muhammad ali Nasir

muhammad ali Nasir
University of Leeds · Division of Economics

Ph.D

About

96
Publications
24,150
Reads
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2,275
Citations
Additional affiliations
July 2020 - present
University of Huddersfield
Position
  • Professor (Associate)
January 2014 - June 2020
Leeds Beckett University
Position
  • Lecturer

Publications

Publications (96)
Article
In this study, we analyse the implications of clean energy, oil and emission prices for the energy sector stock in the GCC region. In so doing, we estimate one-day-ahead value at risk (VaR) and the expected shortfall (ES) for Saudi, Abu Dhabi and Kuwaiti energy stock prices over short and long trading positions using three different long memory Aut...
Article
Full-text available
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...
Article
Full-text available
In the context of the breakdown of the wage-productivity nexus since the 2008–09 Global Financial Crisis, this study analyzes that nexus in the UK by accounting for potential asymmetries and nonlinearities. Employing a NARDL framework and data from 2000Q1 to 2018Q4, our key findings suggest that aggregate productivity and productivity within the re...
Chapter
Built on flawed and uneven foundations a building can be raised to the Pleiades and it will still be neither strong nor straight. As the ancient wisdom says, the loftier the building, the deeper must the foundation be laid. The same logic holds for the architect of the Economic and Monetary Union of the European Union (EMU) which is the longest eco...
Chapter
Despite the similarities between Japan and the Eurozone in terms of slow growth and stagnation upon which I have drawn earlier, there are some major differences between EuroZone and its counterparts including the UK, Japan and the USA and one of the key differences is in their monetary system.
Chapter
In addition to steps taken by the European Central Bank and sovereign states that I discussed in previous sections, there was still more to be done as the existing apparatus to deal with the crisis at the Union level was almost non-existent and the ECB with its limited remit and internal tensions could only do so much.
Chapter
Architects of the European integration project were well aware of the difficulties and challenges it entails and occasionally, they did openly and honestly express their concerns, though often with hope and pinch of optimism.
Chapter
In the previous passages of this treatise, I looked at the monetary and fiscal stance of the EU and the institutional infrastructures and the enormous changes that followed from the Global Financial Crisis and European Sovereign Debt Crisis. Now the question is that what has been the net result of these supposedly massive monetary and somewhat fisc...
Chapter
While the Global Financial Crisis reshaped the functioning of the Economic and Monetary Union of the European Union and European Central Bank, it also affected the fiscal side and the other intuitions and pillars of the Union, including the European Commission. Monetary policy on its own has not and shall never be enough to deliver the mandate of m...
Chapter
Global Financial Crisis of 2008–2009 which is declared as once in a century crisis by the IMF still has its scars on the global economic and financial systems. A crisis that will never be forgotten was the first test for the young ECB, it was also the tip of the iceberg that hit the Eurozone Titanic in the form of the European Sovereign Debt Crisis...
Chapter
Launch of the Euro was just the beginning not an end to an infinitely perpetual project of integration. The period that proceeded the rollout of the Euro was the reign of treatise and the readers may find treaty-related section a bit tedious read (Readers not interested in the Treaties can skip to the section on Steroid-Enhanced Economic developmen...
Book
This book describes the history of European integration and the Eurozone, before presenting ways in which the European Union can move forward. Charting integration from before the Second World War, the foundations of the Eurozone are examined to provide insight into the challenges faced by the European Union, including the Global Financial Crisis,...
Article
Full-text available
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, i...
Article
Full-text available
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 he...
Article
This paper proposes a new approach to estimating investor sentiments and their implications for the global financial markets. Contextualising the COVID-19 pandemic, we draw on the six behavioural indicators (media coverage, fake news, panic, sentiment, media hype and infodemic) of the 17 largest economies and data from 1st January 2020 to 3rd Febru...
Article
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...
Article
This study examines the spillover effect between financial technology (Fintech) stocks and other financial assets (gold, Bitcoin, a global equity index, crude oil, and the US Dollar (USD) during the COVID-19 crisis. Employing daily data from June 2019 to August 2020, our empirical analysis shows that the outbreak of COVID-19 exacerbated volatility...
Article
The study investigates the nexus between energy poverty and income inequality from multiple perspectives by drawing on a rich set of global data and applying a novel set of comprehensive empirical approaches. In so doing, analysis of energy poverty is carried out from five different dimensions, and its nexus with two aspects of income inequality is...
Article
The 4th industrial revolution and global decarbonisation are frequently referred to as two interrelated megatrends. Particularly, where the 4th industrial revolution is expected to fundamentally change the economy, society, and financial systems, it may also create opportunities for a zero-carbon future. Therefore, in the context of UK's legally bi...
