Publications:

1. “The effectiveness of dynamic hedging: evidence from selected European stock futures”, with Jahangir Sultan.  Forthcoming to the European Journal of Finance.

 2. “Stock returns, inflation and interest rates in the United Kingdom”, forthcoming to the European Journal of Finance.

Abstract: The Fisherian theory of interest asserts that a fully perceived change in inflation would be reflected in nominal interest rates and stock returns in the same direction in the long run.  This paper examines the Fisherian hypothesis of asset returns using alternative techniques of linear regression, and vector error correction models to examine the nature of the relationship between stock returns and inflation in the United Kingdom.  Consistent with the Fisherian hypothesis, empirical evidence in the linear regression model suggests a positive and statistically significant relationship between stock returns and inflation, which regards common stock as a good hedge against inflation.  The results based on the unit root and cointegration tests indicate a long-run reliable relationship between price levels, share prices, and interest rates which could be interpreted as the long-run determinants of stock returns.  The findings also suggest a bi-directional relationship between stock returns and inflation.  The evidence of a significant Fisher effect is robust across model specifications.

3. “Modeling the dynamics of money-income relationship in India: evidence from a vector error correction model”, forthcoming to The Journal of Developing Areas, Vol. 43, No. 1, Fall 2008.

Abstract: The purpose of this paper is to re-examine the empirical relationship among alternative monetary aggregates (M1 and M2), output, prices, interest rates and exchange rates in India.  The results of a five-variate vector error correction model are indicative of a bi-directional causality between each of the monetary aggregates and prices.  Our findings of a feedback relationship make each of the monetary aggregates a poor intermediate target and informational variable.  Moreover, contrary to most recent research in this area, the results are supportive of the real business-cycle view and the Keynesian monetary accommodation hypothesis rather than the monetarists’ theory of the business cycle.

4. “Exchange rate regime and demand for reserves: evidence from Kenya, Mexico and Philippines”, with Taufiq Choudhry.  Published in the Open Economies Review, Vol. 19, No. 2, pp. 167-181, April 2008.

http://www.springerlink.com/content/0ngp7x376441747t/

Abstract:  This paper empirically investigates the demand for international reserves (and foreign exchange reserves) during fixed and floating exchange rates periods in three developing countries: Kenya, Mexico and Philippines. Based on theoretical models, three factors are identified as important for the demand of international reserves and foreign reserves: average propensity to import, volume of imports and variability of reserves. The paper employs the cointegration methodology and error correction method to investigate the relationships. Cointegration tests results indicate a reliable long-run stationary relationship between the international reserves (and foreign exchange reserves) and the stated explanatory variables across countries and sub-periods of fixed and clean float. The error correction results indicate causality from the explanatory variables to the reserves during both the short and long run. This is true during both the fixed and the floating periods.

5.  “The macroeconomic effects of government debt on capital formation in the United States: an empirical investigation”, published in The Manchester School, Vol. 75, No. 5, pp. 598-616, September 2007.

http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9957.2007.01032.x

Abstract: In this paper we empirically examine the effects of government debt on interest rate, price, output and capital formation in the USA during the post-war period. Using cointegration methodology supplemented with variance decompositions and impulse response functions, the study found a long-run equilibrium as well as a strong feedback relationship between real debt and real capital formation. The results also indicate that public debt increases inflation with adverse effects on capital formation and real output which broadly support the views of ‘monetarists’, and partially of the neo-Ricardian economists.

6. “Equilibrium and efficiency of exchange rates in a silver-based monetary system--the cases of India and Iran", published in the Economics Letters, Vol. 93, No. 3, pp. 318-322, December 2006.

http://ideas.repec.org/a/eee/ecolet/v93y2006i3p318-322.html

Abstract: This paper examines the issue of equilibrium and efficiency of exchange rates in a silver-based monetary system during nineteenth century India and Iran. The results based on co-integration tests indicate a reliable long-run relationship between the metallic value and the exchange value of currencies in a silver-based monetary standard. Our results also validate the necessary and sufficient conditions of the efficient market hypothesis.

7. “The monetary approach to the determination of the dollar-yen exchange rates: a cointegration analysis”, published in the International Journal of Business and Economics, Vol. 5, No. 2, pp. 129-145, August 2006.

http://www.ijbe.org/table%20of%20content/Vol%205-2.htm

Abstract: This paper validates the monetary model in the determination of the dollar-yen exchange rate by applying cointegration methodology. Estimation results indicate a stationary relationship between the dollar-yen exchange rate and monetary models, with long-term causality flowing from monetary variables to the dollar-yen exchange rate. The forecasting performance of the monetary model based on the error-correction model outperforms random walk models.

