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1 – 10 of 80Muhammad Aftab, Maham Naeem, Muhammad Tahir and Izlin Ismail
Exchange rate volatility is an important factor affecting investors and policymakers. This study aims to examine the impact of uncertainties, in terms of changes in economic…
Abstract
Purpose
Exchange rate volatility is an important factor affecting investors and policymakers. This study aims to examine the impact of uncertainties, in terms of changes in economic policy, monetary policy and global financial markets, on exchange rate volatility.
Design/methodology/approach
The study uses the GARCH (1,1) univariate model to calculate exchange rate volatility. Economic and monetary policy uncertainties are measured using news-based indices, while global financial market volatility is measured using the implied volatility index. Panel autoregressive distributed lag modeling is used to analyze the impact of uncertainty on exchange rate volatility in the short and long run. The sample consists of 26 developed and emerging markets from 2005 to 2020.
Findings
The study finds that economic policy uncertainty significantly increases exchange rate volatility. Similarly, global financial market uncertainty leads to increased exchange rate volatility. The effect of US monetary policy uncertainty reduces exchange rate volatility.
Originality/value
This research contributes to the existing literature on exchange rate fluctuations by examining the impact of uncertainties on exchange rate volatility. The study uses novel news-based indices for measuring economic and monetary policy uncertainties and includes a broader sample of emerging and advanced markets. The findings have important implications for investors and policymakers.
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Muhammad Aftab, Amir Rafique and Evan Lau
The sticky-price monetary model of exchange rate states the overshooting hypothesis as, exchange rate depreciation beyond its long-term value in response to an increase in money…
Abstract
Purpose
The sticky-price monetary model of exchange rate states the overshooting hypothesis as, exchange rate depreciation beyond its long-term value in response to an increase in money supply owing to the sticky nature of prices. Because of interest and relevance to policy, there is a huge extant literature on it but with mixed findings that suggest the need for further studies to refine the findings. Pakistan’s rupee exchange rate against the US dollar depreciated 128.44% over the period May 2007–December 2018. Considering this substantial decline in rupee's value, this study aims to examine either the rupee short-run value is over-shot of its long-term value.
Design/methodology/approach
This study uses a linear ARDL approach that segregates the short-run and long-run effects thus clarifying the premise of exchange rate overshooting. Furthermore, this study also uses nonlinear ARDL as a robustness check incorporating structural breaks.
Findings
Findings based on a linear model show evidence of exchange rate undershooting that means a positive money shock causes the exchange rate to appreciate. A nonlinear analysis also provides support to these findings. However, the increase in relative money supply has more such effect than that of a decrease in the relative money supply. Moreover, the authorities’ inclination to stabilize the exchange rate appreciates its short-run value.
Originality/value
This study substantiates the overshooting hypothesis literature by considering the role of asymmetric effects of exchange rate determinants and structural breaks that is a rare attempt in the extant literature.
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Muhammad Aftab, Syed Asad Abbas Bokhari and Murad Ali
The purpose of this study is to investigate the behavior of individual employee's performance concerning their organizational citizenship and turnover intention in the higher…
Abstract
Purpose
The purpose of this study is to investigate the behavior of individual employee's performance concerning their organizational citizenship and turnover intention in the higher education sector. This study attempts to examine the effects of two potential sequential mediators – job satisfaction and employee engagement – on employees' job embeddedness, organizational citizenship behavior, and turnover intention.
Design/methodology/approach
This study is based on a survey conducted among the employees of major universities in the Republic of Korea. A total of 213 valid responses are used to analyze the hypotheses.
Findings
The results suggest that the relationship between job embeddedness and organizational citizenship behavior is significantly mediated by job satisfaction. However, the mediating role of job satisfaction on the link between job embeddedness and employees' intention to leave is not significant. Relatedly, employee engagement has a significant mediating effect on job embeddedness and organizational citizenship behavior but no demonstrable mediating effect between job embeddedness and employees' turnover intentions.
Practical implications
The results provide guidance that can assist organizations in increasing their employees' organizational citizenship behavior and lowering their intentions to leave, particularly in the education sector.
Originality/value
This study contributes to existing knowledge regarding the roles that job satisfaction and employee engagement play as two potential sequential mediators in the relation between job embeddedness and organizational citizenship behavior.
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Saba Qureshi, Muhammad Aftab and Scott Hegerty
The foreign exchange market plays a crucial role in defining the overall health of an economy. In these times of globalization and (in some ways) deglobalization, these markets…
Abstract
Purpose
The foreign exchange market plays a crucial role in defining the overall health of an economy. In these times of globalization and (in some ways) deglobalization, these markets are highly vulnerable to external shocks. In this line of research, this study investigates exchange-market vulnerability among the BRICS economies by considering the co-movements among variables and contagion among markets.
