Asymmetric Causality Research Articles

The Relationship Between Financial Development and Tax Revenues in Türkiye: Hatemi-J Asymmetric Causality Analysis

The Relationship Between Financial Development and Tax Revenues in Türkiye: Hatemi-J Asymmetric Causality Analysis

Configurational risks and innovation performance of complex product systems development: A fsQCA lens

Complex products and systems (CoPS) development demands effective risk management, which is frequently impeded by a lack of clarity regarding the impact of risks on performance. This study aims to investigate how multiple risks jointly affect innovation performance in CoPS projects. Based on the configurational theory and WSR framework, we use fuzzy set qualitative comparative analysis (fsQCA) with data from 97 CoPS projects and examine the combined effects of risks on innovation performance. We identify two types leading to high innovation performance and four patterns causing low innovation performance. The results verify the asymmetrical causality of the influence of risks on innovation performance in CoPS projects. The findings contribute to broadening the relationship studies of risk and innovation performance by adopting an empirical method in the context of CoPS. Moreover, our study can help managers implement flexible risk management activities within CoPS projects, by addressing several equivalent and distinctive paths.

The effect of geopolitical risk on the clean energy metals’ prices: the evidence of BRICS countries

ABSTRACT This study examines the effect of geopolitical risk on clean energy metal prices for Brazil, Russia, India, China and South Africa (BRICS) countries. Aluminum, cobalt, copper, nickel and zinc have been used as clean energy metals. The research period was determined as January 1990 to August 2021. Hatemi-J and Roca (2014) asymmetric causality test was used as the research method. According to the results, there is no causality between geopolitical risk of South Africa and cobalt prices for different cases. However, in general, there is causality between other clean energy metal prices and geopolitical risk in BRICS countries. Accordingly, the geopolitical risks of the BRICS countries both affect and are affected by these metal prices. This result suggests that changes in geopolitical risk of BRICS countries can provide useful information in explaining changes in clean energy metal prices. Likewise, changes in clean energy metal prices provide useful information in explaining the changes in geopolitical risk of BRICS countries. Therefore, policy makers need to develop new policies and strategies that can protect BRICS countries from clean energy metal price fluctuations in order to effectively use their renewable energy resources in their economic development.

Algeria's pathway to COP28 and SDGs: Asymmetric impact of environmental technology, energy productivity, and material resource efficiency on environmental sustainability

This study examines the asymmetric effects of material resource efficiency (MRE), energy productivity (EP), and environmental technology (ENT) on environmental sustainability (ES) in Algeria from 1990/Q1 to 2022/Q4. Using a nonlinear autoregressive distributed lag model (NARDL), we find that both positive and negative shocks to both MRE and ENT contribute to ES, highlighting their effectiveness. Interestingly, positive EP shocks have a stronger mitigating effect compared to negative shocks. This suggests a magnified benefit during periods of efficiency gains. Additionally, asymmetric causality analysis verifies a causal link between MRE, EP, ENT, and ES. Given these results, it is recommended that Algerian policymakers should prioritize investments in MRE and ENT while emphasizing policies that enhance EP due to its magnified benefit on ES. Asymmetric policy responses for green practices alongside alignment with SDGs 7, 8, 12 and COP-28 objectives will optimize Algeria's ES.

FROM MONEY TRANSFERS TO MEAL TABLES: UNRAVELLING THE NEXUS OF REMITTANCES, FOOD SECURITY, AND ECONOMIC GROWTH IN TURKEY

The link between remittances, food security, and economic growth is a complex and important element of the economic development of the society. The study aims to explore the causality relationships between Remittances, Food Security and Economic Growth in the Turkish economy. The period of study from 1974 to 2018 and annual data of Remittances, Calories intake (as a proxy for the food security) and Economic Growth are used in the framework of time series. Techniques such as Zivot-Andrews (ZA) unit root, Toda-Yamamoto (TY), Breitung-Candelon (BCG), and Hatemi-J tests are used to detect the causality assessing the direction of it. The main findings consist of: (i) the presence of cointegration of rank two among series, the lack of linear TY time domain causality; (ii) the presence of BCG spectral causality from Calories intake to Growth only in medium period at 10% significance and, (iii) the presence of asymmetric causality from Remittances to Growth in positive changes, from Growth to Calories intake in negative changes and from Calories intake to Remittances in positive changes respectively at 1,5, and 1% significance. These results provide policymakers with valuable insights into the complexity nature of the relationship among remittances, food security, and economic growth, guiding them in designing effective strategies for poverty alleviation, sustainable development, and inclusive growth.

