Research
Publications
“Local Employment Effect of Housing Market: A Forecasting Perspective Information” (with N. Kundan Kishor, Gooan Nam, and Majid Haghani Rizi), Journal of Housing Economics, Forthcoming.
“Forecasting the volatility of agricultural commodity futures: The role of covolatility and oil volatility” (with Jiawen Luo and Qiang Ji), Journal of Forecasting, Forthcoming.
“Dynamic Contentedness and Spillovers across Sectors: Evidence from Indian Stock Market” (with David Gabauer and Ioannis Chatziantoniou), Scottish Journal of Political Economy, Forthcoming.
“What Does Foreign Flows Tell Us About Stock Market Movements in the Presence of Permanent and Transitory Shocks?” Studies in Economics and Finance, 2022, Vol 39(2), 219-238.
“Is the Future Really Observable? A Practical Approach to Model Monetary Policy Rules.” Empirical Economics, 2021, Vol 61(3), 1189-1223.
"Machine Learning Predictions of Housing Market Synchronization across US States: The Role of Uncertainty'' (with Rangan Gupta, Christian Pierdzioch, and Afees A. Salisu), The Journal of Real Estate Finance and Economics, 2021, 1-23.
“Dynamic Impact of Unconventional Monetary Policy on International REITs” (with Rangan Gupta and Keagile Lesame), Journal of Real Estate Portfolio Management, 2021, Vol 14(9), 429.
“Estimating Excess Sensitivity and Habit Persistence in Consumption Using Green Book Forecast as an Instrument” (with N. Kundan Kishor and Vipul Bhatt) Oxford Bulletin of Economics and Statistics, 2020, Vol 82(2), 257-284.
“125 Years of Time-Varying Effects of Fiscal Policy on Financial Markets.” (with Stephen Miller and Rangan Gupta) International Review of Economics and Finance, 2020, Vol 82(2), 257-284.
“House price synchronization across the US states: The role of structural oil shocks” (with Xin Sheng, Rangan Gupta, and Qiang Ji), North American Journal of Economics and Finance, 2021, Vol 56, 101372.
“Dynamic Impact of the U.S. Monetary Policy on Oil Market Returns and Volatility” (with Rangan Gupta and Esin Cakan) Quarterly Review of Economics and Finance, 2021, Vol 80(1), 159-169.
“Modeling House Price Synchronization across the U.S. States and their Time-Varying Macroeconomic Linkages” Journal of Time Series Econometrics, 2021, Vol 13(1), 73-117.
“Time-Frequency Linkages of Global Housing Markets and Macroeconomy.” International Journal of Housing Markets and Analysis, 2021, Vol 14 (4), 652-679.
“Evaluating the Forecasting Power of Foreign Country’s Income Growth: A Global Analysis” Journal of Economic Studies, 2020, Vol. 47(5), 1071-1092.
“Predicting Housing Market Sentiment: The Role of Financial, Macroeconomic and Real Estate Uncertainties” (with Christophe Andre and Rangan Gupta), Journal of Behavioral Finance, 2020, 1-23.
“Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment.” (with Petre Caraiani, Rangan Gupta, and Chi Keung Marco Lau) Journal of Behavioral Finance, 2020,1-13.
“Uncovering the Global Network of Economic Policy Uncertainty.” (with Wan- Li Zhao and Qiang Ji) Research in International Business and Finance, 2020, Vol 53(1): 101223.
“Forecasting Interconnections in International Housing Markets: Evidence from the Dynamic Model Averaging Approach” Journal of Real Estate Research, 2020, Vol 42(1): 37-104.
“Investors’ Risk Perceptions in the US and Global Stock Market Integration” Research in International Business and Finance, 2020, Vol 52(1): 101169.
“Effect of Uncertainty on U.S. Stock Returns and Volatility: Evidence from Over Eighty Years of High-Frequency Data” (with Rangan Gupta and Eric Olsen) Applied Economics Letters, 2020, Vol 27(16): 1305-1311.
“Exploring the Shadow Banking System: The Dynamic Relationship Among the Money Market Funds, Commercial Paper and the Repo Market” (with Kundan Kishor and Majid Haghani) The European Journal of Finance, 2019, Vol 25(5): 395-414.
“Jumps in Developed Stock Markets: The Role of Monetary Policy Committee Meetings” (with Rangan Gupta, Chi Keng Marco Lau, and Ruipeng Liu) Journal of Economics and Finance, 2019, Vol 43(2), 298-312.
