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Open Access
Article
Publication date: 29 January 2024

Clement Olalekan Olaniyi and Nicholas M. Odhiambo

This study examines the roles of cross-sectional dependence, asymmetric structure and country-to-country policy variations in the inflation-poverty reduction causal nexus in…

Abstract

Purpose

This study examines the roles of cross-sectional dependence, asymmetric structure and country-to-country policy variations in the inflation-poverty reduction causal nexus in selected sub-Saharan African (SSA) countries from 1981 to 2019.

Design/methodology/approach

To account for cross-sectional dependence, heterogeneity and policy variations across countries in the inflation-poverty reduction causal nexus, this study uses robust Hatemi-J data decomposition procedures and a battery of second-generation techniques. These techniques include cross-sectional dependency tests, panel unit root tests, slope homogeneity tests and the Dumitrescu-Hurlin panel Granger non-causality approach.

Findings

Unlike existing studies, the panel and country-specific findings exhibit several dimensions of asymmetric causality in the inflation-poverty nexus. Positive inflationary shocks Granger-causes poverty reduction through investment and employment opportunities that benefit the impoverished in SSA. These findings align with country-specific analyses of Botswana, Cameroon, Gabon, Mauritania, South Africa and Togo. Also, a decline in poverty causes inflation to increase in the Congo Republic, Madagascar, Nigeria, Senegal and Togo. All panel and country-specific analyses reveal at least one dimension of asymmetric causality or another.

Practical implications

All stakeholders and policymakers must pay adequate attention to issues of asymmetric structures, nonlinearities and country-to-country policy variations to address country-specific issues and the socioeconomic problems in the probable causal nexus between the high incidence of extreme poverty and double-digit inflation rates in most SSA countries.

Originality/value

Studies on the inflation-poverty nexus are not uncommon in economic literature. Most existing studies focus on inflation’s effect on poverty. Existing studies that examine the inflation-poverty causal relationship covertly assume no asymmetric structure and nonlinearity. Also, the issues of cross-sectional dependence and heterogeneity are unexplored in the causal link in existing studies. All panel studies covertly impose homogeneous policies on countries in the causality. This study relaxes this supposition by allowing policies to vary across countries in the panel framework. Thus, this study makes three-dimensional contributions to increasing understanding of the inflation-poverty nexus.

Details

International Trade, Politics and Development, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2586-3932

Keywords

Article
Publication date: 11 February 2014

Zhiyuan Pan, Xu Zheng and Qiang Chen

This study aims to propose a model-free statistic that tests asymmetric correlations of stock returns, in which stocks move more often with the market when the market goes down…

Abstract

Purpose

This study aims to propose a model-free statistic that tests asymmetric correlations of stock returns, in which stocks move more often with the market when the market goes down than when it goes up, and then empirically analyze the asymmetric correlations of the China stock market and international stock markets, respectively.

Design/methodology/approach

Using empirical likelihood method, this study designs and conducts a model-free test, which converges to χ2 distribution under regulated conditions and performs well in the finite sample using bootstrap critical value method.

Findings

By analyzing the authors' model-free test, the authors find that compared with Hong et al.'s test that closely relates to the authors, both of the tests are under rejected using asymptotic critical value. However, using the bootstrap critical value method can greatly improve the performance of the two tests. Second, investigating the power of the two tests, the authors find that the proportion of rejections of the authors' test is roughly 10-20 percent larger than Hong et al.'s test in mixed copula model setting. The last finding is the authors find evidence of asymmetric for small-cap size portfolios, but no evidence for middle-cap and large-cap size portfolios in the China stock market. Besides, the authors test asymmetric correlations between the USA and Japan, France and the UK; the asymmetric phenomenon exists in international stock markets, which is similar to Longin and Solnik's findings, but they are not significant according to both the authors' test and Hong et al.'s test.

Research limitations/implications

The findings in this study suggest that both the authors' test and Hong et al.'s test are under rejected using asymptotic critical value. When applying these statistics to test asymmetric correlations, the authors should take care with the choice of critical value.

