Are the macroeconomic effects on oil price asymmetric? An asymmetric quantile regression approach

Purpose The purpose of this paper is to assess whether oil price shocks emanating from oil price increase and decrease have a different impact on the macroeconomic activity. Design/methodology/approach This study conducts the empirical analysis using structural vector auto-regressive model on Indian data for the period from 1996 to 2017. This paper uses four key macroeconomic variables, namely, real gross domestic product (GDP), the real rate of interest, real money supply, wholesale price index inflation and various linear and non-linear measures of oil price shock. Findings Empirical results confirm that oil price shock has a significant impact on various macroeconomic variables used in the study. Specifically, shocks emanating from a decline in oil price have a stronger positive impact on real GDP, whereas, a shock due to the rise in oil price has a weaker negative impact on real GDP. Impulse responses confirm that shocks due to a decline in oil prices are long-lasting compared to similar shocks due to a rise in oil prices. Therefore, this study concludes that the macroeconomic impact of oil price shock is asymmetric in India. Originality/value This paper adds the following new insights: First, this paper presents a distinct relationship between the growth rate of oil price and GDP during increasing and decreasing phases of oil price to drive home the case for this study. Second, India has adopted crucial administrative initiatives such as deregulation of the market for petroleum products and the promotion of renewable energy during the study period. Finally, previous studies have revealed specific behavioral and economic features of people in India with respect to the demand for petroleum products. In light of these factors, this paper based on Indian experience would be justified.

Purpose The purpose of this paper is to examine the price level and volatility impacts of oil prices on energy mutual funds (EMFs). The authors also examine specific fund characteristics which might influence those interactions. Design/methodology/approach The authors test for volatility transmission between the oil prices and the funds in the sample. Later, the authors test to see which fund characteristics impact these volatility interactions. Findings The results show oil price movements lead majority of sample EMFs. The authors also find a volatility feedback relationship with most of the sample. Furthermore, the authors show the fund characteristics to be important indicators of these interactions. Morningstar rating, market capitalization and management tenure are found to be significant drivers of the relationships between EMFs and oil prices. Originality/value To the knowledge, there is not a study in literature which examines these relationships.

PurposeThis study examines the impact of firm-specific information and macroeconomic variables on market overreaction of US and Chinese winner and loser portfolio before and during COVID-19.Design/methodology/approachThe firm-specific information includes firm size, volume, volatility, return of asset (ROA), return of equity (ROE), earning per share (EPS) and quick ratio while the macroeconomic variables are export rate, import rate, real GDP, nominal GDP, FDI, IPI and unemployment rate. Besides, one-third of the top performance stocks are categorized as winner portfolio while one-third of lowest performance stocks are categorized as loser portfolio. This study uses AECR to indicate stock return and measure market overreaction. GAECR is used to determine contrarian profit. The data range of pre-COVID-19 is from 1-Jan-2015 to 31-Dec-2019 while the period of COVID-19 is from 1-Jan-2020 to 31-Dec-2020.FindingsIn pre-COVID-19, firm-specific information (volatility, ROA, ROE and EPS) and macroeconomic variables are found to be correlated to stock return in US and Chinese portfolios except Chinese winner portfolio. Nonetheless, the impact of firm-specific information has vanished and macroeconomic variables are significant to stock return in COVID-19. It shows that investors rely on the economic indicators to trade in turbulent period due to emergence of COVID-19 as a disruption in market. Furthermore, US and Chinese portfolios are overreacted during COVID-19. Chinese loser portfolio has higher tendency of overreaction than US loser portfolio while US winner portfolio has higher tendency of overreaction than Chinese winner portfolio.Originality/valueThe results of this study assists academician, practitioners and investors on understanding and create awareness to the existence of market overreaction and the determinants that can cause the phenomenon.

PurposeThe purpose of this paper is to explore the effect of oil price shocks on the US Consumer Price Index over the monthly period from 1876:01 to 2014:04.Design/methodology/approachThe author uses the Bai and Perron (2003) structural break test to split the data sample into sub-periods delimited by the computed break dates. Afterwards, the author uses the quantile treatment effects over the full sample and then, by including sub-periods dummies to accommodate the selected structural breaks that drive the relationship between inflation and oil price growth.FindingsThe findings include a decreased transmission effect of oil price changes on inflation in recent years; a varied elasticity of inflation to the growth rate of oil prices across the distribution; and, finally, evidence of asymmetry in the relationship between the growth rate of oil prices and inflation, with a higher transmission mechanism for decreasing rather than increasing oil prices.Practical implicationsPolicymakers should remain alert to monitoring potential inflation increases and should take precautionary measures to anchor inflation expectations, because inflation reacts differently to positive and negative oil price shocks. Moreover, authorities should consider the asymmetric reaction of inflation to oil price shocks to adopt an appropriate monetary policy strategy to achieve the price stability target.Originality/valueThe paper used a quantile regression model with structural breaks, which has not yet been used in the literature.