8. “The prices of silver and exchange rates in a bimetallic monetary system”, published in the Empirical Economics, Vol. 31, No. 1, pp. 195-206, March 2006.

http://www.springerlink.com/content/f601140233n83467/?p=c860bf622b45421880a5f98f101a16d1&pi=11

Abstract  Using the notion of co-integration theory and a vector error correction modelling approach, this paper examines in retrospect the long-run relationship between the exchange rate of silver-based currencies and the intrinsic value of silver in India and Iran in a bivariate model. The results based on unit root and co-integration tests indicate a reliable long-run relationship between the price of silver and the exchange rate of silver-based currencies. Our findings also suggest a bi-directional relationship between the price of silver and exchange rate of pound per rupee in the case of India and a feedback relationship between the intrinsic value of qiran and the exchange rate of pound per qiran in the case of Iran. 

9. “Business cycles, mortgage rates and housing starts in the United Kingdom--an empirical analysis”, published in the Briefing Notes in Economics, Issue No. 67, December 2005/ January 2006, pp. 1-13.

http://www.richmond.ac.uk/bne/documents/67_mohammad_hasan.pdf

10. “A century of purchasing power parity: evidence from Canada and Australia”, published in the Applied Financial Economics, Vol. 16, No. 1, pp. 145-156, January 2006.

http://ideas.repec.org/a/taf/apfiec/v16y2006i1-2p145-156.html

Abstract: This study empirically examines the Purchasing Power Parity hypothesis using more than a century span of annual data of Australia, Canada and Britain and a battery of unit root tests. The study finds support for the validity of the Purchasing Power Parity hypothesis in the long-run within the framework of both linear and non-linear cointegration tests. The error correction models indicate that it takes four to five years for the short-run deviations from PPP to revert back to the long-run equilibrium. The results also indicate a non-linear mean reversion behaviour in the case of Canada. Overall, the evidence of support for the PPP hypothesis is robust across specifications and testing procedures.

11. “An empirical investigation to determine the long-run relationship between population growth and per capita income in Bangladesh”, published in the Journal of Bangladesh Studies, Vol. 7, No. 2, 2006, pp. 16-26.

12. “The information content of M0 in the United Kingdom”, published in the Applied Economics Letters, Vol. 12, No. 11, pp. 711-717, September 2005.

http://www.ingentaconnect.com/content/routledg/rael/2005/00000012/00000011/art00012

Abstract: This paper examines the empirical characteristics of target–goal relationships between M0 on the one hand, and output, prices, interest rates and the current account balance on the other hand, in terms of a good intermediate target and informational variable. The results of a five-variate vector error correction model are indicative of feedback relationships between M0 and output, prices and output, and prices and M0, which is consistent with the Keynesian ‘monetary accommodation' hypothesis. The finding of a reverse causality from output, prices and interest rates to M0 suggests that M0 may not serve well as a good intermediate target and informational variable of British monetary policy. The evidence therefore suggests the reduced effectiveness of monetary targeting strategy as a stabilization tool.

13. “An alternative approach in investigating lead-lag relationships between stock and stock index futures markets—comment”, published in the Applied Financial Economics Letters, Vol. 1, No. 2, pp. 125-130, March 2005.

http://www.informaworld.com/smpp/content~content=a714022698~db=all~order=page

Abstract: This study re-examines and reinterprets the empirical results of Brooks et al. (1999) which investigated the lead-lag relationship between stock indices and stock index futures markets. Contrary to the contention of Brooks et al. that the stock index futures market leads the stock market, it is found that their linear Granger causality tests exhibit overwhelming evidence of a contemporaneous relationship and a bidirectional relationship between spot and futures returns. The interpretation of the empirical evidence of Brooks et al., although different from theirs, is equally supportive of the theoretical predictions of the cost-of-carry model and the efficient market hypothesis.