Practical implications

The empirical analysis has a significant practical implication for asset allocation, asset pricing and risk management fields.

Originality/value

This study constructs a model-free statistic to test asymmetric correlations using empirical likelihood method for the first time and corrects the size performance by bootstrap method, which improves the performance of Hong et al.'s test. To the authors' knowledge, this is the first study to test the asymmetric correlations in the China stock market.

Details

China Finance Review International, vol. 4 no. 1
Type: Research Article
ISSN: 2044-1398

Keywords

Book part
Publication date: 25 September 2020

Letife Özdemir

Purpose: Through globalization, financial markets have become more integrated and their tendency to act together has increased. The majority of the literature states that there is…

Abstract

Purpose: Through globalization, financial markets have become more integrated and their tendency to act together has increased. The majority of the literature states that there is a cointegration between developed and emerging markets. How do positive or negative shocks in developed markets affect emerging markets? And how do positive or negative shocks in emerging markets affect developed markets? For this reason, the aim of the study is to investigate the asymmetric causality relationship between developed and emerging markets with Hatemi-J asymmetric causality test.

Design/methodology/approach: In this study, the Dow Jones Industrial Average (DJIA) index was used to represent developed markets and the Morgan Stanley Capital International (MSCI) Emerging Market Index was used to represent emerging markets. The asymmetric causality relationship between the DJIA Index and the MSCI Emerging Market Index was investigated using monthly data between January 2009 and April 2019. In the first step of the study, the Johansen Cointegration Test was used to determine whether there is a cointegration between the markets. In the next step, the Hatemi-J asymmetric causality test was applied to see the asymmetric causality relationship between the markets.

Findings: There is a weak correlation between developed and emerging markets. This result is important for international investors who want to diversify their portfolios. As a result of the Johansen Cointegration Test, it was found that there is a long-term relationship between the MSCI Emerging Market Index and the DJIA Index. Therefore, investors who make long-term investment plans should not forget that these markets act together and take into account the causal relationship between them. According to the asymmetric causality test results, a unidirectional causality relationship from the MSCI Emerging Market Index to the DJIA Index was determined. This causality shows that negative shocks in the MSCI Emerging Market Index have positive effects on the DJIA Index.

Originality/value: This study contributes to the literature as it is one of the first studies to examine the asymmetrical relationship between developed and emerging markets. This study is also useful in predicting the short- and long-term relationship between markets. In addition, this study helps investors, portfolio managers, company managers, policymakers, etc., to understand the integration of financial markets.

Details

Uncertainty and Challenges in Contemporary Economic Behaviour
Type: Book
ISBN: 978-1-80043-095-2

Keywords

Book part
Publication date: 29 January 2018

Huat Bin (Andy) Ang and Arch G. Woodside

This study applies asymmetric rather than conventional symmetric analysis to advance theory in occupational psychology. The study applies systematic case-based analyses to model…

Abstract

This study applies asymmetric rather than conventional symmetric analysis to advance theory in occupational psychology. The study applies systematic case-based analyses to model complex relations among conditions (i.e., configurations of high and low scores for variables) in terms of set memberships of managers. The study uses Boolean algebra to identify configurations (i.e., recipes) reflecting complex conditions sufficient for the occurrence of outcomes of interest (e.g., high versus low financial job stress, job strain, and job satisfaction). The study applies complexity theory tenets to offer a nuanced perspective concerning the occurrence of contrarian cases – for example, in identifying different cases (e.g., managers) with high membership scores in a variable (e.g., core self-evaluation) who have low job satisfaction scores and when different cases with low membership scores in the same variable have high job satisfaction. In a large-scale empirical study of managers (n = 928) in four (contextual) segments of the farm industry in New Zealand, this study tests the fit and predictive validities of set membership configurations for simple and complex antecedent conditions that indicate high/low core self-evaluations, job stress, and high/low job satisfaction. The findings support the conclusion that complexity theory in combination with configural analysis offers useful insights for explaining nuances in the causes and outcomes to high stress as well as low stress among farm managers. Some findings support and some are contrary to symmetric relationship findings (i.e., highly significant correlations that support main effect hypotheses).

