Dr Alaa Soliman

This book looks into the relationship between financial development, economic growth, and the possibility of a potential capital flight in the transmission process. It also examines the important role that financial institutions, financial markets, and country-level institutional factors play in economic growth and their impact on capital flight in emerging economies. By presenting new theoretical insights and empirical country studies as well as econometric approaches, the authors focus on the relationship between financial development and economic growth with capital flight in the era of financial crisis. Therefore, this book is a must-read for researchers, scholars, and policy-makers, interested in a better understanding of economic growth and financial development of emerging economies alike.

This paper selects a multivariate panel data approach to understand and analyse the renewable energy augmented production function, with particular emphasis the importance of the association between capital, labour, output, the consumption of renewable energy, inflation, and trade for the eight Middle East and North Africa countries. Unlike previous studies which are not decisive on the channel by with renewable energy consumption affects trade and economic growth, we model renewable energy in the growth process as a primary element of technological development in the endogenous growth model. Utilising data between 2000 and 2016 and employing panel co-integration tests, the key findings demonstrate evidence of a longstanding association between the variables. Additionally, a bi-directional causality between real Gross Domestic Product and inflation was found. Significantly, the study found evidence of two uni-directional causalities running from inflation to renewable energy and from renewable energy to economic growth. The findings deliver an alternative macroeconomic interpretation for the influence of inflation on factor input substitution. The findings also emphasise the critical role that renewable energy plays in the production process and its comprehensive and positive economic effects.

This study examines the co-movement between geopolitical risk (GPR), energy price, and bitcoin (BTC) in BRICS countries, namely Brazil, Russia, India, China, and South Africa. Previous studies have focused on the impact of GPR on the volatility and risk premium of BTC investment. However, very limited studies have focused on integrating BTC as an extension of the mix of GPR on the co-movement with energy price. The analysis is based on monthly data of GPR index for BRICS countries, brent oil futures, natural gas futures and BTCs covering the period between March 2012 and Jun 2021. We employ the Bayesian graphical structural vector autoregressive model and time-varying parameter vector autoregressions-based dynamic connectedness to investigate the network-dependence structure. This research project provides useful empirical evidence for assessing the impact of both BTC and GPR on energy prices. Nonetheless, it will also be informative about the likelihood of co-movements occurring at different stages.

This study examines the causality relationship between oil price movements and geopolitical risks for a group of 18 geopolitically sensitive countries, using monthly data by implementing all quantiles distributions. Contrary to earlier studies, which have applied the Granger‐causality through the conditional mean regression, this research estimates the association between the variables through Granger causality within quantiles. Evidence of a two‐way causality is found linking the changes in geopolitical risk and fluctuations in oil prices in the case of Thailand, Argentina, Israel, China, Mexico India, Korea, Indonesia, South Africa, Turkey, Philippines, Venezuela, Ukraine, and others. In addition, it is confirmed that oil prices Granger cause geopolitical risks for the countries like Brazil, Malaysia, and Colombia. Furthermore, a one‐way causality direction is found from changes in geopolitical risk to shifts in oil prices in Russia and Saudi Arabia, which are observed as super oil rich states. This study findings highlight the importance of government policies and business strategies that aim at containing the effects of geopolitical risk and the resulting oil price movements.

© 2012, Econjournals. All rights reserved.This paper analyses the relationship between monetary policy and the stock market with the aim of gaining new insights into the transmission mechanism of monetary policy. The empirical findings shed light on the importance of stock prices for money demand and therefore provide useful information to monetary authorities to decide on policy actions. A technique developed by Wickens and Motto (2001) for identifying shocks by estimating a VECM for the endogenous variables is employed. The reported evidence suggests that stock markets play a significant role in the money demand function.

