Revisiting the relationship between suicide and unemployment: Evidence from linear and nonlinear cointegration

This study employs the linear and nonlinear ARDL cointegration methodologies to examine the potential symmetric and asymmetric responses of suicide rates to unemployment rates in the US from 1928 to 2013. Our results suggest that suicide rates are pro-cyclical with respect to the business cycle (measured by changes in the unemployment rate) after extensively controlling for divorce and fertility rates. Unemployment has symmetric long-run effects on the age-adjusted suicide rate and four age-specific (from ages 25–34 to 55–64) suicide rates, while the effect of an economic expansion on suicide rates for those aged over 45 is greater than the effect of an economic recession. These findings imply that the effect of an economic expansion on the decrease of the suicide rate is higher than the effect of an economic recession on the increase of the suicide rate for individuals aged over 45. Therefore, intervention designed to reduce suicidal behaviors should emphasize periods of economic recession more than periods of economic expansion for those of middle age and beyond.     

Same currency,different strategies? The (asymmetric) role of the exchange rate in shaping European agri-food exports

This article uses a nonlinear autoregressive distributed lag (NADRL) model introduced by Shin, Yu, and Greenwood-Nimmo (2014) to assess the role that the exchange rate plays in shaping European agri-food exports after the introduction of the Euro. Although the 10 countries of this study share the same currency (and thus a single nominal exchange rate with the US), cross-country discrepancies of exports’ reactions to exchange rate changes are evident. Moreover, I find that exchange rate changes influence exports asymmetrically in the long run. Euro appreciations are harmful to a lesser extent than Euro depreciations are beneficial for European agri-food exports. The magnitude of this effect is country-specific and varies considerably between individual exporting countries. Exported quantities are less affected by exchange rate fluctuations than export values, which is in line with local currency price stabilization strategies of the exporters. This finding is interpreted as a sign of an incomplete exchange rate pass-through due to strategic (asymmetric) markup adjustments by firms with heterogeneous productivity. Besides that, the outcomes suggest that nonprice competition might be in play in some cases.     

The asymmetric effects of oil price changes on China’s exports: New evidence from a nonlinear autoregressive distributed lag model

China’s dependence on oil imports has greatly increased in recent years. Due to the rapid expansion of global trade, exporting plays an important role in the Chinese economy. This paper uses monthly data from January 2005 to April 2021 to examine the short- and long-term effects of oil price increases and decreases on China’s exports. Our empirical analyses are based on the nonlinear autoregressive distributed lag (NARDL) model, which can effectively capture asymmetric relations. The empirical results provide significant evidence of asymmetry, such that oil price increases have significantly larger effects than oil price decreases in the long term. Interestingly, we find that energy-intensive exports and some specific sectors (e.g., crude fertilizers, petroleum products, and organic chemicals) benefit from oil price increases. We also observe recent declines in the coal and coke sector following positive oil price shocks due to restrictions on coal consumption.     

The Relationship between Interest Rates and Inflation: Examining the Fisher Effect in China

This study revisits the Fisher effect using a different empirical method that considers a potential nonlinear relationship between interest rates (treasury bond rates) and inflation in China. The rising uncertainty and asymmetric information in financial markets between bond holders and bond issuers suggest such a potential nonlinear relationship. To this aim, we apply Shin et al.’s (2014) nonlinear autoregressive distributed lag (NARDL) model with asymmetric dynamic multipliers for the sample period 2002M7–2018M4. The empirical findings reveal symmetric and asymmetric partial Fisher effects for all sample bond rates in China. Furthermore, we find that 20-year bond rates experience the lowest partial Fisher effect.     

On the asymmetric relationship between stock market development,energy efficiency and environmental quality: A nonlinear analysis

It has been widely documented in the literature that financial development drives up the impact of CO₂ emissions through increases in real economic activities and the consumption of polluting fossil fuel energy. However, when dealing with stock market development, such upward effects on economic growth, energy efficiency, and carbon emissions seems to give away to a positive impact especially in emerging markets. This paper contributes to this debate by exploring both the symmetric and asymmetric responses of CO₂ emission to changes in stock market development indicators. Using both the panel linear and nonlinear ARDL, our results demonstrate the asymmetric effects of stock market development indicator son carbon emissions in the context of emerging markets. In particular, the long-run elasticities results suggest that positive and negative shocks on stock market indicator decreases environmental quality by increasing carbon emissions. Based on these empirical findings, this study offers some crucial policy implications. Especially, policy makers should implement strong environmental policies in emerging markets economies to reduce carbon emissions of industrial companies without significantly affecting the development of financial markets.     

