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The asymmetric J-curve phenomenon: Kenya versus her trading partners

Mwito, Moses Mutharime; Mkenda, Beatrice Kalinda; … - In: Central Bank Review (CBR) 21 (2021) 1, pp. 25-34

This paper examines asymmetries in the J-curve effects of real exchange rate on Kenya's trade balance by using panel data for bilateral trade with 30 trading partners. The data covers the period from 2006q1 to 2018q4 and the Pooled Mean Group (PMG) estimation technique, under both the linear and...

Persistent link: https://www.econbiz.de/10014547742

Understanding the dynamics of inflation volatility in Nigeria: A GARCH perspective

Omotosho, Babatunde S.; Doguwa, Sani I. - In: CBN Journal of Applied Statistics 03 (2012) 2, pp. 51-74

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … impact of inflation shocks on headline volatility die out rather quickly. Secondly, substantial evidence of asymmetric effect …

Persistent link: https://www.econbiz.de/10011482577

Efectos de la incertidumbre de los precios del petróleo en el crecimiento económico de México

Rodríguez Benavides, Domingo; López Herrera, Francisco - In: Investigación Económica 78 (2019) 309, pp. 80-106

conditional heteroskedasticity (GARCH) in-mean process that captures the impact of oil price volatility on economic growth and …

Persistent link: https://www.econbiz.de/10012217606

Asymmetric real-exchange-rate effects on capital accumulation: Evidence from non-linear ARDL models for Mexico

Ibarra-Niño, Carlos Alberto - In: Latin American Economic Review 27 (2018) 1, pp. 1-24

The paper studies the effects of the real exchange rate (RER) on capital accumulation in Mexico in the period since the late 1980s. By testing for the existence of potential asymmetries, the paper seeks to clarify some of the controversies surrounding the subject. It shows the RER's long-run...

Persistent link: https://www.econbiz.de/10013205102

Exponential high-frequency-based-volatility (EHEAVY) models

Xu, Yongdeng - 2022

measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models … of return volatility is driven by the realized measure, while the asymmetric effect is captured by the return shock (not …

Persistent link: https://www.econbiz.de/10013272183

Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China's stock prices?

Long, Shaobo; Zhang, Mengxue; Li, Keaobo; Wu, Shuyu - In: Financial Innovation 7 (2021) 1, pp. 1-21

With the rapid expansion of the RMB exchange rate's floating range, the effects of the RMB exchange rate and global commodity price changes on China's stock prices are likely to increase. This study uses both auto regressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches to explore...

Persistent link: https://www.econbiz.de/10012602929

State-dependent effects of tax changes in Germany and the United Kingdom

Hayo, Bernd; Mierzwa, Sascha - 2021

We study state-dependent effects of narratively identified tax shocks in Germany and the UK over the period 1974Q1-2018Q4 using local projections. In addition, we distinguish between aggregated and disaggregated tax types (direct and indirect taxes) as well as look for possible asymmetries...

Persistent link: https://www.econbiz.de/10012653874

Spillovers from tax shocks to the euro area

Mierzwa, Sascha - 2021

I study the spill-over effects of legislated discretionary tax changes in the United States, Germany, and the United Kingdom to 11 Eurozone countries for the period 1980Q1-2018Q4 employing Local Projections (Jordà, 2005). In general, I find spillovers from US tax legislation to have the...

Persistent link: https://www.econbiz.de/10012653882

Asymmetric effects of conventional and unconventional monetary policy when rates are low

Laine, Olli-Matti; Pihlajamaa, Matias - 2023

We study asymmetric inflation effects of both conventional and unconventional monetary policy in the euro area during the period of low nominal interest rates. We find that rate cuts are inflationary also during low interest rates. Positive quantitative easing surprises have a deflationary...

Persistent link: https://www.econbiz.de/10014000370

Asymmetric impact of real effective exchange rate changes on domestic output revisited: evidence from Egypt

Sharaf, Mesbah Fathy; Shahen, Abdelhalem Mahmoud - In: International Trade, Politics and Development 7 (2023) 1, pp. 2-15

Purpose This paper investigates the asymmetric impact of the real effective exchange rate (REER) on Egypt's real domestic output from 1960 to 2020. Design/methodology/approach A Nonlinear Autoregressive Distributed Lag (NARDL) model is utilized to isolate real currency depreciations from...

Persistent link: https://www.econbiz.de/10014280697