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Fiscal vulnerability, like a contagion, poses a threat to financial sector stability, which can lead towards sovereign default. This study aimed to assess fiscal vulnerability to crisis by investigating the Australian economy’s gross public debt, net public debt, and net financial liabilities. We used a threshold regression model and compared results with the baseline deficit–debt framework of analysis. The results of the base model suggested that the economy is fiscally sustainable, and that the primary surplus remains unaffected by increasing levels of public debt. In contrast, the threshold regression model indicated that the increasing level of debt has eroded primary surplus below the threshold level of 30.89% of public debt to GDP. These results need further investigation. Therefore, we modified our basic threshold model to capture budget deficit and surplus as a threshold in response to changes in public debt. The results from the sequential threshold regression model using the debt to GDP ratio and primary budget surplus identifying the periods of 1991, 1992, 2008, 2009, 2011 and 2019 as times of likely vulnerability to fiscal crisis. The overall results confirmed that the primary surplus remained sustainable over the estimated threshold level of public debt in all other sample periods and these findings persisted across alternative measures of public debt.
Gulasekaran Rajaguru; Safdar Khan; Habib-Ur Rahman. Analysis of Australia’s Fiscal Vulnerability to Crisis. Journal of Risk and Financial Management 2021, 14, 297 .
AMA StyleGulasekaran Rajaguru, Safdar Khan, Habib-Ur Rahman. Analysis of Australia’s Fiscal Vulnerability to Crisis. Journal of Risk and Financial Management. 2021; 14 (7):297.
Chicago/Turabian StyleGulasekaran Rajaguru; Safdar Khan; Habib-Ur Rahman. 2021. "Analysis of Australia’s Fiscal Vulnerability to Crisis." Journal of Risk and Financial Management 14, no. 7: 297.
This study investigates the role of Information and Communication Technologies (ICT) investment and diffusion on Pakistan’s economic growth by proposing the threshold level of ICT investment. At our proposed level, the ICT imports significantly enhance the intermediate inputs to capital goods, ultimately enhancing economic growth. For this empirical investigation, we use the maximum available data on technological innovation and investment, ranging from 2003 to 2018. Incorporating the structural breaks, the results of regression analysis reveal that Pakistan’s economic growth is unaffected by ICT development. However, we observe the mixed shreds of evidence on the ICT investment. Following existing literature, we use ICT goods exports and imports as a proxy for ICT investment. Interestingly, the economic growth of Pakistan is again unaffected by the ICT goods exports. However, we observe that a one percent increase in ICT goods imports enhances economic growth by 1.73 percent. Then, we extend this analysis to the threshold approach, which reveals that ICT imports affect the overall economic growth when the ICT goods imports reach the level of 4.13 percent of the total imports. At this threshold, the ICT goods import significantly enhances the intermediate input to the capital goods, leading to higher economic growth. Therefore, the policymakers should ensure that the ICT goods import must be greater than the 4.13 percent of Pakistani imports.
Habib Rahman; Ghulam Ali; Umer Zaman; Carlo Pugnetti. Role of ICT Investment and Diffusion in the Economic Growth: A Threshold Approach for the Empirical Evidence from Pakistan. International Journal of Financial Studies 2021, 9, 14 .
AMA StyleHabib Rahman, Ghulam Ali, Umer Zaman, Carlo Pugnetti. Role of ICT Investment and Diffusion in the Economic Growth: A Threshold Approach for the Empirical Evidence from Pakistan. International Journal of Financial Studies. 2021; 9 (1):14.
Chicago/Turabian StyleHabib Rahman; Ghulam Ali; Umer Zaman; Carlo Pugnetti. 2021. "Role of ICT Investment and Diffusion in the Economic Growth: A Threshold Approach for the Empirical Evidence from Pakistan." International Journal of Financial Studies 9, no. 1: 14.
