Journal of Economic Asymmetries最新文献

Given the pivotal role of inflation expectations in contemporary monetary policy, we posit that if monetary policy has effectively influenced inflation expectations, thereby altering the trajectory of total inflation, a structural break in the path of total inflation should be observable. Conversely, if inflation expectations have remained stable and monetary policy has had limited impact, a stable vector autoregressive (VAR) model should adequately describe the path of total inflation. To address these hypotheses, a non-linear specification of a threshold vector autoregressive (TVAR) model is employed, offering a comprehensive analytical framework for the examination of these dynamics.

This study examines the price relationships between the three major EU olive oil markets; Spain, Italy and Greece. The empirical analysis utilises a series of linear and non-linear econometric techniques to explore long and short run relations examining market integration as well as the pattern of price transmission. The study utilises monthly wholesale data for virgin olive oil for the three countries, covering the period January 2000 to April 2022. Results from the Diks and Panchenko nonlinear causality test suggest Spain to be the central market and stable long-run relations are revealed between the examined price pairs through the non-linear Momentum Threshold Cointegration model, with the strongest relation being identified between Italy and Greece. Regarding the pattern of price transmission, it is found to be asymmetric for the pairs Spain-Greece and Spain-Italy, whereas for price pair Italy-Greece symmetry is confirmed, and the Law of One Price holds in its strong version. This suggests that while the markets are integrated, the EU olive oil market is characterised by inefficiencies indicating the need for further reforms.

Investment is envisaged as a prerequisite for improving productivity and growth in any economy. In India, investment has decelerated during the global financial crisis (GFC) of 2008, especially after 2011–12, which has spurred a heated discussion regarding causes accountable for elongated slowdown. To this end, we empirically examine the causal nexus between investment and its covariates in an asymmetric framework. The present study finds asymmetric cointegration along with short-run impact asymmetry, long-run reaction asymmetry, and adjustment asymmetry between investment and its covariates. Furthermore, evidence of asymmetric Granger causality is also established. Our study's conclusions have important policy outcomes to combat the economy's downturn in investment.

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.