Journal of Economic Asymmetries最新文献_第9页

Fiscal asymmetries and debt crises: Evidence from Lebanon using a sign restricted structural VAR model 财政不对称与债务危机:来自黎巴嫩的证据——基于符号限制结构VAR模型

Journal of Economic Asymmetries Pub Date : 2023-11-01 DOI: 10.1016/j.jeca.2023.e00334

Simon Neaime, Nasser Badra, Isabelle Gaysset

引用次数: 0

Does income inequality respond asymmetrically to financial development? Evidence from India using asymmetric cointegration and causality tests 收入不平等对金融发展的反应是否不对称?来自印度的证据采用非对称协整和因果检验

Journal of Economic Asymmetries Pub Date : 2023-11-01 DOI: 10.1016/j.jeca.2023.e00341

Ishfaq Nazir Khanday, Md. Tarique

{"title":"Does income inequality respond asymmetrically to financial development? Evidence from India using asymmetric cointegration and causality tests","authors":"Ishfaq Nazir Khanday, Md. Tarique","doi":"10.1016/j.jeca.2023.e00341","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00341","url":null,"abstract":"<div><p>Using NARDL model and Hatemi-j-asymmetric causality test, this work scrutinizes the asymmetric interactions between income inequality and financial development in India. The empirical findings support the existence of asymmetric structures in the finance-inequality nexus. It is found that negative shocks in financial development ameliorate income inequality while as, positive shocks in financial development exacerbate income inequality in an asymmetric manner. Wald's test and asymmetric cumulative dynamic multipliers used in the study also lend credence to the presence of asymmetric structures in the finance-inequality relationship demonstrating the robustness of our estimates. Furthermore, asymmetric causality tests reveal a unidirectional asymmetric causality between positive shocks in financial development and income inequality. The study divulges need to account for asymmetry in finance–inequality which previous studies neglected. National strategies for financial education, financial inclusion for unbanked segments of the population by expanding financial services network to hitherto unbanked areas, tailoring of financial products and services as per the specific needs of people, reducing interest rates on loans to businesses that qualify as small and medium enterprises must be among the top priorities of policy makers.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00341"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92031520","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

Investor behavior in the currency option market during the COVID-19 pandemic 新冠肺炎大流行期间货币期权市场的投资者行为

Journal of Economic Asymmetries Pub Date : 2023-10-09 DOI: 10.1016/j.jeca.2023.e00337

Wael Dammak , Nahla Boutouria , Salah Ben Hamad , Christian de Peretti

引用次数: 0

Asymmetric responses of equity returns to changes in exchange rates at different market volatility levels 不同市场波动水平下股票回报对汇率变化的不对称反应

Journal of Economic Asymmetries Pub Date : 2023-10-05 DOI: 10.1016/j.jeca.2023.e00336

Michael D. Herley , Lucjan T. Orlowski , Mark A. Ritter

{"title":"Asymmetric responses of equity returns to changes in exchange rates at different market volatility levels","authors":"Michael D. Herley , Lucjan T. Orlowski , Mark A. Ritter","doi":"10.1016/j.jeca.2023.e00336","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00336","url":null,"abstract":"<div><p><span>Our study aims to explore interactions between equity market returns and exchange rates at different market risk zones proxied by the Chicago Board Options Exchange Volatility Index (VIX). We analyze comovements between daily S&P 500 returns and three different USD exchange rates: the Federal Reserve's Nominal Broad U.S. Dollar Index, the Nominal Advanced Foreign Economies U.S. Dollar Index, and the USD in euro. The comovements are examined at three VIX zones (low, intermediate, and high) that we identify by employing the self-exciting threshold autoregressive SETAR(2,p) tests on daily data from January 03, 2006 to January 23, 2023. We subsequently employ VAR and conditional least square tests for S&P 500 returns and log changes in USD exchange rates with all showing the most robust transmission of shocks between </span>equity returns and exchange rates in the high VIX zone. We further run Markov switching tests to identify specific jump periods from low to high responsiveness of equity returns to the USD exchange rate. Our tests show that interactions between equity returns and exchange rates are asymmetric, i.e., the exchange rate elasticity of equity returns is pronounced during periods of high market volatility and indiscernible at periods of low volatility. These findings may be useful for forecasting equity returns, exchange rates, as well as for asset pricing and portfolio diversification.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00336"},"PeriodicalIF":0.0,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49815043","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