Article
In the context of the debate on inflation targeting, this paper analyses the impact of the oil shocks on inflation expectations in three Nordic Kingdoms. A NARDL framework is applied to data from Jan 1994 to June 2018 on the Kingdoms of Norway, Sweden and Denmark. Our key findings suggest that there are considerable nonlinearities and asymmetries i...
Article
This study analyses the convergence of CO2 emissions at state-level in the USA for the period from 1976 to 2014 in a nonlinear and novel empirical framework. In so doing, we have applied Pesaran’s (2007) test of pair-wise approach to testing convergence which gives in general what are the rejection frequencies and thus provides evidence of converge...
Article
This paper is a pioneering endeavour to investigate the determinants of environmental degradation in Australia through a comprehensive framework of EKC and STIRPAT. Specifically, the impacts of multiple factors of socio-economic development including economic growth, trade openness, industrialization, energy consumption on CO2 emissions are analyse...
Article
Contextualising on the internationally low oil prices era and historically high oil production in USA and refusal to honour the commitments under Paris Agreement (COP: 21), this study investigates the role of education, oil prices and natural resources on energy demand and CO2 emissions in the USA for the period of 1976–2016. In so doing, we employ...
Article
In the context of the 4th industrial revolution, artificial intelligence (AI) and environmental challenges, this study investigates the role of AI, robotics stocks and green bonds in portfolio diversification. Using daily data from 2017 to 2020, we employ tail dependence as copulas and the Generalized Forecast Error Variance Decomposition to examin...
Article
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 eff...
Article
This paper analyses the directional spillover effects and connectedness for both return and volatility of nine US dollar exchange rates of globally most traded currencies under the influence of trade policy uncertainty. We find two interesting results over the study period ranging from December 1993 to July 2019. First, there exists asymmetric spil...
Article
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 appli...
Article
This study examines the multidimensional impact of financial development (FD) on consumption energy intensity and production energy intensity. A global sample of 81 economies consisting of three subsamples (29 high income [HIEs], 21 upper middle income [UMEs] and 31 low and lower middle income [LMEs]) from 1997 to 2013 is analyzed by employing seve...
Article
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 facing an unprecedented amount of uncertainty. There is substantial evidence on the exchange rate pass-through and equally ample evidence to suggest that the complex models are outperformed by simple solutions...
Article
The growth effects of financial development might be asymmetric and nonlinear according to the level of financialization of countries. As a corollary to this notion, in the subject study, we developed a three‐regime threshold autoregressive distributed lags (TARDL) model, which allows us to accommodate the asymmetric effect of financial development...
Article
The cryptocurrencies with small market capitalization are often overlooked despite they can potentially be the source of shocks to other cryptocurrencies in the market. To address this caveat, this paper attempts to investigate the spillover effects among 14 cryptocurrencies by employing transfer entropy. Our results suggest that among different ty...
Article
Full-text available
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 time‐varying structural vector autoregression framework which accounts for time variations (in coefficients as well as in the variance–cov...
Article
Full-text available
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, Chica...
Article
In the context of the debate on Exchange Rate Pass-Through (ERPT) under inflation targeting regimes, this study analysis the ERPT in inflation targeting and non-targeting economies of ASEAN-5. Employing a Non-linear Autoregressive Distributed Lag (N-ARDL) framework on data from 2000: Q1 to 2019 Q:4, our key empirical findings suggest that the excha...
Article
In this paper, we pursue a financialisation line of argument exploring the specific features of private equity finance, with a focus on the activity undertaken at scale by the largest management groups or firms. The largest private equity firms wield considerable resources, affect ownership patterns and have the capacity to acquire literally any co...
Article
This paper investigates the implications of government borrowing for corporate financing and capital structure of the firms. In doing so, we explore the effects of government debt, macroeconomic and firm-specific factors on firm’s choice of financing and capital structure. We draw on the 10-year data (2007–2017) of 225 non-financial firms listed on...
Article
Economic development in a contemporary setting encompasses a broad range of parameters. This balanced panel study of 30 countries uses two single-equation models to investigate the impacts of natural resource abundance, international trade, financial development, trade openness and institutional quality on two proxies for economic development – eco...
Article
Understanding the connectedness of financial markets and hence possible sources of systematic risk is central to the debate on the process of financialisation and its consequences for financial stability. In this study, we examine the connectedness between commodity spot and futures prices by applying a novel frequency connectedness framework on da...
Article
This brief paper sets out an underappreciated practically oriented paradox and its methodological implications. The paradox is highly relevant to central banks and any organization or agent that seeks to match or anticipate central bank policy, such as other actors in banking and finance. Specifically, there is a divergence between the statistical...
Article
Full-text available
This study examines whether the capital requirements under Basel III are effective in enhancing the profitability and efficiency of the banking sector. Drawing on a sample of the largest commercial banks from the UK and Australia over the period from 2000 to 2019, we employ the FMOLS (Fully Modified OLS) and DOLS (Dynamics OLS) estimation approache...