This paper examines the effect of energy consumption, globalization, and economic growth on the CO2 emission of the BRICS (Brazil, Russian Federation, India, China and South Africa) region. Using annual data from 1989 to 2019, this research applies a panel cointegration approach. In this framework, we use Fully Modified Ordinary Least Squares (FMOLS) and Dynamic Ordinary Least Squares (DOLS) methods to examine the long-run relationship between the selected variables. This empirical investigation reveals that there is a long-run association between these variables, and energy consumption positively and significantly affects the carbon emission in these countries. These results indicate that energy consumption is the primary source of environmental degradation in the region. In contrast, the globalization (KOF Index of Globalization) negatively and significantly affects the carbon emission, implying the improvement of environmental quality. Further, this research could not find the presence of environmental Kuznets curve in the region. Policy guidelines are suggested in the line of findings.
Habib Rahman; Umer Zaman; Jarosław Górecki. The Role of Energy Consumption, Economic Growth and Globalization in Environmental Degradation: Empirical Evidence from the BRICS Region. Sustainability 2021, 13, 1924 .
AMA StyleHabib Rahman, Umer Zaman, Jarosław Górecki. The Role of Energy Consumption, Economic Growth and Globalization in Environmental Degradation: Empirical Evidence from the BRICS Region. Sustainability. 2021; 13 (4):1924.
Chicago/Turabian StyleHabib Rahman; Umer Zaman; Jarosław Górecki. 2021. "The Role of Energy Consumption, Economic Growth and Globalization in Environmental Degradation: Empirical Evidence from the BRICS Region." Sustainability 13, no. 4: 1924.
This study aims to examine the effect of the bank-specific and macroeconomic determinants of profitability for the banking sector of Pakistan. To incorporate the issues of endogeneity, unobserved heterogeneity, and profit persistence, we apply a generalised method of moments (GMM) technique under the Arellano–Bond framework to a panel of Pakistani banks that covers the period 2003–2017. The results of a dynamic panel data approach reveal that capital adequacy accelerates the profitability of the banking sector in Pakistan. Capital adequacy helps the financial system to absorb any negative shock by reducing the number of bank failures and losses. Conversely, our empirical investigation reveals that the liquidity ratio, business mix indicators, interest rates, and industrial production deteriorates the bank profitability. Liquidity risks enhance the probability of default risks and transmit into the unpaid loans and hence the lower return. Our empirical evidence further reveals that Pakistani banks are not getting any benefit of the economies of scale in terms of financial performance.
Habib-Ur Rahman; Muhammad Waqas Yousaf; Nageena Tabassum. Bank-Specific and Macroeconomic Determinants of Profitability: A Revisit of Pakistani Banking Sector under Dynamic Panel Data Approach. International Journal of Financial Studies 2020, 8, 42 .
AMA StyleHabib-Ur Rahman, Muhammad Waqas Yousaf, Nageena Tabassum. Bank-Specific and Macroeconomic Determinants of Profitability: A Revisit of Pakistani Banking Sector under Dynamic Panel Data Approach. International Journal of Financial Studies. 2020; 8 (3):42.
Chicago/Turabian StyleHabib-Ur Rahman; Muhammad Waqas Yousaf; Nageena Tabassum. 2020. "Bank-Specific and Macroeconomic Determinants of Profitability: A Revisit of Pakistani Banking Sector under Dynamic Panel Data Approach." International Journal of Financial Studies 8, no. 3: 42.
