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Journal articles on the topic 'Asymmetric cointegration'

Author: Grafiati

Published: 4 June 2021

Last updated: 14 June 2025

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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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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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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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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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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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11

Chang, Shu-Chen. "Asymmetric cointegration relationship among Asian exchange rates." Economic Change and Restructuring 41, no. 2 (2008): 125–41. http://dx.doi.org/10.1007/s10644-008-9044-6.

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12

CHANG, CHUN-PING, and CHIEN-CHIANG LEE. "THE ECONOMIC VOTING HYPOTHESIS IN THE PRESENCE OF THRESHOLD EFFECTS: EVIDENCE FROM ASYMMETRIC MODELING." Singapore Economic Review 58, no. 01 (2013): 1350004. http://dx.doi.org/10.1142/s0217590813500045.

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The issue of asymmetry and nonlinearity in the context of economic voting was proposed as far back as the 1970s. The aim of this paper is to revisit the economic voting phenomenon by investigating the asymmetric cointegration between government popularity and economic conditions in Taiwan over the period from 1992 to 2007. We employ an advanced threshold autoregressive model and find strong evidence of threshold cointegration relationships between our observed variables. Furthermore, an asymmetric error correction model indicates that voters use different economic indicators to evaluate government popularity in different regimes and the speed of adjustment to the long-run equilibrium is more rapid in the lower regime and slower in the higher regime. Finally, the evidence shows that the economic voting behavior is supported by the presence of the threshold effects. Based on the nonlinear, asymmetric and threshold effects, we are able to provide several critical implications concerning the governance of the incumbent political party, particularly, in relation to the promotion of economic policy aimed at improving its popularity.

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13

Saeed, Muhammad, Muhammad Hafeez, Ghulam Mustafa Shaikh, and Muhammad Shahid. "Asymmetric Effect of Gold and Oil Prices on Stock Market Performance in Pakistan: New Evidence from Asymmetric ARDL Cointegration." Journal of Business Strategies 12, no. 2 (2020): 43–64. http://dx.doi.org/10.29270/jbs.12.2(2018).089.

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The previous studies on stock market modelling in Pakistan context has assumed a linear relationship between stock market performance and its determinants. Most of the macroeconomic variables do not have linear properties, therefore considering asymmetric features of macroeconomic fundamentals, this study is a first attempt to explore the asymmetric impact of gold and oil prices on the stock market performance of Pakistan, covering the time period of 1990 – 2016. For the consideration of nonlinear, short-run and long-run associations between gold, oil prices and stock market performance, a novel approach of nonlinear ARDL or asymmetric ARDL is being used. The long-run parameters of the study affirm the asymmetric association between gold, oil prices and stock market performance, while short-run dynamics validate the asymmetric association between oil prices and stock market performance. Furthermore, negative and significant link between the exchange rate and the stock market was also found. The empirical outcomes propose that ignoring intrinsic asymmetries may lead to the misrepresentative implications in case of stock market performance. The achieved suggestion of asymmetries, both short and long-run dynamics could be of key prominence for more effective policy-making and to forecast the Pakistan Stock Market.

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14

Al-Tarawneh, Alaaeddin. "Trade Openness and Real Investment: Is there Asymmetric Cointegration Relationship? Evidence from Jordan." International Journal of Economics and Finance 8, no. 8 (2016): 237. http://dx.doi.org/10.5539/ijef.v8n8p237.

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<p>The paper attempts to test the long-run asymmetric equilibrium relationships between real investment and trade openness. Using Jordanian data, over the period 1976 to 2014, the study has failed to reject the null hypothesis of no cointegration with threshold at a conventional level of significance among variables. Therefore, cannot find evidence of asymmetry in the relationship between real investment and trade openness.</p>

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15

Lily, Jaratin, Mori Kogid, Dullah Mulok, and Rozilee Asid. "Asymmetric effect of real exchange rate risk on foreign direct investment: Empirical evidence in ASEAN-4." Journal of Research in Emerging Markets 2, no. 3 (2020): 91–105. http://dx.doi.org/10.30585/jrems.v2i3.512.