Hedge and safe haven functions of gold and Bitcoin around COVID-19: evidence from U.S. financial assets

ABSTRACT The COVID-19 outbreak triggered an unparalleled health crisis and financial shock. We re-examine whether gold and Bitcoin can function as hedges and safe havens for U.S. financial assets before and after the COVID-19 outbreak. This study employs the quantile-on-quantile and causality-in-quantiles methods to detect the nonlinear and asymmetric relationship of gold and Bitcoin with U.S. financial assets. The results reveal negative dependence of the U.S. dollar, real estate, crude oil, and natural gas on gold and Bitcoin in some quantiles during both periods, indicating that gold and Bitcoin are hedges for these four assets. Following the COVID-19 outbreak, the negative correlations that exist for stock and clean energy with Bitcoin almost all turn positive, gold and Bitcoin lose their ability to hedge stocks and clean energy. Bitcoin can still hedge bonds in middle and high quantiles, whereas gold does not possess this capability against the bond. Additionally, there is an asymmetric causality in the mean and variance from U.S. financial assets to gold and Bitcoin, which generally exists in the middle quantiles but not in the extreme (high and low) quantiles. Our findings provide clear guidelines to market participants on risk management and policy decisions according to market conditions.

Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis

Interaction Between Stock Exchange And Interest Rate in Turkey: A Hidden Cointegration and Asymmetric Causality Analysis

Unveiling asymmetry impacts of economic policy uncertainty on climate change: fresh insights into African Countries.

This study investigates the influence of economic policy uncertainty on climate change in selected African countries within asymmetric settings. Although previous research has examined the impact of various economic factors on climate change, the asymmetric effects of economic policy uncertainty have not been thoroughly explored, particularly in African countries. We analyze annual data spanning from 1980 to 2017 by utilizing three models: Panel Pooled Mean Group-Autoregressive distributed lag model (ARDL-PMG), Panel Pooled Mean Group-non-linear autoregressive distributed lag model (NARDL-PMG), and Dumitrescu-Hurlin asymmetric causality tests. According to the results of ARDL-PMG estimation, economic policy uncertainty has a detrimental impact on climate change in the long run. However, the NARDL-PMG estimation suggests that a positive shock in economic policy uncertainty negatively affects long-term climate change mitigation. However, a negative shock has a beneficial effect on climate change in the long term. In African nations, positive and negative changes in economic policy uncertainty failed to generate any significant climate change effects in the short run. The results also reveal that both positive and negative shocks in economic policy may cause climate change in a one-way direction. Based on the findings of our study, we recommend that African policymakers implement programs aimed at reducing economic policy uncertainties to help mitigate the effects of climate change.

Asymmetric effects of long-term war on human resource development in Af…ghanistan: evidence from NARDL approach

This study explores the effects of war on human resource development in Afghanistan using non-linear autoregressive distributed lags (NARDL) and asymmetric causality analysis. The results of the NARDL bound test support an asymmetric long-run relationship between predictors. It reveals that positive and negative shocks from the per capita cost of war, child mortality rate, and population growth rate asymmetrically affect the school enrollment rate in both the short and long runs. Furthermore, it shows that positive shocks from per capita GDP and per capita government expenditures on education increase the school enrollment rate, while their negative shocks have adverse effects, in both the short and long runs. This implies that school enrollment is highly sensitive to changes in the per capita cost of war and reacts swiftly. Moreover, the results reveal significant causality from both the positive and negative components of the per capita cost of war, per capita GDP, per capita government expenditures on education, and population growth to both the positive and negative components of the school enrollment rate. However, there is only a causal nexus from the negative component of the child mortality rate to the school enrollment rate. Based on these findings, relevant policy implications are discussed.