Details

Improving the Marriage of Modeling and Theory for Accurate Forecasts of Outcomes
Type: Book
ISBN: 978-1-78635-122-7

Keywords

Article
Publication date: 29 June 2012

Jullavut Kittiakarasakun, Yiuman Tse and George H.K. Wang

The purpose of this paper is to examine the impact of trades by informed traders and uninformed traders on the asymmetric volatility relation, a stylized fact that has long been…

6358

Abstract

Purpose

The purpose of this paper is to examine the impact of trades by informed traders and uninformed traders on the asymmetric volatility relation, a stylized fact that has long been puzzling financial economists. Avramov, Chordia, and Goyal's hypothesized that asymmetric volatility, defined as the negative relationship between daily volatility and lagged unexpected return, is governed by the trading dynamics of informed traders and uninformed traders. However, the hypothesis has not been directly tested due to lack of a measure for informed and informed trades. The authors aim to test the hypothesis using a direct measure for informed trades and uninformed trades.

Design/methodology/approach

The authors employ the Computer Trade Reconstruction (CTR) data of Nasdaq‐100 index futures for the period of 2002 through 2004. The dataset contains a unique variable distinguishing informed trades and uninformed trades, allowing the authors to directly examine the impact of the trades (i.e. selling activities) on the asymmetric volatility relation.

Findings

Based on the Nasdaq‐100 index futures data, the asymmetric volatility relation is driven by the selling activity of uninformed traders, particularly from small‐size trades. These results are only significant during the first half of the period, which is more volatile than the second half. The selling impact of informed traders on the asymmetric volatility relation is at most weak for both subperiods.

Research limitations/implications

While risk and returns are important for asset pricing and risk management, most financial researchers consider them from a fundamental perspective. This paper's results suggest that selling activity of uninformed traders can significantly influence asset return and volatility and, hence, deserves more attention from the researchers.

Originality/value

The paper is the first to provide a direct test for Avmarov et al.'s hypothesis and shows that uninformed trades cause the asymmetric volatility. The authors contribute to ongoing discussions of how noise trading behavior can impact asset return and volatility.

Details

Managerial Finance, vol. 38 no. 8
Type: Research Article
ISSN: 0307-4358

Keywords

Article
Publication date: 12 January 2015

Wisdom Dube and Andrew Phiri

– 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.

Abstract

Purpose

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.

Design/methodology/approach

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).

Findings

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.

Originality/value

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.

Details

Journal of Economic Studies, vol. 42 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 11 November 2022

Özcan Karahan and Olcay Çolak

The direction of the causality relationship between Foreign Direct Investment (FDI) and economic growth is a highly controversial issue in the literature. There are two basic…

Abstract

Purpose

The direction of the causality relationship between Foreign Direct Investment (FDI) and economic growth is a highly controversial issue in the literature. There are two basic approaches advocating different causal directions between FDI and growth, which are called hypotheses of FDI-led Growth and Growth-led FDI. The aim of this study is to analyze the causality relationship between FDI and economic growth in RCEP countries and thus make a new contribution to the discussions in the relevant literature. In addition, the results of the study are expected to provide important implications for the policies to be designed for economic growth based on FDI flows to RCEP countries. Thus, by examining the direction of causality between FDI and economic growth in RCEP countries, we aim to provide a new contribution to related literature and make some implications for the policy design process of economic growth in the RCEP area.

Design/methodology/approach

We empirically examined the direction of a causal link between FDI and economic growth in the context of Regional Comprehensive Economic Partnership (RPEC) countries in order to test the hypothesis of FDI-led growth and Growth-led FDI. Accordingly, as our main variables of interest, we incorporated the inward foreign direct investment stock to gross domestic product ratio (FDI) and gross domestic product per capita (GDP). Hatemi-J (2012) asymmetric causality test has been employed in the investigation of the direction of causality between FDI and GDP over the period of 1980–2020. Thus, unlike most of the studies investigating the direction of causality between FDI and growth using the linear causality analysis method, our study performed a nonlinear causality analysis.