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This study investigates the asymmetric effect of exchange rate risk (volatility) on the real foreign direct investment (FDI) inflows in Malaysia, the Philippines, Singapore, and Thailand (ASEAN-4) using the Nonlinear Autoregressive Distributed Lag (NARDL) model. The results revealed the occurrence of a long-run asymmetric cointegration between real FDI inflows and real exchange rate risk in the Philippines, Singapore, and Thailand, but not in Malaysia. For the Philippines and Singapore, there is evidence of long-run asymmetry whereas short-run asymmetry exists for the case of Thailand. These findings imply that the asymmetric effects prove to be useful in providing essential information to the related parties on how FDI inflows react to exchange rate risks differently. Therefore, policymakers in ASEAN countries should be concerned about the asymmetric effect of the exchange rate volatility to mitigate the stylized effects of exchange rate movements on FDI inflows.

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16

Escribano, Alvaro, and Gerard A. Pfann. "Non-linear error correction, asymmetric adjustment and cointegration." Economic Modelling 15, no. 2 (1998): 197–216. http://dx.doi.org/10.1016/s0264-9993(97)00023-0.

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17

Chukwunonso Bosah, Philip, Shixiang Li, Gideon Kwaku Minua Ampofo, Daniel Akwasi Asante, and Zhanqi Wang. "The Nexus Between Electricity Consumption, Economic Growth, and CO2 Emission: An Asymmetric Analysis Using Nonlinear ARDL and Nonparametric Causality Approach." Energies 13, no. 5 (2020): 1258. http://dx.doi.org/10.3390/en13051258.

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This article examines the asymmetric relationship between electric consumption, economic growth, and carbon dioxide emission in 15 countries over the period 1971–2014. We employed a nonlinear auto-regressive distribution Lag (NARDL) model approach to investigate the asymmetric cointegration between variables. Additionally, we applied the asymmetric causality approach to determine the causal relationship between variables. Results confirm nonlinear cointegration between variables in Cameroon, Congo Republic, Zambia, Canada, and the UK. The Wald test results confirm a long-run asymmetric link between electricity consumption, economic growth, and carbon emission in Canada and Cameroon, while a short-run asymmetric effect in the Congo Republic and the UK. Findings from the granger causality test are volatile across variables. The result provides strong support for the symmetric relationship between electric consumption, economic growth, and carbon emission in the short and long run. This study provides new evidence for policymakers to formulate country-specific policies to obtain better environmental quality while achieving sustainable economic growth.

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Constantinos, Katrakilidis, Lake Andreas Ektor, and Trachanas Emmanouil. "Asymmetric Effects Of Inflation On Stock Market Prices: New Empirical Evidence Using Greek Data." Journal of Applied Business Research (JABR) 28, no. 3 (2012): 325. http://dx.doi.org/10.19030/jabr.v28i3.6952.

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Since economic theory establishes a relationship between stock market returns and inflation rate, we attempt to re-evaluate the above relationship for Greece considering the possibility of nonlinearities. In particular, empirical analysis is based upon the nonlinear cointegration framework and applies the asymmetric ARDL cointegration methodology, following previous work by Shin, Yu and Greenwood-Nimmo (2011). In doing so, we permit a much richer degree of flexibility in the dynamic adjustment process toward equilibrium, than in the classical case of a linear model. Our findings present evidence of asymmetric adjustment around a unique long-run equilibrium.

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19

Ghosh, Sudeshna. "Environmental Pollution, Income Inequality, and Household Energy Consumption: Evidence from the United Kingdom." Journal of International Commerce, Economics and Policy 10, no. 02 (2019): 1950008. http://dx.doi.org/10.1142/s179399331950008x.

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This study explored the impact of income inequality, household energy consumption, government expenditure, and investment on carbon dioxide emissions at the household level over the period 1970–2015 in the United Kingdom. The study applied Clemente–Montanes–Reyes unit root test to identify structural break in the time series. Further, the cointegrating relationship of the time series observations was explored by applying the autoregressive distributed lag model (ARDL) (linear) bounds test approach along with the nonlinear ARDL for making fruitful comparisons in the long-run relationship among the variables. The paper used Bayer–Hanck combined cointegration method for robustness test in the cointegrating methods. In addition, the causality analysis was explored using the Toda–Yamato (1995) method of Granger causality. The results confirmed the existence of cointegration among the variables.The estimated NARDL results show that in the long run the negative asymmetric impact of the income inequality is stronger than the positive impact. The paper concludes that there is an urgent need to reduce income inequality in the United Kingdom to improve equitable consumption of energy at the household level. Last the causality test shows that there exists unidirectional causality from inequality transmission to carbon emissions.