Ex-post and real-time estimations of the output gap: A new assessment of fiscal procyclicality in the eurozone 产出缺口的事后和实时估计：对欧元区财政顺周期性的新评估

Journal of Economic Asymmetries Pub Date : 2023-09-29 DOI: 10.1016/j.jeca.2023.e00332

Giovanni Carnazza

{"title":"Ex-post and real-time estimations of the output gap: A new assessment of fiscal procyclicality in the eurozone","authors":"Giovanni Carnazza","doi":"10.1016/j.jeca.2023.e00332","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00332","url":null,"abstract":"<div><p>The revisions implemented twice a year by the European Commission significantly change not only the forecasts but also the past values of the output gap. Consequently, many possible time series exist. Based on a new approach for estimating a real-time definition of the business cycle, we develop a comparative framework between <em>ex-post</em> and real-time variables using dynamic panel data models with FE, GLS and AB estimators. The real-time version of the output gap solves the important endogeneity issue between the budget balance and the output gap. Considering the period from 1995 to 2021 and the 19 Eurozone countries, our analysis deepens the cyclical nature of fiscal policy, pointing to robust procyclicality. Regardless of the specification, fiscal policy was found to be procyclical, but real-time and <em>ex-pos</em>t estimates have shown some interesting discrepancies (<em>i.e.</em>, on a real-time basis, discretionary budgetary decisions have never been significantly expansionary, and the likely positive effects of automatic stabilisers during economic downturns have been weakened by spending reductions and/or revenue increases). Our findings may help the future reform of the Stability and Growth Pact.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00332"},"PeriodicalIF":0.0,"publicationDate":"2023-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49815280","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

Public debt, current account, and economic growth in Germany: Evidence from a nonlinear ARDL model 德国公共债务、经常账户和经济增长：来自非线性ARDL模型的证据

Journal of Economic Asymmetries Pub Date : 2023-09-27 DOI: 10.1016/j.jeca.2023.e00335

George Zestos , Yixiao Jiang , Alex Hamed , Samuel Raymond

引用次数: 0

How do sectoral Islamic equity markets react to geopolitical risk, economic policy uncertainty, and oil price shocks? 伊斯兰股票市场如何应对地缘政治风险、经济政策不确定性和油价冲击？

Journal of Economic Asymmetries Pub Date : 2023-09-26 DOI: 10.1016/j.jeca.2023.e00333

Md. Bokhtiar Hasan , M. Kabir Hassan , Asem Alhomaidi

{"title":"How do sectoral Islamic equity markets react to geopolitical risk, economic policy uncertainty, and oil price shocks?","authors":"Md. Bokhtiar Hasan , M. Kabir Hassan , Asem Alhomaidi","doi":"10.1016/j.jeca.2023.e00333","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00333","url":null,"abstract":"<div><p>This study explores the impact of three major risk and uncertainty indices (Geopolitical Risk (GPR), Economic Policy Uncertainty (EPU), and Oil Market Volatility (OVX)) on the Dow Jones Islamic Market (DJIM) World and the ten major sectoral Islamic equity indices. The investigation further evaluates whether the impact of these uncertainties varies between Islamic sectoral indices and the global benchmark. Our time-varying analysis shows that most Islamic equity indices are more resilient in hedging against GPR and EPU shocks compared to OVX shocks. Furthermore, the Quantile-on-Quantile results establish a positive correlation between DJIM World and most Islamic equity indices with GPR, demonstrating their robust capabilities to hedge against GPR shocks. These hedging abilities are more pronounced in the consumer goods, oil & gas, and financial sectors. The dependence structures between extreme EPU shocks and the DJIM world and consumer goods, financials, healthcare, and industrial sectors are positive only in bearish conditions, suggesting hedging benefits are predominantly limited to lower quantiles. Yet, the basic materials and oil & gas sectors can hedge EPU shocks better than the DJIM world and other sectors, depending on market states. Notably, no Islamic equity indices show resilience against OVX shocks. Our findings have prominent portfolio risk management and policy implications for investors and policymakers. These findings hold significant implications for portfolio risk management and policy strategies for investors and policymakers.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00333"},"PeriodicalIF":0.0,"publicationDate":"2023-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49815045","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 vaccine for volatility? An empirical analysis of global stock markets and the impact of the COVID-19 vaccine 一种针对波动性的疫苗?全球股市与COVID-19疫苗影响的实证分析

