Journal of Economic Asymmetries最新文献

This paper investigates whether the response of U.S. output to a monetary policy shock is symmetric to the direction of the shock, the size of the shock, and the phase of the business cycle. Many papers in this literature use models that contain only one type of asymmetry; however, looking at individual types of asymmetry may not be enough, and interactions between the asymmetries may be important. My results show that business cycle and directional asymmetry are important and that stimulative monetary policy shocks taken during recessions have little effect on output. This result is missed in models that do not consider multiple types of asymmetry and their interactions.

This paper investigates the spillover effects of the waves of Covid-19 that affected the performance of the Islamic financial sector index (KMI 30) concerning Pakistan's stock exchange. The daily data is used on confirmed registered cases of Covid-19 and the KMI 30 stock prices from February 2020 to June 2022. The data is distributed into five segments on the basis of Covid-19 waves. The asymmetric GJR-GARCH is used to capture the effect of Covid-19 during each wave and E-GARCH is used to see the positive and negative impacts of Covid-19 on KMI through spillover effects. The E-GARCH model also serves to forecast the conditional variance. The Chow structural break point and Bai and Perron tests identify the structural breaks in each wave. Results of structural break testing confirm the presence breaks in each wave. Meanwhile volatility modeling results indicate there is an asymmetric effect in the return series. The E-GARCH model results reveal that there is return and volatility spillover effect from Covid-19 to KMI 30 in each wave. In future the conditional volatility remains less than the expected volatility as predicted by the forecasting statistics. We respond to policy calls by sharing our novel research in not only combating, but also assisting the required urgency of planning for future of Covid-19 outbreaks.

We investigate the quantile and asymmetric return connectedness among the BRICS stock exchanges between 1 January 2002 and 31 December 2022. Over the years the BRICS stock markets have become emerging market choices for global investors interested in international diversification. As a result, the characteristics of these markets and how they interact with each other are important to international investors. We use quantile connectedness to examine return spillovers, particularly at the extreme left and right tails, as opposed to connectedness in the middle. The group's level of return connectedness, as determined by mean-based connectedness measures is only 30.58%. However, we find that levels of quantile-connectedness are substantially higher when using a unique quantile-based connectedness technique, more than doubling to more than 70% at the extreme upper and lower tails respectively. We also utilise a novel asymmetric connectedness approach that disaggregates overall connectedness into its positive and negative constituents. Positive return connectedness is more pronounced than negative return connectedness.

In this paper, we analyze equity mutual funds from the main European countries using daily and monthly returns to determine whether the temporary frequency of the data produces changes in the identification of timing skills by fund managers that justifies the current trend in the finance literature of using daily returns instead of monthly observations for performance measurement purposes. In our analysis we employ data for 17 European countries from 1990 to 2020, we appreciate a greater significance in the results obtained when using daily returns, approximately 10% of funds show significantly positive market timing skills and the same proportion of funds show negative market timing across countries. In the present study, we show the usefulness of the increase in the temporal frequency of the observations as the use of daily data instead of monthly returns implies a greater significance in the results obtained. Our findings indicate that some mutual fund managers take advantage of the predictability of market returns explained in the finance literature. Thus, potential investors might try to identify the managers who have these timing skills to invest in their funds.

We set up an early warning system for financial crises based on the Random Forrest approach. We use a novel set of predictors that comprises financial development indicators in addition to conventional imbalances measures. The evaluation of the model is conducted using a three-step procedure (i.e. training, validation and testing sub-samples). The results indicate that combining financial imbalances and financial development indicators helps to improve the out-of-sample accuracy of the early warning system.

This paper focuses on economic and financial asymmetries by addressing methodological issues related to the meaning of economic asymmetries and how such asymmetries arise in markets, general equilibrium modeling and in national and global economies. The methodology of modeling asymmetric information began with Akerlof's celebrated model of “lemons” and while these asymmetries were quickly adopted in microeconomics, macroeconomics, business cycles and related areas, economic policies adapted the concept of asymmetries to highlight the importance of unequal magnitudes of responses among economic and financial variables. We discuss numerous topics that illustrate the large scope of economic and financial asymmetries in actual economies and their modeling to establish their methodological centrality in economic analysis and policy.