Defence spending and real growth in an asymmetric environment: Accessing evidence from a developing economy

AbstractThe connection between the defence spending and real growth remains a forefront subject of theoretical and empirical research. Nigeria, like many other developing nations, continues to devote numerous fiscal resources to military spending in ensuring peaceful coexistence and to attain sustainable economic growth after her independence in 1960. Because the interdependence between them has policy implications, this paper studies whether there exists asymmetric causality between them. The dataset, from World Bank database, includes long‐range historical series for military expenditure/GDP ratio and growth rate of GDP, covering 1960–2021. In exploring the empirical relations, the paper shows evidence for the symmetric Granger causality, from Toda–Yamamoto (1995) and asymmetric causality, from Hatemi‐J (2012). The standard (symmetric) identifies unidirectional causality evidence, from defence spending to the GDP per capital growth, with no retained potential feedback from real growth to defence spending. The Hatemi‐J (asymmetric) causality maintains evidence that positive shocks in the defence spending may cause a positive shock in the GDP per capital, supposing that increase perturbations to defence spending would be productive and growth‐enhancing. This causal impact is not evident for positive growth shocks. The findings support the need for policymakers to consider sustained growth targets when redesigning the military budget.

ICT penetration and life expectancy in emerging market economies: panel evidence from asymmetric causality analysis

BackgroundLife expectancy is a significant result indicator of public health and sustainable development. Therefore, one of the final objectives of all economic and social policies is to increase the life expectancy. In this context, a limited number of researchers have investigated the relationship between ICT penetration and life expectancy. However, multiple interaction channels exist between ICT penetration and life expectancy. Furthermore, the studies have usually focused on the effect of ICT penetration on life expectancy through regression and ignored the effect of life expectancy on ICT penetration to a large extent. Therefore, this study aims to contribute to the empirical literature by investigating the causal relationship between ICT indicators and life expectancy.MethodsThis study uses symmetric and asymmetric causality approaches to investigate the two-way interaction between ICT indicators and life expectancy in emerging market economies over the 1997–2020 period. Employment of the asymmetric causality test enables us to analyze the hidden relationships between ICT indicators and life expectancy, unlike the traditional causality test.ResultsThe results of the symmetric causality test uncover a bidirectional causal interaction between mobile subscriptions and life expectancy but a one-way causal relationship from life expectancy to internet usage. However, the asymmetric causality test results uncover a unidirectional causal relationship between mobile subscriptions and life expectancy in China, Colombia, Czechia, Egypt, Greece, India, Kuwait and Turkiye due to positive shocks from mobile subscriptions. On the other hand, a bidirectional causal interaction exists between internet usage and life expectancy in all countries due to negative shocks from internet usage and life expectancy. Last, a unidirectional causal relationship exists between internet usage and life expectancy in all countries due to positive shocks from internet usage.ConclusionICT indicators significantly influence life expectancy health in a sample of emerging market economies. Therefore, internet usage and mobile devices are significant tools to improve life expectancy.

ASYMMETRIC CAUSALTY RELATIONSHIP BETWEEN ALTERNATIVE INVESTMENT INSTRUMENTS AND STOCK PRICES: THE TÜRKİYE SAMPLE

In economic theory, many economic and financial variables exhibit different behaviors. Therefore, nonlinear techniques can be used to accurately model the relationship between these variables. In the real world, people's responses to shocks also vary. Especially in financial markets, investors may differ from homogeneous behavior. That is, when a random shock occurs in financial markets, each investor may react differently. While some investors prefer to take risks by holding their positions, believing that shocks are temporary, others may be risk averse and change their positions immediately. This means that shocks can have different effects on the market. Therefore, positive and negative shocks may need to be analyzed separately. It may make more sense to use non-linear techniques to understand asymmetric effects. The aim of this study is to examine the relationship between stock prices and other investment instruments using the Hatemi-J (2012) asymmetric causality test for Türkiye using quarterly data for the period from 2003 to 2023. The results show that there is an asymmetric causality relationship between the variables.

Inflation-poverty causal nexus in sub-Saharan African countries: an asymmetric panel causality approach

PurposeThis 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/approachTo 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.FindingsUnlike 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 implicationsAll 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/valueStudies 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.