This study, using quarterly data from Egypt and Iran, extends the literature on demand for money by examining the stability of money demand functions in two different monetary policy regimes, an Islamic banking system and a conventional banking system. A stable demand for money enables central banks accurately to predict the demand for money and hence attain a price stability objective through the adjustment of the money supply. This paper adopts a restructured form of Friedman's (1956) model, which considers real demand for money as an extension to the theory of demand for durable goods. The study estimates the long-run demand for money functions in Iran, which represents an Islamic banking system, and Egypt, which represents a conventional banking system. The study then examines empirically the stability of the demand for money function under two different financial systems. The study finds that the demand for money function is stable under the Islamic banking system and unstable under the interest-based banking system.

This paper analyses the relationship between monetary policy and the stock market with the aim of gaining new insights into the transmission mechanism of monetary policy. The empirical findings shed light on the importance of stock prices for money demand and therefore provide useful information to monetary authorities to decide on policy actions. A technique developed by Wickens and Motto (2001) for identifying shocks by estimating a VECM for the endogenous variables is employed. The reported evidence suggests that stock markets play a significant role in the money demand function.

This paper addresses the question: does stock market development cause growth? It examines the causal linkage between stock market development, financial development and economic growth. The argument is that any inference that financial liberalisation causes savings or investment or growth, or that financial intermediation causes growth, drawn from bivariate causality tests may be invalid, as invalid causality inferences can result from omitting an important variable. The empirical part of this study exploits techniques recently developed by Toda and Yamamoto (1995) to test for causality in VARs, and emphasises the possibility of omitted variable bias. The evidence obtained from a sample of seven countries suggests that a well-developed stock market can foster economic growth in the long run. It also provides support to theories according to which well-functioning stock markets can promote economic development by fuelling the engine of growth through faster capital accumulation, and by tuning it through better resource allocation.

This study offers new insights into fiscal policy management by providing an alternative to the traditional way of estimating guarantee It therefore takes away the need for guesswork amongst policy makers in estimating contingent liability. The findings confirm the long held belief that fundamental risk consideration should influence the choice of method in calculating value at risk which will be guaranteed by government. The study confirms that political consideration influences the governance risk indicator which is used to calculate the governance risk factor and that a default by government on guarantees for public private partnership transactions will have a negative impact on the debt while also providing a valuable path in the choice of “fundamental risk” indices in determining the value at risk.

This study examines the intertwined effects of geopolitical risk and globalization on productive capacity (the measure of economic cycles) in 20 Organisation for Economic Cooperation and Development (OECD) countries from 2000 to 2021. The panel threshold regression and Driscoll-Kraay standard error estimations highlight the positive impact of globalization on productive capacity. Still, they are underscored by the negative effect of geopolitical risk. The study also unveils a synergistic relationship, demonstrating that the combined influence of globalization and geopolitical risk can amplify productive capacity under specific conditions. Government effectiveness and innovation have positive effects on productive capacities. These findings underscore the need for balanced policies that leverage global economic integration while ensuring geopolitical stability, and offering nuanced insights to guide strategic decision-making for sustained economic cycles.

This paper re-examines the relationship between stock market development and economic growth. It provides a theoretical basis for establishing the channel through which stock markets affect economic growth in the long run. It examines the hypothesis of endogenous growth models that financial development causes higher growth through its influence on the level of investment and its productivity. The empirical part of this study exploits techniques recently developed to test for causality in VARs. The evidence obtained from a sample of four countries suggests that investment productivity is the channel through which stock market development enhances the growth rate in the long run. © Blackwell Publishing Ltd 2005.

This study investigates how the implementation of Enterprise Risk Management program affects the performance of firms using an Enterprise Risk Management model for the banking sector and an integrated model for measuring Enterprise Risk Management index used in the study by Mukhtar and Soliman (2016). Ten listed commercial banks were selected with the Enterprise Risk Management index as the main independent variable, with Return on Average Equity (ROAE), Share Price Return (SPR) and Firm Value (FV) used as three separate dependent variables. The study provides strong evidence of a positive relationship between Enterprise Risk Management implementation and performance in the Nigerian banking sector. The findings and conclusions of this study are consistent with those of other studies that used data from different industries, providing a basis from which to generalize the findings from this study to firms in other industries.