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20

Mighri, Zouheir, and Faysal Mansouri. "Asymmetric price transmission within the Argentinean stock market: an asymmetric threshold cointegration approach." Empirical Economics 51, no. 3 (2015): 1115–49. http://dx.doi.org/10.1007/s00181-015-1029-5.

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Lardic, Sandrine, and Valérie Mignon. "Oil prices and economic activity: An asymmetric cointegration approach." Energy Economics 30, no. 3 (2008): 847–55. http://dx.doi.org/10.1016/j.eneco.2006.10.010.

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22

Goodwin, Barry K., and Daniel C. Harper. "Price Transmission, Threshold Behavior, and Asymmetric Adjustment in the U.S. Pork Sector." Journal of Agricultural and Applied Economics 32, no. 3 (2000): 543–53. http://dx.doi.org/10.1017/s1074070800020630.

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AbstractThe US pork sector has experienced many significant structural changes in recent years. Such changes may have influenced price dynamics and transmission of shocks through marketing channels. We investigate linkages among farm, wholesale, and retail markets using weekly price data for the period covering 1987 through 1998. Our analysis uses a threshold cointegration model that permits asymmetric adjustment to positive and negative price shocks. Our results reveal important asymmetries. Our results are consistent with existing literature which has determined that price adjustment patterns are unidirectional and that information tends to flow from farm, to wholesale, to retail markets.

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23

Otoo, Emmanuel Asane. "Asymmetric Price Transmission between Local and Imported Rice Prices in Burkina Faso." Journal of Economics and Behavioral Studies 4, no. 9 (2012): 523–31. http://dx.doi.org/10.22610/jebs.v4i9.354.

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The study of how price signals in imported rice market influences prices in the local rice market is essential in understanding the inter-relationship between these prices and how soaring global food prices affect prices of locally produced agricultural commodities. This study uses a set of cointegration and error correction models with symmetric and asymmetric adjustment towards the long-run equilibrium to investigate the long-run relationship between local and imported rice prices and the extent to which imported rice prices are transmitted to local rice prices in Burkina Faso. Using national average consumer prices from January 2000 to June 2011, empirical results from the Engle-Granger and Johansen cointegration tests show that consumer price of local rice is significantly integrated with the imported rice market prices. Both threshold cointegration and asymmetric error correction models indicate that consumer prices of local rice respond asymmetrically to shocks from the imported rice price. Specifically, local rice prices respond rapidly to negative shocks while positive shocks take substantial amount of time to be transmitted. These findings provide clear empirical evidence with respect to the impact of imported rice prices on local rice prices and the role of profit-seeking traders in maintaining or increasing the price wedge between the two prices in Burkina Faso.

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Ben Abdallah, Marwa, Maria Fekete Farkas, and Zoltan Lakner. "Analysis of Dairy Product Price Transmission in Hungary: A Nonlinear ARDL Model." Agriculture 10, no. 6 (2020): 217. http://dx.doi.org/10.3390/agriculture10060217.

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This paper addresses the assessment of the price transmission of dairy products in Hungary. Monthly prices are used in testing the hypothesis of asymmetric price transmission between farmers and retailers. The magnitude of short- and long-run asymmetric transmission between price levels is measured through a nonlinear autoregressive distributed model (NARDL). The cointegration of variables is validated through bounds test of the NARDL model. The estimated NARDL model proves the existence of long- and short-run asymmetric relationships between producer milk price and most retailer dairy product prices. Furthermore, the model confirms the presence of a significantly positive long-run price asymmetry for butter, buttercream, sour cream, and Trappista cheese. The positive long-run price transmission asymmetry results could be explained by the strong market power of milk processors, which are granted through their concentrations and the absence of competitiveness in the market. The short-run asymmetry of price transmission could be explained by implementing some policy interventions, such as the milk quotas, which limit milk production. Analyzing the asymmetric relationship between the producer milk price and the retailer dairy product prices could give a clear vision of the dairy sector and how prices move between market actors, highlighting the retailers’ purchasing power feature, and its role in determining the market price interaction.

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25

Ampofo, Gideon Kwaku Minua, Jinhua Cheng, Edwin Twum Ayimadu, and Daniel Akwasi Asante. "Investigating the Asymmetric Effect of Economic Growth on Environmental Quality in the Next 11 Countries." Energies 14, no. 2 (2021): 491. http://dx.doi.org/10.3390/en14020491.

