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  1. Dynamic relationship between stock and bond returns: a GAS MIDAS copula approach
    Autor*in: Nguyen, Hoang; Javed, Farrukh
    Erschienen: [2021]
    Verlag:  Örebro University School of Business, Örebro, Sweden

    Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock... mehr

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    Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula decomposes their relationship into a short-term dependence and a long-term dependence. While the long-term dependence is driven by related macro-finance factors using a MIDAS regression, the short-term effect follows a GAS process. Asymmetric dependence at different quantiles is also taken into account. We find that the proposed GAS MIDAS copula models are more effective in optimal portfolio allocation and improve the accuracy in risk management compared to other alternatives.

     
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    Schriftenreihe: Array ; 2021, 15
    Schlagworte: Multivariate Verteilung; Kapitalmarktrendite; Regressionsanalyse; Mixed Data Sampling; GAS copulas; MIDAS; asymmetry
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  2. Sharing asymmetric tail risk
    smoothing, asset prices and terms of trade
    Autor*in: Corsetti, Giancarlo; Lipinska, Anna; Lombardo, Giovanni
    Erschienen: 2021
    Verlag:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Schriftenreihe: International finance discussion papers ; number 1324 (August 2021)
    Schlagworte: International risk sharing; asymmetry; fat tails; welfare
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  3. The impacts of the dollar-renminbi exchange rate misalignment on the China-United States commodity trade
    an asymmetric analysis
    Autor*in: Ferjani, Sabrine; Saafi, Sami; Nouira, Ridha; Rault, Christophe
    Erschienen: April 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric... mehr

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    Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric effects. We use monthly time-series data over the January 2002-October 2020 period from 66 two-digit industries that trade between China and the U.S. in order to avoid the well-known aggregation bias. Estimates of symmetric error-correction models (ECM) revealed that real dollar-renminbi rate misalignment has short-run effects on 35 U.S. exporting and 53 U.S. importing industries. These short-run effects translated into the long run in 18 and 17 industries, respectively. The numbers increased considerably when estimating asymmetric ECM. Indeed, short-run asymmetric effects were then found in 47 U.S. exporting and 62 U.S. importing industries, which translated into long-run asymmetric effects in 20 U.S. exporting and 21 U.S. importing industries. Our analysis highlights the importance of separating currency overvaluation from currency undervaluation in assessing the effects of the RE misalignment on trade flows between the U.S. and China and confirms that the impacts are industry specific. Our findings (robust to possible structural breaks) are useful for trading industries, and policymakers, and advocate accounting for asymmetries when examining the RE misalignment-trade flows nexus.

     
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    Schriftenreihe: CESifo working paper ; no. 9706 (2022)
    Schlagworte: asymmetry; nonlinear ARDL; exchange rate misalignment; commodity trade; China; the United States
    Umfang: 1 Online-Ressource (circa 49 Seiten)
  4. Misinformation due to asymmetric information sharing
    Autor*in: Buechel, Berno; Klößner, Stefan; Meng, Fanyuan; Nassar, Anis
    Erschienen: [2022]
    Verlag:  University of Fribourg, Switzerland, Faculty of Management, Economics and Social Sciences, Fribourg

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    Schriftenreihe: Working papers SES / Université de Fribourg, Faculté des sciences économiques et sociales et du management ; n. 528 (VI. 2022)
    Schlagworte: Misinformation; asymmetry; social networks; social learning; opinion dynamics; echo chambers
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  5. Exploring correlations between aggregate demand and supply shocks in India
    Autor*in: Goyal, Ashima; Ray, Sritama
    Erschienen: March 2022
    Verlag:  Indira Gandhi Institute of Development Research, Mumbai

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    Schriftenreihe: [WP series / Indira Gandhi Institute of Development Research] ; WP-2022, 004
    Schlagworte: Correlated demand and supply shocks; asymmetry; monetary policy; horizontal andvertical supply curves; India; structural VAR
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  6. Option-Implied Asymmetry and Market Returns
    Autor*in: O'Sullivan, Conall; Wang, Yan
    Erschienen: 2022
    Verlag:  SSRN, [S.l.]

    We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new... mehr

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    We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of quantile estimates relative to existing approaches. We use the method to estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk-neutral skewness measures, we find that RNA is significantly negatively linked to future market excess returns at horizons ranging from one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market returns

     
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    Schriftenreihe: Michael J. Brennan Irish Finance Working Paper Series Research Paper ; No. 22-12
    Schlagworte: Model-free quantiles; asymmetry; skewness; forecasting; equity risk premium
    Umfang: 1 Online-Ressource (84 p)
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    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2022 erstellt
  7. The impacts of the dollar-renminbi exchange rate misalignment on the China-United States commodity trade
    an asymmetric analysis
    Autor*in: Ferjani, Sabrine; Saafi, Sami; Nouira, Ridha; Rault, Christophe
    Erschienen: April 2022
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric... mehr