This paper investigates the effects of inflation in the UK energy, agriculture and consumer sectors on agricultural output, using monthly data between February 2015 and October 2022. Existing studies on agricultural inflation – agflation – explore the impact on economic activity vis-a-vis unemployment, consumption, interest rates and agricultural production. In this paper, we consider some of the causes of agflation, particularly the role of energy prices that are of great importance at the time of writing, to the supply of food. In addition, we consider the broader context of energy price fluctuations and uncertainty. Our approach adopts a Non-Linear Autoregressive Distributed Lag (NARDL), Structural Vector Auto Regression model (SVAR), including impulse response analysis. Our findings suggest the increase in energy inflation agflation and CPI, adversely affect agricultural output, while decreases in energy inflation, agflation and CPI positively affect agricultural output in the UK. These should be of significant interest to hedge fund managers, institutional investors and economic policymakers, particularly with regard to hedging and portfolio risk diversification strategies.

This paper provides both theoretical and empirical evidence for assessing the relationship between bank capitalisation and stock market liquidity. It estimates a bivariate VAR-GARCH (1.1) model to examine the linkage between bank capitalisation and stock market liquidity in Nigeria using annual data covering the period from 1986 to 2014. The findings of this paper show that bank capitalisation enables banks to give out more loans to the public and this increase in lending has a positive impact on stock market liquidity growth. The findings support the view that capitalised banks are well equipped to absorb and diversify risk, give out more loans, improve liquidity in the economy and improve stock market performance.

The purpose of this research paper is to examine the proposition that capacity utilisation is an important factor in the determination of unemployment and wages. Underlying this proposition is the notion that capacity utilisation helps to determine the future path of the economy and is a significant factor in the response of the economy to different supply and demand shocks. We derived capacity utilisation and unemployment relationships, which were estimated and tested using data covering from 1997 to 2016 for three West Africa countries. The results suggest that long-term unemployment and capacity utilisation have a significant impact on unemployment. The policy implications of our findings are that in view of the strong effect of capacity utilisation on unemployment, programmes that enhance efficiency in production and investment enhancing policies may allow unemployed to regain access to the labour market.

This paper analyses the impact of geopolitical risk on carbon dioxide (CO2) emissions inequality in the panel dataset of 38 developed and developing economies from 1990 to 2019. At this juncture, the empirical models control for the effects of globalisation, capital-labour ratio, and per capita income on CO2 emissions inequality. The panel cointegration tests show a significant long-run relationship among the related variables in the empirical models. The panel data regression estimations indicate that geopolitical risk, capital-labour ratio, and per capita income increase CO2 emissions inequality. However, globalisation negatively affects CO2 emissions inequality in the panel dataset of 38 developed and developing countries. The pairwise panel heterogeneous causality test results align with these benchmark results and indicate no reverse causality issue. Potential policy implications are also discussed.

The book explores the synergy between green growth strategy and green finance policy (2G) and carbon neutrality in an economic-environmental-financial framework that helps readers understand how to design a feasible path toward achieving ...

This paper examines the short-, medium-, and long-run dependence structures for all distribution quantiles among carbon emissions prices, crude oil prices, natural gas prices, and geopolitical risks in Brazil, China, India, Russia, and South Africa from January 2003 to September 2019. The paper utilises the volatility spillover approach of Diebold-Yilmaz to identify the dependence structure among crude oil prices, natural gas prices, carbon emissions prices, and geopolitical risks within the variational mode decomposition-based copula method. It is observed that dependence structure across geopolitical risks and oil prices is time and frequency varying. It is also found that the dependence structure across geopolitical risks and oil prices is positive and valid at different periods and quantiles. The evidence has policy implications for hedging and portfolio risk diversification strategies and policymakers.