The study examines the relationship between cryptocurrency market and economic policy uncertainty (EPU) by concentrating on the top five cryptocurrencies assessed by market capitalization. We investigate long and short-run effects of global EPU on the returns of Bitcoin, Ethereum, Tether, Binance coin and Ripple, along with ascertaining asymmetries, through the NARDL (Non-Linear Autoregressive Distributed Lag) model, for the period ranging from September 2017 to August 2022. In the long run, except for Tether, all other cryptocurrencies are negatively affected by EPU, challenging the safe hedge properties of cryptocurrencies. However, Bitcoin, Ethereum, Binance coin and Ripple display positive relations with growing EPU in short run, reflecting their safe haven attributes over a shorter horizon. Additionally, these cryptocurrencies exhibit asymmetries in the short run. Further, we analyse the effect of US, Chinese and Indian EPU on bitcoin returns to understand the effect of EPU shocks of advanced and emerging economies. US EPU has long-run negative effects on bitcoin market, whereas Indian and Chinese EPU have no significant impact in long term. Moreover, our analysis also establishes the detrimental impact of the Indian government's crypto tax policy on bitcoin. The study has relevance for current and potential investors of the cryptocurrency market apart from the policymakers and regulatory bodies.

This paper investigates the asymmetric, time, and frequency-based volatility spillovers in global IT industries. To this end, we introduce a new Wavelet-Time Varying Parameter-VAR (W-TVP-VAR) approach to compute connectedness combined with the asymmetrical connectedness of (Barndorff-Nielsen et al., 2010) and (Baruník et al., 2016, 2017) at different frequencies. Daily stock prices of the IT sector in thirteen countries representing the top technologically advanced countries ranging from January 15, 2016, until June 24, 2022, are used. The empirical results show that the aggregate volatility is slowly transmitted across markets with an effect lasting more than twenty days. The result also supports the presence of asymmetrical transmission as downside spillovers dominate upside spillovers, regardless of the frequency. Furthermore, the time-varying spillover shows the dominance of downside spillovers in various crisis periods, especially during the pandemic. The time and frequency-based spillover indicate that the overall spillover increased during the recent COVID-19 pandemic crisis period, which is mostly driven by the short-term, suggesting that panic decisions and herd behavior result in extreme connectedness. These findings are helpful to participants and policymakers.

This article investigates whether oil price shocks have an asymmetric impact on certain key macroeconomic variables, viz., industrial output, inflation, exchange rates, and stock returns in India. The empirical evaluation of this issue involves using recently developed slope and impulse response-based symmetry tests advocated by Kilian and Vigfusson (2011a). The evidence based on Wald test indicate that there is asymmetry and nonlinearity in the response of macroeconomic variables to oil price shocks. The evidence obtained from impulse responses suggests that most of the macroeconomic variables asymmetrically respond to small and large oil price shocks over different forecast horizons. However, electricity production, nominal effective exchange rate, stock return and inflation measure based on wholesale price index respond symmetrically to oil price shocks using the slope test. These findings are found to be robust to alternative lag structures utilized in the estimation.

Asymmetric information in digital financial markets is increasingly becoming a severe problem in the digital era. Consumers of digital finance suffer from asymmetric information compared to financial agents due to the complexity of services and their passive position in collecting, analyzing, and processing information. This study offers measures to improve the practice of digital financial consumer protection (DFCP) through quantitative analysis, using a sample of 135 countries from 2014 to 2018. This manuscript indicates that two groups of factors positively affect financial consumer protection: market size (openness) and technological readiness. The results show that technological improvement and economic openness factors worldwide are seen as tremendous opportunities in the digital age, rather than challenges, for strengthening financial consumer protection. Governments thus need to adopt policies that focus on absorbing new technology, encouraging innovation, and opening the economy instead of controlling actions to protect their citizens.