Design/methodology/approach
This study uses DCC-IGARCH and Wavelet approaches to examine interdependence and contagion among the foreign exchange markets of the BRICS countries. The prior approach gives exposure to correlations over time, while the latter approach is suitable to provide insight regarding correlations over different frequency and time domains.
Findings
These results show evidence of meaningful co-movements in the vulnerability of the BRICS economies' foreign exchange markets during periods of market instability. The authors observe that interdependence significantly increased after 2008 and is prominent in the short run, particularly up to the scale of 1.5 years. In addition, there is evidence of persistent integration across the short and medium run. Furthermore, the findings indicate recurrent patterns of co-movements and the presence of contagion.
Originality/value
Given the high degree of economic integration among the BRICS economies, there is relatively little literature on how each member country's foreign exchange vulnerability can affect others. This research fills this gap, by applying appropriate econometric techniques and using a newly created measure of exchange market vulnerability that is unit consistent—such that it combines observed change in exchange rates with the change that is prevented through central bank intervention in a common unit, rather than by combining percentages with dollar-denominated values. This research provides important implications for investors and policymakers.
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Omar Khalid Bhatti, Muhammad Aftab Alam, Arif Hassan and Mohamed Sulaiman
The current study aims to examine the relationship between Islamic spirituality (IS), Islamic social responsibility (ISR) and workplace deviance (WD).
Abstract
Purpose
The current study aims to examine the relationship between Islamic spirituality (IS), Islamic social responsibility (ISR) and workplace deviance (WD).
Design/methodology/approach
Data were collected from 400 Muslim employees of 9 business groups in Pakistan from manufacturing and services industry. The structure equation modeling was used to test the hypotheses, and the proposed model was assessed through renowned model fit indices.
Findings
The findings revealed that IS and ISR help curtail WD. The study also provides empirical support to the hypotheses that employees with high levels of IS and social responsibility will tend to avoid deviant behavior at workplace.
Originality/value
This study proposed IS and ISR as two possible stimuli that can help reduce employee deviant behavior at workplace. The findings of the present study revealed that IS, as well as ISR, is inversely related to WD. The present results augmented the existing body of knowledge regarding workplace spirituality in the field of organization behavior and further enriched the WD theory by offering new empirical relationships from an Islamic perspective.
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Muhammad Aftab, Inzamam Ul Haq and Mohamed Albaity
The COVID-19 pandemic has led to global economic policy uncertainty, which has increased the need to investigate ways to mitigate the uncertainty. This study aims to examine the…
Abstract
Purpose
The COVID-19 pandemic has led to global economic policy uncertainty, which has increased the need to investigate ways to mitigate the uncertainty. This study aims to examine the potential of cryptocurrencies as a hedge and safe haven avenue against economic policy uncertainty.
Design/methodology/approach
This study investigates the behavior of the five leading cryptocurrencies in relation to country-level and group-level economic policy uncertainty indices, as measured by the text-based method developed by Baker et al. (The Quarterly Journal of Economics, 2016, 131, 1593–1636). The research covers a broad range of emerging and developed economies from July 2013 to September 2020. The study employs the approach of Narayan et al. (Economic Modelling, 2016, 53, 388–397) to examine the hedging and safe-haven properties of cryptocurrencies.
Findings
This study finds that the top cryptocurrencies play a hedging role against economic policy uncertainty, with some exceptions. Additionally, there is evidence to support the idea that cryptocurrencies can serve as a safe haven during the COVID-19 pandemic. As a result, investors may benefit from using cryptocurrencies as a risk-management avenue during times of uncertainty.
Originality/value
This research contributes to the existing literature by testing the cryptocurrencies' hedging and safe haven properties in a new way, by analyzing their lead and lag behaviors using a recent and innovative approach. Additionally, it examines a wide range of emerging and advanced markets, providing insight into the potential of using cryptocurrencies as a risk mitigation avenue.
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Muhammad Aftab and Ijaz Ur Rehman
This paper aims to examine the influence of exchange rate risk on the bilateral trade of two closely connected East Asian open economies – Malaysia and Singapore – at industry…
Abstract
Purpose
This paper aims to examine the influence of exchange rate risk on the bilateral trade of two closely connected East Asian open economies – Malaysia and Singapore – at industry level.
Design/methodology/approach
This study estimates import and export demand models considering 65 import and 65 export industries of Malaysia, with Singapore using monthly data over the period 2000-2014. Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) model is used to measure the exchange rate risk, and autoregressive distributed lag (ARDL) approach to co-integration is used to examine the study empirical models.
Findings
The findings suggest that exchange risk has an impact on a moderate number of industries in the short run; however, this influence endures in very few industries in the long run. It is interesting to note that exchange rate volatility expedites import demand for the large Malaysian import industries like gas and plastic.
Originality/value
No prior study has explored the topic at industry level focusing on the bilateral trade flows between Malaysia and Singapore. This research serves important implications while thinking about exchange rate risk and trade linkage in a case of open economies trade pairs that are highly integrated in presence of a variety of bilateral trade agreements and economic groupings.