14. “On the validity of the random walk hypothesis applied to the stock markets of Bangladesh”, published in the International Journal of Theoretical and Applied Finance, Vol. 7, No. 8, pp. 1069-1085, December 2004.

http://www.worldscinet.com/cgi-bin/details.cgi?id=jsname:ijtaf&type=all

Abstract: This paper employs a battery of statistical tests to examine the random walk variant of the weak-form efficient market hypothesis (EMH) using the daily data of the Dhaka Stock Exchange, the major equity market of Bangladesh, over a period of January 1990 to December 2000. The test results, however, are at variance across testing procedures and sub-periods. Results based on the random walk model and unit root tests show that the null hypothesis of randomness cannot be rejected and stock prices have a significant random walk or permanent component. Our analysis of autocorrelation functions indicates mean-reversion behavior of stock returns in most cases albeit with stock returns exhibiting some memory and predictable components during the bubble and post-speculation periods. The evaluation of the EGARCH-M model suggests significant asymmetric and leverage effects during the sub-period of speculative bubbles of 1996–1997. The BDS test indicates evidence of nonlinear long-term dependence duringthe pre-speculation period, while during the speculation and post-speculation periods the null hypothesis of nonlinear independence was not rejected. Overall, based on this evidence we do not categorically claim that the Dhaka Stock Exchange is weak-form efficient. However, these findings underscore the predictive significance and relevance of the random walk hypothesis as a generalized

15. “Univariate time series behaviour of the real exchange rate: evidence from colonial India”, published in the Economics Letters, Vol. 84, No.1, pp. 75-80, July 2004.

http://ideas.repec.org/a/eee/ecolet/v84y2004i1p75-80.html

Abstract: This paper empirically examines the long-run behaviour of the real exchange rate in colonial India between the British pound and the Indian rupee using a battery of unit root tests. The unit root tests based on the KPSS test, the GPH fractional integration test, and the non-linear KSS test indicate that the real exchange rate series is stationary and mean-reverting, which tends to support the validity of the purchasing power parity (PPP) hypothesis in the long run.

16. “The long-run relationship between population and per capita income in Bangladesh”, published in the Bangladesh Development Studies, Vol. 28, No. 3, pp. 65-84, September 2002.

17. “Foreign capital inflow and domestic savings across countries: Haavelmo's hypothesis re-visited”, published in the Journal of Economic Studies, Vol. 29, No. 6, November 2002.

www.emeraldinsight.com/10.1108/01443580210448844

Abstract: Using the notions of unit root, cointegration theory and Granger-Akaike’s synthesis of modelling strategy, this paper examines the nature of stationarities, cointegration properties and Granger causal relationship between domestic savings and aid based on a sample of 27 developing countries. The KPSS unit root test results indicate that variables of interest in a trivariate vector autoregressive system such as aid inflows, domestic savings and income exhibit a dissimilar trend in the majority of countries, with the exceptions of Bolivia and Korea. The cointegration test results based on the Johansen and Juselius testing procedure found evidence of cointegration among the variables, domestic savings, aid and income in Bolivia and Korea. However, the presence and direction of causality between aid inflows and domestic savings are mixed across countries. Whilst the findings are indicative of a causal independence in a majority of the cases, little support is attached to either Griffin’s dependency hypothesis or Papaneck’s reverse causality hypothesis.

18. “Residential investment, macroeconomic activity and financial deregulation in the UK: an empirical investigation”, published in the Journal of Economics and Business, Vol. 54, No. 4, pp. 447-462, July 2002.

http://ideas.repec.org/a/eee/jebusi/v54y2002i4p447-462.html

Abstract: This paper empirically examines the relationship between UK macroeconomic variables and residential investment over the period 1968Q1 to 1999Q1. The impact of macroeconomic variables are evaluated by computing both historical decompositions (HDCs) and variance decompositions (VDCs) in a six-variable VAR model. The VDC results suggest fiscal policy variable exerts a modest and significant impact on residential expenditures, monetary policy variables appear to have larger and perceptible influences on residential expenditures in the long run. The HDC findings, on the other hand, indicate that money stock marginally lowers the MSE of base projection of residential investment over the pre-deregulation period. Nevertheless, the explanatory power of money is shown to evaporate during the post-deregulation period. Thus, our findings strongly confirm that the deregulatory measures of 1980s have significantly altered the nature and strength of causal linkages between residential investment and macroeconomic variables

19. “The behaviour of currency-deposit ratio in mainland China”, published in the Applied Financial Economics, Vol. 11, No.6, pp. 659-668, December 2001.

http://ideas.repec.org/a/taf/apfiec/v11y2001i6p659-68.html

Abstract: This paper investigates the behaviour of the currency–deposit ratio in mainland China in the light of three theoretically identified factors: income growth, interest rate movements and inflationary expectations. It was found that the unprecedented decline in the currency–deposit ratio is unambiguously determined by a secular growth in income, whilst the role of interest rates and inflationary expectations is at variance across specifications and sample period. However, the observed variation of the currency–deposit ratio attributed primarily to income and secondarily to interest rates make the money multiplier endogenous.

20. “Monetary and fiscal impacts on economic activities in Bangladesh: further evidence”, published in the Bangladesh Development Studies, Vol. 27, No. 4, pp. 101-119, December 2001.

