Journal of Economic Asymmetries最新文献_第6页

Forecasting downside and upside realized volatility: The role of asymmetric information 预测下行和上行已实现波动率：不对称信息的作用

Journal of Economic Asymmetries Pub Date : 2024-02-29 DOI: 10.1016/j.jeca.2024.e00357

Daiki Maki

引用次数: 0

The double sustainability: The link between government debt and renewable energy 双重可持续性：政府债务与可再生能源之间的联系

Journal of Economic Asymmetries Pub Date : 2024-02-23 DOI: 10.1016/j.jeca.2024.e00356

Monica Auteri , Marco Mele , Isabella Ruble , Cosimo Magazzino

{"title":"The double sustainability: The link between government debt and renewable energy","authors":"Monica Auteri , Marco Mele , Isabella Ruble , Cosimo Magazzino","doi":"10.1016/j.jeca.2024.e00356","DOIUrl":"https://doi.org/10.1016/j.jeca.2024.e00356","url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00356"},"PeriodicalIF":0.0,"publicationDate":"2024-02-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1703494924000057/pdfft?md5=92407064fda91a6abdbc2b499d3e39b2&pid=1-s2.0-S1703494924000057-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139942324","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Banking behaviour and political business cycle in Africa: The role of independent regulatory policies of the central bank 非洲的银行行为和政治商业周期：中央银行独立监管政策的作用

Journal of Economic Asymmetries Pub Date : 2024-02-22 DOI: 10.1016/j.jeca.2024.e00355

Daniel Ofori-Sasu , Elikplimi Komla Agbloyor , Dennis Nsafoah , Simplice A. Asongu

{"title":"Banking behaviour and political business cycle in Africa: The role of independent regulatory policies of the central bank","authors":"Daniel Ofori-Sasu , Elikplimi Komla Agbloyor , Dennis Nsafoah , Simplice A. Asongu","doi":"10.1016/j.jeca.2024.e00355","DOIUrl":"https://doi.org/10.1016/j.jeca.2024.e00355","url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00355"},"PeriodicalIF":0.0,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139936097","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Editors’ introduction 编辑导言

Journal of Economic Asymmetries Pub Date : 2024-02-01 DOI: 10.1016/j.jeca.2024.e00353

George Alogoskoufis , Thanasis Stengos

引用次数: 0

Asymmetric impacts of U.S. monetary policy on emerging markets: Contagion and macroeconomic determinants 美国货币政策对新兴市场的不对称影响：蔓延和宏观经济决定因素

Journal of Economic Asymmetries Pub Date : 2024-01-24 DOI: 10.1016/j.jeca.2024.e00354

Chokri Zehri , Zagros Madjd-Sadjadi , Latifa Saleh Iben Ammar

{"title":"Asymmetric impacts of U.S. monetary policy on emerging markets: Contagion and macroeconomic determinants","authors":"Chokri Zehri , Zagros Madjd-Sadjadi , Latifa Saleh Iben Ammar","doi":"10.1016/j.jeca.2024.e00354","DOIUrl":"https://doi.org/10.1016/j.jeca.2024.e00354","url":null,"abstract":"<div><p><span>Do fluctuations in U.S. short-term interest rates<span>, 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 </span></span>inflation<span> goals and predominantly flexible exchange rate systems<span><span> 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 </span>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.</span></span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00354"},"PeriodicalIF":0.0,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139549103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Unbounded heteroscedasticity in autoregressive models 自回归模型中的无界异方差

Journal of Economic Asymmetries Pub Date : 2024-01-22 DOI: 10.1016/j.jeca.2023.e00351

Nikolaos Kourogenis , Nikitas Pittis , Panagiotis Samartzis

引用次数: 0

Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic 全球金融市场压力与房地产投资信托回报之间的量级依赖性和非对称关联性：来自 COVID-19 大流行病的证据

Journal of Economic Asymmetries Pub Date : 2024-01-12 DOI: 10.1016/j.jeca.2024.e00352