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    Contrary to most existing studies of the literature that assumed that the effects of real exchange rate (RE) misalignment on trade flows are symmetric, this paper considers a more general and realistic framework allowing for possible asymmetric effects. We use monthly time-series data over the January 2002-October 2020 period from 66 two-digit industries that trade between China and the U.S. in order to avoid the well-known aggregation bias. Estimates of symmetric error-correction models (ECM) revealed that real dollar-renminbi rate misalignment has short-run effects on 35 U.S. exporting and 53 U.S. importing industries. These short-run effects translated into the long run in 18 and 17 industries, respectively. The numbers increased considerably when estimating asymmetric ECM. Indeed, short-run asymmetric effects were then found in 47 U.S. exporting and 62 U.S. importing industries, which translated into long-run asymmetric effects in 20 U.S. exporting and 21 U.S. importing industries. Our analysis highlights the importance of separating currency overvaluation from currency undervaluation in assessing the effects of the RE misalignment on trade flows between the U.S. and China and confirms that the impacts are industry specific. Our findings (robust to possible structural breaks) are useful for trading industries, and policymakers, and advocate accounting for asymmetries when examining the RE misalignment-trade flows nexus.

     
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    hdl: 10419/263451
    Schriftenreihe: Discussion paper series / IZA ; no. 15235
    Schlagworte: asymmetry; nonlinear ARDL; exchange rate misalignment; commodity trade; China; the United States
    Umfang: 1 Online-Ressource (circa 49 Seiten)
  8. Co-Production of Knowledge and Dialogue: A Reflective Analysis of the Space Between Academic and Lay Co-Researchers in the Early Stages of the Research Process
    Autor*in: Köppen, Marilena von; Kümpers, Susanne; Hahn, Daphne
    Erschienen: 2022
    Verlag:  SSOAR, GESIS – Leibniz-Institut für Sozialwissenschaften e.V., Mannheim

    Abstract: Co-production of knowledge, where academic and lay researchers work as partners, is a central characteristic of participatory action research. It requires the participants to engage in a transformative dialogue. But how can co-production of... mehr

     

    Abstract: Co-production of knowledge, where academic and lay researchers work as partners, is a central characteristic of participatory action research. It requires the participants to engage in a transformative dialogue. But how can co-production of knowledge function in the care home setting? We addressed this question in a specific interaction between academic and lay researchers in an action research project sited in a nursing home in Germany. Drawing on Paulo FREIRE and Mikhail BAKHTIN, we developed seven dialogue criteria and applied them as sensitizing concepts. In order to further a critical analysis, in our data analysis we combined three methodical approaches: 1. analytical autoethnography, 2. sequential analysis in the tradition of objective hermeneutics, and 3. reflection with critical friends. This innovative triangulation allowed for rich and complex interpretations. We found that all seven dialogue criteria are important to co-production of knowledge and should direct the proc

     
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    DDC Klassifikation: Sozialwissenschaften (300)
    Weitere Schlagworte: Action Research; Asymmetrie; Co-Forschende; Critical Friends; Dialog; Forschungsbeziehungen; Koproduktion von Wissen; Sequenzanalyse; action research; analytical autoethnography; analytische Autoethnografie; asymmetry; co-production of knowledge; critical friends; dialogue; lay co-researchers; objective hermeneutics; objektive Hermeneutik; research relations; sequential analysis
    Umfang: Online-Ressource
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    Veröffentlichungsversion

    begutachtet (peer reviewed)

    In: Forum Qualitative Sozialforschung / Forum: Qualitative Social Research ; 23 (2022) 1
  9. Tracking Trends and Brands in the International Children's Book Market
    Autor*in: Thiel, Petra

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    Übergeordneter Titel:
    In:: The journal of transcultural studies; Heidelberg : Exzellenzcluster Asia and Europe, [2010]-; Heft 2, 85-124; Online-Ressource
    Schlagworte: Kinderliteratur; Intermedialität; Adaption <Literatur>; Übersetzung; Migration
    Weitere Schlagworte: Transkulturalität; gatekeeper; asymmetry; hybridity
    Umfang: Online-Ressource
  10. Unraveling of value-rankings in auctions with resale
    Autor*in: Khurana, Sanyyam
    Erschienen: June 2020
    Verlag:  Centre for Development Economics, Delhi School of Economics, Delhi

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    Schriftenreihe: Working paper / [Centre for Development Economics, Delhi School of Economics] ; no. 308
    Schlagworte: esale; asymmetry; private values; value-rankings
    Umfang: 1 Online-Ressource (circa 32 Seiten)
  11. Unveiling sentiment dynamics and forecasting future economic sentiment in the eurozone using option-implied asymmetry measures
    Autor*in: Gambarelli, Luca; Muzzioli, Silvia
    Erschienen: November 2023
    Verlag:  nUnimore, Università degli studi di Modena e Reggio Emilia, Dipartimento di economia Marco Biagi, [Modena]

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    Schriftenreihe: DEMB working paper series ; n. 232
    Schlagworte: sentiment indices; economic sentiment; asymmetry; tail risk
    Umfang: 1 Online-Ressource (circa 25 Seiten)
  12. Volatility spillovers across petroleum markets
    Autor*in: Baruni, Jozef; Kočenda, Evžen; Vacha, Lukas
    Erschienen: 2015
    Verlag:  William Davidson Inst., Ann Arbor, Mich.

