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The primary purpose of the study is to analyse the asymmetric effects of public debt on economic growth, using secondary data over the period 1980–2018 in South Africa.

This study estimated a Smooth Transition Regression (STAR) and Nonlinear Autoregressive Distributed Lag (NARDL) approach, using time series data to analyse the asymmetric effect of public debt on economic growth in South Africa.

The findings revealed a significant nonlinear relationship between public debt and economic growth in South Africa. The results showed an inverted U-Shape relationship, implying a significant positive influence of public debt on economic growth during the low-debt regime. While during a high-debt regime, public debt exerted a significant negative effect on economic growth. The study proposes that policymakers ought to consider targeting a sustainable debt threshold that would enhance efficient use of public finances consistent with long-term economic prosperity.

This paper asymmetries and threshold effects between public debt and economic growth in South Africa, through the application of dynamic nonlinear models namely, Smooth Transition Regression (STAR) and Nonlinear Autoregressive Distributed Lag (NARDL) approach. Studies on the relationship under examination have predominantly been confined in advanced economies. This study provides rigorous empirical evidence from the South African perspective.

Homeownership provides shelter and is a vital component of wealth, and house purchase signifies a lifetime achievement for many households. For South Africa confronted with social and structural challenges, homeownership by the low and lower middle-income household is pivotal for its structural transformation process. In spite of these potential benefits, research on the affordable housing market in the context of South Africa is limited. This study aims to contribute to this knowledge gap by answering the question “do changes in household income per capita have a symmetric or asymmetric effect on affordable house prices?”

A survey of the international literature on house prices and income revealed that linear modelling that assumes symmetric reaction of macroeconomic variables dominates the empirical strategy. This linearity assumption is restrictive and fails to capture possible asymmetric dynamics inherent in the housing market. The authors address this empirical limitation by using asymmetric non-linear autoregressive distributed lag models that can test and detect the existence of asymmetry in both the long and short run using data from 1985Q1 to 2016Q3.

The results revealed the presence of an asymmetric long-run relationship between affordable house prices and household income per capita. The estimated asymmetric long-run coefficients of logIncome[+] and logIncome[−] are 1.080 and −4.354, respectively, implying that a 1% increase/decrease in household income per capita induces a 1.08% rise/4.35% decline in affordable house prices everything being equal. The positive increase in affordable house prices creates wealth, helps low and middle-income household climb the property ladder and can reduce inequality, which provides support for the country’s structural transformation process. Conversely, a decline in affordable house prices tends to reduce wealth and widen inequality.

This paper recommends both supply- and demand-side policies to support affordable housing development. Supply-side stimulants should include incentives to attract developers to affordable markets such as municipal serviced land and tax credit. Demand-side policy should focus on asset-based welfare policy; for example, the current Finance Linked Income Subsidy Programme (FLISP). Efficient management and coordination of the FLISP are essential to enhance the affordability of first-time buyers. Given the enormous size of the affordable property market, the practice of mortgage securitization by financial institutions should be monitored, as a persistent decline in income can trigger a systemic risk to the economy.

The study results illustrate the importance of homeownership by low- and middle-income households and that the development of the affordable market segment can boost wealth creation and reduce residential segregation. This, in turn, provides support to the country’s structural transformation process.

The affordable housing market in South Africa is of strategic importance to the economy, accounting for 71.4% of all residential properties. Homeownership by low and lower middle-income households creates wealth, reduces wealth inequality and improves revenue collection for local governments. This paper contributes to the empirical literature by modelling the asymmetric behaviour of affordable house prices to changes in household income per capita and other macroeconomic fundamentals. Based on available evidence, this is the first attempt to examine the dynamic asymmetry between affordable house prices and household income per capita in South Africa.

This paper aims to explain real exchange rate fluctuations by means of a model including both standard fundamentals and two alternative measures of inflation expectations for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) over the period January 1993–July 2019.

Both a benchmark linear autoregressive distributed lag (ARDL) model and a nonlinear autoregressive distributed lag (NARDL) specification are considered.

The results suggest that the nonlinear framework is more appropriate to capture the behaviour of real exchange rates given the presence of asymmetries both in the long and short run. In particular, the speed of adjustment towards the purchasing power parity (PPP) implied long-run equilibrium is three times faster in a nonlinear framework, which provides much stronger evidence in support of PPP. Moreover, inflation expectations play an important role, with survey-based ones having a more sizable effect than market-based ones.

The focus on linearities and the estimation of a NARDL model, which is shown to outperform the linear ARDL model both within sample and out of sample, is an important contribution to the existing literature which has rarely applied this type of framework; the choice of an appropriate econometric method also makes the policy implications of the analysis more reliable; in particular, monetary authorities should aim to achieve a high degree of credibility to manage them and thus currency fluctuations effectively; the inflation targeting framework might be especially appropriate for this purpose.

