Relevant bibliographies by topics / Asymmetric cointegration

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Academic literature on the topic 'Asymmetric cointegration'

Author: Grafiati
Published: 4 June 2021
Last updated: 14 June 2025

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Journal articles on the topic "Asymmetric cointegration"

1

COOK, STEVEN. "ARE STOCK PRICES AND ECONOMIC ACTIVITY COINTEGRATED? EVIDENCE FROM THE US, 1950–2005." Annals of Financial Economics 02, no. 01 (2006): 0650003. http://dx.doi.org/10.1142/s2010495206500035.

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The potential cointegrating relationship between stock prices and economic activity suggested by financial and economic theory is examined. It is found that the commonly employed tests of Engle and Granger (1987) and Johansen (1988) fail to detect cointegration between stock prices and industrial production for a long span of US data. In recognition of factors which may result in a failure to detect a genuine cointegrating relationship, the analysis is extended to consider higher-powered cointegration tests, tests which allow for structural change in the cointegrating relationship and tests of asymmetric cointegration. However, despite considering a range of tests, no evidence of cointegration is detected. The results therefore do not support the predictions of financial and economic theory.
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2

Bahmani-Oskooee, Mohsen, and Augustine Chuck Arize. "Asymmetry cointegration and the J-curve: new evidence from Africa." Journal of Economic Studies 47, no. 5 (2020): 969–84. http://dx.doi.org/10.1108/jes-09-2018-0333.

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PurposeThe purpose is to assess the asymmetric effects of exchange rate changes on the trade balance using data from African nations.Design/methodology/approachThe methodology is based on the most recent development in asymmetry cointegration and error-correction modeling.FindingsWhile the authors find short-run asymmetric effects in many of the countries in their sample, asymmetry cointegration yields support for the new definition of the J-curve in Algeria, Cameroon, Ethiopia, Morocco, Tanzania and Zambia.Originality/valueThis is the first study that applies nonlinear ARDL approach of Shin et al. (2014) using data from each of the 13 countries in Africa.
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3

Schild, Karl-Heinz, and Karsten Schweikert. "On the Validity of Tests for Asymmetry in Residual-Based Threshold Cointegration Models." Econometrics 7, no. 1 (2019): 12. http://dx.doi.org/10.3390/econometrics7010012.

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This paper investigates the properties of tests for asymmetric long-run adjustment which are often applied in empirical studies on asymmetric price transmissions. We show that substantial size distortions are caused by preconditioning the test on finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases of small sample sizes or slow speed of adjustment. Further, we provide simulation evidence that tests for long-run asymmetry are generally oversized if the threshold parameter is estimated by conditional least squares and show that bootstrap techniques can be used to obtain the correct size.
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4

Audu, Nathan, and Titus Obiezue. "Exchange Rate and Trade in Services Nexus in Nigeria: A Non-Linear ARDL Approach." Athens Journal of Business & Economics 8, no. 1 (2022): 465–82. http://dx.doi.org/10.30958/ajbe.8-1-5.

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A nonlinear ARDL model is employed to investigate the asymmetric drivers of non-oil trade in services between Nigeria and Netherlands. A significant number of past studies have concentrated their attention on the elasticity of trade in services to real exchange rates and income as well as on non-oil export, total export trade or import, yet none have delve into asymmetric relationship. This study aims to fills this void. Our result shows that the effects of exchange rate variations have both positive and negative displays with more negative asymmetry. This provides further insights in the nature of service asymmetries. (JEL Codes: C22, D43, E31, L71, Q41) Keywords: asymmetric cointegration, exchange rate adjustment, disaggregated, services
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5

Weldesenbet, T. "Asymmetric price transmission in the Slovak liquid milk market." Agricultural Economics (Zemědělská ekonomika) 59, No. 11 (2013): 512–24. http://dx.doi.org/10.17221/150/2012-agricecon.

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The divergence in liquid milk price trends has raised concern about the efficiency of the milk market price transmission in Slovakia. The paper provides empirical evidence on the price transmission among the producer, wholesale, and retail markets of liquid milk in Slovakia, using the monthly data from 1993 to 2010. The empirical analysis is based on the Granger causality and the Johansen cointegration tests and on the asymmetry tests (Houck approach and error correction model approach). The causality test results show that the changes in producer prices cause changes in the wholesale and retail prices; there is a feedback from the retail to producer prices. Moreover, the direction of causality between the wholesale and retail prices flows in both directions. The long-run elasticities of price transmission are, as expected, greater than the short-run elasticities. The cointegration results indicate that the wholesale and producer prices as well as the retail and producer prices are cointegrated, but there is no evidence of cointegration between the wholesale and retail prices. The results of an asymmetric error correction models suggest that the price transmission in the Slovakian liquid milk market is asymmetric both in the short- and long-runs.
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6

Phiri, Andrew. "Asymmetric cointegration and causality effects between financial development and economic growth in South Africa." Studies in Economics and Finance 32, no. 4 (2015): 464–84. http://dx.doi.org/10.1108/sef-01-2014-0009.

