Journal of Economic Asymmetries最新文献_第9页

Financial development threshold effect on wealth inequality-economic growth nexus: Evidence from MENA economies 金融发展阈值对财富不平等-经济增长关系的影响：来自中东和北非经济体的证据

Journal of Economic Asymmetries Pub Date : 2023-08-09 DOI: 10.1016/j.jeca.2023.e00324

Mohamed Ali Chroufa, Nouri Chtourou

{"title":"Financial development threshold effect on wealth inequality-economic growth nexus: Evidence from MENA economies","authors":"Mohamed Ali Chroufa, Nouri Chtourou","doi":"10.1016/j.jeca.2023.e00324","DOIUrl":"10.1016/j.jeca.2023.e00324","url":null,"abstract":"<div><p>This paper investigates the impact of the threshold effect of financial development on the relationship between wealth<span> inequality<span> and economic growth of 13 Middle East-North African (MENA) countries between 1995 and 2019. Applying the fixed-effect threshold panel model introduced by Hansen (1999), we test for a non-linear association between wealth disparity and economic output below and above a threshold value of financial development. The results show that wealth inequality inhibits economic expansion regardless of the level of financial development. Besides, this destructive impact intensifies with increased financial development. Our findings highlight that the rise in the wealth gap especially accompanied by accelerating financial reforms hurts economic growth. The findings of our research provide useful implications for the MENA region. Policymakers should reduce inequality of patrimony by adopting wealth tax to achieve a more equitable capital distribution. Furthermore, governments must adjust the financial development process to make it consistent with wealth equalizing policies and sustainable growth.</span></span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00324"},"PeriodicalIF":0.0,"publicationDate":"2023-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49648957","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

Analysing financial stability reports as crisis predictors with the use of text-mining 利用文本挖掘分析金融稳定报告作为危机预测因素

Journal of Economic Asymmetries Pub Date : 2023-08-08 DOI: 10.1016/j.jeca.2023.e00322

Łukasz Kurowski, Paweł Smaga

{"title":"Analysing financial stability reports as crisis predictors with the use of text-mining","authors":"Łukasz Kurowski, Paweł Smaga","doi":"10.1016/j.jeca.2023.e00322","DOIUrl":"10.1016/j.jeca.2023.e00322","url":null,"abstract":"<div><p>Central bank analyses and external communication play an important role in maintaining its credibility, as well as effectiveness of monetary and macroprudential policies. A financial stability report is one of the main channels of communication between central banks and the financial market. The aim of the study is to verify whether the linguistic content of those reports contains early warning signals of an upcoming financial crisis. We carefully select 848 words related to Early Warning Indicators and examine whether their appearance in the 604 financial stability reports published by 18 central banks could have indicated an impending global financial crisis (2007+). We use the novel approach of joint application of text-mining and the concept of receiver operating characteristic curve to compare the frequency of selected words before and after the global financial crisis. According to the results, the linguistic content of financial stability reports does not emit any early warning signals (except for the single case of the Central Bank of Iceland). On the one hand, this may indicate potential weaknesses in the quality of analyses in those reports, but on the other hand, it may show a central bank's deliberate avoidance of actions prompting negative effects of a ‘self-fulfilling prophecy’.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00322"},"PeriodicalIF":0.0,"publicationDate":"2023-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42755664","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

Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure 第一波COVID-19大流行对隐含股市波动的影响:使用谷歌趋势指标的国际证据

Journal of Economic Asymmetries Pub Date : 2023-06-12 DOI: 10.1016/j.jeca.2023.e00317

Stephanos Papadamou , Athanasios P. Fassas , Dimitris Kenourgios , Dimitrios Dimitriou

