Economics and Finance Ph.D. Candidate at Curtin University. Interested in Macroeconomics, Monetary Economics, Financial Economics and Economic Development.
Abstract [+] [–] We provide new evidence of international spillover of US monetary policy considering three transmission channels in an integrated framework. In this framework, we use a comprehensive dynamic time and frequency domain analysis and identify the main transmission channel (spillover) of US monetary policy to be through interest rates followed by asset prices (mainly through the consumer discretionary sector), and the exchange rate channels. We find that the most significant spillover was at the onset of the COVID-19 pandemic, with other peak transmissions being during the European sovereign debt crisis (ESDC) and the global financial crisis (GFC). As a novel contribution to the identification of monetary policy shocks, we show that these spillovers can be used as external instruments to remove the price puzzle for Australia. We further show that US monetary policy could undermine Australia’s monetary policy. Our findings suggest international interest rate-channel as the dominant transmission channel for cross-country monetary policy spillovers.
International Review of Economics & Finance, 2026, 106
Abstract [+] [–] This paper investigates the spillover dynamics, hedging and portfolio optimisation strategies among tourism, cryptocurrency, and Fintech markets within a time-varying connectedness framework, accounting for spillovers from traditional financial markets. Using daily return indices, we document significant heterogeneity in spillovers over time, with the COVID-19 period exhibiting the highest levels of interconnectedness. Traditional financial markets emerge as the dominant net transmitters of spillovers, followed by the Fintech sector, while the tourism market is predominantly a net receiver. Cryptocurrency assets, despite offering the least expensive hedge, are ineffective hedging instruments, whereas tourism assets offer the most cost-effective and efficient hedge for cryptocurrencies, albeit at elevated risk levels. While, sectoral hedges are generally costlier and less effective due to strong co-movements, cross-sectoral hedges between Fintech and traditional financial markets were also expensive and ineffective. Our analysis further reveals that dynamic bilateral portfolio weight strategies consistently outperform dynamic hedge ratio strategies, with cryptocurrency assets driving superior portfolio returns. The minimum connectedness portfolio strategy, grounded in our framework, outperforms traditional minimum variance and correlation portfolio strategies, underscoring its relevance for optimizing risk-adjusted returns in dynamic markets.
Abstract [+] [–] This paper develops a dynamic Ramsey-Cass-Koopmans (RCK) model to analyse the macroeconomic impact of terrorism-induced fear on tourism and growth. We introduce a behavioural mechanism where households’ utility from tourism consumption is distorted by a time-varying security perception index, Θ(t), which declines following terrorist attacks. This fear channel reduces savings and investment, slowing capital accumulation and long-run growth. Our model also incorporates government intervention through public safety investment aimed at restoring confidence. We evaluate three scenarios: i) one-time shock; ii) persistent fear; and iii) policy-driven recovery, and simulate their effects on capital, consumption, and welfare. Our results show that persistent fear leads to the greatest welfare loss, while rapid policy-driven recovery can paradoxically destabilize investment if not properly calibrated. Our paper highlights the trade-offs in post-terrorism policy design and offers new theoretical insights into how behavioural responses to insecurity can shape macroeconomic trajectories in tourism-dependent economies.
(with Joshua Y. Abor, Elikplimi K. Agbloyor, and Lei Pan)
Empirical Economics, 2024, 1-14
Abstract [+] [–] We examine the impact of foreign direct investment (FDI) on financial inclusion. To identify the causal effect of FDI on financial inclusion, we use plausibly exogenous source of variations in bilateral investment treaties (BITs) as a novel instrumental variable (IV) for net FDI inflows. Using annual data for a broad panel of 90 countries over the period 2004 to 2017, our results show that FDI improves financial inclusion for both “access to finance" and “use of financial services". This impact is more pronounced for relatively poor countries and developing countries compared to rich and developed countries. We also find that higher financial market development and quality institutions improve financial inclusion directly. Moreover, financial market development and institutional quality can serve as potential channels and moderating variables through which FDI affects financial inclusion. Our results are robust to various estimations and sample splitting and have important implications for policy on financial inclusion.