Mohammed Armah , Godfred Amewu

{"title":"Quantile dependence and asymmetric connectedness between global financial market stress and REIT returns: Evidence from the COVID-19 pandemic","authors":"Mohammed Armah , Godfred Amewu","doi":"10.1016/j.jeca.2024.e00352","DOIUrl":"https://doi.org/10.1016/j.jeca.2024.e00352","url":null,"abstract":"<div><p>Using daily data for the financial stress index of the US and real estate investment<span> 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.</span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00352"},"PeriodicalIF":0.0,"publicationDate":"2024-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139433729","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Asymmetric effects of economic policy uncertainty on demand for money in developed countries 经济政策不确定性对发达国家货币需求的不对称影响

Journal of Economic Asymmetries Pub Date : 2024-01-03 DOI: 10.1016/j.jeca.2023.e00350

Salah A. Nusair , Dennis Olson , Jamal A. Al-Khasawneh

{"title":"Asymmetric effects of economic policy uncertainty on demand for money in developed countries","authors":"Salah A. Nusair , Dennis Olson , Jamal A. Al-Khasawneh","doi":"10.1016/j.jeca.2023.e00350","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00350","url":null,"abstract":"<div><p><span>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 </span>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.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00350"},"PeriodicalIF":0.0,"publicationDate":"2024-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139100597","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets 马尔可夫转换 VAR 中推导各种脉冲响应的矩阵统一框架：石油和天然气市场的证据

Journal of Economic Asymmetries Pub Date : 2023-12-23 DOI: 10.1016/j.jeca.2023.e00349

Maddalena Cavicchioli

引用次数: 0

Influence of Ukraine invasion by Russia on Turkish markets 俄罗斯入侵乌克兰对土耳其市场的影响

Journal of Economic Asymmetries Pub Date : 2023-12-21 DOI: 10.1016/j.jeca.2023.e00348

Monsurat Ayojimi Salami, Harun Tanrıvermiş, Yesim Tanrıvermiş

{"title":"Influence of Ukraine invasion by Russia on Turkish markets","authors":"Monsurat Ayojimi Salami, Harun Tanrıvermiş, Yesim Tanrıvermiş","doi":"10.1016/j.jeca.2023.e00348","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00348","url":null,"abstract":"<div><p>This paper aims to examine the influence of the Ukraine invasion by Russia on Turkish markets, namely the Istanbul stock market index, Turkish real estate market<span> index, Turkish gold market and Turkish foreign exchange market. This study used daily frequency data between February 24 and June 14, 2022. The variables used are BIST100, Turkey real estate index (XGMYO), Turkish gold commodity (XAU/TRY), Turkish foreign currency such as EURO/TRY, GBP/TRY, USD/TRY, TRY/UAH, TRY/RUB, and macro-economic variable RFR/TRY. The study employed Johansen cointegration, Impulse Response Functions and Markov-regime switching for the analysis. The findings established a long-run co-integration relationship among the Turkish markets. The finding also indicated that the shock from the Ukraine invasion by Russia has a positive effect on developed foreign currencies and a negative effect on currencies from emerging countries such as Turkey. The finding revealed that BIST100, XGMYO, and XAU/TRY shifted to regime 2 during the Ukraine invasion by Russia. The lack of need for more commodities such as wheat, gas and oil from the Turkish market prevented focusing on them, which may attract global attention. Despite this, the significance of this finding remains relevant in Turkey. Therefore, future research may focus on other markets with sufficient trading data for wheat and gas in Russia or Ukraine and any other countries of their study. This study established that Ukraine's invasion by Russia has a worldwide impact on the global markets. The effect is felt globally as a consequence, has been experienced across different developed and emerging markets due to the large market share of Russia on essential commodities such as gas and oil. Turkish foreign exchange markets experienced more storms during the Ukraine invasion by Russia even more than it was during the COVID-19 pandemic.</span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"29 ","pages":"Article e00348"},"PeriodicalIF":0.0,"publicationDate":"2023-12-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138838539","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0