{"title":"Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure","authors":"Stephanos Papadamou , Athanasios P. Fassas , Dimitris Kenourgios , Dimitrios Dimitriou","doi":"10.1016/j.jeca.2023.e00317","DOIUrl":"10.1016/j.jeca.2023.e00317","url":null,"abstract":"<div><p>This paper investigates the relationship between investors' attention, as measured by Google search queries, and equity implied volatility during the COVID-19 outbreak. Recent studies show that search investors' behavior data is an extremely abundant repository of predictive data, and investor-limited attention increases when the uncertainty level is high. Our study using data from thirteen countries across the globe during the first wave of the COVID-19 pandemic (January–April 2020) examines whether the search “topic and terms” for the pandemic affect market participants’ expectations about future realized volatility. With the panic and uncertainty about COVID-19, our empirical findings show that increased internet searches during the pandemic caused the information to flow into the financial markets at a faster rate and thus resulting in higher implied volatility directly and via the stock return-risk relation. More specifically for the latter, the leverage effect in the VIX becomes stronger as Google search queries intensify. Both the direct and indirect effects on implied volatility, highlight a risk-aversion channel that operates during the pandemic. We also find that these effects are stronger in Europe than in the rest of the world. Moreover, in a panel vector autoregression framework, we show that a positive shock on stock returns may soothe COVID-related Google searches in Europe. Our findings suggest that Google-based attention to COVID-19 leads to elevated risk aversion in stock markets.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"28 ","pages":"Article e00317"},"PeriodicalIF":0.0,"publicationDate":"2023-06-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10258586/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10012561","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: 1

CEO duality and firm performance during the 2020 coronavirus outbreak 2020年冠状病毒疫情期间首席执行官的二元性和公司业绩

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2022.e00278

M. Kabir Hassan , Reza Houston , M.Sydul Karim , Ahmed Sabit

{"title":"CEO duality and firm performance during the 2020 coronavirus outbreak","authors":"M. Kabir Hassan , Reza Houston , M.Sydul Karim , Ahmed Sabit","doi":"10.1016/j.jeca.2022.e00278","DOIUrl":"10.1016/j.jeca.2022.e00278","url":null,"abstract":"<div><p>Stewardship theory suggests that CEO duality can provide strong leadership and facilitate the development and coordination of firm strategy. These benefits should affect firm risk and financial performance, particularly when the firm has high information-gathering costs. We use the 2020 coronavirus outbreak as a natural experiment to determine whether CEO duality is beneficial during crisis periods. We find that in 2020, S&P 1500 firms with CEO duality exhibit smaller increases in default probability risk than firms with non-duality in the presence of high information costs. Firms with CEO duality experience a smaller decrease in profitability when information costs are high. We also find that firms with CEO duality offer cumulative abnormal returns significantly higher than those of other firms. CEO duality is more valuable in firms with higher information costs. Our results indicate that CEO duality is valuable during crisis periods, particularly when information costs are high. These results are consistent with stewardship theory and indicate that the concentration of power from CEO duality is beneficial during crisis periods.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"27 ","pages":"Article e00278"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9633622/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9380752","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: 3

Asymmetric price transmission along the supply chain of perishable agricultural commodities: A nonlinear ARDL approach 易腐农产品供应链上的不对称价格传导:一种非线性ARDL方法

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2023.e00305

P.V.S. Harshana, Shyama Ratnasiri

引用次数: 0

An anatomy of external shocks in the Andean region 安第斯地区外部冲击剖析

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2023.e00295

Paul Carrillo-Maldonado , Javier Díaz-Cassou

引用次数: 0

Corporate vulnerability in the US and China during COVID-19: A machine learning approach COVID-19期间美国和中国企业的脆弱性:一种机器学习方法

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2023.e00302

Muhammad Asif Khan , Juan E.Trinidad Segovia , M.Ishaq Bhatti , Asif Kabir

{"title":"Corporate vulnerability in the US and China during COVID-19: A machine learning approach","authors":"Muhammad Asif Khan , Juan E.Trinidad Segovia , M.Ishaq Bhatti , Asif Kabir","doi":"10.1016/j.jeca.2023.e00302","DOIUrl":"10.1016/j.jeca.2023.e00302","url":null,"abstract":"<div><p>The impact of COVID-19 on stock market dynamics and other macroeconomic indicators has been extensively researched. However, the question of how it affects corporate vulnerability has received less attention. This article aims to fill this gap by examining the implications of COVID-19 on corporate vulnerability in the United States (US) and China, using daily data from January 2020 to December 2021. The empirical results of cointegration analysis demonstrate that COVID-19 considerably worsen corporate vulnerabilities in the long-term in the US and in the short-term in China. Additionally, non-linear results demonstrate long-run asymmetries in the US and short-run asymmetries in China, confirming the accuracy of error prediction and suggesting that US corporations are more exposed to COVID-19-induced risks. The channels through which COVID-19 may affect corporate vulnerability include changes in consumer behavior and demand, disruptions in supply chains, financial stress, government policies and regulations, and changes in the competitive landscape. This study sheds light on the effects of the COVID-19 pandemic on corporate vulnerability in the US and China, revealing regulatory implications that may necessitate greater government involvement, managerial implications that emphasize risk management and contingency planning, and social implications that highlight the importance of prioritizing stakeholder welfare and embracing digital transformation.</p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"27 ","pages":"Article e00302"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10083205/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9387829","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: 4