(with Aviral K. Tiwari, Emmanuel J. A. Abakah, and Chi-Chuan Lee)
Applied Economics, May 2024, 415–419
Abstract [+] [–] This research investigates time-varying volatility spillovers and connectedness among European stock markets during the COVID-19 pandemic and the Russia – Ukraine war, two events that destabilized global markets. With data from 20 European stock markets spanning 17 December 2019, to 17 March 2022, we employ the TVP-VAR model and estimate volatility using the Markov-switching multifractal volatility technique. Findings from log-volatility estimates suggest that markets are highly connected, with price movement driven mainly by spillover effects from other markets in the same region. Most emerging markets are net receivers of volatility, with most of Europe’s major markets being net transmitters of shocks. The COVID-19 pandemic appears to have impacted European stock markets more than the Russia – Ukraine war. Shifting to the results obtained based on MSM volatility estimates, we find that markets strongly correlate for both high and low volatility. In the case of a high volatility regime, we document the dominance of Finland, Denmark, and Iceland over major European markets. In contrast, under a low volatility regime, we note the dominance of major markets, including the UK and France, over emerging markets in Europe. The findings reveal the diversification potential of emerging European stock markets.
Scottish Journal of Political Economy, 2024, 71(3), 276–294
Abstract [+] [–] This paper examines the impact of access to electricity on financial development. In doing so, we use a number of instrumental variables (IV) approaches. Using panel data for 38 countries in Sub‐Saharan Africa over the period 2000–2018, the results suggest that more people having access to electricity can promote financial development. In addition, mobile phone and commercial bank branches diffusion serve as potential channels through which access to electricity affects financial development. Our results are robust to sample‐splitting and different estimation techniques. The results have important implications for policies in overcoming barriers to electricity access.
(with Elikplimi K. Agbloyor, Lei Pan and Agyapomaa Gyeke-Dako)
Finance Research Letters, 2023, 757, 104244
Abstract [+] [–] This paper examines the factors that predict an IMF bailout. In doing so, we use a large dataset from 1993 to 2021 with 6550 observations and 138 features and adopt recent advances in machine learning and artificial intelligence models such as tree-based, boosting and artificial neural network techniques. We find that apart from traditional indicators such as debt and macroeconomic factors; agricultural, energy, health and social factors are strong predictors of an IMF bailout. These factors have hitherto not received much attention in the literature.
(with Aviral K. Tiwari, Emmanuel J. A. Abakah, and David Gabauer)
Global Finance Journal, 2022, 51, 100692
Abstract [+] [–] This study has been inspired by the emergence of socially responsible investment practices in mainstream investment activity as it examines the transmission of return patterns between green bonds, carbon prices, and renewable energy stocks, using daily data spanning from 4th January 2015 to 22nd September 2020. In this study, our dataset comprises the price indices of S&P Green Bond, Solactive Global Solar, Solactive Global Wind, S&P Global Clean Energy and Carbon. We employ the TVP-VAR approach to investigate the return spillovers and connectedness, and various portfolio techniques including minimum variance portfolio, minimum correlation portfolio and the recently developed minimum connectedness portfolio to test portfolio performance. Additionally, a LASSO dynamic connectedness model is used for robustness purposes. The empirical results from the TVP-VAR indicate that the dynamic total connectedness across the assets is heterogeneous over time and economic event dependent. Moreover, our findings suggest that clean energy dominates all other markets and is seen to be the main net transmitter of shocks in the entire network with Green Bonds and Solactive Global Wind, emerging to be the major recipients of shocks in the system. Based on the hedging effectiveness, we show that bivariate and multivariate portfolios significantly reduce the risk of investing in a single asset except for Green Bonds. Finally, the minimum connectedness portfolio reaches the highest Sharpe ratio implying that information concerning the return transmission process is helpful for portfolio creation. The same pattern has been observed during the COVID-19 pandemic period.
(with Aviral K. Tiwari, Emmanuel J. A. Abakah, and Salma Mefteh-Wali)
Applied Economics, 2022, 54(22), 2554–2569.