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.     

Evaluation of import substitution strategy in Indian telecom sector: Empirical evidence of non-linear dynamics

The Indian telecom sector, post-liberalization, is characterized by the heavy dependence on the imports of telecom products, even though several policy initiatives have been taken by the government during the last three decades to reduce import dependence. This study investigates to what extent the policy measures adopted after 2012 have impacted the import, Foreign Direct Investment (FDI), and domestic manufacturing performance in the telecom sector. A series of non-linear time series techniques are employed to capture the complex dynamics among these variables. The outcomes of the study suggest that the import, FDI, and Index of Industrial Production (IIP) in the telecom sector share non-linear relationships that exhibit regime shifts, time-varying behavior, and asymmetry. The study highlights that the FDI drives the import and, in normal circumstances, FDI and imports have the potential to influence IIP in the telecom sector in the long-run. The findings indicate that the policy measures adopted by the government are justifiable as the import substitution strategies have the potential to get transmitted to the telecom sector in the future. Based on the empirical findings, the study proposes a set of policy measures, which should help the sector to grow intrinsically while lowering the import dependence.     

Asymmetric Impact of Oil Price Shock on Stock Market in China: A Combination Analysis Based on SVAR Model and NARDL Model

This article integrates the SVAR model and nonlinear ARDL (NARDL) model to analyze the long-run and short-run asymmetric effect of structural oil price shocks on the Chinese stock market. We reveal that the demand-side shocks of oil price have a significant impact on the Chinese stock market in both short and long run, but the supply shock is an exception. In terms of asymmetric nature, there is no evidence of asymmetric impact when it refers to the supply shock and the oil-specific demand shock on stock market, and only the aggregate demand shock has asymmetric effect in short run.     

Modeling the employment–oil price nexus: A non-linear cointegration analysis for the U.S. market

ABSTRACT

Theoretically, fluctuations in oil prices are expected to affect production costs and may force businesses to delay their investment decisions, triggering pressures on employment. Following these theoretical notions, this paper investigates the asymmetric impact of oil prices on employment (measured as total employment, male employment, and female employment), in a nonlinear cointegration structure for the U.S. market. In doing so, this paper adopts the nonlinear autoregressive distributed lags (NARDL) model to shed light on such asymmetric association, as the NARDL model recently emerged as a new direction in examining nonlinear cointegration and asymmetry. The empirical findings document a long-run asymmetric effect in case of total employment and male employment only. Furthermore, the short-run asymmetric effect was detected for all three employment categories. As a final point, the Granger Causality test documents a unidirectional causality running from oil price decrease to both total employment and male employment.     

A nonlinear ARDL model of inflation dynamics in the Philippine economy

This study investigated whether global oil price changes, exchange rate, interest rate, and economic output exert symmetric or asymmetric pass-through effects on inflation in the Philippines. A Nonlinear Autoregressive Distributed Lag (NARDL) model was fitted to the observable data using quarterly observations from 1998 to 2019. Knowledge of these relationships is important in monetary policy setting in achieving targeted inflation; the Philippines adopted inflation targeting in 2002. The finding shows that world oil price shocks are still prominent and the most important determinants of inflation variations in the country. There is prima facie evidence on the short-run asymmetry of oil price changes to inflation. Exchange rate pass-through to inflation was very minimal in the short-run, and there is no long-run effect. Evidence that interest rate and demand shocks have a long-run asymmetric effect on inflation was found. These findings imply that monetary policy setting should account for the asymmetric effects of inflation determinants. Study results provide a deeper understanding of how positive and negative changes of inflation determinants affect actual inflation, which aids policymakers in achieving targeted inflation.