Papers by Muhammad Ali Nasir
Annals of Operations Research
In this paper we highlight an important yet often neglected issue that arises within the context ... more In this paper we highlight an important yet often neglected issue that arises within the context of the broader set of concerns set out in Keynes’s seminal critique of Tinbergen’s early work in econometrics and that is the problem of “trend” in the dataset. We use the example of conforming data to achieve stationarity to solve a problem of unit roots to highlight that Keynes concerns with the “logical issues” regarding the “conditions which the economic material must satisfy” still gains little attention in theory and practice. There is a lot more discussion of the technical aspects of method than there is reflection on conditions that must be satisfied when methods are applied. Concomitantly, there is a tendency to respond to problems of method by applying fixes rather than addressing the underlying problem. We illustrate various facets of the argument using central bank policy targeting and using examples of differencing, co-integration and Bayesian applications.
Annals of Operations Research, 2021
In the context of the debate on cryptocurrencies as the ‘digital gold’, this study explores the n... more In the context of the debate on cryptocurrencies as the ‘digital gold’, this study explores the nexus between the Bitcoin and US oil returns by employing a rich set of parametric and non-parametric approaches. We examine the dependence structure of the US oil market and Bitcoin through Clayton copulas, normal copulas, and Gumbel copulas. Copulas help us to test the volatility of these dependence structures through left-tailed, right-tailed or normal distributions. We collected daily data from 5 February 2014 to 24 January 2019 on Bitcoin prices and oil prices. The data on bitcoin prices were extracted from coinmarketcap.com. The US oil prices were collected from the Federal Reserve Economic Data source. Maximum pseudo-likelihood estimation was applied to the dataset and showed that the US oil returns and Bitcoin are highly vulnerable to tail risks. The multiplier bootstrap-based goodness-of-fit test as well as Kendal plots also suggest left-tail dependence, and this adds to the robu...
International Journal of Finance & Economics, 2020
This article explores the effect of education and transportation infrastructure on foreign direct... more This article explores the effect of education and transportation infrastructure on foreign direct investment for the French economy over the period of 1965–2017. Economic growth, financial development and electricity consumption are also considered as additional determinants of foreign direct investment. In so doing, the SOR unit root test is applied in order to examine unit root properties of variables in the presence of sharp and smooth structural breaks in the series. To examine the presence of cointegration between the variables, the bootstrapping ARDL cointegration test is applied. The empirical results show the presence of cointegration between the variables. Education and transportation add to foreign direct investment. Financial development declines foreign direct investment. The relationship between electricity consumption (economic growth) and foreign direct investment is bidirectional. The nonlinear relationship between education (transportation infrastructure) and foreig...
Journal of Economic Behavior & Organization, 2021
Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on ... more Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre-including this research content-immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
Technological Forecasting and Social Change, 2020
Investigating the potential role of economic growth, financial development, and R&D expenditures ... more Investigating the potential role of economic growth, financial development, and R&D expenditures based on historical data (1870-2017
Journal of Environmental Management, 2021
We examine the explanatory and forecasting power of economic growth, financial development, trade... more We examine the explanatory and forecasting power of economic growth, financial development, trade openness and FDI for CO2 emissions in major developed economies within the context of the debate on curbing CO2 emissions Post-Paris Agreement (COP21). Using data from G-6 countries from 1978 to 2014 and employing a set of empirical approaches, we find weak evidence of the Environmental Kuznets Curve, while economic growth, capital market expansion, and trade openness are found to be major drivers of carbon emissions. Carbon emissions are also weakly and negatively affected by stock market capitalisation and FDI. Moreover, the forecasting performance is quite good, particularly by augmenting the model with energy consumption and oil prices. With respect to climate commitments, our empirical findings reveal important policy implications.
