Papers by Mohammed Nishat
Business Review, 2017
This paper assesses the volatility of short term real interest rates in Pakistan using the Markov... more This paper assesses the volatility of short term real interest rates in Pakistan using the Markov switching model and drawing on monthly data from January 1964 to March 2016. This model holds that if a random walk pattern is not visible in the real interest rate series, fluctuations are temporary and the interest rate will eventually converge around the mean value. The results reveal that real interest rates in Pakistan have exhibited high volatility since 1973 due to high budget deficits and other sources of instability in the economy.
This paper attempts to analyse and measure the link between stock market and ag gregate economic ... more This paper attempts to analyse and measure the link between stock market and ag gregate economic activity in Pakistan through two components of aggregate demand i.e. consumption expenditure and investment during 1964 1987. The results provide evidence of wealth effect from stock prices changes to consumption expenditure. The relationship between investment and stock market supports the neo-classical model of cost of capital, which suggests that Pakistani firms first determine the stock of real capital they desire and then determine the rate of investment. The causality relation ship between stock prices and industrial production (proxy for real economic activity) using monthly data establishes a feedback relationship which suggests that stock mar ket in Pakistan appears to be informationally efficient with respect to real economic ac tivity.
Pakistan Journal of Pllied Economics, 2018
This paper examines the role of social protection through different channels (education, health, ... more This paper examines the role of social protection through different channels (education, health, social transfers, subsidies, etc.) which are helpful in reducing poverty in Pakistan. Unlike the existing literature, the paper considers the quantitative model of social protection policies to reduce the poverty. To handle this issue, a time series data set containing thirty-one observations, is used for the period 1982–2012. An Autoregressive distributed lag model (ARDL) is used to identify the long-run, as well as the short-term relationship between the social protection indicators and the poverty. It is concluded that outreach of social protection via expenditures on education, foreign aid and zakat play a significant role in poverty reduction. Moreover, the autocratic period has proved itself a mechanism to reduce poverty by social protection provisions as compared to the democratic period but remain insignificant.
The significance of foreign direct investment (FDI) flows is well documented in literature for bo... more The significance of foreign direct investment (FDI) flows is well documented in literature for both the developing and developed countries. Over the last decade foreign direct investment have grown at least twice as rapidly as trade Meyer, (2003). As there is shortage of capital in the developing countries, which need capital
This paper attempts to identify the determinants of growth of commercial banks deposits in Pakist... more This paper attempts to identify the determinants of growth of commercial banks deposits in Pakistan during the period 1959-60 to 1985-86. Separate demand functions are estimated for demand deposits and time deposits by using stepwise multiple regres sion. The two models clearly capture the impact of nationalisation of commercial banks during 1974. LES DETERMINANTS DE LA CROISSANCE DES DEPOTS BANCAIRES AU PAKISTAN
Remittances are basically a self-enforcing contractual arrangement betwc the individual migrant a... more Remittances are basically a self-enforcing contractual arrangement betwc the individual migrant and the family. This idea of working abroad looks like tha may be a Pareto-superior strategy for the household when a member migra elsewhere either as a means of risk sharing or as an investment in excess to hig] earning streams. Remittances may then be seen as a device for redistributing gai with relative shares determined in an implicit arrangement struck between 1 migrant and the remaining family. The migrant adheres to the contractl arrangements as long as it is in his interest to do so. This interest may be eitl altruistic or more self-seeking, such as concern for inheritance or the right to retu home ulitmately in dignity. Inspite of the potential importance of workers' remittances no comprehensi theory of remittances exists. Only a few studies which home appeared [Lucas al Stark (1985); Straubhaar (1988)], have not been couched in terms of a testat hypothesis derived from a the...
The Philippine review of economics, 2010
This paper examines the relationship between aggregate stock market trading volume and serial cor... more This paper examines the relationship between aggregate stock market trading volume and serial correlation of daily stock returns from December 1991 to April 2006. The empirical results reveal that there is a first-order positive autocorrelation between future and present returns. The serial correlation becomes negative when present returns are weighted by a change in the trading volume. This indicates that the non-informational trade has a significant effect on prices and trading activity in Karachi stock market in addition to present returns, nonlinear volume, and volatility. The results implied that stock market return moved too much due to change in the fundamentals, aggregate expected returns, and changes in effective risk aversion of market participants. Moreover, the same results are found in pre-reforms period (December 14, 1991, to December 31, 2000), post-reforms period (January 01, 2001, to April 2006), before 9/11 events (December 14, 1991, to September 10, 2001), and aft...
This paper attempts to determine the impact of workers remittances on Pakistan economy using stan... more This paper attempts to determine the impact of workers remittances on Pakistan economy using standard Keynesian macroeconomic model for the period 1959-60 to 1987-88. The results indicate a strong positive impact on GNP, consumption, investment and imports, lt suggests that an increase of one million rupees in remittances has increased GNP by 2.43 million. Among other components of economy, the remittances indicated the largest impact on consumption and the smallest on private investment Given recent development in Gulf, it suggests that the government should aim at efficient channeling of remittances into productive investment and sustain the inflow of remittances exploring new markets for manpower.