    We detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities.... mehr

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    We detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission

     
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    hdl: 2027.42/132994
    Schriftenreihe: William Davidson Institute Working Paper ; No. 1093
    Schlagworte: volatility spillovers; asymmetry; petroleum markets
    Umfang: Online-Ressource (29 S.), graph. Darst.
  13. Interest rate pass-through asymmetry
    a meta-analytical approach
    Autor*in: Iorngurum, Tersoo David
    Erschienen: [2024]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    The interest rate pass-through represents a vital transmission mechanism between the financial sector and the real economy. Nonetheless, the empirical literature offers no consensus regarding the direction and extent of asymmetry in this... mehr

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    The interest rate pass-through represents a vital transmission mechanism between the financial sector and the real economy. Nonetheless, the empirical literature offers no consensus regarding the direction and extent of asymmetry in this pass-through. In this paper, I systematically review the empirical literature using various contemporary meta-analytic techniques to test for publication bias and establish consensus for the conflicting study outcomes. I find evidence of publication bias. Beyond publication bias, the magnitude of the reported pass-through declines relative to the simple literature average, but substantial asymmetry remains. Precisely, bank lending rates appear to be a lot more responsive to increases than decreases in monetary policy interest rates. Furthermore, I identify the factors responsible for diverse study outcomes. These include study characteristics, asymmetry, and macrofinancial variables. Concerning study characteristics, results differ due to differences in data frequency, data source, the researched period, study quality, author affiliation, and estimation context. Concerning macrofinancial factors, results differ due to differences in openness to foreign direct investment inflows, openness to trade, the inflationary environment, and economic development status. The pass-through is particularly strong in countries more open to foreign direct investment inflows and developed economies but relatively weak for countries more open to import trade and countries with a high inflationary environment. Finally, I model the interest rate pass-through based on the best practices in the literature. On average, the short-run pass-through to bank lending rates is about 49.7% for a policy rate hike and about 29.7% for a policy rate cut. On the other hand, the long-run pass-throughs are about 69.6% and 46.6%, respectively.

     
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    Schriftenreihe: IES working paper ; 2024, 17
    Schlagworte: Interest rate pass-through; asymmetry; meta-analysis
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  14. Tullock contest with desert concerns
    Autor*in: Fallucchi, Francesco; Trevisan, Francesco
    Erschienen: [2023]
    Verlag:  Department of Economics, Ca’ Foscari University of Venice, Venice, Italy

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    Schriftenreihe: Working paper / Ca' Foscari University of Venice, Department of Economics ; 2023, no. 31
    Schlagworte: rent-seeking; contest; asymmetry; desire to win; loss aversion
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  15. R&D in trade networks
    the role of asymmetry
    Autor*in: Teteryatnikova, Mariya
    Erschienen: January 2016
    Verlag:  University of Vienna, Department of Economics, Vienna

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    Schriftenreihe: Working papers / University of Vienna, Department of Economics ; no: 1601
    Schlagworte: Internationale Wirtschaft; Handelsliberalisierung; Handelsabkommen; Forschung; Internationale Wirtschaftsbeziehungen; Hub-and-Spoke-Netzwerk; Regionale Wirtschaftsintegration; Wohlfahrtsanalyse; Welt; Trade; hub-and-spoke network; asymmetry; R&D; oligopolistic competition
    Umfang: 1 Online-Ressource (51, 4 Seiten), Illustrationen
  16. Asymmetric government expenditure
    a comparison of advanced and developing countries
    Autor*in: Çulha, Ali Aşkın
    Erschienen: August 2016
    Verlag:  Central Bank of the Republic of Turkey, Head Office, Research and Monetary Policy Department, Ankara, Turkey

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    Schriftenreihe: Working paper / Türkiye Cumhuriyet Merkez Bankası ; no: 16/17
    Schlagworte: : Government expenditure; procyclicality; countercyclicality; asymmetry
    Umfang: 1 Online-Ressource (cirka 31 Seiten), Illustrationen
  17. Modeling dependence structure and forecasting market risk with dynamic asymmetric copula
    Erschienen: 2015
    Verlag:  Univ. of Glasgow, Adam Smith Business School, Glasgow

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    Schriftenreihe: Discussion paper series / University of Glasgow, Adam Smith Business School ; 2015,15
    Schlagworte: asymmetry; tail dependence; dependence dynamics; dynamic skewed t copulas; VaR and ES forecasting
    Umfang: Online-Ressource (51 S.), graph. Darst.