Research and Publications


This page -and probably this website- is, and will be, for some time, a work in progress. Your comments and suggestions are greatly appreciated, and will be invaluable for my research and for this web site. In this page you'll find a brief discription of my research and publications, with links to pdf versions of my work. Some codes and data used in some paper are also available through this web site.

My research interests are mainly in Macroeconomic Theory, Financial Macroeconomics, Applied Macroeconometrics and Time Series Analysis as along as defense Economics. Bellow is a list and Abstracts of papers that I am currently working on or had already been submitted for publications.

Current Reserach Projects

Work in Progress or under Review (Only Accepted or Published manuscripts will be available for Download!)

*  A Model of Factors-Reference Preferences (Joint With M. Bouaddi)

Abstract: Econometric analysis of large dimensional factor models has been widely investigated during the last decade. This paper assesses the ability of using a factor structure to capture variations in a large number of economic indicators and use the resulting factors to solve the equity premium puzzle. This is accomplished by applying the method of principal components to targeted macro-variables selected by market to extract the fundamental economic factors and use them to model the agent reference level in his preferences. The resulting pricing model adds other risk factors and their premium to explain the puzzling equity premia.
Keywords: Common factors, factor analysis, principal components, asset pricing, equity premium puzzle, risk free rate puzzle.

Submitted - Under Review

==> Data and Codes

* Families of Univariate Skew Distributions (Joint With M. Bouaddi)

Abstract:  TBC

Work in Progress

* Firm performance and Exposure to Information (Joint With O. Farooq)

Abstract:  This paper examines the impact of exposure to different types of information on the performance of firms especially during financial crisis periods. Our results are robust across various proxies of firm performance.

Submitted - Under Review


Defense Economics Projects

*  Determinant of Military Expenditures: The case of MENA Region (Joint With B. Solomon)

Abstract: This study utilizes a new military expenditures dataset to investigate the Middle Eastern and North African countries’ defence posture. We also try to develop threat variables that proxy instability in the region.   

Work in Progress

==> Data and Codes

*  Civil conflict and economic shocks: causal effects

Abstract:   In this paper we will adopt an economic model based on the construction, the use of some instrumental variables identifying the country's economic growth in order to estimate their impact on civil conflict. In this study we focus our attention on the two regions most affected by armed conflict, namely Latin America and Africa. We will also be distinguished from the existing literature by econometric methodology used in this work. We, then, develop a study based the generalized method of moments estimation (GMM). This is the first time such a methodology will be applied in the context of the defense economics and security to capture the linkages between economic conditions of a country or a region and the occurrence of civil conflicts.

Work in Progress

==> Data and Codes

==> Technical Appendix

↑Back to top.




Book Chapter(s)

● 'Casting Light on the Arab Spring: Morocco Chapter', In Casting Light on the Arab Spring: A Survey of Influential Economic Factors in the Arab Spring Countries, Ed. U. Berkok and C. E. Penney. John Deutsch Institute for The Study of Economic Policy, Queen’s University and DRDC (DRDC-CORA, DSTKIM NO: CA040620), Canada.

Abstract: This study concentrates on twelve Arab countries in the Middle East and North Africa. None of these countries had, prior to the Arab Spring, implemente d a fully inclusive democracy, partly due to their colonial history, partly due to the manner in which they earned their freedom from colonialist powers, and largely due to the winds of history and techno logy that did not create adequate conditions for democracies to emerge.



Peer-Reviewed Article(s) in Scholarly Journals

'Status or Security: The Case of the Middle East and North Africa Region', Peace Economics, Peace Science and Public Policy, (Forthcoming), (Joint With B. Solomon). DOI:

Abstract: This paper takes advantage of the new extended military expenditures dataset from the Stockholm International Peace Research Institute (SIPRI) to estimate demand for military expenditures model for the Middle East and North Africa (MENA) region. The extended dataset affords us to adopt robust dynamic panel estimation techniques along with a set of threat and strategic interaction proxies. Our analysis indicates that status seeking (“peer pressure”) explains the bulk of the demand for military spending in the region. We also note a significant trade-off between military and social spending, somewhat mitigating the arms race implied by status. “Resource Curse” is not a significant determinant of military spending in the region especially when applying a robust dynamic specification. We find negative and weak response to local and regional threats suggesting the need for more sophistication in the design of threat proxies.