This paper examines the long-run relationship between carbon dioxide (CO2) emission and economic growth, financial development, trade, energy consumption, and foreign direct investment in the case of Lithuania by employing time series data of 1989-2018. In particular, this paper aims to test whether the Environmental Kuznets Curve (EKC) relationship for economic growth and financial development holds or not. The autoregressive distributed lag (ARDL) bounds testing procedure is employed for the empirical analysis. The results validate the existence of EKC in the long-run as well as in the short-run since there is an inverted U-shaped relation between CO2 emissions and economic growth. Conversely, we could not validate the EKC relationship between CO2 emissions and financial development. Trade and energy consumption are other significant determinants of CO2 emissions. The causality analysis results show that unidirectional causality runs from economic growth to CO2 emissions and trade to CO2 emissions. The validity of the EKC hypothesis indicates that Lithuania can achieve short-term, medium-term, and long-term climate change mitigation and adoption goals and objectives approved by the Parliament of the Republic of Lithuania without deteriorating its economic growth.
Habib Ur Rahman; Ahmad Ghazali; Ghulam Ali Bhatti; Safdar Ullah Khan. Role of Economic Growth, Financial Development, Trade, Energy and FDI in Environmental Kuznets Curve for Lithuania: Evidence from ARDL Bounds Testing Approach. Engineering Economics 2020, 31, 39 -49.
AMA StyleHabib Ur Rahman, Ahmad Ghazali, Ghulam Ali Bhatti, Safdar Ullah Khan. Role of Economic Growth, Financial Development, Trade, Energy and FDI in Environmental Kuznets Curve for Lithuania: Evidence from ARDL Bounds Testing Approach. Engineering Economics. 2020; 31 (1):39-49.
Chicago/Turabian StyleHabib Ur Rahman; Ahmad Ghazali; Ghulam Ali Bhatti; Safdar Ullah Khan. 2020. "Role of Economic Growth, Financial Development, Trade, Energy and FDI in Environmental Kuznets Curve for Lithuania: Evidence from ARDL Bounds Testing Approach." Engineering Economics 31, no. 1: 39-49.
Habib- Ur- Rahman; Hasan M. Mohsin; Patrick A. Rivers. The Effect of Policy Rate Changes on Bank Stock Returns in Pakistan. Journal of Finance and Economics 2014, 2, 1 -16.
AMA StyleHabib- Ur- Rahman, Hasan M. Mohsin, Patrick A. Rivers. The Effect of Policy Rate Changes on Bank Stock Returns in Pakistan. Journal of Finance and Economics. 2014; 2 (4):1-16.
Chicago/Turabian StyleHabib- Ur- Rahman; Hasan M. Mohsin; Patrick A. Rivers. 2014. "The Effect of Policy Rate Changes on Bank Stock Returns in Pakistan." Journal of Finance and Economics 2, no. 4: 1-16.
Capital market efficiency and the prediction of future stock prices are the most thought-provoking and ferociously debated areas in finance. The followers of traditional financial theory strongly believe that the markets are efficient in pricing the financial instruments. This view became popular after Fama’s work on the Efficient Market Hypothesis. But before 1990s, wide-ranging financial literature documented that stock prices, to some extent, are predictable. Many psychologists, economist and the journalists are of the view that general tendency of individuals is to overreact to the information. De Bondt and Thaler (1985) studies this view of experimental psychology that whether such behaviour matters at the market level or not. They found out that stock prices will overreact to information, and suggested that contrarian strategies buy the past losers and sell the past winners, earn abnormal returns. They extended the holding period from 3 to 5 years and provide the evidence of long term returns reversal. Jegadeesh (1990) and Lehmann (1990) supported the evidence of return reversal in short term, i.e. from one week to one month. They suggested that the contrarian strategies having holding period of one week to one month earned the significant abnormal return. Lo and Mac Kinalay (1990) objected on the ground that a major portion of this abnormal return, reported by Jegadeesh (1990) and Lehmann (1990), is due to the delayed reaction of stock prices to common factors rather than to overreaction. Some other researchers pointed out some other reasons of this abnormal stock returns i.e. short-term pressure on stock prices and absence of liquidity in the market rather than overreaction.
Habib-Ur-Rahman Habib-Ur-Rahman; Hasan M. Mohsin. Momentum Effect: Empirical Evidence from Karachi Stock Exchange. The Pakistan Development Review 2012, 51, 449 -462.
