Modelling monetary transmission in UK manufacturing industry

This paper studies the transmission of monetary policy to industrial output in the UK. In order to capture asymmetries, a system of threshold equations is considered. However, unlike previous research, endogenous threshold parameters are allowed to be different for each equation. Such an approach may be appealing from an economic point of view and is shown to be of importance after suitable econometric evaluation. Results show evidence of cross-sectional differences across industries and asymmetries in some sectors. These findings contribute to the debate about the importance of alternative economic theories to explain these asymmetries and support the use of a sectorally disaggregated approach to the analysis of monetary transmission.     

A realistic model for official interest rate movements and their consequences

This article extends the Vector Autoregression (VAR) methodology to examine the consequences of monetary policy decisions by considering two types of nonlinearities in the determination of official interest rates: (1) the asymmetry related to the different nature of the discrete and infrequent positive and negative interest rate movements determined by central bankers and (2) the convexity in the transmission of policy shocks induced by the nonnegativity constraint in interest rates. For the UK, we find some evidence of both types of asymmetries. In the US, responses to unexpected interest rate shocks are far more symmetric. Results highlight the importance of considering all types of asymmetries when studying monetary transmission.     

Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach

This paper investigates the presence of asymmetries in the short- and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5-year Treasury bond yield and the crude oil price, using the NARDL approach. The empirical results provide significant evidence of both short-run and long-run asymmetries in the linkage between ten industry CDS spreads and the potential driving factors common for all industries, confirming the importance of asymmetric nonlinearity in this context. It is also shown that the industry equity prices, the VIX, the 5-year Treasury bond rate and, to a lesser extent, the crude oil price constitute important asymmetric determinants of these U.S. industry CDS spreads. The findings of this study have relevant implications for investors, speculators, arbitrageurs and policy makers interested in credit risk at the industry level.     

Seasonal asymmetries in wholesale–retail cost pass-through

This article investigates the extent of seasonal asymmetries in wholesale to retail cost pass-through in the Canadian apple market. We model nonlinearity in cost pass-through in a panel two-regime error correction model. The model employs weekly store-level retail matching wholesale price data for a major US retail chain. Our results reveal distinct seasonal asymmetries in cost pass-through. Retail prices adjust faster during the fall indicating significantly higher pass-through in response to a change in input composition and seasonal expansion of alternative marketing channels. This input composition effect on cost pass-through highlights the general importance of time-variant market conditions and their respective determinants in explaining cost pass-through dynamics in commodity markets.     

R&D Investments, Information and Strategy

This paper argues that firms can best realize the value of their investments in R&D by exploiting the associated information asymmetries. Attention is directed away from the physical results of R&D and towards the firm's ability, more generally, to earn rents from the private information emanating from its R&D. Four strategies may be used to exploit the information asymmetries from R&D: (1) publish the details of the innovation in return for legal protection; (2) keep the information inside the firm; (3) make the information selectively, informally available to others; and (4) disseminate the information as widely and rapidly as possible. To implement these strategies, resources may be allocated both to the commercial development of new technologies, and/or to related market opportunities (investing in other companies, assets and technologies). Of critical importance are the innovator's own skills and resources in effectively gathering, understanding, and commercially exploiting R&D-generated information asymmetries, both internally and in relation to other firms. This study should yield new insights to managers in designing strategies (and counter-strategies) to position themselves not only at the technological edge, but more fundamentally, at the 'information edge'.     

On business cycle fluctuations in USA macroeconomic time series

This study employs eighteen USA macroeconomic time series variables to investigate possible existence of asymmetries in business cycle fluctuations in the series. Detection of asymmetric fluctuations in economic activity is important for policymakers since effective monetary policy relies on asymmetric business cycle fluctuations in all the series. The asymmetric deviations from the long-term growth trend in each of the series are modeled using regime switching models and artificial neural networks. The results based on nonlinear switching time series models reveal strong evidence of business cycle asymmetries in most of the series. The results based on in-sample approximations from artificial neural networks show statistically significant evidence of asymmetries in all the series. Similar results are obtained when jackknife out-of-sample approximations from artificial neural networks are used. Thus, the study results show statistically significant evidence of asymmetries in all the series which indicates that business cycle fluctuations in the series are asymmetric, thus alike. Therefore, the impact of monetary policy shocks on the output and the other macroeconomic variables can be anticipated using nonlinear models only. The results on asymmetric business cycle fluctuations in real GDP are in line with recent studies but in sharp contrast with Balke and Fomby (1994).     

