Does Economic Policy Uncertainty Affect Exchange Rate in China and Japan? Evidence from Threshold Cointegration with Asymmetric Adjustment

In this article, we estimate the links between nominal exchange rates (JPY/USD and CNY/USD) and economic policy uncertainty (EPU) in China and Japan by employing monthly data during the period span from January 1997 to September 2020. The threshold cointegration approach focus in TAR, M-TAR, C-TAR and C-MTAR is used. Results indicate the evidence of asymmetric effect in the adjustment process to equilibrium and the M-TAR is the best model to detect threshold effect for the (CNY/USD-CNYEPU) pair and the C-TAR is the best model to detect threshold effect for the (JPY/USD-JPYEPU) pair.

Nonlinear Cointegration and Asymmetric Adjustment in Purchasing Power Parity of the USA, Germany, and Pakistan

The current study explores nonlinear cointegration as well as asymmetric adjustment to investigate the long-run purchasing power parity in three major trading partners of Pakistan. The ESTAR and LSTAR models were used to investigate the behavior of the nominal exchange rates. The findings declared that series follows the nonlinear exchange rate. The asymmetric behavior of the exchange rate allows the threshold cointegration model to be implemented. In the case of Pakistan-China, the result suggests that long-run PPP holds. As a result, trading will be more profitable if the exchange rate is varied in relation to major trading partners rather than just the US dollar.

Price transmission between international and domestic prices in the Brazilian citrus sector

The orange juice chain is a representative sector of the Brazilian agribusiness sector and its performance warrants analysis to identify strategies to enhance its competitiveness. Analysis of asymmetry in food value chain is important because it provides valuable information on market structure and performance. We use an asymmetric threshold error correction model to examine threshold, short- and long-run asymmetries on price transmission from international to domestic prices of oranges in Brazil. We use monthly data on international frozen concentrated orange juice prices and domestic prices of oranges in Brazil for the period from January 1996 to December 2020 in the analysis. We find evidence of threshold and asymmetries in short- and long-run price transmission and asymmetric adjustment towards a long-run relationship between international and domestic orange prices in Brazil. Decreases in international prices that lead to reductions in marketing margins are passed on quickly to domestic prices, but this is not the case for increases in international prices. We discuss implications for the Brazilian citrus industry.

Symmetric and asymmetric adjustment of bank deposit interest rates: empirical evidence from Kenya

PurposeThis paper examines the sluggish adjustment of deposit interest rate categories with response to policy rate changes in a developing economy.Design/methodology/approachSymmetric and asymmetric error correction models (ECMs) are employed to test the pass-through effect and adjustment speed of deposit rates when above or below their equilibrium levels.FindingsThe findings reveal an incomplete pass-through effect in both the short run and long run while mixed results of symmetric and asymmetric adjustment speed across the different deposit rate categories are observed. Collusive pricing arrangement behavior is supported by deposit rate categories that adjust more rigidly upwards than downwards, while negative customer reaction behavior is supported by deposit rate categories that adjust more rigidly downwards than upwards.Practical implicationsEven though the findings indicate an aspect of increased responsiveness over the period, the sluggish adjustment of deposit rates imply that monetary policy is still ineffective and not uniform across the different deposit rate categories.Originality/valueTo the best of the authors' knowledge, this is the first study to empirically examine both symmetric and asymmetric adjustment behavior of deposit interest rate categories in Kenya. The findings are key to policy makers as they provide insights on how long it takes to adjust different deposit rate categories to monetary policy decisions. In addition, the behavior of deposit rates partly explains why interest rates capping was imposed in Kenya in 2016.

Asymmetric Pass-Through Effects of Oil Price on Economic Growth in Malaysia

This empirical analysis intends to examine the asymmetric response of economic growth when the oil price changes in Malaysia by applying threshold autoregressive (TAR) and momentum threshold autoregressive (MTAR) cointegration and asymmetric adjustment models. The results revealed that the oil price has an asymmetric impact on Malaysian economic growth. We found that when oil price increases this accelerates economic growth; however, the speeds of adjustment back to the steady position were insignificant. When the oil price dropped, oil price significantly and negatively affects economic growth for a period of time and then returns back to its normal position. The results revealed that Malaysian economic growth constantly benefits when the oil price increases and is temporarily negatively affected when oil prices drop. The results have important policy implications. This suggests that it is essential to the policy makers to consider different policy responses for hikes and drops in oil prices. The result implies that negative oil price shock would lower economic growth, however it is temporary. Therefore, policy makers might response by implementing expansionary monetary policy to stimulate economic growth. The explanation is intuitive. For example, an increase in the money supply would normally pull down the interest rate which would further encourage consumption and investment, stimulate economic growth, which would increase oil demand and push up its price.

Asymmetric adjustment: Partisanship and correcting misinformation on Facebook

Across two studies, we test two of Facebook’s attempts to fight misinformation: labeling misinformation as disputed or false and including fact checks as related articles. We propose hypotheses based on a two-step model of motivated reasoning, which provides insight into how misinformation is corrected. For study 1 ( n = 1,262) and study 2 ( n = 1,586), we created a mock Facebook News Feed consisting of five different articles—four were actual news stories and the fifth was misinformation. Both studies tested (a) the effect of misinformation without correction, (b) Facebook’s changes to its platform, and (c) an alternative we theorized could be more effective. The findings, in line with the two-step model of motivated reasoning, provide evidence of symmetric party effects for the belief in misinformation. In both studies, we find partisan differences in responses to fact checking. We find modest evidence that our improvements to Facebook’s attempts at correcting misinformation reduce misperceptions across partisan divides.

Two-stage stochastic integrated adjustment deviations and consensus models in an asymmetric costs context

Decision-makers usually have a variety of unsure situations in the environment of group decision-making. In this paper, we resolve this difficulty by constructing two-stage stochastic integrated adjustment deviations and consensus models (iADCMs). By introducing the minimum cost consensus models (MCCMs) with costs direction constraints and stochastic programming, we develop three types of iADCMs with an uncertainty of asymmetric costs and initial opinions. The factors of directional constraints, compromise limits and free adjustment thresholds previously thought to affect consensus separately are considered in the proposed models. Different from the previous consensus models, the resulting iADCMs are solved by designing an appropriate L-shaped algorithm. On the application in the negotiations on Grains to Green Programs (GTGP) in China, the proposed models are demonstrated to be more robust. The proposed iADCMs are compared to the MCCMs in an asymmetric costs context. The contrasting outcomes show that the two-stage stochastic iADCMs with no-cost threshold have the smallest total costs. Moreover, based on the case study, we give a sensitivity analysis of the uncertainty of asymmetric adjustment cost. Finally, conclusion and future research prospects are provided.

ASYMMETRIC ADJUSTMENT OF THE SECTORIAL LENDINGDEPOSIT RATE SPREAD IN FIJI

This study investigates the asymmetric adjustment of the sectorial lending-deposit rate spread in Fiji’s banking industry using monthly data from January 2000 to February 2020. The study uses the threshold autoregressive and the momentum threshold autoregressive models to test for cointegration and to detect asymmetries. The analysis provides evidence of an asymmetric adjustment process in the sectorial lending deposit rate spread among Fijian commercial banks. This finding has important policy implications and provides better understanding of the asymmetric behaviour in Fiji’s banking industry.