•The study proposes a new network topology approach based on the STVAR model.•We use the wavelet packet decomposition to analyze multi-scale risk spillovers.•The systemic risk spillovers among ...commodities are asymmetric under different conditions.•The center of risk spillover networks varies across the market conditions and frequencies.
This paper proposes a new network topology approach based on the STVAR model to identify asymmetric impacts of market conditions on multi-scale systemic risk spillovers of commodity markets. The results show that bearish market conditions enlarge low-frequency systemic risk spillovers in commodity markets, and bullish market conditions have more striking impacts on high-frequency systemic risk spillovers. Furthermore, the center of risk spillover networks varies across the market conditions and frequencies. Specifically, at the high-frequency level, sugar is the largest risk transmitter in bad regimes, and heating oil is in the center of the network in good regimes. At the intermediate frequency level, soybean becomes a more important risk transmitter in both regimes. In other cases, heating oil is the center of risk spillover networks.
This paper assesses how a country’s initial debt level affects the effectiveness of fiscal policy. Using a panel of 13 countries between 1980 and 2014, I find that when debt is high, fiscal ...consolidations based on tax increases are in general self-defeating, in that they result in an increase of the debt-to-GDP ratio. Instead, cutting public expenditure has a less pronounced effect on economic activity and can stabilize debt.
In this paper, we test for the period-specific and regime-dependent exchange rate and oil price pass-through (EROPPT) for the BRICS countries using monthly frequency data. To this end, we extend the ...Diebold-Yilmaz (DY) spillover index to nonlinear settings based on the vector smooth transition autoregressive (STVAR) model. The results suggest that changes in the exchange rate and oil price of different magnitudes have asymmetric effects between the lower and upper regimes of the period-specific and regime-dependent pass-through. The results further show that the pass-through effects are stronger during periods the BRICS economies have completely adjusted to a specific regime than periods in which the economies only partially adjusted. Furthermore, our findings show considerable evidence of a higher pass-through when nonlinearity is captured. Overall, these findings provide macroeconomic insights for the monetary policymakers.
•Tests for nonlinear exchange rate and oil price pass-through for BRICS countries.•Extend the Diebold-Yilmaz spillover index to nonlinear settings.•Find asymmetric exchange rate and oil price pass-through effects.•Considerable evidence of higher pass-through is found when nonlinearity is captured.•Findings provide macroeconomic insights for the monetary authorities.
How far could a rise in uncertainty affecting China be transmitted to other economies? This paper investigates the possible spillovers from a shock to Chinese Economic Policy Uncertainty (EPU) to ...developed (the United States, the Euro Area, Japan and South Korea) and emerging economies (Brazil and Russia). To take into account the non-linear nature of uncertainty shocks, we estimate a Smooth-Transition Vector Auto-Regressive (STVAR) model differentiating phases of expansion and phases of recession. We find important asymmetries in the responses to Chinese uncertainty shocks of macro-variables especially for the United States (US), the Euro Area (EA) and South Korea. Indeed, these countries display almost no response to the identified shock during booms. However, when hit in downturns, they suffer from a fall in industrial production, inflation and exports together with an increase in unemployment (except for Korea). Emerging countries (Brazil and Russia) stand out in the extent to which they significantly respond to the Chinese shock in both identified regimes. Lastly, the Japanese economy seems to be less sensitive to the Chinese shock.
•Using STVAR, we model international spillover effects from China policy uncertainty shocks on a sample of 6 countries/areas.•Macroeconomic impacts of Chinese policy uncertainty shocks are regime-dependent.•In recessions, the Chinese shock induces a fall in IPI and trade but an increase in domestic EPU and unemployment.•Emerging countries exhibit significant responses in both identified regimes.