Annals of Operations Research, 2020
This paper empirically investigates whether cryptocurrencies might have a useful role in financia... more This paper empirically investigates whether cryptocurrencies might have a useful role in financial modelling and risk management in the energy markets. To do so, the causal relationship between movements on the energy markets (specifically the price of crude oil) and the value of cryptocurrencies is analysed by drawing on daily data from April 2013 to April 2019. We find that shocks to the US and European crude oil indices are strongly connected to the movements of most cryptocurrencies. Applying a non-parametric statistic, Transferring Entropy (an econophysics technique measuring information flow), we find that some cryptocurrencies (XEM, DOGE, VTC, XLM, USDT, XRP) can be used for hedging and portfolio diversification. Furthermore, the results reveal that the European crude oil index is a source of shocks on the cryptocurrency market while the US oil index appears to be a receiver of shocks.
The Quarterly Review of Economics and Finance, 2020
The Leeds Beckett repository holds a wide range of publications, each of which has been checked f... more The Leeds Beckett repository holds a wide range of publications, each of which has been checked for copyright and the relevant embargo period has been applied by the Research Services team. We operate on a standard take-down policy. If you are the author or publisher of an output and you would like it removed from the repository, please contact us and we will investigate on a case-by-case basis.
International Journal of Finance & Economics, 2020
This study analyses the synchronisation of economic activity, financial stress and uncertainty in... more This study analyses the synchronisation of economic activity, financial stress and uncertainty in the United States by employing a wavelet‐based approach of cohesion. Being innovative in the choice of the methodological framework as well as underlying factors of interest, we employed the monthly data on the policy‐related uncertainty indexes, Chicago Fed National Activity Index (CFNAI) and Kansas City Federal Reserve Financial Stress Index (KCFSI). Our key empirical findings suggest that the co‐movements of policy uncertainty, financial stress and economic activity are frequencies as well as time‐dependent. The uncertainty indices are found to be synchronised at lower and intermediate frequencies for all of the pairs. In the nexus between uncertainty and economic activity, financial stress plays a crucial role. Co‐movement of the policy uncertainty is observed to be more pronounced during the crisis periods though at different frequencies which indicated the usefulness of the propos...
Journal of Environmental Management, 2020
The aim of the Leeds Beckett Repository is to provide open access to our research, as required by... more The aim of the Leeds Beckett Repository is to provide open access to our research, as required by funder policies and permitted by publishers and copyright law. The Leeds Beckett repository holds a wide range of publications, each of which has been checked for copyright and the relevant embargo period has been applied by the Research Services team. We operate on a standard take-down policy. If you are the author or publisher of an output and you would like it removed from the repository, please contact us and we will investigate on a case-by-case basis.
Journal of Post Keynesian Economics, 2018
Our initial focus in this paper is the problem of mismatch between policy goals and statistical a... more Our initial focus in this paper is the problem of mismatch between policy goals and statistical analysis, based on how data is transformed and processed. This intrinsically raises ontological issues regarding the nature of an economy within which policy is made and to which statistical analysis is applied. These are of general significance to post Keynesians irrespective of the position they take on the specifics of the ergodicity debate. However, they involve some issues that overlap with some aspects of that debate. The problem as posed in this paper is specific and involves a practical contradiction regarding central bank policy and the problem of unit roots. We then consider some additional ways in which one can go beyond 'common practice' based on the example of Forward Guidance in the UK and a more institutional approach to post Keynesian analysis.
Financial Innovation, 2019
In the context of the debate on the role of cryptocurrencies in the economy as well as their dyna... more In the context of the debate on the role of cryptocurrencies in the economy as well as their dynamics and forecasting, this brief study analyzes the predictability of Bitcoin volume and returns using Google search values. We employed a rich set of established empirical approaches, including a VAR framework, a copulas approach, and non-parametric drawings, to capture a dependence structure. Using a weekly dataset from 2013 to 2017, our key results suggest that the frequency of Google searches leads to positive returns and a surge in Bitcoin trading volume. Shocks to search values have a positive effect, which persisted for at least a week. Our findings contribute to the debate on cryptocurrencies/Bitcoins and have profound implications in terms of understanding their dynamics, which are of special interest to investors and economic policymakers.
