Examining the asymmetric impact of macroeconomic policy in the UAE: Evidence from quartile impulse responses and machine learning
Document Type
Article
Source of Publication
Journal of Economic Asymmetries
Publication Date
11-1-2022
Abstract
The current paper examines the asymmetric effects of changes to monetary and fiscal variables on different types of firms in the UAE. We compute impulse responses based on local projections and select shock and switching variables using machine learning. We examine 180 firms listed in the UAE exchanges and find significant asymmetries among financial and non-financial firms and among low- and high-debt firms when there is a shock to macroeconomic monetary or fiscal variables. Quartile analysis shows that firms belonging to the first and last quartile of debt respond negatively to expansionary policies, while middle-quartile firms respond more positively. Our results demonstrate the importance of comprehending the heterogeneity in the micro characteristics of the underlying corporate environment when evaluating macroeconomic policies. Our work can facilitate the design and implementation of policy in the UAE and helps explain the transmission mechanisms towards corporations.
DOI Link
ISSN
Publisher
Elsevier BV
Volume
26
Disciplines
Business
Keywords
Cross-firm asymmetries, Debt, Fiscal policy, Monetary policy, United Arab Emirates
Scopus ID
Recommended Citation
Polyzos, Efstathios, "Examining the asymmetric impact of macroeconomic policy in the UAE: Evidence from quartile impulse responses and machine learning" (2022). All Works. 5329.
https://zuscholars.zu.ac.ae/works/5329
Indexed in Scopus
yes
Open Access
no