Abstract [+] [–] This paper provides a comparative analysis of how the energy-sector stocks of 20 regional blocs (Americas, Australasia, BRIC, Southeast Asia, Scandinavia, Southern Europe, Far East, Europe, European Union, Emerging Europe, Asia, G7, G12, Economic and Monetary Union (EMU), CCARBNS, Latin America, North America, PIIGS, Asia-Pacific and NORCS) are connected from 5 July 1994 to 21 April 2020. It uses various techniques: Diebold and Yilmaz (2014)(DY 2014, hereafter) spillover indices and TVP-VAR, LASSO-VAR. Our main results are as follows: First, the DY approach results show that the biggest net contributor of volatility is the CCARBNS region, followed by the G12 and G7 regions, while the biggest receiver of volatility is the Southeast Asia region. Second, the TVP-VAR and LASSO-VAR results reveal that Scandinavia, Far East, and America’s regions are net receivers of energy shocks, with net transmitters being CCARBNS, G7, G12 and Emerging European regions. Third, during the 2007–2008 financial crisis and recent COVID-19 outbreak, energy stock market spillovers have reached unprecedented high levels. Fourth, the world policy uncertainty greatly influenced the magnitude of volatility spillovers across regional energy stock markets.
(with Eric F. Oteng-Abayie, and Emmanuel K. Mensah)
Empirical Economics, 2022, 63(3), 1489-1542.
Abstract [+] [–] We test the bank lending channel of monetary policy in Africa and examine the role of bank cost efficiency in this relationship. We use the stochastic metafrontier approach to estimate cost efficiency scores of 447 commercial banks in Africa. The fixed effect (FE) estimator is used as the baseline estimation method. The 2SLS instrumental variables (IV) and two-step system GMM approaches are used as main estimation techniques to control for endogeneity. The results consistently show the existence of the bank lending channel in Africa: thus, bank credit responds to changes in monetary policy rate. Again, we find strong evidence to show that higher cost efficiency leads to higher loan growth. The results further show that cost-efficient banks are less responsive to monetary policy shocks. The evidence suggests that bank cost efficiency weakens the bank lending channel. This implies that the effect of monetary policy on bank lending depends not only on bank size, capitalization, and liquidity as espoused in the literature but also on bank efficiency. The results are robust in formal sample-splitting. Policy implications are discussed.
Abstract [+] [–] The study investigates the impact of business regulations, policies and institutions on welfare in Sub-Saharan Africa. The HDI and GDP per capita are used as measures of welfare or poverty. The World Bank doing business indicators are used as business regulatory measures and the Country Policy and Institutional Assessment are also used as policies and institutional quality measures. The study employs systems GMM estimation technique in examining these relationships. The results show improved welfare in SSA countries to be associated with less burdensome regulations on starting business. The results reveal that merely pursing regulations in respect of business operations and closure such as those related to getting electricity, protecting minority interest, paying taxes and resolving insolvency as a strategy to improve welfare directly does not work unless done within a milieu of sound policies and institutions. There are however threshold values at which policy and institutional quality indexes can complement regulations to improve welfare. Following a formal sample-splitting, the study finds some differences in these relationships explained by the income status as well as the legal origin of the countries. Policy implications are well discussed.
(with Felix Chan, Elizabeth L. Jackson and László Mátyás)
Seven Decades of Econometrics and Beyond, 2025, 77–105
Abstract [+] [–] Marc Nerlove in his seminal work published in 1956 (Nerlove, 1956) explored the relevance of price expectations in agricultural production and how these may affect supply elasticities. This chapter extends the ‘Nerlovian model’ by taking into account some recent developments in panel data econometrics, volatility modelling and data availability. These new models are then estimated and tested using some FAO data sets. It turns out that although these fresh results shed a slightly different and more nuanced light on Nerlove’s original model, his approach is still relevant these days almost seven decades after its original insemination.
(with Elikplimi K. Agbloyor, Lei Pan, and Ali Sheikhbahaei)
The Routledge Handbook of Infrastructure Finance, 2025, 21
Abstract [+] [–] This chapter examines the evolving role of private equity (PE) in global infrastructure investment, addressing its contributions, challenges, and outlook. As governments face fiscal constraints, PE has emerged as a crucial funding source, enabling large-scale infrastructure projects across sectors like energy, transportation, and telecommunications. The analysis highlights PE's role in accelerating project timelines, enhancing operational efficiency, and closing funding gaps, particularly through public–private partnerships (PPPs). However, the alignment of short-term profit motives with the long-term needs of public infrastructure poses challenges alongside regulatory and political risks. The chapter also explores the impact of environmental, social, and governance (ESG) trends and regulatory shifts on PE's strategic direction, emphasising sustainable infrastructure as a growth area. Concluding with a forward-looking perspective, this study underscores PE's transformative potential in infrastructure while advocating balanced policies to safeguard the public interest.