While the relationship between natural resource rent and economic growth is well documented in the literature, not much robust analysis has been done to estimate the causative relationship between oil resource rent and economic growth in Ghana. This might be due to the fact that commercial production of crude oil started not long ago in Ghana. This paper aims to examine the causal relationship between oil resource rent and economic growth for the period of 2011 to 2020 in Ghana.

The study incorporates economic growth as a function of oil resource rent, non-oil revenue, foreign direct investment, capital and interest rate in a Cobb–Douglass production function/model. The study used four different estimation strategies including the autoregressive distributed lags model, Toda–Yamamoto test approach, nonlinear autoregressive distributed lags model and nonlinear Granger causality.

The main finding revealed that 1% increase in oil resource rent generates 0.84% increase in economic growth of Ghana in the long run. Contrary, the authors find an insignificant positive effect of oil resource rent on economic growth of Ghana in the short run for the period under study. The result from the Toda–Yamamoto test approach also showed a unidirectional causality running from oil resource rent to economic growth of Ghana, providing evidence in support of the resource blessing hypothesis in Ghana. The results are robust to two different alternative estimation strategies.

The causal relationship between crude oil resource rent and economic growth is examined.

This study explores the asymmetric linkage between public investment and private sector performance in Nigeria. This is due to the presence of nonlinear structures in the behavior of domestic investment series with evidences of structural time breaks, which fall within periods of global financial crises and oil shocks.

Main data on gross capital formation, gross fixed capital formation, domestic credit to private sector, domestic credit to private sector by banks are used for the study span through 1986 to 2017. Evidence of asymmetry spurs the study to adopt the nonlinear autoregressive distributed lag, asymmetric generalized impulse response and variance decomposition and asymmetric granger causality techniques.

It is shown that positive (negative) investment shocks exhibit a non-negligible and substantial stimulating (dampening) influence on the long-run performance of private sector in the economy. However, there is evidence that negative investment shocks portend a positive influence on the performance of private sector in the short run. This suggests that negative shocks to investment may not dampen the effectiveness of private sector in the short run, and this thus brings to bear the debate on the tenability of public investment as a potent counter cyclical tool in enhancing short-run private sector growth. The nonlinear granger causality also shows a unidirectional nonlinear causality from public investment to private sector performance. However, there is no evidence of bidirectional nonlinear causality.

This study provides quantitative evidence that Nigeria still depends exclusively on public investment, and as an oil-based rentier economy its economic diversification drive still remains bleak.

This study focuses on Egypt’s recent experience with exchange rate policies, examining the existence of spillover effects of exchange rate variations on stock prices across two different de facto regimes and whether these effects, if any, are asymmetric.

The empirical analysis is carried out using a nonlinear autoregressive distributed lag modeling framework, which permits testing for the presence of short- and long-run asymmetries. Relevant local and global factors are also included in the analysis as control variables. The authors divide the entire sample into a soft peg period and a free float one.

Over the soft peg regime period, both positive and negative changes in EGP/USD exchange rates seem to have a significant impact on stock returns, whether in the short or long run. Short-term asymmetric effects vanish in the free float period, while long-term asymmetries continue to exist. By and large, the authors find that currency depreciation tends to exercise a stronger influence on stock returns than does currency appreciation.

The results offer important insights for investors, regulators and policymakers. With the domestic currency depreciation having a negative impact on stock prices, investors should contemplate implementing appropriate currency hedging strategies to abate depreciation risks and, hence, preserve their expected rate of return on the Egyptian pound-denominated investments. In the current post-flotation era, the government could pursue a flexible inflation targeting monetary policy framework, with a view to both lowering the soaring inflation toward an announced target rate and stabilizing economic growth. The Central Bank of Egypt (CBE) could adopt indirect monetary policy instruments to secure tightened liquidity conditions. Besides, the CBE could raise policy rates to incentivize people to keep their money in local currency-denominated instruments, instead of dollarizing their savings, thereby relieving banks of foreign currency demand pressures. Nevertheless, while being beneficial to the country’s real economy on several aspects, such contractionary monetary measures may temporarily impinge on stock market performance. Accordingly, policymakers should consider precautionary measures that reduce the potential for price distortions and unnecessary volatility in the stock market.

To the best of the authors’ knowledge, the current study represents the first attempt to explore the potential impact of exchange rate changes under different regimes on Egypt’s stock market, thus contributing to the relevant research in this area.

This study aims to explore the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19.

This research analyzes the impact of cryptocurrencies (Bitcoin, Ethereum, Monero and Ripple) on the gold, WTI, VIX index, G7 and the BRICS index before and during COVID-19, using the quantile regression approach for the 2016–2020 period. In addition, to catch long- and short-run asymmetries of cryptocurrencies on aforementioned dependent variables, an asymmetric nonlinear co-integration (nonlinear autoregressive distributed lag [NARDL]) approach is applied.