Article
Full-text available
In the context of the debate on the global imbalances, this study investigates the determinants of US trade balance in a Non‐linear ARDL framework which accounts for the asymmetric and nonlinear effects of real effective exchange rate dynamics. Drawing on the data from 1994Q1 to 2018Q1, our key empirical findings suggest significant evidence of sho...
Article
We consider the response of each of the 67 industries that trade between the U.S. and U.K. to the volatility of the real dollar‐pound exchange rate. When we follow previous research and estimate a linear ARDL model for each industry, we find short‐run effects of volatility in 22 U.S. exporting industries to U.K. that last into the long run only in...
Article
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 asymmet...
Article
In the context of inflation targeting, this study analyses the exchange rate pass-through (ERPT) to inflation expectations in a small open inflation targeting economy. We also augment the inflation expectations function with GDP, inflation, unemployment, fiscal stance, oil prices and money supply. Drawing on the data from May 1999 to Dec 2018 on th...
Article
Purpose This purpose of the study is to examine the labour supply decisions with respect to earnings and considers whether we are willing or indeed able to work less. The authors specifically focus on the three points of time, i.e. beginning of the sample, pre and post Global Financial Crisis. Design/methodology/approach The study regression analy...
Article
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...
Article
This paper examines the short-run and long-run effects of economic, sociological and energy factors on environmental degradation in 28 European countries. In so doing, we employ Panel Vector Autoregressive (PVAR) and Fully Modified OLS (FMOLS) approaches on data from 1990 to 2014 in a STIRPAT (Stochastic Impacts by Regression on Population, Affluen...
Article
Fundamental and behavioural factors are the two determinants of stock prices but are rarely investigated simultaneously. This paper examines the role of fundamental and behavioural factors in stock return volatility in the Association of Southeast Asian Nations-5 countries (ASEAN-5) for the period of January 1995 to December 2018 comprising three r...
Article
This study analyses the implications of Inflation Targeting (I.T.) for the Exchange Rate Pass-Through (ERPT) to inflation and trade balance by focusing on the first three movers i.e. New Zealand, UK and Canada. Drawing on the monthly data from October 1976 to September 2017, we employ a TVSVAR framework. Our key findings suggest that there is signi...
Article
This paper applies a N-ARDLframework totwo longstanding inflation targeting policy regimes in order to assess the relationbetween oil prices dynamics and inflation expectations and the further consequences created by a proximal ZLB situation. The application is based on datafrom January1994 to June 2018 forNew Zealand and the UK. We focus on oil pr...
Article
This study endeavours to shed some light on the Contagion risk in the Vietnamese banking system. In so doing, we analyse the contagion risk through stock returns on listed commercial banks by employing non-parametric and Copula approaches. A rich set of empirical approaches are employed, including non-parametric (Chi-plots, Kendall-plots) and param...
Article
Purpose In the context of debate on competitive devaluation and trade imbalances, the purpose of this paper is to investigate the role of exchange rate misalignment as a determinant of trade imbalances in selected major trade surplus (Germany, China, Japan, Russia and KSA) and major trade deficit countries (USA, UK, France, India and Turkey). Desi...
Research
Full-text available
Call for Papers The 6th International Congress on Energy, Economy and Security (ENSCON) November 8-10, 2019, Istanbul, Turkey Hilton Kozyatağı Hotel, Istanbul, Turkey Sahrayı Cedit Mahallesi, Batman Sk. No:4, 34734 Kadıköy/İstanbul, Turkey Submission Deadline: September 20th, 2019 Apologies for any cross-posting Conference Webpage About the Con...
Article
In the context of remarkable economic growth and financial development in the emerging economies of East Asia, this paper attempts to shed light on the ecological consequences (CO2 emission) of economic growth, foreign direct investment and financial development in the selected ASEAN-5 economies. Drawing on the data from 1982 to 2014, we employed a...
Article
This study is an endeavour to analyse the influence of oil price shocks on the macroeconomy of the Gulf Cooperation Council(GCC) member countries (Bahrain, Kuwait, KSA, Oman, Qatar and UAE). By employing a structural Vector auto-regression(SVAR) model for period 1980–2016, our key findings suggest that there are significant positive effects of oil...
Article
Full-text available
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 dr...
Article
Full-text available
This study analyses the aspect of inflation expectations management in the context of inflation targeting by particularly focusing on the impact of exchange rate pass-through to inflation expectations in a small open economy. We also augment the inflation expectation function with GDP, inflation, unemployment, fiscal stance, oil prices, and money s...
