Journal of Economic Asymmetries最新文献

This paper provides fresh evidence of temperature effects on GDP per capita growth and economic policy uncertainty $\left(epu\right)$. We apply the quantile via moments methodology (Machado and Santos Silva, 2019) in a sample of 31 countries for the period 1980–2021, the most current time frame of the work we reviewed. To the best of our knowledge, temperature effects on $epu$, in a panel quantile setting, have not been examined before. Our empirical results provide evidence in favor of asymmetric temperature impacts on both growth rates and $epu$. Specifically, according to our main findings: First, the impact of temperature on the growth rate of GDP per capita is quadratic, negative and increases, in absolute terms, as we move from the upper (flourishing economy) to the lower (bearish economy) quantiles. Second, hotter countries are more vulnerable to economic policy uncertainty, with the effect being more pronounced as uncertainty increases. Third, the temperature effect on GDP is higher than the political effect in weaker economies, while the political effect becomes of greater magnitude in stronger economies. Overall, our results indicate that an increase in temperature due to climate change poses important threats for the development prospects especially, but not exclusively, of the poorer countries that usually have both higher temperatures and face severe issues of economic policy uncertainty due to political instability and lack of basic economic infrastructure.

This paper presents, first, a theoretical model that, by highlighting that commercial banks with market power are able to positively pass on to their clients variations in their costs and, furthermore, that the strength with which they can do so is in turn asymmetrically related to the elasticity of the demand for loans exhibited by those clients, explains the asymmetric empirical findings shortly described. Secondly, it empirically investigates the pass-through of monetary policy rates (MPR) changes into the consumer and commercial loans interest rates set by commercial banks in four Latin American countries with inflation targeting (IT) schemes, namely (in alphabetic order) Brazil, Chile, Colombia, and Peru, over a homogeneous period. To do so, it estimates Non-Linear Auto-Regressive Distributed Lag (NARDL) models for each country. Then, we find two types of important asymmetric responses in the interest rate channel of IT monetary policy. The first is that the long-run response of the consumer loans interest rates following increases in the MPR is greater than that of the commercial loans interest rates. The second is that, in general, when the demand is relatively more elastic (as in the case of commercial loans) then the banks interest rates tend to exhibit a greater response when the central bank lowers the MPR than when it raises it.

This study investigates the heterogeneous impacts of eight categories of geopolitical risk on stock market performance across different market conditions in four Middle Eastern economies: Egypt, Israel, Saudi Arabia, and Turkey. Utilizing Quantile regression analysis and datasets spanning from September 2002 to August 2023, our findings reveal the complex and varied relationships between geopolitical risk factors and stock market performance. These results underscore the significance of comprehending specific political risk factors and their influence under various market conditions. We observe a consistent negative relationship between military buildups and stock market performance in Egypt and Israel, while other categories exhibit mixed effects. The Saudi Arabian and Turkish markets demonstrate varied sensitivity to different risks, with terrorism and war-related events significantly affecting market dynamics. Notably, all four markets consistently displayed negative reactions to terrorist activities, indicating the universally disruptive nature of such events. Understanding these dynamics assists investors and policymakers in adapting to global political changes.

This paper investigates the impacts and heterogeneity of the ECB's large-scale asset purchasing programs of sovereign securities on real GDP, inflation, long-term sovereign bond yields, systemic stress, and the unemployment rate. A structural Bayesian VAR model with six endogenous variables was estimated for 11 euro area countries over the period 2012:M1 to 2023:M12. To provide robustness to the results, a structural panel BVAR model is estimated, enabling a straightforward comparison of impulse responses of vulnerable and non-vulnerable countries. The results suggest that the magnitudes of impulse responses were more favorable in countries that were more economically and financially vulnerable. These findings underscore that financial and economic distress was a source of heterogeneity in the responses to large scale asset purchases within the euro area.

There is consensus among scholars and policymakers alike that economic stability significantly affects the financial sector of an economy. In this context, the present paper explores the possible asymmetric impact of macroeconomic stability on the Indian financial sector for the period 1975–2021. To capture the asymmetry, this study adopts the nonlinear autoregressive distributive lag (NARDL) model. Furthermore, this study examines the asymmetric causal flow between macroeconomic stability and financial development using the new asymmetric causality test proposed by Hatemi-j (2012). The results demonstrate that macroeconomic instability hurts financial development and that this effect is asymmetrical in nature. Furthermore, the findings demonstrate that per capita real income has a positive impact on financial development, supporting the demand-led hypothesis in the finance growth nexus. The results further demonstrate that the causal relationship is asymmetric. There is a unidirectional, asymmetrical causal flow from positive shock in financial development to positive shock in inflation. Overall, we conclude that the benefits of financial sector reforms are contingent upon economic stability. This implies that Indian policymakers must prioritize economic stability over financial reforms, emphasizing that future policy formulation should be contingent on cyclical periods.

We build a model of firms' choice between regular and irregular labor factors which links the cost efficiency of banks to the size of the underground economy. We consider two kinds of credit institutions supplying loans to the firms, cooperative and non-cooperative banks. The theoretical results show that cost-efficiency encourages firms to hire more regular workers. We then test our theoretical predictions using regional data for Italy over the 2004–2017 and assess how the efficiency of cooperative and non-cooperative banks, shapes the underground economy. In line with our theoretical prediction, increased cost efficiency reduces the size of the underground economy, especially in building and agriculture, and the estimated coefficients for the different types of banks are quite similar in size. Our evidence is robust to banks’ size, once we control for the likely simultaneity between cost efficiency and the underground economy and once we include the quality of institutions.

This study investigates the historical nexus between economic development and fertility in eight highly advanced European economies between 1870 and 2014. We employ the method of moments quantile regression (MMQR), which enables us to examine the impact of the different levels of economic development on fertility. We also consider the role of mortality and marriage to gain a more comprehensive view of the relationship. Our results from the linear and panel quantile models suggest an inverse J-shaped pattern between economic development and fertility. However, the inverse J-shape vanishes when time effects are considered in the quantile regression model, while the impact of mortality and marriage on fertility is reinforced. To further elaborate our findings, we also employ a nonparametric panel estimation method with time-varying coefficients. Our results also suggest that periods characterized by a positive economic development effect on fertility rarely coincide with an upward movement in the observed fertility trajectory. We infer that economic development per se did not drive either the historical baby-boom period or the recent fertility rebound.