The result of the quantile regression shows that in a high market, which corresponds to the 90th quantile, the FTSE MIB, CAC40, SSE, BSE 30, and BVSP stock market showed a statistically insignificant negative coefficient, on the Bitcoin price. In a middle and low markets, which correspond to the 0.2, 0.3 and 0.5th quantiles, the BVSP, FTSE MIB, S&P/TSX, SSE and Nikkei stock markets show statistically significant and positive on Bitcoin. Evidence from the NARDL shows a statistically significant positive impact of cryptocurrencies on the gold, WTI, VIX index, G7 and BRICS indices before and during COVID-19 pandemic.

These results can provide investors with valuable analysis and information and help them make the best decisions and adopt the best strategies. Therefore, future investigations may concentrate and examine the monetary and governmental policies to be adapted to face the COVID-19 pandemic’s dangerous effects on both the society and the economy. For this reason, investors should take this into account when making their asset allocation decisions. Moreover, the portfolio managers, such as index funds, may consider few eligible cryptocurrencies for their inclusion into the portfolio. However, the speculators present in both stock and crypto markets may opt for a spread strategy to improve their portfolio returns.

Recent literature has shifted to examining whether exchange rate volatility symmetrically or asymmetrically affects the trade flows. This study aims to extend the existing literature by examining the effects of extremely large to extremely small changes in exchange rate volatility series on the US imports from Brazil, India, Mexico and South Africa.

For examining the effects of extreme changes, multiple threshold nonlinear autoregressive distributed lag (MTNARDL) model is used and the exchange rate volatility series is divided into quintiles and deciles. It helps to examine the effects of each quintile/decile of exchange rate volatility series on the US imports.

Findings indicate that the effects of extremely large changes in the exchange rate volatility series significantly differ from the effects of extremely small changes in the exchange rate volatility series on the US imports.

The findings of this study are very important. These findings help to consider the effect of extreme changes before devising policies related to trade flows.

This study mainly focuses on US imports from Brazil, India, Mexico and South Africa. In addition, this study extends the existing literature by using a novel methodology called MTNARDL model.

This paper aims to examine the relationship between exchange rate and oil prices in Algeria over the period 2004Q1–2019Q4.

The nonlinear autoregressive distributed lag method is used to capture the potential asymmetric relationship among oil prices and the exchange rate. Frequency domain spectral Granger causality test is also applied to investigate the causal linkage between the two variables. The wavelet coherence is applied to analyze the evolution of this relationship both in time and frequency domains.

The empirical results reveal evidence of long-run asymmetric effects of oil price on Algeria’s real effective exchange rate (REER), implying that an increase in oil price causes a real exchange rate to appreciate, while a decrease in oil price leads to a real exchange rate to depreciate. More specifically, it is found that the impact of negative oil price shocks is higher than the one associated with positive shocks. The spectral Granger causality results further indicate that there is unidirectional causality running from oil price to REER in both medium and long run. The wavelet coherence findings provide evidence of some co-movement between the REER and oil price and point out that the oil price is leading real exchange rate in the medium and long terms.

This study contributes to the literature by investigating the asymmetric impact and the time domain causal linkage between oil price fluctuations and real exchange rate in Algeria.

Departing from the expansionary austerity literature, this study aims at examining how fiscal consolidation affects the economic growth in Tunisia using annual data over the period 1970–2018.

To revisit the fiscal consolidation-economic growth nexus, the ambiguous empirical findings in previous literature make useful the adoption of alternative econometric techniques. The authors use an extended nonlinear autoregressive distributed lag (ARDL) cointegration approach developed by Shin et al. (2014) and the Diks and Panchenko's (2006) nonlinear Granger causality test. Furthermore, a traditional approach based on changes in cyclically-adjusted primary balance was applied to define the fiscal consolidation episodes in Tunisia.

The empirical evidence reveal that fiscal adjustment in Tunisia may hurt the economy, both in the short- and long-run, through its contractionary effect on economic growth. Another important finding concerns the unidirectional nonlinear Granger causality running from fiscal consolidation to economic growth.

Fiscal adjustment in Tunisia is found to play a prominent role in reducing public debt; but at the same time, it may be costly and not beneficial to the economy. This view corroborates with the fact that fiscal consolidation is more likely to end successfully only under specific conditions. This calls for a deeper reflection upon new insights regarding the design of fiscal adjustment in Tunisia. To reach this end, it is suggested to combine the defensive consolidation strategy with offensive components such as investment, infrastructure, education and health.

The existing economic analysis on fiscal policy-growth nexus in Tunisia has often identified fiscal consolidation through the use of the actual fiscal balance. With the goal of more accurate estimation, this study bridges the gap by using the cyclically-adjusted primary balance (CAPB) as a much suitable indicator to investigate the non-Keynesian effect of fiscal consolidation in Tunisia. This indicator eliminates the influence of cyclical fluctuations and many other fixed expenditures such as the interest paid on the public debt.