“Time-varying response of Treasury yields to monetary policy shocks: Evidence from the Tunisian bond market” (with Lassaad Mbarek and Sonja Juko) Journal of Financial Regulation and Compliance, 2019, Vol 27(4): 422-442.
“Assessing Monetary Policy Co-movement and Spillovers among BRICS Economies” (with Semih Cekin and Menelik S. Geremew) Applied Economics Letters, 2019, Vol 26(15), 1253-1263.
“Oil Speculation and Herding Behavior in Emerging Stock Markets” (with Esin Cakan, Riza Demirer, and Rangan Gupta) Journal of Economics and Finance, 2019, Vol 43(1): 44-56.
“Information Spillover across International Real Estate Investment Trusts: Evidence from an Entropy-Based Network Analysis” (with Quang Ji and Rangan Gupta) The North American Journal of Economics and Finance, 2018, Vol 46(1): 103-113.
“Forecasting House Prices in OECD Economies” (with Kundan Kishor) Journal of Forecasting, 2018, Vol 37(2): 170-190.
“Geopolitical Risks and Movements in Islamic Bond and Equity Markets: A Note” (with Elie Bouri, Riza Demirer, and Rangan Gupta) Defense and Peace Economics, 2018, 1-13.
“Understanding Attitudes About Electronic Cigarettes Among Non-Users” (with Mathew Olonoff, Christina Ciecierski and Brian Hitsman). International Journal of Behavioral Medicine, 2018, Vol 25(Suppl 1): S150-S151.
“High Frequency Impact of Monetary Policy and Macroeconomic Surprises on US MSAs, Aggregate US Housing Returns and Asymmetric Volatility” (with Wendy Nyakabawo and Rangan Gupta) Advances in Decision Sciences, 22nd Anniversary Special Issue, 2018, Vol 22(1): 1-25.
“Estimating New Keynesian Phillips Curve for the U.K.: Evidence from Inflation- Indexed Bond Markets” The B.E. Journal of Macroeconomics, 2018, Vol 18(1).
“The Impact of Unconventional Monetary Policy Shocks in the U.S. on Emerging Market REITs” (with Rangan Gupta) Journal of Real Estate Literature, 2018, Vol 26(1): 175-188.
“A Fresh Look at Integration of Risks in the International Stock Markets: A Wavelet Approach” Review of Financial Economics, 2017, Vol 34: 33-49.
“The International REIT’s Time-Varying Response to the U.S. Monetary Policy and Macroeconomic Surprises” (with Rangan Gupta and Esin Cakan) North American Journal of Economics and Finance, 2017, Vol 42: 640-653.
“The Dynamic Relationship between Housing Prices and the Macroeconomy: Evidence from OECD Countries” (with N. Kundan Kishor). The Journal of Real Estate Finance and Economics, 2017, Vol 54(2): 237-268.
“The Role of Push and Pull Factors in Driving Global Capital Flows” Applied Economics Quarterly, 2016, Vol 62(2): 117-146.
“Monetary Policy’s Time-Varying Impact on the US Bond Markets: Role of Financial Stress and Risks” North American Journal of Economics and Finance, 2015, Vol 34: 103-123.
“Impact of Uncertainty on High Frequency Response of the U.S. Stock Markets to the Fed’s Policy Surprises” Quarterly Review of Economics and Finance, 2014, Vol 54(3): 382-392.
“The Time-Varying Response of Foreign Stock Markets to U.S. Monetary Policy Surprises: Evidence from the Federal Funds Futures Market” (with N. Kundan Kishor). Journal of International Financial Markets, Institution & Money, 2013, Vol 24: 1-24.
“Does Federal Funds Futures Rate Contain Information about the Treasury Bill Rate?” (with N. Kundan Kishor). Applied Financial Economics, 2013, Vol 23(16): 1311-1324.
Working Papers
“The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom”(with Oguzhan Cepni and RanganGupta) Under Review
“Which Sectors Hold the Key to Future Economic Growth? Insights from the Financial Markets.” Under Review
“Estimating U.S. housing price network connectedness: Evidence from dynamic elastic net, lasso, and ridge vector autoregressive models” (with David Gabauer, Rangan Gupta, and Stephen M. Miller) Under Review
“Co-volatility and asymmetric transmission of risks between the global oil and China’s commodity futures markets” (with Jiawen Luo and Qiang Ji) Under Review
“The non-linear response of US state-level tradable and non-tradable inflation to oil shocks: The role of oil-dependence”(with Xin Sheng and Rangan Gupta) Under Review