Findings

Empirical results reveal that the causal relationship between FDI and national income in RPEC countries is non-linear or asymmetric . The results of the symmetric causality test for both from FDI to national income and from national income to FDI are statistically insignificant for all countries. Therefore, this finding obtained from the study provided an important guide to the econometric methods to be used in other studies to be conducted in the same region in the future. Concerning the asymmetric causality relationship from FDI to growth, positive FDI shocks are an important cause of national income in most RCEP countries. However, the effect of negative FDI shocks on national income is quite weak compared to positive shocks. Regarding the asymmetric causality relationship from growth to FDI, positive national income shocks do not create a significant causal relationship with FDI. Similarly, the effects of negative national income shocks on FDI are statistically insignificant. Overall, asymmetric causality test results reveal that positive FDI shocks have an important causal impact on economic growth in most RCEP countries. Thus, the results of econometric analysis mostly support the argument that the FDI-led growth hypothesis rather than the Growth-led FDI hypothesis in RCEP countries. Accordingly, policy-makers in most of the RCEP countries should continue to provide more incentives and facilities to multinational companies in order to ensure constant economic growth.

Originality/value

Our study brings a significant difference in the econometric method used compared to most of the other studies in the literature. Existing empirical studies on the direction of causality between FDI and growth mostly use standard Granger-linear causality-type tests to detect the direction of causality among FDI and growth. Unlike most of the studies in the literature, our study adopted a different methodological approach, namely the Hatemi J test to detect the non-linear causality between FDI and economic growth in RCEP countries. Therefore, this paper made a new methodological contribution significantly to the literature focusing on the causal relationship between FDI and economic growth by using a non-linear causality method rather than a linear causality one.

Details

Journal of Economic and Administrative Sciences, vol. 40 no. 1
Type: Research Article
ISSN: 1026-4116

Keywords

Article
Publication date: 2 January 2018

Xiaoxia Dong, Colin Brown, Scott Waldron and Jing Zhang

The purpose of this paper is to analyze price transmission in the Chinese pork market between 1994 and 2016 and examine any incidence and causes of asymmetric price transmission.

Abstract

Purpose

The purpose of this paper is to analyze price transmission in the Chinese pork market between 1994 and 2016 and examine any incidence and causes of asymmetric price transmission.

Design/methodology/approach

The approach uses threshold autoregressive models, asymmetric error correction models and autoregressive moving average models to examine the price transmission using monthly pig and pork prices from 1994 to 2016.

Findings

While a symmetric price transmission between pork and pig prices was identified for the period between June 1994 and June 2007, an asymmetric price transmission response between pork and pig prices was found for the period July 2007 to June 2016. Key factors behind the asymmetric price transmission include the chicken price and China’s provisional purchasing and stockpiling policy which is having a counter-productive impact on prices.

Originality/value

The paper contributes to the literature by examining price transmission in two different periods: 1994 to 2007 where prices are lower and more stable; and 2007 to 2016 where prices are higher and volatile. The paper examines the impact of production and market policies on price transmission in the Chinese pork and pig market, with several policy implications.

Details

British Food Journal, vol. 120 no. 1
Type: Research Article
ISSN: 0007-070X

Keywords

Article
Publication date: 25 October 2018

Dylan Agius, Kyriakos I. Kourousis and Chris Wallbrink

The purpose of this paper is to examine the mechanical behaviour of additively manufactured Ti-6Al-4V under cyclic loading. Using as-built selective laser melting (SLM) Ti-6Al-4V…

Abstract

Purpose

The purpose of this paper is to examine the mechanical behaviour of additively manufactured Ti-6Al-4V under cyclic loading. Using as-built selective laser melting (SLM) Ti-6Al-4V in engineering applications requires a detailed understanding of its elastoplastic behaviour. This preliminary study intends to create a better understanding on the cyclic plasticity phenomena exhibited by this material under symmetric and asymmetric strain-controlled cyclic loading.