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This study investigates the asymmetric cointegration and causal relationships between economic growth, carbon emissions, and energy consumption in the next eleven (11) countries over the period 1972–2013. The nonlinear autoregressive distributed lag (NARDL) bounds testing approach and nonpragmatic Granger causality tests are employed. This research’s empirical results have entrenched vital relationships that have significant policy implications. We affirm nonlinear cointegration among the variables in Bangladesh, Iran, Turkey, and Vietnam. The long-run asymmetric effect outcomes indicate a definite boom in economic growth, significantly increases carbon emission in Turkey, and a decline in Vietnam. Additionally, a positive shock to energy consumption significantly increases the carbon emission in Bangladesh, Iran, and Turkey, but a decrease in emissions in Vietnam. Findings from the Wald test reveal a long-run asymmetric effect between carbon emission and economic growth in Bangladesh, Iran, and Vietnam, and for Iran, an asymmetric short-run impact. Long-run and short-run asymmetric effects between carbon emission and energy consumption in Bangladesh and Iran. In terms of asymmetric causality results, bidirectional causality between carbon emission and economic growth was noted in Bangladesh and Turkey, and a unidirectional causality from economic growth to carbon emission in Egypt and South Korea. Energy consumption causes carbon emission in Bangladesh, Egypt, Pakistan, South Korea, and not vice versa. We determined a bidirectional asymmetric causality relationship between carbon emission and energy consumption in Vietnam and a unidirectional causality link from carbon emissions to Turkey’s energy consumption.

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Nzimande, Ntokozo, and Simiso Msomi. "Oil Price Shocks and Economic Activity: The Asymmetric Cointegration Approach in South Africa." Journal of Economic and Financial Sciences 9, no. 3 (2016): 685–713. http://dx.doi.org/10.4102/jef.v9i3.65.

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This study examines the link between oil prices and economic activity proxied by gross domestic product in the context of South Africa. The study employs the asymmetric approach proposed by Schorderet (2004) and advanced by Lardic and Mignon (2008). Asymmetric cointegration is used because it is believed that increasing and decreasing oil prices do not have similar or equal impacts on economic activity. In this study we document evidence for an asymmetric response of economic activity to oil price shocks. Further, our findings suggest that negative oil price shocks are important relative to positive oil price shocks.

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Jibrilla Aliyu, Alhaji, and Shehu Mohammed Tijjani. "Asymmetric cointegration between exchange rate and trade balance in Nigeria." Cogent Economics & Finance 3, no. 1 (2015): 1045213. http://dx.doi.org/10.1080/23322039.2015.1045213.

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Sjölander, Pär, Kristofer Månsson, and Ghazi Shukur. "A new nonlinear asymmetric cointegration approach using error correction models." Communications in Statistics - Simulation and Computation 46, no. 2 (2016): 1661–68. http://dx.doi.org/10.1080/03610918.2014.999087.

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29

Peri, Massimo, and Lucia Baldi. "Vegetable oil market and biofuel policy: An asymmetric cointegration approach." Energy Economics 32, no. 3 (2010): 687–93. http://dx.doi.org/10.1016/j.eneco.2009.09.004.

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30

Konopczak, Karolina. "Modelling labour adjustments over the business cycle using asymmetric cointegration." Journal of Economic Asymmetries 23 (June 2021): e00195. http://dx.doi.org/10.1016/j.jeca.2020.e00195.

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31

Keho, Yaya. "Threshold Cointegration, Asymmetric Causality and Wagner’s Law: The African Experience Revisited." International Journal of Economics and Finance 9, no. 5 (2017): 171. http://dx.doi.org/10.5539/ijef.v9n5p171.

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This study re-examines the Wagner's law of public expenditure for six sub-Saharan African countries while relaxing the assumption of a symmetric adjustment process underlying standard cointegration tests and error-correction models. The empirical methodology uses threshold cointegration tests to establish that there is a long-run relationship between government expenditure and per capita GDP for five countries, with income being positively related to public spending. Furthermore, the results of asymmetric Granger-causality tests provide support for Wagner’s law in the long run for five countries (Cameroon, Cote d’Ivoire, Ghana, Kenya, and Senegal), while the Keynesian view holds only in the short run for three countries (Benin, Cameroon, and Cote d’Ivoire). The short run evidence for two countries (Kenya and Senegal) support both Wagner’s law and Keynesian view.