The relationship between cryptocurrencies and convention financial market: Dynamic causality test and time-varying influence

This paper examines the dynamic causal effect of financial markets on cryptocurrencies from a return perspective by applying the dynamic asymmetric causality tests. Applying daily data from February 1, 2018, to August 31, 2023, this paper also investigates whether the major events, such as COVID-19 or the categories of cryptocurrency, will alter or intensify the existing relationship. The empirical result shows that the causal relationship for both symmetric and asymmetric, between traditional financial markets and cryptocurrency is cyclical and only significant in the short term; such a result is robust with the examination of the VAR-based Granger causality test in the presence of instabilities. The pandemic does not influence the causal relationship, and the gold price had the most significant causal impact on cryptocurrency portfolio returns, while the fluctuations in the stock market had a negligible influence and the two indices did not have different causal impacts on the different types of cryptocurrencies. Adding cryptocurrencies to portfolios with only traditional financial assets can significantly reduce risk.

The Asymmetric Effect Of Oil Price On Food Price And Gold Price?

Economically, the relationships among gold prices, oil prices, and food prices have been a critical factor for every country. This study aims to investigate the asymmetric relationship between gold prices, food prices, and oil prices. As a contribution to the literature, the study also considers the post-COVID-19 pandemic period, which is a crucial event. The study examines whether the changes in global gold and food prices were caused by changes in oil prices, using the asymmetric causality test developed by Hatemi-j, for the period covering 2005:1-2023:10. During the COVID-19 period from 2020:1 to 2023:10, the relationship between variables is discussed separately. The analysis findings for the main period reveal a significant causal relationship between global food prices and oil prices. Furthermore, it has been established that a negative shock in global food prices negatively impacts oil prices, while a positive shock in global food prices positively impacts oil prices. In the mirror period, it is evident that the positive shock in oil prices had a negative effect on gold prices. In the post-COVID-19 period, it has been concluded that the negative shock in oil prices had a positive effect on gold prices. The study has also established a significant causal relationship between global food prices and oil prices. The results obtained according to the new economic conditions that emerged after the COVID-19 pandemic is expected to provide more accurate information to future studies and policy makers.

Testing the relationship between investor risk appetite and country risk: The case of Turkey

Country risk is an important factor affecting the risk appetite of investors who want to create an optimal portfolio by minimizing their risks. Investor risk appetite can affect country risk as a factor contributing to the development of financial markets and the country's economy. The aim of this study is to determine the relationship between investor risk appetite and country risk. Hatemi-J cointegration and Hatemi-J asymmetric causality tests were used to determine the relationship between CDS premium, which is frequently preferred to represent country risk, and domestic and foreign investor risk appetite variables. As a result of the analysis, it has been determined that CDS premium and domestic and foreign investor risk appetite variables are cointegrated, a positive causality from increases in both local and foreign investor risk appetite to CDS premium and a negative or positive causality from decreases in CDS variables to both local and foreign investor risk appetite.

ANÁLISIS DE FACTORES MACROECONÓMICOS QUE AFECTAN LA COTIZACIÓN DE ACCIONES DE LAS COMPAÑÍAS AÉREAS

Change in stock prices and development of the market vary depending on decisions made by investors. Decisions made by investors are determined by corporate performance, the country’s economic situation, political developments and changes in macroeconomic factors. In this study, the relationship between stock prices of airlines and macroeconomic variables was analyzed. To accomplish this, daily macroeconomic data of 14 airlines covering the years 2009-2018 were analyzed by Toda Yomamato and HatemiJ asymmetric causality tests, and macroeconomic factors (Brent oil price, dollar exchange rate and interest rate) determining stock prices were identified. According to the results of the Toda and Yomamato causality test, it was found that there was a significant relationship among variables of the dollar exchange rate, the price of oil and stock prices of airlines. Except for one airline, there was no significant relationship between interest rate and stock price. According to the results of the Hatemi-J asymmetric causality test, it was found that there were significant relationships among variables of the dollar exchange rate, oil price, interest rate, and airline stock prices. In light of these findings, innovation and adoption of alternative fuel technology by the aviation industry and airlines can be a successful alternative to oil price risk. Results on exchange rate and interest rate changes indicate that airlines and related governments should focus on policies that increase growth of the aviation industry