SSRN Electronic Journal, 2017
This study is an endeavour to analyse the aspect of adhering to simplicity instead of complexity ... more This study is an endeavour to analyse the aspect of adhering to simplicity instead of complexity when one is striving to make a forecast and faced with an unprecedented amount of uncertainty. There is substantial evidence on the exchange rate pass-through and its significant implications for the inflation in the United Kingdom. There is also ample evidence to suggest that the complex models of forecasting are outperformed by simple solutions and the use of heuristics. In that context, it seemed that the Bank of England forecast Post-Brexit is an example of the sub-optimal performance of complex models in the face of high tides of uncertainty. In order to illustrate our point further, we employed the data on the consumer price index from Jan 1989 to June 2016. We compared the Post-Brexit inflation forecast by the Bank of England with an ARIMA model and a simple rule which was based on the Bank of England's own estimates on pass-through due to exchange rate movements, similar in magnitude to the ones associated with Brexit. It showed that the actual path of inflation substantially diverged from the Bank of England's forecast as the effects of depreciation started to kick in. It implied that in a highly uncertain environment Post-Brexit a better prediction could have been possible by allocating some weight to the effect of sharp depreciation, indeed, that would have been considering the judgment and simplicity.
Journal of Central Banking Theory and Practice, 2017
This study has analysed the implications of institutional design of macroeconomic policy making i... more This study has analysed the implications of institutional design of macroeconomic policy making institutions for the macroeconomic policy interaction and financial sector in the United Kingdom. Employing a Vector Error Correction (VEC) model and using monthly data from January 1985 to August 2008 we found that the changes in institutional arrangement and design of policy making authorities appeared to be a major contributing factor in dynamics of association between policy coordination/combination and financial sector. It was also found that the independence of the Bank of England (BoE) and withdrawal from the Exchange Rate Mechanism led to the increase in macroeconomic policy maker’s ability to coordinate and restore financial stability. The results imply that although institutional autonomy in the form of instrument independence (monetary policy decisions) could bring financial stability, there is a strong necessity for coordination, even in Post-MPC (Monetary Policy Committee) an...
PSN: Foreign Direct Investment (Development) (Topic), 2015
In continuation of the efforts to understand the dynamics of internal market, this study proposes... more In continuation of the efforts to understand the dynamics of internal market, this study proposes Internal Absorption as an instrument for measuring market size for economies which confront large trade deficit over a longer period of time. The study empirically examines the impacts of Internal Absorption along with trade openness and gross private investment on FDI inflows in Pakistan. The ARDL approach to co-integration and ECM based on ARDL is used to test the existence of long run relationships among variables for the period 1976-2009. The result establishes strong positive relationship between Internal Absorption and FDI inflows in short as well as in the long run.
Annals of Operations Research, 2020
This study analyses the implications of Jeffery–Lindley’s paradox and Global Financial Crisis (GF... more This study analyses the implications of Jeffery–Lindley’s paradox and Global Financial Crisis (GFC) for the operational aspect of macroeconomic policy coordination for financial stability. Using a Bayesian Vector Auto-regressive model and data from Jan 1985 to June 2016, our key findings suggest that the claim of macroeconomic policy interaction, interdependence and significance of coordinated policy operations for the financial stability holds its ground. The argument in the support for policy coordination for financial stability was found to be robust against the Jeffreys–Lindley’s paradox and in the Post-GFC era. A profound practical, operational and philosophical implication of this study is the positive aspects of Jeffreys–Lindley’s paradox and the possibility of employing the Frequentist and Bayesian estimation techniques as complementing rather competing frameworks.