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Zhang, Yongliang, Md Qamruzzaman, Salma Karim, and Ishrat Jahan. "Nexus between Economic Policy Uncertainty and Renewable Energy Consumption in BRIC Nations: The Mediating Role of Foreign Direct Investment and Financial Development." Energies 14, no. 15 (2021): 4687. http://dx.doi.org/10.3390/en14154687.

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In recent literature, the impact of economic policy uncertainty (EPU) on macro aspects have been investigated, but the aspect of energy, precisely renewable energy still to explore. The motivation of the study is to produce fresh evidence regarding the nexus between EPU and renewable energy consumption (REC) with the mediating role of forcing direct investment (FDI) and financial development (FD) in BRIC nations for the period 1997q1–2018q4. The study applied unit root tests following Ng-Perron and Zivot and Andrews for detecting variable’s stationary properties. The long-run cointegration was evaluated by implementing Bayer, Hanck combined the cointegration test, Bound testing approach, and tBDM test. Both linear and non-linear ARDL were implemented to evaluate long-run and short-run shocks, and directional causality was assessed through a non-granger causality test. Furthermore, the study implemented robustness by implementing fully-modified OLS, dynamic OLS, and canonical cointegrating regression (CCR). Unit root test established the variables are stationary after the first difference; moreover, the Bayer and Hanck cointegration test confirmed the long-run association between EPU, FD, FD, and REC in BRIC nations. Accruing to ARDL estimation, adverse effects running from EPU to REC both in the long run and short run. Furthermore, the positive statistically significant linkage revealed for FDI and FD to REC implies that clean energy integration could be augmented with continual inflows of FDI and development of the financial sector. Model estimation with asymmetric assumption, the study documented asymmetric effects running from EPU, FDI, and FD to renewable energy consumption, especially in the long run. Finally, the directional causality revealed unidirectional causality between REC and EPU, whereas the feedback hypothesis was disclosed for FDI and REC] and FD and REC. Study findings postulated that the role of foreign direct investment and financial development is critically significant because technological advancement and capital investment augment clean energy integration through the application of renewable energy.

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Bulut, Umit. "Does the Central Bank of the Republic of Turkey Respond Asymmetrically to Inflation and Output?" Margin: The Journal of Applied Economic Research 13, no. 4 (2019): 381–400. http://dx.doi.org/10.1177/0973801019868374.

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This article aims to estimate a forward-looking reaction function for the Central Bank of the Republic of Turkey (CBRT) considering possible asymmetries in the reaction function. For this purpose, it uses quarterly data over the period 2006:1–2018:1 and performs the nonlinear autoregressive distributed lag (NARDL) cointegration test. The findings obtained from the NARDL test indicate that the CBRT has an asymmetric reaction function and considers increases in inflation and decreases in output while adjusting short-term interest rates. Theoretical and practical implications for these findings are also discussed. JEL Classification: C22, E52, E58

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Nsabimana, Aimable, and Olivier Habimana. "Asymmetric effects of rainfall on food crop prices: evidence from Rwanda." Environmental Economics 8, no. 3 (2017): 137–49. http://dx.doi.org/10.21511/ee.08(3-1).2017.06.

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This study examined the effects of the likely change in rainfall on food crop prices in Rwanda, a landlocked country where agriculture is mainly rain-fed. The empirical investigation is based on nonlinear autoregressive distributed lag cointegration framework, which incorporates an error correction mechanism and allows estimation of asymmetric long-run and short-run dynamic coefficients. The results suggest that food crop prices are vulnerable to rainfall shocks and that the effect is asymmetric in both the short and long run. Moreover, there was evidence of seasonal differences, with prices falling during harvest season and rising thereafter. Considering the ongoing threat of global climate change, and in order to cope with rainfall shortage and uncertainty, increase food affordability and ultimately ensure food security throughout the year, there is a need to develop and distribute food crop varieties and crop technologies that reduce the vulnerability of farming to rainfall shocks.

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Ripamonti, Alexandre. "Capital Structure Adjustments and Asymmetric Information." International Journal of Economics and Finance 11, no. 12 (2019): 1. http://dx.doi.org/10.5539/ijef.v11n12p1.

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The findings of this paper suggest another reason for capital structure adjustments besides the Trade-Off and Pecking Order theories propositions because asymmetric information impacts capital structure changes and deviations only for a quarter whilst stationarity impacts them for 4 quarters, even when controlled. Asymmetric information has been measured by Corwin-Schultz bid ask spread estimator and capital structure target as the mean of debt-to-equity ratio of 262 Nyse non-financial and non-regulated companies and their industries during 91 quarters. The data were analyzed with Johansen-Fisher panel cointegration. The capital structure deviations last from 2 to 4 quarters and move toward a target.