Journal of Economic Asymmetries Pub Date : 2023-09-09 DOI: 10.1016/j.jeca.2023.e00331

Niall O'Donnell, Darren Shannon, Barry Sheehan

{"title":"A vaccine for volatility? An empirical analysis of global stock markets and the impact of the COVID-19 vaccine","authors":"Niall O'Donnell, Darren Shannon, Barry Sheehan","doi":"10.1016/j.jeca.2023.e00331","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00331","url":null,"abstract":"<div><p>The oscillation of COVID-19 growth has had a sustaining impact on financial markets. This study investigates the asymmetric impact of COVID-19 growth and recovery on financial markets. Examining ten epicenters of the virus from 01/01/2021 to 31/12/2021, we utilize a stepwise regression methodology and a diverse set of control variables. Controlling for volatility, credit risk, liquidity risk, monetary policy, gold, and oil, our findings indicate a significant impact of COVID-19 on equity indices. Vaccination growth correlates with positive price movements in the USA, UK, China, Japan, France, and Spain. Simultaneously, negative price trends align with virus growth in the USA, UK, China, Japan, Spain, and World models. A nexus of causality between COVID-19, global oil markets, and equity prices is identified, while credit and liquidity risks emerged as significant risk factors in China. Our results highlight the pertinence of swift vaccine developments, lockdown interventions, and central bank responses, providing valuable insights to governments, regulators, and all financial market stakeholders.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00331"},"PeriodicalIF":0.0,"publicationDate":"2023-09-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49856357","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

Do exogenous economic crises change investors’ response to earnings announcements?: A detailed review using the data from COVID-19 pandemic 外源性经济危机会改变投资者对财报的反应吗?:利用COVID-19大流行的数据进行详细审查

Journal of Economic Asymmetries Pub Date : 2023-09-04 DOI: 10.1016/j.jeca.2023.e00330

Arati Kale , Devendra Kale

引用次数: 0

Financial crises and inequality: New evidence from a panel of 17 advanced economies 金融危机与不平等:来自17个发达经济体的新证据

Journal of Economic Asymmetries Pub Date : 2023-08-26 DOI: 10.1016/j.jeca.2023.e00323

Jaejoon Woo

{"title":"Financial crises and inequality: New evidence from a panel of 17 advanced economies","authors":"Jaejoon Woo","doi":"10.1016/j.jeca.2023.e00323","DOIUrl":"10.1016/j.jeca.2023.e00323","url":null,"abstract":"<div><p>What is the distributional consequence of a financial crisis? Does income inequality follow the boom-bust pattern that is typically associated with a financial crisis? Does the financial crisis primarily affect the wealthy and the recession mainly affect the rest of the population? Is the inequality impact of a financial crisis-induced recession different from that of a normal recession? They are important questions with policy implications which are little understood at present. Our paper fills this gap in the literature by carefully addressing these questions in a panel of 17 advanced economies for 1955–2016. Our results suggest that financial crises have statistically significant and long-lasting adverse effects on income distribution. So are the inequality effects of financial crisis-induced recessions in sharp contrast to those of normal recessions. The results are not driven by the 2008–2009 global financial crisis episode. Interestingly, the effects of financial crises (or financial recessions) systematically differ across the indicators of inequality and time horizons, shedding some light on channels linking financial crises and inequality. Careful robustness checks confirm our results.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00323"},"PeriodicalIF":0.0,"publicationDate":"2023-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42648786","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