The Casualty Evidence for Interest Rates and SME’s Outputs Relation from A Developing Economy

Purpose Small and medium-scale enterprises (SMEs) play a significant role in many economies. Governments often employ various policies, especially monetary policy, to support their operations. This study aims to illustrate the interdependence between SMEs' output growth and monetary policy instruments, specifically the interest rate. Methodology The study utilized data spanning 1980 to 2021 to investigate evidence of symmetric Granger causality and asymmetric causality between interest rates and SMEs' outputs in Nigeria. Findings The symmetric approach reveals unidirectional causality evidence from the interest rate to SME output, without potential feedback effects. The asymmetric causality demonstrates that both positive and negative shocks in interest rates drive shocks in SMEs' outputs, but not vice versa. Conclusion The study concludes, among other findings, that to enhance the impact of policies on SMEs' outputs, authorities should establish state agencies as coordinating units to monitor policy implementation. Additionally, efforts should be directed towards putting adequate infrastructural facilities in place for the proper operation of the SMEs. Practical Implications The study provides insights indicating that positive (negative) shocks in the interest rate cause negative (positive) shocks in SMEs output, thus aligning with the associated economic theory.

Moving toward environmental mitigation in Algeria: Asymmetric impact of fossil fuel energy, renewable energy and technological innovation on CO2 emissions

Algeria's recent economic shifts have caused its macroeconomic data to exhibit an abnormal distribution, requiring a nonlinear approach to examine the asymmetric impact of technological innovation (TI), fossil fuel energy (FFE), and renewable energy (RE) on CO2 emissions. This study employs the nonlinear autoregressive distributed lag (NARDL) model to analyze the asymmetric impact of these factors on CO2 emissions. Furthermore, Quantile Autoregressive Distributed Lag (QARDL) and Quantile Granger Causality (QGC) approaches are employed for robustness checks. The NARDL results indicate that positive shocks in TI decrease CO2 emissions, whereas negative shocks increase CO2 emissions. Positive shocks in RE also decrease CO2 emissions, while negative shocks have no effect. In contrast, positive shocks in FFE increase CO2 emissions, but negative shocks have an even stronger effect, resulting in almost double CO2 emissions over time. These findings confirm the presence of asymmetry, as positive and negative shocks in regressors clearly influence CO2 emissions in Algeria. Moreover, the results from the asymmetric causality analysis indicate that TI, RE, and FFE have a causal effect on CO2 emissions in Algeria. These results are consistent with the findings from the QARDL and QGC approaches. Therefore, it is crucial for Algeria to prioritize investment in sustainable technology and implement carbon-neutral energy policies to reduce its reliance on fossil fuel and encourage the use of cleaner energy sources. The shift towards a green energy sector requires policymakers to ensure that innovation aligns with development objectives.

Banking regulation and bank credit delivery in selected Sub-Saharan African countries: Symmetric and asymmetric causal linkages

This study aimed to empirically determine the symmetric and asymmetric causal relationship between banking regulation and bank credit delivery using a context of 23 sub-Saharan African countries from 1995 to 2017. The estimated symmetric and asymmetric error correction-based multivariate panel Granger-causality models allowed for both long-run and short-run causal relationships. The results generally supported the existence of long-run symmetric and asymmetric causality between banking regulatory measures, bank credit delivery and two intermittent variables, namely, economic growth and inflation. In the short run, bidirectional symmetric causality existed between banking entry barriers and bank credit delivery, as well as a one-way symmetric causal flow running from bank credit delivery to banking capital regulations. Moreover, positive shocks to bank credit delivery Granger caused negative shocks to banking entry barriers, activity restrictions or capital regulations, while negative shocks to mixing of banking and commerce restrictions Granger caused positive or negative shocks to bank credit delivery. The findings highlight that policymakers should take into consideration not only the symmetric but also the asymmetric causal effects of reforms aimed at enhancing banking regulation and such reforms should be well-targeted and well-designed for them to stimulate bank credit delivery.