Hysteresis, financial frictions and monetary policy 滞后性、金融摩擦和货币政策

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2022.e00286

Konstantinos Giakas

{"title":"Hysteresis, financial frictions and monetary policy","authors":"Konstantinos Giakas","doi":"10.1016/j.jeca.2022.e00286","DOIUrl":"10.1016/j.jeca.2022.e00286","url":null,"abstract":"<div><p>This paper develops a medium-sized monetary DSGE model<span><span><span> of unemployment which assumes asymmetric information between entrepreneurs and financial intermediaries resulting in costly state verification financial frictions. The labor sector of the model consists of an insiders-outsiders labor market structure where a monopoly labor union unilaterally sets the nominal wage according to a hysteresis equation. Labor market hysteresis generates an asymmetry between insiders and outsiders. The main purpose of the paper is, firstly, to explore how labor market hysteresis affects the persistence of macroeconomic aggregates after temporary aggregate shocks that simulate a financial crisis; secondly, to investigate the implications of hysteresis for </span>monetary policy. Overall, it is highlighted that a DSGE model that incorporates both financial frictions and employment hysteresis can generate substantial endogenous persistence that resemble a severe financial crisis. Furthermore, welfare analysis indicates a Taylor policy that stabilizes the growth rate of output leads to heavy welfare losses relative to output gap targeting. These losses increase with the degree of hysteresis. In this case, a central bank can benefit from choosing to stabilize wage </span>inflation.</span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"27 ","pages":"Article e00286"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45378634","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: 1

Asymmetric effects of monetary policy and financial accelerator: Evidence from India 货币政策与金融加速器的非对称效应——来自印度的证据

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2023.e00296

Sruti Mundra, Motilal Bicchal

{"title":"Asymmetric effects of monetary policy and financial accelerator: Evidence from India","authors":"Sruti Mundra, Motilal Bicchal","doi":"10.1016/j.jeca.2023.e00296","DOIUrl":"https://doi.org/10.1016/j.jeca.2023.e00296","url":null,"abstract":"<div><p><span><span>This paper analyzes the asymmetric effects of monetary policy shocks during low and high financial stress regimes in India. We explore the asymmetric effects through various monetary policy transmission channels, namely, </span>interest rate<span>, credit, asset prices, exchange rate, and expectations channels, using threshold vector autoregression<span> (TVAR) models. Financial Stress Index (FSI) is used in the TVAR estimations as the threshold variable that endogenizes the regime-switching. We use a compressive FSI based on the dynamic conditional correlation-generalized autoregressive conditional heteroscedasticity (DCC-GARCH) method. The empirical findings indicate that a contractionary monetary policy shock through various channels has a stronger and more persistent effect on macroeconomic goal variables, output, and </span></span></span>inflation<span> during high financial stress than in a low financial stress regime. An expansionary monetary policy shock also shows a more significant effect on output during a high financial stress regime. Also, we found a stronger financial accelerator effect during high financial stress. This finding supports the literature that argues for the emergence of a stronger financial accelerator effect during financial stress. Finally, using nonlinear historical decompositions, we find that interest rate shocks contribute significantly to macroeconomic fluctuations in India.</span></p></div>","PeriodicalId":38259,"journal":{"name":"Journal of Economic Asymmetries","volume":"27 ","pages":"Article e00296"},"PeriodicalIF":0.0,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49815837","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

Should models of monetary policy asymmetry include interaction terms? 货币政策不对称模型是否应该包括相互作用项？

Journal of Economic Asymmetries Pub Date : 2023-06-01 DOI: 10.1016/j.jeca.2023.e00300

Thomas Stockwell

引用次数: 0