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Muhammad Aftab Alam and Kashif Mateen Ansari
The purpose of this paper is to demonstrate how an open innovation strategy of public management in the energy sector enables the creation of innovation ecosystems and how it…
Abstract
Purpose
The purpose of this paper is to demonstrate how an open innovation strategy of public management in the energy sector enables the creation of innovation ecosystems and how it reduces the cost of wind energy projects in energy-poor countries.
Design/methodology/approach
This research study reflects on seven wind energy startups (WESs) in Pakistan using quantitative and qualitative data following a sequential mixed-methods approach. First, it draws from growing literature on innovation and renewable energy management to conceptualize an open innovation ecosystem model around WESs. It then tests this model using cost analyses of wind projects and identifies possible cost-saving strategies. Finally, follow-up interviews with managers in investigated projects cross check study findings and validate the model.
Findings
Three noteworthy findings can help policymakers in developing countries to effectively meet the future energy challenges and get benefit from international funding opportunities: by protecting lenders on approved terms rather than offering sovereign guarantee to operating firms; by letting the government take control of the initial development phase; and by giving off-take guarantees to the manufacturers.
Practical implications
It offers policy recommendations to energy sector managers about guarantees, financing, regulators, governmental control, tariffs and transfer of technology that can significantly curtail outlays.
Originality/value
Results suggest that adopting an open innovation ecosystem model can potentially save around 6 per cent ($4-$7m) in the overall cost of a 50 MW wind energy project.
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Muhammad Aftab, Karim Bux Shah Syed and Naveed Akhter Katper
After the fall of fix exchange rate regime in early 1970s, the nexus between the exchange rate volatility and trade flows has been of a great interest to the policy makers and…
Abstract
Purpose
After the fall of fix exchange rate regime in early 1970s, the nexus between the exchange rate volatility and trade flows has been of a great interest to the policy makers and researchers. Resultantly an extensive literature is available on the topic. However, the research findings are inconclusiveness so far. The purpose of this paper is to examine the exchange-rate volatility and bilateral industry trade link between the two important countries of Southeast Asia, i.e. Malaysia and Thailand.
Design/methodology/approach
This study employs Generalized Autoregressive Conditional Heteroskedasticity (GARCH) (1, 1) to measure exchange rate volatility and autoregressive distributed lag (ARDL) model to study the relationship between exchange rate volatility and trade flows. ARDL approach is suitable to accommodate the mix cases (i.e. stationary and first difference stationary). The paper considers 62 Malaysian exporting and 60 Malaysian importing industries with Thailand over the monthly period 2000-2013.
Findings
Findings suggest the influence of exchange-rate volatility on the trade flows in a limited number of industries. Large industries like instruments and apparatus experience negative influence from exchange-rate volatility.
Originality/value
Past literature continued to be inconclusiveness on the nexus between exchange-rate volatility and trade flows due to its over-reliance on the aggregated data. Besides, the past studies are more based on quarterly or yearly frequency data. These issues contribute to the aggregation bias. This research focusses on a country bilateral trade pair, using industry level disaggregated monthly data. Such research is rare in Malaysian-Thai bilateral trade context. This study uses a suitable estimation approach and also draws valuable implications.
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Muhammad Aftab, Zaheer Abbas and Farrukh Nawaz Kayani
The purpose of this paper is to explore the impact of exchange rate volatility at sectoral level on the exports trade of Pakistan. All the sectors involved in the export trade…
Abstract
Purpose
The purpose of this paper is to explore the impact of exchange rate volatility at sectoral level on the exports trade of Pakistan. All the sectors involved in the export trade (proposed by the State Bank of Pakistan, by commodity), were used to study this relationship at a more minute level.
Design/methodology/approach
Quarterly data regarding research were collected over the period 2003 to 2010 from databases of State Bank of Pakistan and International Monetary Fund financial statistics. The bound testing approach proposed by Pesaran et al., was used to study the relationship between sectoral export and exchange rate volatility, while augmented Dickey Fuller (ADF) and Phillips Perron tests were used to test the unit root of series and GARCH,proposed by Bollerslev, was used to study exchange rate volatility.
Findings
The results show that exports are negatively influenced by exchange rate volatility and relative prices while positively affected by foreign income. This relationship holds for all sectors where bound testing revealed the existence of long‐ run relationship, although some equations results were not statistically significant.
Practical implications
The paper's findings can be used to form such policies which result in a stabilized and competitive exchange rate, so that Pakistan's exports can be increased.
Originality/value
Previous studies have been conducted on aggregated data set for exports in the Pakistani context, which hinders pertinent information; however this information is possible by studying disaggregated data. The paper fills a research gap by taking sectoral level data, to divulge the behavior of individual sectors against exchange rate volatility.
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