased dialogue and collaboration.

This paper develops the asymptotic theory for stable autoregressive models in which the noise variance grows in a polynomial-like fashion. It is shown that the asymptotic distribution of the OLS estimator of the coefficient vector is multivariate normal with a covariance matrix that depends on the order, k, of the variance growth. A consistent estimator of k is proposed, which delivers heteroscedasticity-robust test statistics. The case of “variance decline” is studied as well. It is demonstrated that by means of a simple data transformation producing the time reversed image of the original series, the problem of “variance decrease” can be reformulated in terms of that of polynomial-like variance growth. Simulation evidence suggests that the new procedures work quite well in small samples. Finally, the new methods are used in order to measure potential asymmetries in business cycles dynamics among several OECD countries.

Using daily data for the financial stress index of the US and real estate investment trusts (REITs) returns from February 2, 2020, to January 20, 2022, we investigate the frequency-dependent and asymmetric connectedness between global financial market stress and REIT returns for the top 12 REIT regimes in America, Europe, and Asia. We use a novel asymmetric, noise-reducing-domain EEMD-based quantile connectedness and quantile-on-quantile regression technique and the quantile vector autoregression (QVAR) connectedness approach. The findings divulge that at the upper quantile financial market stress is a major risk transmitter, transmitting risk towards Germany, France, Netherlands, New Zealand, the UK, and Canada. The findings of the study explicate the pivotal role of the financial soundness on the housing market, which is one of the main drivers of the economy. Investors and market participants should observe the conditional state of market dynamics and its associated policies for risk management and diversification strategies in real estate investment.

This paper examines the asymmetric effects of economic policy uncertainty (EPU) on the demand for money in Canada, Japan, the United Kingdom, and the United States. We use linear and nonlinear ARDL models with monthly data over the period 1985–2022 to conduct the analysis. Results from the linear ARDL model show that changes in EPU have no short-run or long-run effect on money demand in any country, except in the US, where changes in EPU have a positive short-run effect. However, with the nonlinear ARDL model, we find evidence of short-run and long-run effects across all four countries. Both increases and decreases in EPU have negative long-run effects on Canadian and UK money demand, but a positive effect on US money demand. For Japan, rising EPU has a positive effect on money demand, whereas falling EPU is insignificant. The long-run results are consistent in each country over time. The recent COVID-19 period had a short-run impact across countries and a long-run effect on the relationship between EPU and money demand in Canada and the UK. In contrast, the Brexit period had no differential long-run impact on money demand across countries, and a short run impact was only observed in the UK. Our results highlight the importance of adopting nonlinear ARDL models instead of linear models to analyze money demand and the need to examine countries separately since the long-run effects of EPU on money demand vary across countries.

We propose a new method to compute various impulse response functions (IRF) for a Markov switching VAR model in terms of neat matrix expressions in closed form. The key is to derive a suitable closed form representation for Markov switching VAR models using a state-space representation. By this representation, the IRF analysis can be processed with respect to either an asymmetric discrete or a symmetric continuous shocks. A simulation study demonstrates the actual advantages of the proposed matrix methodology. To illustrate the feasibility and the usefulness of our approach, we present empirical applications to oil and natural gas markets showing the relevance of accommodating asymmetries in the relationship between their price shocks and economic activities.