Forecasting Return of Petrochemical Industry Index in Tehran Stock Market Using Long Memory Model (with Farhad Ghaffari and Teimur Mohammadi), 2017, Quarterly Iranian Journal of Applied Economics. [In Farsi] See the details here.
Fiscal Incentives for Health Improvement: Repurposing Consumption Taxes on Food (FINCH), (with Franco Sassi, Matteo Richiardi, and Agathe Simon).
Abstract: The central research question in FINCH is whether indirect taxes on food and non-alcoholic beverages (FNABs) can be repurposed and restructured to create incentives for healthy food consumption, without increasing the tax burden on households and without adverse distributional impacts relative to the current taxation system.... . See the details here.
Abstract: This paper examines systemic risk in the core international banking system using the network-based eigen-pair method in contrast to the common market price-based Systemic Risk Indexes (SRIs). In this study, the quarterly balance sheet data of the cross-border banking system are used to construct the generalized stability network of the Core Global Banking System (CGBS) for 19 reporting BIS countries in the span of 2005 to 2020. Our findings show the early warning signal for the Global Financial Crisis (GFC) in 2007-2008 and highlight the inherent instability of the global banking system throughout the whole sample period. Furthermore, the paper identifies systemically important and vulnerable banking systems using network eigenvector centrality metrics. Our results show the threatening role of the US, UK, and Spanish banking systems, and the possible consequences of the failure of these banking systems in the international banking system. Download the draft here.
Abstract: This paper investigates liquidity dynamics in financial and monetary markets, particularly within a network economy, emphasizing the importance of understanding liquidity for financial stability and economic health. The research utilizes the Structural Vector Autoregression (SVAR) model and employs both Cholesky decomposition and B-model identification to analyze causal relationships and capture complex dynamics in the US economy. The study highlights the significance of disruptions in debt payments by firms and the role of the money market in financing current liabilities. The findings also reveal the crucial role of the quick ratio and network effect in the economy’s business cycle compared to other variables. Robustness checks using different identification methods and network measures validate the reliability of findings. Policymakers, regulators, and market participants can utilize these insights to manage liquidity risks effectively and establish resilient frameworks, promoting market stability and overall economic well-being. Download the draft here.
Abstract: This paper utilizes quarterly balance sheet data from cross-border banking systems to examine the network of the Core Global Banking System (CGBS) across 19 reporting BIS countries from 2005 to 2020. This study focuses on assessing systemic risk related to liquidity in the core international banking system through the application of the network-based eigen-pair method. We use the liquid assets and short-term liabilities on the balance sheets to investigate liquidity issues within the global banking system. Our systemic risk index not only provided an early warning signal for the Global Financial Crisis (GFC) of 2007-2008 but also revealed the persistent instability of the system throughout the sample period, emphasizing the urgent need for measures to stabilize the system. Additionally, this paper updates the ranking of systemically important and vulnerable banking systems using new variables. Our results continue to highlight the significant impact of the US and UK banking systems on systemic stability. (coming soon)