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This paper examines the sluggish adjustment of deposit interest rate categories with response to policy rate changes in a developing economy.

Symmetric and asymmetric error correction models (ECMs) are employed to test the pass-through effect and adjustment speed of deposit rates when above or below their equilibrium levels.

The findings reveal an incomplete pass-through effect in both the short run and long run while mixed results of symmetric and asymmetric adjustment speed across the different deposit rate categories are observed. Collusive pricing arrangement behavior is supported by deposit rate categories that adjust more rigidly upwards than downwards, while negative customer reaction behavior is supported by deposit rate categories that adjust more rigidly downwards than upwards.

Even though the findings indicate an aspect of increased responsiveness over the period, the sluggish adjustment of deposit rates imply that monetary policy is still ineffective and not uniform across the different deposit rate categories.

To the best of the authors' knowledge, this is the first study to empirically examine both symmetric and asymmetric adjustment behavior of deposit interest rate categories in Kenya. The findings are key to policy makers as they provide insights on how long it takes to adjust different deposit rate categories to monetary policy decisions. In addition, the behavior of deposit rates partly explains why interest rates capping was imposed in Kenya in 2016.

This paper seeks to examine the effect of monetary policy rate (MPR) on the lending rates of commercial banks in Ghana.

The paper employed the autoregressive distributed lag (ARDL) model as well as the non-linear autoregressive distributed lag (NARDL) model econometric techniques on a quarterly time series data from 2002 to 2018.

The ARDL results revealed that, MPR has a positive and significant effect on lending rate in the long and short run. Although there exists a direct relationship between MPR and lending rate, from the NARDL revealed an asymmetric effect of MPR on lending rate to the effect that, lending rate in Ghana responds more to positive shock (a rise in MPR) compared to a negative shock (a decrease in MPR) both in the long and short run.

The paper contributes to policy and literature in Ghana by providing empirical evidence on the asymmetric effect that MPR has on lending rates in Ghana. The paper recommends among others, the establishment of a rating system of banks according to their monetary policy compliance, where highly rated banks could have for instance a reduction on borrowed reserves from the central bank.

The purpose of this paper is to examine and compare the interest rate pass-through among the Brazil, Russia, India, China and South Africa (BRICS) emerging markets.

The paper reviews a general literature on interest rates pass-through by applying a cointegration and asymmetric mean adjustment lag (MAL) error correction methodology (ECM).

A symmetric adjustment is found in Russia, China and South Africa's deposit rate, while an asymmetric adjustment is found in Brazil and India's deposit rate adjustments. The presence of a customer reaction theory is found in Brazil, India, China and South Africa's deposit rate adjustments, while a collusive pricing arrangement is found in Russia. From the lending rate adjustment, a collusive pricing arrangement was found in Brazil, China and South Africa, while a customer reaction theory was found in India and Russia.

The sample period used in the study covers a period starting from the formal recognition of BRIC (2001-2010), which limits the data length.

The research output and implication can assist monetary policy makers, investors and consumers to monitor BRICS’ central banking, commercial banking and competition behaviour, individually and as a group. The BRICS are potentially heading towards a more financially integrated bloc as multilateral agreements among members increases. This is in the form of Letters of Credit and Memorandum of Understanding. These agreements should boost intra-BRICS financial transactions, investments and trade.

This is, to the best of knowledge, the first analysis of BRICS interest rate pass-through using the asymmetric MAL ECM application.

The objective of this chapter is to study the symmetric and asymmetric impact of macroeconomic variables on the Indian stock prices (SPs) of the Bombay Stock Exchange index. This chapter further investigates whether the asymmetric impact of macroeconomic variables on SP is due to the impact of any tail events like the global financial recession. An autoregressive distribution lag and non-autoregressive distribution lag approach is used for the full sample covering the period from January 2000 to June 2019 and later this sample is further subdivided into before and after the crisis period to study the variations in result. The findings show that macroeconomic variables and SP have a symmetric relation in the long run whereas an asymmetric relationship in the short run when the whole sample is analyzed. However when data are segregated into “before and after” crisis period this relationship turns to be asymmetric in long run too, meaning that in the long run, the negative and positive changes in a macroeconomic variable do not affect SPs similarly.

The purpose of this paper is to investigate four possible asymmetries in US aggregate consumption and its major components (durables, non-durables, and services) for the period 1990-2013. Understanding the asymmetric behavior of the components is important since the impact of monetary policy on separate consumer spending categories may differ substantially.

The authors first employ stationarity and cointegration tests to specify and estimate the long-run equilibrium relationship between consumer spending and such variables as disposable income, consumer sentiment, and the expected real interest rate. The authors then specify a structural error-correction model for each spending category to simultaneously investigate such possible asymmetries due to the ratchet effect, psychological negativity bias, interest rate effect, and varying degree of adjustment in eliminating disequilibrium defined as the gap between actual and desired spending.

First, consumption and its major components all display asymmetric behavior consistent with psychological negativity bias. Second, consumer spending on durable goods also displays asymmetries consistent with both the ratchet effect and the interest rate effect. Third, non-durables respond asymmetrically to disequilibrium; consumers adjust (increase) spending on non-durables only when actual spending is below desired spending on non-durable goods. Fourth, services also respond asymmetrically to disequilibrium; consumers adjust (reduce) spending on services only when actual spending is above desired spending on services.

This study provides new insight on the asymmetric behavior of consumer spending. The authors believe that the findings should help with macroeconomic policymaking when such indicators as income, consumer sentiment, and expected real interest rates display significant variations.