Applied Economics, 2019
Previous research that assessed the impact of exchange rate changes on the trade balance between ... more Previous research that assessed the impact of exchange rate changes on the trade balance between the U.S. and U.K. assumed the effects are symmetric. In this paper we add to the literature on the asymmetric J-curve phenomenon by considering the trade balance of 68 two-digit industries that trade between the two countries. We find short-run asymmetric effects of the real dollar-pound rate in almost all industries. However, short-run asymmetric effects were translated into significant long-run asymmetric effects in 25 industries. Indeed, the asymmetric J-curve hypothesis was supported in 18 industries.
Technological Forecasting and Social Change, 2020
This paper examines the long-run and short-run asymmetric effects of gold and cryptocurrency retu... more This paper examines the long-run and short-run asymmetric effects of gold and cryptocurrency returns on the Thai stock market. Employing daily data on gold prices from 2000 to 2019 and on cryptocurrency (Bitcoin) from 2013 to 2019 in a linear and non-linear Autoregressive Distributed Lag (ARDL) framework, we investigate and contrast the hedging effectiveness of gold and bitcoins for equities. This study also evaluates whether hedging potential of gold or cryptocurrency remains equally strong in bearish and bullish conditions of the stock market. Our key findings on stock and gold returns reveal that the effects of gold on the stock market are asymmetric in most of the cases. Negative asymmetry is more likely to occur regardless of stock market conditions. On the other hand, there is very limited evidence showing the meaningful effect of cryptocurrency. The robustness of the ARDL bounds test of co-integration provides evidence for a strong long-run relationship in all cases. Contrary to the existing literature, our results suggest that neither gold nor cryptocurrency acts as a good instrument for hedging in the stock market. Correlations between stock/gold and stock/cryptocurrency pairs are found to be positive in most cases. Our findings imply that adding gold or cryptocurrency to a stock portfolio does not enhance its risk-adjusted return.
International Journal of Finance & Economics, 2020
This study has analysed the role of the domestic economic environment and regional markets (Thail... more This study has analysed the role of the domestic economic environment and regional markets (Thailand, Japan, Hong Kong and China) in explaining the dynamics of Vietnamese stock market. In so doing, we employed a TVSVAR framework which accounts for time variations (in coefficients as well as in the variance-covariance matrix of innovations) on the data from July 2000 to December 2016. Our key findings suggested that the easing of monetary and credit conditions, stable and stronger currency and economic growth have played a significant and positive role in the development of the stock market in Vietnam. Inflation shocks did have a negative impact which implied that in policy setting the price stability is very important for the financial stability in Vietnam. The Vietnamese stock market is also heavily influenced by the regional markets, as there is strong evidence of co-movement. However, it was also witnessed that despite having a similar direction of impact and co-movement, different markets have an influence of different degrees and intensity on the Vietnamese stock market. Lastly, we also witnessed that as compared to the Global Financial Crisis, the recent periods showed comparatively lesser responsiveness. This could be associated with the intensive reaction during the period of financial turmoil as well as with an increase in the stability of the Vietnamese stock market as it matures.
Journal of Policy Modeling, 2020
There have been relatively few analyses of the policy context and consequences of a Zero Lower Bo... more There have been relatively few analyses of the policy context and consequences of a Zero Lower Bound (ZLB) for nominal interest rates. This paper sets out monetary policy alternatives, including negative interest rates, a revision of the inflation target, and rendering unconventional policy instruments such as QE conventional (permanent). Following extensive discussion of policy options, we set out a model that explores the impacts of the real policy rate on economic growth, employment and inflation, with particular attention to the British economy. We use a Time-Varying Structural Vector Auto-regressive (TVSVAR) Model where the sources of time variation are both the coefficients and variance-covariance matrix of the innovations. It was found that real rates have significant implications for real growth, the labour market and price stability even when monetary policy was constrained at the ZLB in nominal terms. The study additionally applies a discrete break in the data to focus on the Post-Global Financial Crisis and ZLB period. This indicates that the effectiveness of real rates did not diminish and this has important implications in terms of a policy approach which seeks to exploit real negative rates.
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Papers by Muhammad Ali Nasir