Business & Economic Review
This paper analyzes the dynamics of social protection expenditures in the context of structural a... more This paper analyzes the dynamics of social protection expenditures in the context of structural and institutional characteristics across provinces in Pakistan. A rank and regression analysis is employed on a panel dataset for four provinces of Pakistan namely Khyber Pakhtunkhwa(KP), Balochistan, Sindh, and Punjab; over a period of 1988 to 2014.The analysis shows that KP gave more preference to education, health and, social security and welfare, and rank at the top in the respective social protection parameter. However, considering the structural and institutional features, KP shows a better performance in all social protection categories except social security and welfare. Punjab is in worst condition with respect to fiscal space generation, structural and institutional features in all social protection channels. Balochistan has better fiscal budget for subsidies and transfers but hasthe least structural and institutional features in utilizing these funds optimally. The Sindh province has the better structural and institutional performance for social protection provision but has comparatively low fiscal space for them. Theregression analysis results indicate that most of the structural and institutional features played a significant role in the determination of fiscal space for the concerned provinces. For Policy prospects, Sindh government needs to enhance the fiscal space for social protection purposes, whereas KP and Balochistan need to improve the required structural and institutional performance. In the case of Punjab, there is a need to enhance their fiscal space for social protection along with improved structural and institutional performances.
This study uses Markov switching model to empirically track the existence of exchange rate pass t... more This study uses Markov switching model to empirically track the existence of exchange rate pass through and inflation trends in Pakistan from 1982 to 2016. The results reveal a direct relationship between pass through and inflation. Furthermore, interest rate and trade variables have a significant impact on inflation. According to the smoothed probabilities, switches between regimes were sudden and sporadic till 1990, after which long spells were observed during high and low inflation regimes.
The relationship between stock prices and exchange rate in Pakistan has been examined by using mo... more The relationship between stock prices and exchange rate in Pakistan has been examined by using monthly data from July 1981 to June 2004. The cointegration and error-correction model and Granger trivariate causality techniques are used to test the causal relationship between exchange rate and stock prices. The empirical results indicate the uni-directional causal relationship between stock prices and exchange rate. The results indicate that the stock price has negative significant short run causal effect on exchange rate in Pakistan. However, during short run the exchange rate has a bi-directional causal effect on stock prices. No significance relationship is found between stock prices and gold. It suggests that the stock market in Pakistan is inefficient with respect to gold prices. However, money supply and interest rate do affect stock prices, suggesting that monetary policy could be used more effectively to check the movement in stock prices in Pakistan.
This paper examines the role of social protection through different channels (education, health, ... more This paper examines the role of social protection through different channels (education, health, social transfers, subsidies, etc.) which are helpful in reducing poverty in Pakistan. Unlike the existing literature, the paper considers the quantitative model of social protection policies to reduce the poverty. To handle this issue, a time series data set containing thirty-one observations, is used for the period 1982–2012. An Autoregressive distributed lag model (ARDL) is used to identify the long-run, as well as the short-term relationship between the social protection indicators and the poverty. It is concluded that outreach of social protection via expenditures on education, foreign aid and zakat play a significant role in poverty reduction. Moreover, the autocratic period has proved itself a mechanism to reduce poverty by social protection provisions as compared to the democratic period but remain insignificant.
Savings and development, 2010
The paper determines the empirical relationship between risk, return and trading volume in the Ka... more The paper determines the empirical relationship between risk, return and trading volume in the Karachi Stock Exchange (KSE) using the GARCH-M technique, and data for the time period December 1991 to December 2010. The paper contributes by introducing the trading volume as a proxy for the flow of information to explain the return in Pakistan’s stock exchange. Such information affects, at the same time, risk and return. The work considers a long time period, based on daily data. This study attempts to incorporate the changing settlement period during the study period. Results show that daily return volatility is time-varying and highly persistent. Contemporaneous changes in trading volume have a positive effect on returns. The previous day’s change in trading volume affects the conditional volatility of returns positively. Therefore, trading volumes have positive information content in predicting returns in all settlement periods except settlement period T+2. Moreover, as settlement p...
Author (s) Stock Investment is always a risky proposition and investors are reluctant to invest i... more Author (s) Stock Investment is always a risky proposition and investors are reluctant to invest in Stock Market. If they came to know about the exact factors influencing the stock prices, they will invest in stocks confidently. This study examines the empirical relationship between the stock prices, financial fundamentals and macroeconomic factors in Karachi Stock Exchange. By applying the dynamic
The Pakistan Development Review, Dec 1, 2000
The Pakistan Development Review
Poor corporate financing policies, non-competitive role of institutional development, a tendency ... more Poor corporate financing policies, non-competitive role of institutional development, a tendency towards the underpricing of initial offering resulted in high levered stocks in Karachi stock market (KSE). The KSE is termed as high risk high return emerging market where investors seek high risk premium Nishat (1999). The leverage is the most important factor which determines the firms risk premium [Zimmer (1990)]. Hamada (1969) and Bowman (1979) have demonstrated the theoretical relationship between leverage and systematic risk. Systematic risk of the leverage firm is equal to the without leverage systematic risk of the firm times one plus the leverage ratio (debt equity). Bowman (1979) established that systematic risk is directly related to leverage and the accounting beta (covariability of a firms’ accounting earnings with the accounting earnings of the market portfolio). One explanation of time-varying stock volatility is that leverage changes as the relative price of stocks and b...
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Papers by Mohammed Nishat