'Asset Returns and Economic Conditions', International Advances in Economic Research, (2018).

Abstract: Asset Returns and Economic Conditions assesses the ability of using a factor structure to capture variations in a large number of economic indicators and use the resulting factors to model the agent reference level in his preferences. The resulting model captures the dynamics of security returns and explains many of the puzzles about asset prices.

'A Dynamic Panel Analysis Using SIPRI’s Extended Military Expenditure Data: The Case of Middle Power Nations' (Joint With B. Solomon), The Economics of Peace and Security Journal. Vol. 11 No 2, (2016).

Abstract: This study employs SIPRI’s extended military expenditure dataset to estimate a dynamic panel analysis of Middle Powers’ defense posture. The dynamic approach, particularly the Auto Regressive Distributed Lag (ARDL) approach, permits simultaneous, but separate, assessment of short- and long-run effects of a particular variable on military expenditure. We verify the robustness of earlier findings on Middle Power nations’ defense posture. In particular, their military expenditure tends to an income elasticity of greater than one indicating that military power is, at least in part, a status good. In addition, Middle Powers react to threat variables that proxy global instability, such as nuclear power proliferation, and they use foreign aid as a complementary policy tool. Competing demands for funds lead to significant tradeoffs between military and nonmilitary government spending.

'Stock Price Synchronicity and Tails of Return Distribution' (Joint With O. Farooq and M. Bouaddi), Journal of International Financial Markets, Institutions & Money. Elsevier, Volume 37, pp, 1–11, (2015).

Abstract: This paper uses stock price synchronicity to explain the cross-sectional variation in return asymmetries for firms listed in Finland, Sweden, Norway, and Denmark during the period between 2000 and 2012. Our results show that firms with high synchronicity have higher probability of generating heavier positive tails than firms with low synchronicity. We consider better information environment associated with these firms as the main reason behind this result. We argue that investors in these firms react less severely to negative news than investors in firms with low synchronicity. As a result of this asymmetric reaction to negative news, firms with high stock price synchronicity have higher probability of generating heavier positive tails than firms with low synchronicity. Our results are robust across sub-samples of large and small firms and across sub-samples based on geographic boundaries.

'Middle Powers and the Demand for Military Expenditures' (Joint With B. Solomon), Defence and Peace Economics. Francis & Taylor, Vol. 24, No 6, (2014).

Abstract: This paper identifies and classifies middle power nations through the use of broad political science definitions, the demand for military expenditures models and gross domestic product (GDP) per capita. The latter is used as a simple quantifiable measure of relative and potential military power. The paper also develops and utilizes a threat variable that is applicable to middle power nations. The panel data analysis shows that the middle power nations react to threat variables that proxy global instability utilize foreign aid as a complementary policy tool along with military expenditures, and face significant trade-offs between military and non-military government spending.

'Short and Long-Term Effects of the 9/11 Events on Stock Returns: The Case of U.S. Defense Firms' (Joint With N. Essaddam)Journal of Applied Finance & Banking. Vol. 3, No 3, (2013). PDF file available here!

Abstract:  The attack of September 11, 2001 was a major event in the history of the United States of America and the world in general. The attack made a terrible impact on the world financial markets. Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the abnormal returns does not change when we use models that account for time variation of stock return volatility. In the long-term, our results suggest that the US defense firms outperform over a twelve-month period.

'Monetary policy conduct: A hybrid framework', (Joint With N. Essaddam)Journal of Economics and International Finance. Vol. 2 No 7, pp. 127-145, (2010).

Abstract: This paper compares the capability of interest rate rules, namely, inflation targeting (IT), price-level targeting (PT) and a combination of the two regime in a hybrid rule (HT) to improve social welfare in a small-open-economy, DSGE-based, New-Keynesian model. Allowing for some inflation inertia, we develop a small-open-economy version of the Calvo sticky-price model to investigate the relative ability of IT, PT and HT to minimize the variability in domestic inflation and the output gap. Our analyses show that hybrid targeting outperforms other specifications and produces quantitatively good results, compared to those regimes that target only price levels or inflation rates.