This research paper investigates the various dependence structures across oil prices, emission prices and stock markets for Middle East and Gulf Cooperation Council (GCC) countries. This study enables us to form a judgement on how the phased implementation of Kyoto protocol and COP26 on climate change is likely to be translated into changes in policy multipliers as the changes feed into the real economy through stock market movements. We employ the spillover index developed by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018) to identify the most strongly related stock index to oil price return. Also, we investigate how emission price (which represents the cost of pollution) changes feed into oil price and how that impact on stock markets and what is the short- and long run spillovers between them. It is important to acknowledge some of the limitations of this study. One potential limitation is the focus on a specific geographic region, the Middle East and GCC countries. This may limit the generalizability of the findings to other regions. Additionally, the study focuses on the dependence structure among oil prices, emission prices, and stock markets, and does not consider other factors that may influence the relationship between these variables. Nonetheless, our study provides useful empirical evidence for assessing the impact of energy transition on both oil prices and stock price movements and can inform the development of diversified revenue streams for the region. In terms of future research, it would be worthwhile to extend the analysis to include additional variables, such as renewable energy prices, to gain a more comprehensive understanding of the dynamics at play in the energy markets of the Middle East and GCCs.

Previous studies have focused on the co-movements between the prices of different types of energy and, to some extent, the co-movements between the energy and financial assets prices, falling short of analysing the co-movements between the different types of energy and emission price. In this study, using the daily data from November 2007–31st October 2017 on quotes of Brent Crude oil and Natural Gas spot returns and quotes of the EU-ETS spots, we employed a time-varying copulas connection function to assess the risk dependency relationship between ETS and energy prices. The results show that there is an asymmetry dependence change rule between ETS, oil and gas spot index, with the correlation of the lower tail significantly higher than that of the upper tail. These findings indicate that, with the use of time-varying SJC Copulas model, economic agents can control investment risk and forecast abnormal fluctuations in oil prices

The study exploited the backdrop of the paucity of empirical studies on internal corporate social responsibility (ICSR) practices within indigenous organisations in Nigeria. The study adopted a qualitative research design to identify and explain internal CSR in Nigerian banks‟. The research tools included semi- structured interviews with six CSR directors and six executives in six key commercial banks in Nigeria. It also used open-ended questionnaire surveys to collect data from 101 employees from within the commercial banks in Nigeria. The data collected was analyzed using content and thematic analyses using the Nvivo 9 software package. As a knowledge base for the study, the ISO26000 was used to investigate the presence of internal CSR (health and safety, gender equality, diversity, fairness treatment, fair remuneration, fair selection in recruitment process and work-life balance) in Nigerian banks. The study found that internal CSR practices are common in Nigerian Banks but are not clearly defined or categorized as internal CSR. The major trend from the study highlights CSR in the Nigerian banking sector as a strategy for fulfilling societal expectations and contributing to the development of the educational sector, addressing social challenges and philanthropy gestures. Hence, the notion of internal CSR is not widely defined. This study contributes to knowledge by summarising the need for an integrated framework which promotes internal CSR practices in Nigeria. Among other things, the framework underlines the need for an integrated shared responsibility by all stakeholders in creating an enabling environment to maximise the benefits of internal CSR in the Nigerian banking sector. In conclusion, the study highlights the need for further research on the benefits of internal CSR from a public sector environment in Nigeria and the challenges of integrated networking by legislative and regulatory bodies of enforceable internal CSR expectations.