Photovoltaic (PV) energy source generation is becoming more and more common with a higher penetration level in the smart grid because of PV energy’s falling production costs. PV energy is ...intermittent and uncertain due to its dependence on irradiance. To overcome these drawbacks, and to guarantee better smart grid energy management, we need to deal with PV power prediction. The work presented in this paper concerns the study of the performance of the fuzzy MPPT approach to extract a maximum of power from solar panels, associated with PV power estimation based on short time scale irradiance forecasting. It is particularly applied to a case study of a tropical insular region, considering extreme climatic variability. To validate our study with real solar data, measured and predicted irradiance profiles are used to feed the PV system, based on solar forecasting in a tropical insular context. For that, a spatio-temporal autoregressive model (STVAR) is applied. The measurements are collected at three sites located on Guadeloupe island. The high variability of the tropical irradiance profile allows us to test the robustness and stability of the used MPPT algorithms. Solar forecasting associated with the fuzzy MPPT technique allows us to estimate in advance the produced PV power, which is essential for optimal energy management in the case of smart energy production systems. Simulation of the proposed solution is validated under Matlab/Simulink software. The results clearly demonstrate that the proposed solution provides good PV power prediction and better optimization performance: a fast, dynamic response and stable static power output, even when irradiation is rapidly changing.
This paper provides new empirical evidence on the asymmetric reactions of the US natural gas market and US economy to its market fundamental shocks. We find that results based on a smooth transition ...vector autoregressive (STVAR) model provides a plausible and robust explanation to the behavior of the US natural gas market, which asymmetrically reacts in bad times and good times. During times of recession, natural gas production shrinks in response to a positive oil price shock, while the corresponding response is found to be positive in times of expansion. The positive relationship between the price of natural gas and crude oil is found to be more prominent in expansions, especially in the long run. In addition, the results also reveal that US economic activity is much more sensitive to oil and natural gas price shocks occurring in bad times than in good times.
•We examine the asymmetric reactions of the U.S. natural gas market and US economy.•We use the STVAR model to distinguish the recession and expansion regimes.•Effects of oil price shocks on natural gas market depend on the economic condition.•Comovements between the natural gas and oil prices are more prominent in expansions.•US economy is much more sensitive to energy price shocks occurring in bad times.
This paper examines the role of confidence in Chinese monetary policy under uncertainty. Using a smooth transition vector autoregression (STVAR) model conditional on uncertainty, we find that ...monetary policy is considerably less effective in high-uncertainty status. We further conduct counterfactual decompositions to isolate the role of confidence in the transmission of monetary policy shocks, and show that the effectiveness of proactive monetary policy is reduced if it fails to inspire entrepreneurs’ confidence. These results are robust to alternative measurements of uncertainty.
A motorboat moving in a prohibited manner, i.e. navigating at a distance of less than 300 metres from the coast, shall be regarded as a dangerous thing in regard to a diver in the sea and shall be ...liable regardless of its fault.
This paper examines the effect of financial constraints as a transmission channel of cross-sectoral spillover of systemic risk in China using the impulse response separation technique and Diebold & ...Yilmaz’s (2014) spillover matrix under the STVAR modeling framework. The results show that financial constraints do have an impact on both financial and real sector risks. Financial constraints provide a transmission channel for risk spillovers among sectors, which has a greater impact on asset prices and bank loans. In addition, financial constraints also affect the overall magnitude of risk spillovers in the economy, as well as the direction of risk spillovers.
•Financial constraints affect both finance and real sector risks in China.•Financial constraints provide a transmission channel for risk spillovers among sectors.•Financial constraints also affect the overall magnitude of risk spillovers in the economy, as well as the direction of risk spillovers.
This paper investigates the uncertainty-dependent and sign-dependent effects of the oil market fundamental shocks, namely supply, aggregate demand and oil-specific demand shocks. We do so by first ...proposing a novel oil uncertainty index that is measured by the stochastic volatility of the unpredictable component of oil prices. We then employ a nonlinear model and find that the all reactions of oil production, real price of oil, and global economic activity to the structural shocks are regime-dependent. Moreover, we extend the model to accommodate positive and negative oil market shocks to examine the possible asymmetric effects. In relation to real economic activity, the effects of oil supply shocks are asymmetric regardless of the state of the market, but oil-specific demand shocks are only asymmetric when oil price uncertainty is high.
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