R&D Investments,Information and Strategy

This paper argues that firms can best realize the value of their investments in R&D by exploiting the associated information asymmetries. Attention is directed away from the physical results of R&D and towards the firm's ability, more generally, to earn rents from the private information emanating from its R&D. Four strategies may be used to exploit the information asymmetries from R&D: (1) publish the details of the innovation in return for legal protection; (2) keep the information inside the firm; (3) make the information selectively, informally available to others; and (4) disseminate the information as widely and rapidly as possible. To implement these strategies, resources may be allocated both to the commercial development of new technologies, and/or to related market opportunities (investing in other companies, assets and technologies). Of critical importance are the innovator's own skills and resources in effectively gathering, understanding, and commercially exploiting R&D-generated information asymmetries, both internally and in relation to other firms. This study should yield new insights to managers in designing strategies (and counter-strategies) to position themselves not only at the technological edge, but more fundamentally, at the 'information edge'.     

Entry, exit and business cycles in a general equilibrium model

This paper studies the role of entry and exit in the short run behavior of a general equilibrium model with industry dynamics. For tractability, and to preserve potential asymmetries in the impulse responses, I focus on the transition dynamics of the economy after shocks. Entry and exit are found to be insensitive to productivity shocks of reasonable magnitude. Moreover, the dynamics of GDP are insensitive to fluctuations in entry and exit rates, and any asymmetries are negligible. As an application of the model, the paper also asks whether firing costs may interact with entry and exit to affect transition dynamics after shocks, finding that they do not.     

Can oil shocks explain asymmetries in the US Business Cycle?

We consider whether oil prices can account for business cycle asymmetries. We test for asymmetries based on the Markov switching autoregressive model popularized by Hamilton (1989), using the tests devised by Clements and Krolzig (2000). We find evidence against the conventional wisdom that recessions are more violent than expansions: while some part of the downturn in economic activity that characterises recessionary periods can be attributed to dramatic changes in the price of oil, post-War US economic growth is characterized by the steepness of expansions. First Version Received: December 2000/Final Version Received: September 2001     

Do asymmetries matter for European monetary policy?

In this paper we analyze the impact of economic and institutional (ECB decision rules) asymmetries on the effectiveness of monetary policy in Euroland. We consider a model where asymmetric shocks and divergent propagation of shocks in output and inflation are potential causes of tensions within the ECB concerning the conduct of common monetary (interest rate) policy. Welfare implications of the alternative decision procedures are discussed.     

Modelling the Link Between US Inflation and Output: The Importance of the Uncertainty Channel

This article employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in‐mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework, we examine the twelve potential intertemporal relationships among inflation, growth and their respective uncertainties using US data. We find that high inflation is detrimental to output growth both directly and indirectly via the nominal uncertainty. Output growth boosts inflation but mainly indirectly through a reduction in real uncertainty. Our findings highlight how macroeconomic performance affects nominal and real uncertainty in many ways and that the bidirectional relation between inflation and growth works to a large extent indirectly via the uncertainty channel.     

Globalization, Lobbying, and International Environmental Governance

Globalization may require supranational coordination of environmental policies to prevent strategic policy competition weakening environmental standards. This raises concerns about a democratic deficit at the supranational level, and the possibility of capture by special interest groups. The authors develop a model in which environmental policy can be set at the national or supranational level. Governments at each level act in the interests of the group they represent, and interest groups lobby to influence the probability of getting their type of government elected. Using asymmetries in lobbying costs, the authors analyze the effects of a democratic deficit and differential access to influence by different interest groups on the welfare of groups and nations. The paper shows: (i) asymmetries may have unexpected effects; (ii) asymmetries have greater effect when policy is set at the national rather than supranational level; and (iii) despite asymmetries groups and nations are better off when policy is coordinated at the supranational level.     

Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) model in which parameters change according to the phase of the housing cycle. The results suggest that monetary policy is not neutral as house price growth decreases substantially with a contractionary monetary policy. We find that the impact of monetary policy is larger in bear regime than in bull regime; indicating the role of information asymmetry in reinforcing the financial constraint of economic agents. As expected, monetary policy reaction to a positive house price shock is found to be stronger in the bull regime. This suggests that the central bank reacts more in bull regime in order to prevent potential crisis related to the subsequent bust in house prices bubbles which are more prominent in bull markets. These results substantiate important asymmetries in the dynamics of house prices in relation to monetary policy, vindicating the advantages of generating regime dependent impulse response functions.     