AMA StyleHabib-Ur-Rahman Habib-Ur-Rahman, Hasan M. Mohsin. Momentum Effect: Empirical Evidence from Karachi Stock Exchange. The Pakistan Development Review. 2012; 51 (4II):449-462.
Chicago/Turabian StyleHabib-Ur-Rahman Habib-Ur-Rahman; Hasan M. Mohsin. 2012. "Momentum Effect: Empirical Evidence from Karachi Stock Exchange." The Pakistan Development Review 51, no. 4II: 449-462.
The objective of this paper is to analyse the impact of monetary policy (MP) announcements on market interest rates at different nine maturities (1/Week, 2/Week, 1/Month, 3/Months, 6/Months, 9/Months, 1/Year, 2/Years and 3/Years) in Pakistan. The Event window of 11 days and an estimation window of 250 days have been used for analysis. The study did not find significant evidence of ARCH effect in market interest rates at (1/Year, 2/Years and 3/Years) maturities. However, there is evidence of significant abnormal returns which shows a positive impact of monetary policy announcements on market interest rates at different nine maturities. Keywords: Monetary Policy, Market Interest Rates, Normal Rates, Abnormal Rates, GARCH, ARIMA
Habib-Ur-Rahman Habib-Ur-Rahman; Hasan M. Mohsin. Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach. The Pakistan Development Review 2011, 50, 821 -839.
AMA StyleHabib-Ur-Rahman Habib-Ur-Rahman, Hasan M. Mohsin. Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach. The Pakistan Development Review. 2011; 50 (4II):821-839.
Chicago/Turabian StyleHabib-Ur-Rahman Habib-Ur-Rahman; Hasan M. Mohsin. 2011. "Monetary Policy Announcements and Market Interest Rates in Pakistan: An Event Study Approach." The Pakistan Development Review 50, no. 4II: 821-839.
Objective of this paper is to analyze the impact of monetary policy announcements on stock returns. Event window of 31 days and an estimation window of 250 days was constructed. ARIMA model is applied to calculate the estimated returns from estimation window (t − 250). Abnormal returns were calculated by taking the difference between actual and estimated returns. Then abnormal returns were aggregated as cumulative abnormal returns (CAR). CAR at 30% showed an impact of monetary policy announcements on stock returns. Null hypothesis of zero abnormal returns was rejected since the results were found in critical region under normal distribution. Further, we decomposed the interest rate into expected and un-expected to analyze their impact on stock returns. After checking for stationarity, Engle–Granger co-integration test were applied to check long run relationship between interest rates and stock return. A significant effect of interest rates (expected and un-expected) was observed in the short run. These results are in line with Kuttner’s (J Monet Econ 47:523–544, 2001), Bernanke and Kuttner’s (J Financ 60:1221–1257, 2005), Bredin et al.’s (US stock returns the impact of domestic monetary policy shocks, http://www.ucd.ie/t4cms/wp0604.pdf, 2007) and Ehrmann and Fratzscher’s (Equal size, equal role? Interest rate interdependence between the Euro Area and the United States, European Central Bank Working Paper 342, 2004). The study finds evidence of LR relationship between un-expected interest rates and whereas expected interest rates and stock returns have short term relationship.
Habib Ur Rahman; Hasan M. Mohsin. Monetary Policy Announcements and Stock Returns: Evidence from the Pakistani Market. Transition Studies Review 2011, 18, 342 -360.
AMA StyleHabib Ur Rahman, Hasan M. Mohsin. Monetary Policy Announcements and Stock Returns: Evidence from the Pakistani Market. Transition Studies Review. 2011; 18 (2):342-360.
Chicago/Turabian StyleHabib Ur Rahman; Hasan M. Mohsin. 2011. "Monetary Policy Announcements and Stock Returns: Evidence from the Pakistani Market." Transition Studies Review 18, no. 2: 342-360.