'Monetary policy conduct: Technical Appendix'

Abstract: We construct a model that is a variant of a dynamic New-Keynesian model applied to a small-open economy, following Clarida et al (2002) and Gali and Monacelli (2005). In order to make this paper self-contained, key structural equations are presented in this Technical Appendix.


==> Gauss Codes

'The Macroeconomic Effects of Monetary Policy and Financial Crisis'The Journal of Humanities and Social Sciences (Çankaya University - JHASS). Vol. 7/1 No 1, pp. 1-35, (2010).

Abstract: Vector autoregressive models have been widely used in recent years to analyze the effects of monetary policy shocks. Focusing on the US postwar data, we incorporate new measures of financial and monetary policy shocks in VAR systems to test whether both perturbations have real effects on output and on the economy as a whole. We find econometric evidences that these frictions are exogenous. The exogenous nature and real effects on the economy of shocks to monetary policy and stock market crashes shed new light on the debate relates to the role of monetary policy in the aftermath of financial crisis, and then the eventual relationship between optimal monetary policy and financial stability.

'Equity Premium in Small Open Economy'Euro-Mediterranean Economics and Finance Review (EMEFR). Vol. 4 No 2, pp. 53-69, (2009). PDF file available here!

Abstract: It is now well known that the RBC models have enjoyed successful results in explaining the dynamics of the business cycle variables but fail to replicate similar interesting stylized facts while studying the behavior of asset prices. One line of progress for solving this shortcoming has been to modify utility to account for habit persistence and to incorporate capital adjustment costs. This paper study a small open economy general equilibrium model along with asset pricing formula based on the lognormality of the disturbance distribution. Our results stipulate that extending models with habit forming preferences and capital adjustment cost fails to account for a substantial equity premium in a small open economy environment.



Other Scholarly Publications and Manuscripts

'Inflation-Price-Level Targeting in a Small Open Economy with Imperfect Pass-Through'

Abstract: This paper tries to address the quantitative implications of various monetary policy regimes in a tractable framework suitable for the analysis of monetary policy in a small open economy environment. The model incorporates exchange rate imperfect pass-through and nominal rigidities. We also address the welfare implications of these policy regimes and found that price-level targeting policy performs well and provides an alternative method for conducting successful monetary policy in the case of a small-open economy.

'The Continuous Hidden Threshold Mixed Skew-Symmetric Distribution'

Abstract: This paper explores a way to construct a new family of univariate probability distributions where the parameters of the distribution capture the dependence between the variable of interest and the continuous latent state variable (the regime). The distribution nests two well known families of distributions, namely, the skew normal family of Azzalini (1985) and a mixture of two Arnold et al. (1993) distribution. We provide a stochastic representation of the distribution which enables the user to easily simulate the data from the underlying distribution using generated uniform and normal variates. We also derive the moment generating function and the moments. The distribution comprises eight free parameters that make it very flexible. This flexibility allows the user to capture many stylized facts about the data such as the regime dependence, the asymmetry and fat tails as well as thin tails.

'Déterminants empiriques du taux de change Canada/États-Unis dans une perspective de court et de long terme'

Abstract:  This paper emphasizes on the fundamental macroeconomic variables affecting the Canadian exchange rate. Throughout this work, we use the classical monetary theory and try to validate it in the case of the bilateral exchange rate between Canada and USA. Using an extended version of the model of Chin (2000) and the equilibrium of both the monetary and financial markets we determine the macroeconomic variables to introduce in such a model. Our results show that the estimated monetary model manages to reproduce general dynamics of the exchange rate and even has to exceed the moving average model within the forecast framework.

                                                                                             PDF Full Text Here

↑Back to top.


Page Last Updated : --- Friday, April 07/2017 ---


Home     |    Curriculum Vitae      |    Teaching      |    Research    |    Various Topics   |    Contact Me