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Ghosh, Sudeshna. "Reconsidering the import demand function of China: evidence from asymmetric cointegration." International Journal of Economics and Business Research 19, no. 3 (2020): 245. http://dx.doi.org/10.1504/ijebr.2020.10027666.

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Ghosh, Sudeshna. "Reconsidering the import demand function of China: evidence from asymmetric cointegration." International Journal of Economics and Business Research 19, no. 3 (2020): 245. http://dx.doi.org/10.1504/ijebr.2020.106525.

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Kumar, Nikeel, Ronald Ravinesh Kumar, Radika Kumar, and Peter Josef Stauvermann. "Is the tourism–growth relationship asymmetric in the Cook Islands? Evidence from NARDL cointegration and causality tests." Tourism Economics 26, no. 4 (2019): 658–81. http://dx.doi.org/10.1177/1354816619859712.

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We examine whether tourism sector development measured by visitor arrivals per capita has asymmetric growth effects in the Cook Islands using quarterly data from 2010Q1 to 2016Q3. Asymmetric cointegration, long-run elasticities, and dynamic multipliers are estimated using the nonlinear autoregressive distributed lag model developed by Shin et al. Asymmetric causality testing is done using the asymmetric vector autoregression approach with insights from Hatemi-J. We identify structural breaks using the Lee and Strazicich multiple endogenous structural break unit root test. The results indicate that a 1% increase in visitor arrivals would increase gross domestic product (GDP) per capita by 0.92%, whereas a 1% decrease in visitor arrivals would decrease GDP per capita by 0.34%. The identified breaks, 2013Q2 and 2015Q3, are positive and significant in the short run only. The causality result confirms a bidirectional association, thus mutually reinforcing the asymmetric relationship between visitor arrivals and economic growth.

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Meo, Muhammad Saeed, Vina Javed Khan, Tella Oluwatoba Ibrahim, Shabnam Khan, Shahzad Ali, and Kashif Noor. "Asymmetric impact of inflation and unemployment on poverty in Pakistan: new evidence from asymmetric ARDL cointegration." Asia Pacific Journal of Social Work and Development 28, no. 4 (2018): 295–310. http://dx.doi.org/10.1080/02185385.2018.1523745.

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Acquah, H. de-Graft. "A THRESHOLD COINTEGRATION ANALYSIS OF ASYMMETRIC ADJUSTMENTS IN THE GHANAIAN MAIZE MARKETS." Russian Journal of Agricultural and Socio-Economic Sciences 8, no. 8 (2012): 21–25. http://dx.doi.org/10.18551/rjoas.2012-08.04.

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Choji, Niri Martha, and Siok Kun Sek. "Testing for purchasing power parity for ASEAN-5 using asymmetric cointegration tests." International Journal of ADVANCED AND APPLIED SCIENCES 4, no. 11 (2017): 155–59. http://dx.doi.org/10.21833/ijaas.2017.011.025.

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Mighri, Zouheir Ahmed, and Majid Ibrahim Alsaggaf. "ASYMMETRIC THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT BETWEEN OIL PRICES AND FINANCIAL STRESS." International Journal of Energy Economics and Policy 9, no. 3 (2019): 87–105. http://dx.doi.org/10.32479/ijeep.7643.

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Kisswani, Khalid M. "Asymmetric gasoline-oil price nexus: recent evidence from non-linear cointegration investigation." Applied Economics Letters 26, no. 21 (2019): 1802–6. http://dx.doi.org/10.1080/13504851.2019.1602701.

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Gil-Alana, Luis A. "Government Expenditures and Revenues: Evidence of Fractional Cointegration in an Asymmetric Modeling." International Advances in Economic Research 15, no. 2 (2008): 143–55. http://dx.doi.org/10.1007/s11294-008-9198-z.

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Muhtaseb, Buthaina M. A., and Ghazi Al-Assaf. "Oil Price Fluctuations and Their Impact on Stock Market Returns in Jordan: Evidence from an Asymmetric Cointegration Analysis." International Journal of Financial Research 8, no. 1 (2016): 172. http://dx.doi.org/10.5430/ijfr.v8n1p172.