Design/methodology/approach

This paper investigates experimentally the cyclic elastoplastic behaviour of as-built SLM Ti-6Al-4V under symmetric and asymmetric strain-controlled loading histories and compares it to that of wrought Ti-6Al-4V. Moreover, a plasticity model has been customised to simulate effectively the mechanical behaviour of the as-built SLM Ti-6Al-4V. This model is formulated to account for the SLM Ti-6Al-4V-specific characteristics, under the strain-controlled experiments.

Findings

The elastoplastic behaviour of the as-built SLM Ti-6Al-4V has been compared to that of the wrought material, enabling characterisation of the cyclic transient phenomena under symmetric and asymmetric strain-controlled loadings. The test results have identified a difference in the strain-controlled cyclic phenomena in the as-build SLM Ti-6Al-4V when compared to its wrought counterpart, because of a difference in their microstructure. The plasticity model offers accurate simulation of the observed experimental behaviour in the SLM material.

Research limitations/implications

Further investigation through a more extensive test campaign involving a wider set of strain-controlled loading cases, including multiaxial (biaxial) histories, is required for a more complete characterisation of the material performance.

Originality/value

The present investigation offers an advancement in the knowledge of cyclic transient effects exhibited by a typical α’ martensite SLM Ti-6Al-4V under symmetric and asymmetric strain-controlled tests. The research data and findings reported are among the very few reported so far in the literature.

Details

Rapid Prototyping Journal, vol. 24 no. 9
Type: Research Article
ISSN: 1355-2546

Keywords

Article
Publication date: 27 April 2023

Marina Arnaut, James Temitope Dada, Akinwumi Sharimakin and Mamdouh Abdulaziz Saleh Al-Faryan

Several studies have examined the effect of formal economy (usually proxy by economic growth) on environmental quality; however, the symmetric and asymmetric impact of the…

Abstract

Purpose

Several studies have examined the effect of formal economy (usually proxy by economic growth) on environmental quality; however, the symmetric and asymmetric impact of the informal economy on environmental quality has not been examined in Nigeria. Therefore, this study aims to explore the short- and long-run (a)symmetric effect of formal and informal economies and financial development on Nigeria’s environmental quality between 1984 and 2017.

Design/methodology/approach

The study uses ecological footprint to measure environmental quality. An increase in ecological footprint suggests a fall in environmental quality. Informal economy is calculated as a percentage of GDP using the currency demand approach. Autoregressive distributed lag (ARDL), nonlinear ARDL cointegration framework and vector error correction granger causality are used as estimation techniques.

Findings

The study’s outcomes establish the existence of asymmetric structure in the link between economic activities and the environment both in the short and long run. The asymmetric results reveal that positive and negative changes in the formal economy increase the ecological footprint in both periods. Hence, activities in the formal economy reduce environmental quality. On the other hand, positive and negative changes in the informal economy only positively influence the ecological footprint in the long run. In contrast, it negatively impacts the ecological footprint in the short run. This suggests that activities in the informal economy worsen the long-run environmental quality. Financial development has a positive influence on the ecological footprint, thus degrading the environmental quality. Furthermore, in the short run, a unidirectional relationship from the formal economy to the ecological footprint, while a bidirectional causality exists between informal and formal economies. Meanwhile, a unidirectional causality from the (in)formal economies and financial development to the ecological footprint was found in the long run.

Practical implications

The outcome of this study shows that both informal and formal economies contribute to ecological footprint; therefore, mainstreaming the informal economy into the formal economy will further increase the problem of environmental degradation and worsen environmental quality.

Originality/value

The study investigates the symmetric and asymmetric effect of formal and informal economies on environmental quality in Nigeria, which is largely missing in the empirical literature.

Details

Society and Business Review, vol. 18 no. 4
Type: Research Article
ISSN: 1746-5680

Keywords

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