Developing global champions: Why national oil companies expand abroad

National oil companies (NOCs) have invested hundreds of billions of dollars in foreign oil and gas assets. Why have some governments increased their NOC outward investments, while others have not? I argue that domestic structures can influence a government's calculus that potential benefits, such as added revenues and fuel supply, outweigh potential costs, such as information asymmetries and inefficiencies associated with NOCs. Nationally, partisan competition limits democratic tolerance for failures by NOCs. Bureaucratically, overlapping authority in energy policy undermines coherent NOC governance. Based on investments by NOCs hailing from 79 countries, 2000–2013, I find robust evidence for the national hypothesis.     

Steepness and deepness in the Australian macroeconomy

This study uses nonparametric tests - the triples test and the BDS test, to examine whether key Australian macroeconomic aggregates exhibit nonlinearities and important ‘steepness’ and ‘deepness’ asymmetries at the business cycle frequency., Evidence is found of nonlinearities but there is little evidence of deepness in the Australian macroeconomy., However, there is evidence of steepness, especially concerning labour market variables, as well as both the CPI and M3., The evidence suggests that unemployment (employment) rises (falls) rapidly in recessions and only recovers slowly over time., Also, positive asymmetries in M3 are reflected in similar asymmetries in the CPI but not in output, consumption or investment.     

Finance constraints or free cash flow?

It has long been argued that firms prefer internal to external finance for funding investment. Modern literatures in industrial organization, macroeconomics, and finance argue this preference is caused by information asymmetries. There are, however, important disagreements about the effect of the asymmetries. Asymmetries may lead to binding financing constraints, or they may allow managers to use free cash flow for unprofitable projects. Each model predicts a different relationship between investment and changes in debt finance and this paper estimates this relationship using firm-level data. The principal findings are that both financing constraints and the agency costs of free cash flow affect investment in a manner consistent with a life cycle model of the firm.     

Network costs and the regulation of wholesale competition in electric power

We characterize the cost function for electric power transmission. It is complex and non-linear, exhibiting scale economies over its range. The social planning problem for network transmission expansion is illustrated with a simple numerical example. The regulatory problem for joint generation and transmission cost minimization is addressed. It is shown that information asymmetries about the transmission cost function can lead to coordination losses when there is competition in the generation segment. We parametrize the tradeoff between potential coordination losses in transmission planning and benefits of competition and examine some potential alternatives for improved regulation of the transmission planning process.     

领导—成员内在认同不对称模式研究:调节聚焦视角

以调节聚焦这一独特视角,考察了领导-成员内在认同不对称模式及其形成机理。从感知领导认同导向力与员工自我认同导向力两个方面提炼出影响该双元内在认同不对称的作用因素:领导因素(领导授权赋能、领导支持)与员工因素(工作胜任力、自我价值感)。研究结果表明,在这两种导向力强弱交错共同作用所形成的领导—成员内在认同不对称下,员工将通过两种不同的自我调节系统(促进型聚焦与防御型聚焦)形成4种模式。其中,领导低估型不对称包括"卧薪尝胆型""怀才不遇型",领导高估型不对称包括"不辱使命型""勉为其难型"。     

Price transmission and local market power: empirical evidence from the Austrian gasoline market

We analyse the impact of local market power on price margins and different dimensions of price adjustment dynamics (speed and asymmetry of price transmission) using data for a large number of individual gasoline stations in Austria. Specific attention is paid to threshold effects in price adjustment. Our results clearly suggest that the speed of price transmission between the Brent crude oil index and retail diesel prices is higher in a more competitive environment. While evidence on the relationship between local market power and asymmetries in the speed of price adjustment is mixed, our findings regarding asymmetries in price thresholds are clear: in regions where competition from neighbouring rivals is weak and/or consumers’ price elasticity of demand is low (stations located on the highway), positive thresholds significantly exceed negative ones, which corresponds to the ‘rockets and feathers phenomenon’. As expected, we observe that prices are lower in more competitive local markets.     

POLITICAL ASYMMETRY AND COMMON EXTERNAL TARIFFS IN A CUSTOMS UNION

This paper examines the effect of political and economic asymmetries in the formation of common external tariffs (CETs) in a customs union (CU). We do so by introducing possible cross‐border lobbying and by endogenizing tariff formation in a political economic model for the determination of CETs. The latter allows us to consider asymmetries among the member nations in their susceptibilities to lobbying. We also consider asymmetries in the influence of the member nations in CU‐wide decision‐making. A central finding of this paper is that, in the absence of economic asymmetry, the CET rises monotonically with the degree of asymmetry in country influences if the two countries are equally susceptible to lobbying. If influences are the same, the CET also rises monotonically with the degree of asymmetry in susceptibilities. These results hold irrespective of whether the lobby groups in the two member countries cooperate or work non‐cooperatively.