The purpose of this paper is to examine asymmetric co-integration effects between nutrition and economic growth for annual South African data from the period 1961-2013.

The authors deviate from the conventional assumption of linear co-integration and pragmatically incorporate asymmetric effects in the framework through a fusion of the momentum threshold autoregressive and threshold error correction (MTAR-TEC) model approaches, which essentially combines the adjustment asymmetry model of Enders and Silkos (2001); with causality analysis as introduced by Granger (1969); all encompassed by/within the threshold autoregressive (TAR) framework, a la Hansen (2000).

The findings obtained from the study uncover a number of interesting phenomena for the South Africa economy. First, in coherence with previous studies conducted for developing economies, the authors establish a positive relationship between nutrition and economic growth with an estimated income elasticity of nutritional intake of 0.15. Second, the authors find bi-direction causality between nutrition and economic growth with a stronger causal effect running from nutrition to economic growth. Lastly, the authors find that in the face of equilibrium shocks to the variables, policymakers are slow to responding to deviations of the variables from their co-integrated long run steady state equilibrium.

In the study, the authors make a novel contribution to the literature by exploring asymmetric modelling in the correlation between nutrition intake and economic growth for the exclusive case of South Africa.

The aim of this study was to determine if there are asymmetries in the pass-through of West Texas Intermediate (WTI) crude oil prices to its derivatives (diesel and gasoline) in the Brazilian market.

Initially, the future WTI oil price series was analyzed using the self-exciting threshold autoregressive (SETAR) and logistic smooth transition autoregressive (LSTAR) non-linear models. Subsequently, the threshold autoregressive error-correction model (TAR-ECM) and Markov-switching model were used.

The findings indicated high prices throughout 2008 due to the subprime crisis. The findings indicated high prices throughout 2008 due to the subprime crisis. The results indicated that there is long-term pass-through of oil prices in both methods, suggesting an equilibrium adjustment in the prices of diesel and gasoline in the analyzed period. Regarding the short term, the variations in contemporary crude oil prices have positive effects on the variations in fuel prices. Lastly, this behavior can partly be explained by the internal price management structure adopted during almost all of the analyzed period.

This paper contributes to the literature at some points. The first contribution is the modeling of the oil price series through non-linear models, further enriching the literature on the recent behavior of this time series. The second is the simultaneous use of the TAR-ECM and Markov-switching model to capture possible short- and long-term asymmetries in the pass-through of prices, as few studies have applied these methods to the future price of oil. The third and main contribution is the investigation of whether there are asymmetries in the transfer of oil prices to the price of derivatives in Brazil. So far, no work has investigated this issue, which is very relevant to the country.

The purpose of this paper is to examine whether macroeconomic variables have a symmetric or asymmetric effect on stock prices (SP) of Karachi Stock Exchange 100 index in the context of Pakistan. It also examines whether the asymmetric impact of macroeconomic variables on SP has been affected by tail events such as the global financial crisis.

This study uses linear and nonlinear autoregressive distributed lag models for the full sample period as well as in pre- and post-crisis periods. The whole sample period covers the data from June 2004 to June 2016 which include 145 observations in total. The pre-crisis period covers data from June 2004 to December 2007 and the post-crisis period covers the data from January 2009 to June 2016 where these periods include 43 and 90 observations, respectively.

The findings suggest that the relationship between macroeconomic variables and SP is asymmetric in the short run whereas this effect is symmetric in the long run when the whole sample period is selected. However, when pre- and post-crisis periods are selected this effect becomes asymmetric in the long run as well; that is, positive and negative shocks in macroeconomic variables do not affect the SP in the same way.

Investors, governments and other stakeholders are advised to consider the asymmetric behavior of macroeconomic variables and SP while making an investment or other decisions. They may consider the financial crisis as well since the asymmetric behavior of the underlying variables change as a result of the financial crisis.

This study extends previous studies by examining the asymmetric effect of macroeconomic variables and also contributes to the existing literature by discussing how this relationship changes as a result of the financial crisis.

This paper aims to examine whether Indonesian cross-border trade responds asymmetrically to exchange rate volatility (ERV).

An exponential generalized autorgressive conditional heteroscedasticity model is applied to estimate the ERV of Indonesia and ten main trade partners using quarterly data from 2006 to 2020. A nonlinear autoregressive distributed lag estimation is applied to estimate the impact of ERV on cross-border trade. Impacts from the global financial crisis (GFC) of 2008 and the COVID-19 pandemic are covered. Dynamic panel data is used for the robustness test.

In the short-run, ERV significantly affects exports to most of the top partners (positively, negatively or both). In the long run, asymmetric effects occur in Indonesia’s exports to five top destinations. The weakening of the Indonesian Rupiah mainly supports exports in the short term. Imports from top partners are also affected by ERV in both the short run and, to a lesser extent, in the long run. Both the GFC and the COVID-19 pandemic reduced trade: for most cases, in the short run. The dynamic panel model suggests that ERV has asymmetric impact on cross-border trade in the long run.

Exchange rate strategies need to avoid a single-side policy approach and, instead, account for exporter and importer differences in risk behaviour and an asymmetric response to ERV in trade. Policymakers need to consider policies that stabilise the currency.

This study provides evidence that cross-border trade can react asymmetrically to the exchange rate uncertainty and that the impacts of real ERV are asymmetric as well. The authors also apply a dynamic panel that signals that ERV matters in the long run for Indonesian trade with top partners.