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Purpose – The purpose of this paper is to investigate asymmetric cointegration and causality effects between financial development and economic growth for South African data spanning over the period of 1992-2013. Design/methodology/approach – This study makes the use of the momentum threshold autoregressive (M-TAR) approach which allows for threshold error-correction (TEC) modeling and Granger causality analysis between the variables. In carrying out an empirical analysis, the author uses six measures of the financial development variables against gross domestic per capita, that is, three measures which proxy banking activity and another three proxies for stock market development. Findings – The empirical results generally indicate an abrupt asymmetric cointegration relationship between banking activity and economic growth, on the one hand, and a smooth cointegration relationship between stock market activity and economic growth, on the other hand. Moreover, causality analysis generally reveals that while banking activity tends to Granger cause economic growth, stock market activity is, however, caused by economic growth increase. Originality/value – This study contributes to the literature by examining asymmetries in the cointegration and causality relations by using both banking and stock market proxies against economic growth for the South African economy.
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7

Ahad, Muhammad, and Adeel Ahmad Dar. "Modelling the asymmetric impact of defence spending on economic growth." Journal of Economic and Administrative Sciences 33, no. 2 (2017): 131–49. http://dx.doi.org/10.1108/jeas-03-2017-0010.

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Purpose The purpose of this paper is to examine the non-linear impact of defence spending on economic growth for the USA, the UK and Russia by using quarterly frequency from 1992 to 2014. Design/methodology/approach The unit root property is tested by ADF and PP unit root test. Further, BDS test is applied to test the linear independence. To verify the results of BDS test, we apply short and long-run symmetry test. The cointegration non-linear relationship is examined by NARDL approach. Further, Multipliers predict the speed of adjustments by considering the nonlinearity. Findings The short and long-run symmetry test confirms the existence of asymmetry in all countries. Further, asymmetric cointegration is confirmed through Wald statistics of Pesaran and Banerjee for all countries. The long-run asymmetric coefficient predicts negative and significant impact of defence spending on economic growth for the USA and the UK, but, these impacts were positive and significant in the case of Russia. The multiplier effect of defence spending on economic growth confirms the findings of NARDL model. Originality/value This study contributes in existing literature by applying newly developed non-linear ARDL approach, including a Wald test for long and short-run symmetry, asymmetric cointegration and asymmetric long run parameters in case of the USA, the UK and Russia.
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8

Chand, Shamal Shivneel, and Baljeet Singh. "ASYMMETRIC ADJUSTMENT OF THE SECTORIAL LENDINGDEPOSIT RATE SPREAD IN FIJI." Buletin Ekonomi Moneter dan Perbankan 24 (March 8, 2021): 89–106. http://dx.doi.org/10.21098/bemp.v24i0.1468.

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This study investigates the asymmetric adjustment of the sectorial lending-deposit rate spread in Fiji’s banking industry using monthly data from January 2000 to February 2020. The study uses the threshold autoregressive and the momentum threshold autoregressive models to test for cointegration and to detect asymmetries. The analysis provides evidence of an asymmetric adjustment process in the sectorial lending deposit rate spread among Fijian commercial banks. This finding has important policy implications and provides better understanding of the asymmetric behaviour in Fiji’s banking industry.
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9

Osei, Prince Mensah, Reginald Djimatey, and Anokye M. Adam. "Economic Policy Uncertainty Linkages among Asian Countries: Evidence from Threshold Cointegration Approach." Discrete Dynamics in Nature and Society 2021 (January 31, 2021): 1–15. http://dx.doi.org/10.1155/2021/6656176.

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This paper employs the threshold cointegration methodology to assess the long- and short-run dynamics of asymmetric adjustment between economic policy uncertainty (EPU) of China-India, China-Japan, China-Korea, India-Japan, India-Korea, and Japan-Korea pairs using monthly EPU data ranging from January 1997 to April 2020. The relationship between the EPU pairs is examined in terms of Engle-Granger and threshold cointegrations. The findings provide evidence of long-run threshold cointegration and that the adjustments towards the long-run equilibrium position are asymmetric in the short run for the China-India and India-Japan EPU pairs in M-TAR specification with nonzero threshold values. Also, the results suggest a unidirectional causal relationship between China-India, China-Japan, and India-Korea EPU pairs in the long and short run using the spectral frequency domain causality approach. However, a bidirectional causal relationship between China-Korea, India-Japan, and Japan-Korea pairs exists in the long and short run. Therefore, the findings provide some clues to economic policymakers within the Asian subregion for possible policy uncertainty synergies and spillovers among the Asian countries.
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10

Rudinskaya, Tamara, and Iveta Boskova. "Asymmetric price transmission and farmers' response in the Czech dairy chain." Agricultural Economics (Zemědělská ekonomika) 67, No. 5 (2021): 163–72. http://dx.doi.org/10.17221/22/2021-agricecon.

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The standard economic price theory of working with efficient source allocation is being confronted with a series of empirical findings of asymmetric price responses. The objective of the research was to examine whether the distribution of prices within the dairy chain in the Czech Republic was fair and whether farmers progressed in a collective approach to strengthen their position in the supply chain. We used the pre-cointegration and cointegration approach to test for asymmetry in the transmission of farm milk prices throughout the supply chain. Furthermore, we measured the development of market concentration by means of the Herfindahl-Hirschman index and discussed the background of the figures with producer organisation representatives. The results proved there were asymmetric price transmissions. In response, farmers consolidated and concentrated their milk sales. The concentration should not yet be understood as a goal but as a means to the next steps.
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