Article
This brief paper sets out an underappreciated practically oriented paradox and its methodological implications. The paradox is highly relevant to central banks and any organization or agent that seeks to match or anticipate central bank policy, such as other actors in banking and finance. Specifically, there is a divergence between the statistical...
Article
Full-text available
This study has analysed the impact of liberalisation of Indian economy and FDI policy on the retail sector since its implementation in the 1990s. It also further analyses sub-categories by investigating its impact on the unorganised retail sector and the flow of FDI in single-brand retail and multi-brand retail sectors. A comprehensive and critical...
Article
Previous studies have focused on the co-movements between the prices of different types of energy and, to some extent, the co-movements between the energy and financial assets prices, falling short of analysing the comovements between the different types of energy and emission price. In this study, using the daily data from November 2007–31st Octob...
Article
This study analyses the implications of oil prices shocks for the BRICS economies. We employed a time-varying structural vector autoregressive (TV-SVA) framework in which the sources of time variation are the coefficients and variance-covariance matrix of the innovations. The quarter frequency data for the period of 1987QII – 2017QII is used for th...
Article
This concise study explores the period of uncertainty created by the EU referendum. This is an unusual situation conducive to natural experiment type approaches, given that one factor is overwhelmingly likely to be influential. The focus is the UK real effective exchange rate. we set out to measure the additional impact of the uncertainty surroundi...
Article
This paper explores the determinants of carbon emissions in France by accounting for the significant role played by foreign direct investment (FDI), financial development, economic growth, energy consumption and energy research innovations in influencing CO2 emissions function. In this endeavour, we employ the novel SOR (Shahbaz et al. 2017) unit r...
Article
Purpose The purpose of this paper is to analyse the implications of exchange rate depreciation for inflation targeting and trade balance of UK in the context of the Brexit epoch. Design/methodology/approach The study employed a time-varying structural vector auto-regression (TVSVAR) model framework in which the sources of time variation were both...
Article
Purpose The purpose of this paper is to analyse the implications of exchange rate depreciation for inflation targeting and trade balance of UK in the context of the Brexit epoch. Design/methodology/approach The study employed a time-varying structural vector auto-regression (TVSVAR) model framework in which the sources of time variation were both...
Article
Full-text available
The initial focus in this article 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 pos...
Article
Full-text available
This study has analysed the implications of Inflation Targeting for the Exchange Rate Pass-Through (ERPT) to inflation and trade balance. In this endeavour, we have focused on the first three movers i.e. New Zealand, UK and Canada. Drawing on the monthly data from October 1976 to September 2017, we employed a Time-Varying Structural Vector Auto-reg...
Article
In this paper, we examined the association among the energy sector stock, oil prices and stock market on the whole. We also considered the UK position from the net oil exporter to net oil importer and implications of the Global Financial Crises. Employing a Time-Varying Vector Auto-regressive framework on monthly data from January 1990 to June 2015...
Article
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Article
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This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financi...
Article
Full-text available
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 arrangeme...
Article
Full-text available
This study attempts to investigate the effects of calendar anomalies (Ramadan effect), a seasonal pattern in the Pakistani equity market. It is believed that the holy month of Ramadan is predicted to effect the behaviour of the Karachi Stock Exchange (KSE) since the environment in the country during Ramadan is different compared to other months sin...
Article
Full-text available
This study attempts to investigate the effects of calendar anomalies (Ramadan effect), a seasonal pattern in the Pakistani equity market. It is believed that the holy month of Ramadan is predicted to effect the behaviour of the Karachi Stock Exchange (KSE) since the environment in the country during Ramadan is different compared to other months sin...
Article
Full-text available
This study has analysed the implications of oil price shocks on dynamics on the of BRICS economies (GDP, Inflation, Trade balance). We employed a Time-Varying Structural Vector Autoregressive framework in which the sources of time variation were both the coefficients and variance-covariance matrix of the innovations and the quarterly data from 1987...
Article
Full-text available
In the context of debate around Zero Lower Bound (ZLB) on the nominal interest rates and available instrument in the monetary policy’s toolbox, this treatise is an endeavour to analyse the implications of real policy (Bank) rates for the British economy by using a Time-Varying Structural Vector Auto-regressive (TVSVAR) Model. Employing the data on...
Article
Full-text available
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 by 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 ev...
Article
Full-text available
This study investigates the role of exchange rate misalignments as a determinant of trade imbalances in selected major trade surplus (Germany, China, Japan, Russia & KSA) and major trade deficit countries (USA, UK, France, India & Turkey). It does so by investigating whether the exchange rate has been misaligned from its equilibrium values (competi...
Article
Full-text available
This study derives an optimal macroeconomic policy combination for financial sector stability in the United Kingdom by employing a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) framework. The empirical results obtained show that disciplined fiscal and accommodative monetary policies stance is optimal for financial sector stability....