This study uses data from Nigeria to examine the impact of bank capitalization on stock market growth. A review of available literature has shown a lack of empirical studies on how the capitalization of the banks affects stock market growth. This study is explanatory and quantitative, using secondary data to contribute to a unique research by developing a theoretical model and testing it empirically to demonstrate that bank capitalization leads to stock market growth. Time series data from 1981 to 2016 have been sourced from the World Bank World Development Indicators and the Central Bank of Nigeria data bases. The benchmark used to assess stock market growth were market capitalization and stock market turnover, while the index for bank capitalization was the ratio of commercial banks' equity to their total assets. The data was processed for validity using the unit root and ordinary least squares (OLS) tests. The data analysis technique used is the Nonlinear Autoregressive Distributed Lag (NARDL). The results of the analysis find empirical evidence to confirm the research theory that bank capitalization is important for stock market growth, channelled through risk absorption to increase in lending. The analysis shows that decrease in bank capital ratio has more impact on stock market growth than recapitalization of banks. The implication of this finding is that policy measures that prevents banking sector distress will achieve more results than measures that target growth in the banking sector. This thesis further contributes to literature as it is the first to relate bank capitalization to stock market growth using three different indicators which provides more insight on the relationships. This concept was developed from theoretical literature, forming a model of the detailed transmission channels through which bank capitalization impacts on stock market growth. The implications of the findings, of use to policy makers and finance experts, are that bank capitalization can be used to stimulate growth in the stock market and that shocks and deflections of banks' equity capital can be used to exert pressure on the stock market. This study recommends that policy makers and finance managers should guard against erosion of bank capital as they use adjustments in bank capital requirements to effect growth in the stock market.

This study investigates the relationship between Enterprise Risk Management adoption and implementation, and the performance of banks using a sample of four out of the seven Strategically Important Banks (SIB) listed on the Nigerian Stock Exchange covering the period from 2005 q1 to 2015 q2. In this study, we determined a measure for Enterprise Risk Management (ERM) adoption or implementation (ERM index) using an integrated Enterprise Risk Management measurement model for the banking sector suggested by Soliman and Mukhtar (2017). A time series Johansen’s cointegration test was used to obtain evidence of the long-term association between ERM and performance, while Vector Error Correction Model (VECM) analysis was performed to gather evidence of causality relationship between ERM and performance. Finally, Generalized Impulse Response Function was used to obtain evidence of how performance responds to the introduction of a shock on Enterprise Risk Management. This study makes significant contributions to the existing body of knowledge, as it yields the first Enterprise Risk Management-performance-based empirical results that indicate a long-term relationship, causation effects, in addition to responding to performance ERM.

The purpose of this research paper is to analyse the value-based management commitment of automotive enterprises and to examine the factors that explain the control parameters in automotive industry. There have been a few empirical studies published in the German’s automotive sector but most of the existing studies failed to provide evidence of utilisation of value-based management in the strategic management in the automotive sector. The German automotive industry’s development is closely related to global economic developments. Previous research work has considered control parameters of enterprises but there is little evidence on the factors that explain which control parameters are used in automotive industry. A survey based on annual reports from the year 2008 to 2011 is used. In total, 20 annual reports of automotive companies were analysed. The results show that automotive companies, especially Original Equipment Manufacturers (OEMs) and listed suppliers, have committed to value-oriented management and have implemented value-oriented approaches. However, not all of the suppliers are communicating this in their reports. The results also show that Economic Value Added (EVA) is the leading key indicator in the automotive industry.

This paper contends that the use of alternative constructs as Enterprise Risk Management (ERM) measures has made a partial contribution to the different and contradictory results provided by various empirical studies. It further argues that the comprehensive nature of Enterprise Risk Management implies that its adoption and implementation affect different aspects of firms and, therefore, the most appropriate construct to measure it should be equally comprehensive in order to capture all possible signals, outputs and effects from the features of a firm. Secondly, the specialised nature of banking operations and the associated risk necessitates risk measures that suit the peculiarities of the sector and in this study we have proposed banking sector specific ERM model. In this regard, we propose a comprehensive methodology and multifaceted approach to determining ERM measures for the banking sector, taking cognisance of the various components of ERM and the specific needs of the sector. In our proposed comprehensive methodology for determining ERM measures for the banking sector, we combined two important models: the ERM model for the banking sector and the CAMELS model for assessing the performance of banks. The integration of these two models provides a comprehensive and all-encompassing approach for determining ERM measures for the banking sector. Our model is novel and offers a significant contribution to the literature of bank risk management. Our model provides a comprehensive risk management framework for bank executives, bank risk managers, the board members of banks, central banks and the authorities responsible for financial sector stability.