21. “Is there a long-run relationship between population growth and standard of livings? the case of India—a re-examination”, published in the Indian Economic Journal, Vol. 48, No. 4, pp. 27-34, April-June 2000-2001.

22. “Monetary growth and inflation in China: a re-examination”, published in the Journal of Comparative Economics, Vol. 27, pp. 669-685, December 1999.

http://ideas.repec.org/a/eee/jcecon/v27y1999i4p669-685.html

Abstract: Using the notion of cointegration theory and its implied vector error correction modeling strategy, this paper reexamines the relationship between monetary forces and inflation in mainland China. Contrary to most recent research in this area, these results based on unit root and cointegration tests indicate a reliable long-run relationship between the general price level and the money stock, as well as between inflation and monetary growth. Our findings also suggest a bi-directional or feedback relationship between inflation and monetary growth.

23. “New evidence on causal relationships between the money supply, prices and wages in the United Kingdom”, published in the Economic Issues, Vol. 4, No. 2, pp. 75-87, 1999.

http://www.economicissues.org/archive/volindex.html

Abstract: The paper re-examines empirically the causal relationship between money stock, prices and wages in the United Kingdom. Using a vector error-correction modelling technique with suitable diagnostics, such as Akaike's FPE statistics and `F' tests for under-fitting the causal model, the results indicate a feedback relationship between money and prices, prices and wages, and wages and money stock. The results are supportive of the expectations- augmented Phillips-curve view of inflation and the monetary accommodation hypothesis.

24. “The choice of appropriate monetary aggregates in the United Kingdom”, published in the Applied Economics Letters, Vol. 5, pp.563-568, 1998.

http://www.informaworld.com/smpp/content~content=a758529500~db=all~order=page

Abstract: This paper re-examines the relationship between alternative monetary aggregates (M0 and M4) and other macroeconomic variables in the United Kingdom. The results of a five-variable VAR analysis are indicative of bidirectional causality between each of the monetary aggregates and real output. Our findings of a feedback relationship between M0-real income, and M4-real income makes each of the monetary aggregates a poor intermediate target variable. Moreover, contrary to most research work in this area, we find a feedback relationship between M0 and prices which appears to support the monetary accomodation hypothesis.

25. “New evidence from an alternative methodological approach to the defence spending-economic growth causality issue in the case of communist China”, published in the Journal of Economic Studies, Vol. 24, No. 3, 1997.

www.emeraldinsight.com/10.1108/01443589710167347

Abstract: Proposes to re-examine empirically the causal relationship between defence spending and economic growth in mainland China. First, using a VAR modelling technique with suitable diagnostics, e.g. Akaike’s FPE statistics and a likelihood ratio test for over- and under-fitting the causal model, the results indicate a positive unidirectional causality flowing from defence spending to economic growth. Second, by evaluating a dynamic vector error-correction model, variance decomposition and impulse response functions, then analyses the direction, duration and strength of Granger-causality between defence spending and economic growth. The results broadly indicate that defence spending and economic growth did share a common trend over the sample period under analysis, but it was the former which stimulated the latter. Moreover, it is defence spending that has a much more perceptible and prolonged effect on economic growth, giving rise to implications that although expenditure on defence may have been politically motivated, over the long-run this spending did play a significant indirect role in enhancing the growth potential of this, for many years, closed-door economy.

26. “Tax then spend or spend then tax? experience in the UK, 1961-1993”, published in the Applied Economics Letters, Vol. 4, No. 4, 1997.

http://www.informaworld.com/smpp/content~content=a758518502~db=all~order=page

Abstract: Using a hybrid of cointegration theory and Granger-Akaike's synthesis of modelling strategy, we have reexamined the causal relationship between tax revenue and government spending in the UK in a cointegrated VAR model. The results are indicative of a bi-directional causality between revenue and spending.

27. “Money, price and causality in mainland China”, published in the Bangladesh Development Studies Vol. 25, No. 1 & 2, 1997.

28. “Money, output, price, and causality in mainland China”, published in the Applied Economics Letters, Vol. 3, No.2, 1996.

http://www.informaworld.com/smpp/content~content=a713759836~db=all~order=page

Abstract: This paper re-examines the relationship between money and other macroeconomic variables in mainland China. The results of a four-variable VAR analysis are indicative of a bi-directional causality between narrow money supply and real income. However, contrary to most research work in this area, the findings support a uni-directional causality from broad money to real income, making the former a good intermediate target variable. Moreover, these results cast serious doubts about the relevance of the quantity theory of money for price determination in China.