Purpose – Family businesses represent the largest share of small-sized firms in majority of economies around the world. Having in mind the global economic situation this trend is expected to be continued. With the goal of better understanding of the process of transferring the business to the next generation, which ensures a long-term success, the purpose of this paper is to investigate expectations of student’s with family business background. Design/methodology/approach – The research addresses the issue of an individual’s perception of entrepreneurship and the related factors that influence individual’s decision on whether to build a career as an employee, become a successor of family business or start own business as an independent entrepreneur. The authors separately analyzed West European (data from another study), East European and Slovenian senior student population for the purpose of comparative study. Students were surveyed and binominal regression was used for statistics. Findings – The results show differences between investigated populations and positions Slovenian students in the mean. The authors anticipate that differences are caused by historical, cultural and educational backgrounds. This challenging area is raising a lot of sub-questions for possible future research. Originality/value – The value of the study is in the replication of the existing methodology from the benchmarking study and result comparison.

PurposePrevious research has repeatedly shown that people only search for files in a small minority of cases when they do not remember the file's location. The current study aimed to examine whether there is a group of hyper-searchers who search significantly more than others. Based on previous neurocognitive studies, this study aims to hypothesize that if such a group exists, they will have superior verbal memory and reduced visuospatial memory.Design/methodology/approachIn total, 65 participants completed a questionnaire estimating their search percentages, as well as reporting demographic data. Verbal memory was measured using the Wechsler logical memory test, and visuospatial memory was assessed using an online card memory game.FindingsHyper-searchers were defined as participants with search percentage of over one standard deviation (SD) above the mean. The average search percentage of the seven participants who met this criterion was 51% (SD = 14%), over five times more than the other participants (M = 10%, SD = 9%). Similar results were obtained by re-analyzing data from four previous papers (N = 1,252). The results further confirmed the hypothesis that hyper-searchers have significantly better verbal memory than other participants, possibly making searching easier and more successful for them. Lastly, the search percentage was positively predicted by verbal memory scores and negatively predicted by visuospatial memory scores. Explanations and future research are discussed.Originality/valueThis preliminary study is the first to introduce the concept of hyper-searchers, demonstrate its existence and study its causes.

Purpose The purpose of this paper is to review and evaluate the methods commonly used in accounting literature to correct for cointegrated data and data that are neither stationary nor cointegrated. Design/methodology/approach The authors conducted Monte Carlo simulations according to Baltagi et al. (2011), Petersen (2009) and Gow et al. (2010), to analyze how regression results are affected by the possible nonstationarity of the variables of interest. Findings The results of this study suggest that biases in regression estimates can be reduced and valid inferences can be obtained by using robust standard errors clustered by firm, clustered by firm and time or Fama–MacBeth t-statistics based on the mean and standard errors of the cross section of coefficients from time-series regressions. Originality/value The findings of this study are suited to guide future researchers regarding which estimation methods are the most reliable given the possible nonstationarity of the variables of interest.

Purpose The purpose of this paper is to investigate the effects of negotiation process and outcome on an individual’s desire to negotiate again with the same counterpart. Design/methodology/approach Data were collected from 115 dyads representing two companies negotiating an eight-issue property leasing agreement via e-mail. Desire to negotiate again was regressed on demographic/personality, process, and outcome measures. Findings Reaching an agreement was found to be significantly related to desire to negotiate again, while the number of messages exchanged and the mean number of competitive tactics employed were positively and negatively associated with reaching an agreement, respectively. Further, perceived honesty of self and counterpart were also associated with an individual’s desire to negotiate again. Originality/value This study focuses on an aspect of real negotiations often overlooked by researchers – the likelihood of future encounters with the same party – and examines three categories of factors that could affect a party’s desire to negotiate with a counterpart again – demographic/personality, process, and outcome (actual and perceived).

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

Purpose The purpose of this paper is to estimate the mean life expectancy (LE) and the expected years of life lost (EYLL) for ischemic stroke and intracerebral hemorrhage. Design/methodology/approach This retrospective cohort study included 5,210 patients with a diagnosis of first ischemic stroke or intracerebral hemorrhage between 2005 and 2013 from Ramathibodi Hospital, Bangkok, Thailand. The survival of each case was followed until December 31, 2016. A semiparametric extrapolation method was applied to estimate the lifetime survival function relative to an age and sex-matched reference population. Findings Of 5,210 patients, 74.2 percent experienced ischemic stroke. About 54.3 percent were men. Mean age at diagnosis was 64.3 years. The mean LE was 12.5 years for ischemic stroke and 12.0 years for intracerebral hemorrhage. The EYLL among patients with intracerebral hemorrhage was significantly higher than among those with ischemic stroke (10.1 vs 5.7). Women were expected to lose more LE than men for both types of stroke (p-value<0.05), while younger aged patients were expected to lose more years of life than older ones. Originality/value This study fulfilled an identified need to estimate LE and EYLL among patients with ischemic stroke and intracerebral hemorrhage.