This paper analyses the implications of macroeconomic policy interactions for financial stability, proxied by financial assets prices (equity and bonds). The empirical analysis applies a Vector Autoregressive (VAR) model and our findings suggest that an accommodating monetary, and disciplined fiscal, stance has been optimal for both stock and bond markets. There is also ample evidence of interdependence between policies, as an expansionary fiscal policy could per- suade the monetary authorities to adopt an accommodating stance, whereas a contractionary monetary policy leads fiscal policy towards consolidation. The interrelation between monetary and fiscal policy necessitates coordination between them for the sake of financial stability.

This study analyses the implications of Jeffery-Lindley’s paradox and Global Financial Crisis (GFC) for the operational aspect of macroeconomic policy coordination for financial stability. Using a Bayesian Vector Auto-regressive (BVAR) model and data from Jan 1985 to June 2016, our key findings suggest that the claim of macroeconomic policy interaction, interdependence and significance of coordinated policy operations for the financial stability holds its ground. The argument in the support for policy coordination for financial stability was found to be robust against the Jeffreys-Lindley’s paradox and in the Post-GFC era. A profound practical, operational and philosophical implication of this study is the positive aspects of Jeffreys-Lindley’s paradox and the possibility of employing the Frequentist and Bayesian estimation techniques as complementing rather competing frameworks.

This study derives an optimal macroeconomic policy combination for financial sector stability in the United Kingdom by employing a New Keynesian Dynamic Stochastic General Equilibrium (NK-DSGE) framework. The empirical results obtained show that disciplined fiscal and accommodative monetary policies stance is optimal for financial sector stability. Furthermore, fiscal indiscipline countered by contractionary monetary stance adversely affects financial sector stability. Financial markets, e.g. stocks and Gilts show a short-term asymmetric response to macroeconomic policy interaction and to each other. The asymmetry is a reflection of portfolio adjustment. However in the long-run, the responses to suggested optimal policy combination had homogenous effects and there was evidence of co-movement in the stock and Gilt markets.

This concise study analyses the symmetry of financial markets` responses to macroeconomic policy interaction in the United Kingdom. Employing the Vector Auto-regression (VAR) model on monthly data of the British financial sector and macroeconomic policies from January 1985 to August 2008, this study found that the equity and sovereign debt markets showed identical symmetry in response to macroeconomic policy interaction.

The association between economic and financial stabilities and influence of macroeconomic policies on the financial sector creates scope of active policy role in financial stability. As a contribution to the existing body of knowledge, this study has analysed the implications of macroeconomic policy interaction/coordination for financial stability, proxied by financial assets, i.e. equity and bonds price oscillation. The critical review and analysis of the existing literature on the subject suggests that there is also ample evidence of interdependence between monetary and fiscal policies and this interrelation necessitates coordination between them for the sake of financial stability. There is also a case for analysing the symmetry of financial markets responses to macroeconomic policy interaction. On methodological and empirical grounds, it is vital to test the robustness of policy recommendations to overcome the limitation of a single empirical approach (Jeffrey–Lindley’s paradox). Hence, the Frequentist and Bayesian approaches should be used in commentary manner. The policy interaction and optimal policy combination should also be analysed in the context of institutional design and major financial events to gain insight into the implications of policy interaction in the periods of stable economic and financial environments as well as period of financial and economic distress.

© 2017 Central Bank of Montenegro. This study has analysed the implications of institutional design of macroeconomic policy making institutions for the macroeconomic policy interaction and financial sector in the United Kingdom. Employing a Vector Error Correction (VEC) model and using monthly data from January 1985 to August 2008 we found that the changes in institutional arrangement and design of policy making authorities appeared to be a major contributing factor in dynamics of association between policy coordination/combination and financial sector. It was also found that the independence of the Bank of England (BoE) and withdrawal from the Exchange Rate Mechanism led to the increase in macroeconomic policy maker's ability to coordinate and restore financial stability. The results imply that although institutional autonomy in the form of instrument independence (monetary policy decisions) could bring financial stability, there is a strong necessity for coordination, even in Post-MPC (Monetary Policy Committee) and the BoE independence.