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This paper examines whether Amman stock market returns responds asymmetrically to oil price fluctuations for the quarterly period 2000-2015 by applying asymmetric cointegration. Using both TAR and MTAR specification of Enders and Siklos’s (2001) models, and based on the asymmetric ECM, the results provide evidence that stock returns react to oil price variations in an asymmetric manner. In particular, rising oil prices has a larger impact on stock returns; this implies that increases in oil prices have a significant effect on the behavior of stock market in Jordan. The significant relationship between oil prices and stock returns strengthen their predictability power, so that appropriate strategies may be built on the basis of expected increases or decreases in oil prices.

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Nathaniel, Solomon Prince. "Does Exchange Rate Have Asymmetric Impact on Trade Balance? Fresh Insights from Combined Cointegration." Studies in Business and Economics 15, no. 1 (2020): 259–69. http://dx.doi.org/10.2478/sbe-2020-0019.

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AbstractThe study examines the asymmetric impact of exchange rate on the trade balance in Nigeria relying of time series data that spans 1960-2016. The Non-linear ARDL bounds test and the Bayer and Hanck (2013) test established a cointegrating relationship among the variables after accounting for structural break in the series. The Block Exogeneity Wald Tests affirmed the bidirectional causality between the variables. Findings establish the asymmetric impact of exchange rate on the trade balance in Nigeria, but unable to confirm the existence of the J-curve Phenomenon. This reveals that the devaluation of the Naira may not be a viable decision if the intention is to curb the persistent deficit in the country’s trade balance. Policies that could help curtail these deficits and enhance sustainable growth were suggested.

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Alqaralleh, Huthaifa. "On the asymmetric response of the exchange rate to shocks in the crude oil market." International Journal of Energy Sector Management 14, no. 4 (2020): 839–52. http://dx.doi.org/10.1108/ijesm-10-2019-0011.

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Purpose This paper aims to investigate the nonlinear dynamics in the effects of oil price shocks on the exchange rate for a sample from the Group of Twenty (G20) over the period 1994:1-2019:1. Design/methodology/approach Using monthly time series data covering the period1994:1-2019:1, the author first use the non-parametric triples test of Randles et al. (1980) to ascertain the existence of asymmetric properties in the sample of exchange rates. Then the author used the nonlinear ARDL cointegration approach developed by Shin et al. (2014) to examine the reaction of these exchange rates to the oil price shocks. Findings This study has identified significant evidence that the exchange rate is asymmetrically distributed, with the effect that high appreciation of the exchange rate is followed by slower depreciation. The NARDL results support such asymmetry even more strongly because in the test the exchange rate is shown to react differently in the long term to positive and negative shocks in oil prices. Another major finding was that the speed of adjustment differed over the sample, as the cumulative dynamic multipliers effect highlighted. Research limitations/implications This change in direction and the employment of non-linear technique can be to obtain better insight into the model specification, which the author believes, will not only enhance the findings in the literature but also enhance forecasting and decision-making. Practical implications A practical implication of this change is the possibility that policymakers and participants concerned with exchange rate stability should intervene in the market to alleviate the unfavourable impact of oil price shocks on the exchange rate. Originality/value Addressing this nonlinear dynamic in the effects of oil price shocks on the exchange rate have at least the following two important reasons: asymmetry and regime change are types of nonlinearities that affect the market dynamics, especially, over marked sample period with such financial crises as the global financial crises of 2007, thereby violating the linear models. Adopting an asymmetric cointegration technique permits to incorporate cointegrated positive and negative components of the considered series.

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HUSSAIN, UMER, and HAFSA HINA. "ASYMMETRIC ANALYSIS IN OKUN’S LAW IN CASE OF PAKISTAN: A THRESHOLD COINTEGRATION ANALYSIS." Paradigms 10, no. 02 (2016): 104–19. http://dx.doi.org/10.24312/paradigms100210.

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Danladi Galadima, Mukhtar, and Abubakar Wambai Aminu. "Asymmetric cointegration and causality between natural gas consumption and economic growth in Nigeria." ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT, no. 3 (July 2018): 59–71. http://dx.doi.org/10.3280/efe2017-003004.

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Richard, Olayeni Olaolu. "Energy consumption and economic growth in sub-Saharan Africa: An asymmetric cointegration analysis." International Economics 129 (January 2012): 99–118. http://dx.doi.org/10.1016/s2110-7017(13)60050-5.

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