Publications

by members of

Nationalekonomi
Högskolan i Skövde
Skövde, Sweden

(Economics, )

Working papers

2004

1. Eduardo D. Roca & Abdulnasser Hatemi-J, 2004. "The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners," Econometric Society 2004 Australasian Meetings 99, Econometric Society.
2. Abdulnasser , Hatemi-J & Manuchehr, Irandoust, 2004. "Evidence on the Direction of Causation in the Money-Income Relationship: An Alternative Methodology," Working Papers 2004:1, Örebro University, Swedish Business School.

1999

1. Hatemi-J, Abdulnasser, 1999. "Fiscal Policy in Sweden: Effects of EMU Criteria Convergence," Working Papers 1999:5, Lund University, Department of Economics, revised Nov 1999.

Journal articles

2009

1. A. Hatemi-J & R. S. Hacker, 2009. "Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders?," Applied Economics, Taylor and Francis Journals, vol. 41(9), pages 1121-1125. [Downloadable!] (restricted)
2. Abdulnasser Hatemi-J & Bryan Morgan, 2009. "An empirical analysis of the informational efficiency of Australian equity markets," Journal of Economic Studies, Emerald Group Publishing, vol. 36(5), pages 437-445, October. [Downloadable!] (restricted)

2008

1. Abdulnasser Hatemi-J, 2008. "Forecasting properties of a new method to determine optimal lag order in stable and unstable VAR models," Journal of Economic Methodology, Taylor and Francis Journals, vol. 15(4), pages 239-243. [Downloadable!] (restricted)
2. Abdulnasser Hatemi-J & Eduardo Roca, 2008. "Estimating banks' equity duration: a panel cointegration approach," Applied Financial Economics, Taylor and Francis Journals, vol. 18(14), pages 1173-1180. [Downloadable!] (restricted)
3. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2008. "The Fisher effect: a Kalman filter approach to detecting structural change," Applied Economics Letters, Taylor and Francis Journals, vol. 15(8), pages 619-624. [Downloadable!] (restricted)
4. R. Scott Hacker & Abdulnasser Hatemi-J, 2008. "Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH," Journal of Applied Statistics, Taylor and Francis Journals, vol. 35(6), pages 601-615. [Downloadable!] (restricted)
5. Abdulnasser Hatemi-J, 2008. "Tests for cointegration with two unknown regime shifts with an application to financial market integration," Empirical Economics, Springer, vol. 35(3), pages 497-505, November. [Downloadable!] (restricted)
6. Hatemi-J, Abdulnasser & Maneschiöld, Per-Ola & Roca, Eduardo, 2008. "Is the Swedish Stock Market Becoming more Integrated with those of Germany and France?," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 61(4), pages 665-685.

2007

1. Abdulnasser Hatemi-J & Eduardo D. Roca, 2007. "Equity market price interdependence based on bootstrap causality tests: evidence from Australia and its major trading partners," Applied Financial Economics, Taylor and Francis Journals, vol. 17(10), pages 827-835. [Downloadable!] (restricted)
2. Abdulnasser Hatemi-J & Bryan Morgan, 2007. "Liberalized emerging markets and the world economy: testing for increased integration with time-varying volatility," Applied Financial Economics, Taylor and Francis Journals, vol. 17(15), pages 1245-1250. [Downloadable!] (restricted)
3. Abdulnasser Hatemi-J & R. Scott Hacker, 2007. "Capital mobility in Sweden: a time-varying parameter approach," Applied Economics Letters, Taylor and Francis Journals, vol. 14(15), pages 1115-1118. [Downloadable!] (restricted)

2006

1. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "The response of industry employment to exchange rate shocks: evidence from panel cointegration," Applied Economics, Taylor and Francis Journals, vol. 38(4), pages 415-421, March. [Downloadable!] (restricted)
2. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2006. "A bootstrap-corrected causality test: another look at the money–income relationship," Empirical Economics, Springer, vol. 31(1), pages 207-216, March. [Downloadable!] (restricted)
3. Abdulnasser Hatemi-J & Eduardo Roca, 2006. "Calculating the optimal hedge ratio: constant, time varying and the Kalman Filter approach," Applied Economics Letters, Taylor and Francis Journals, vol. 13(5), pages 293-299, April. [Downloadable!] (restricted)
4. R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor and Francis Journals, vol. 38(13), pages 1489-1500, July. [Downloadable!] (restricted)
5. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December. [Downloadable!] (restricted)
6. Hatemi-J, Abdulnasser & Roca, Eduardo & Qiu, Jia Qiu, 2006. "Does it Pay for Australian Investors to Diversify into their Country's Major Trading Partners?," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 59(3), pages 295-316.

2005

1. Lokman Gunduz & Abdulnasser Hatemi-J, 2005. "Is the tourism-led growth hypothesis valid for Turkey?," Applied Economics Letters, Taylor and Francis Journals, vol. 12(8), pages 499-504, June. [Downloadable!] (restricted)
2. Abdulnasser Hatemi-J & Eduardo Roca, 2005. "Exchange rates and stock prices interaction during good and bad times: evidence from the ASEAN4 countries," Applied Financial Economics, Taylor and Francis Journals, vol. 15(8), pages 539-546, May. [Downloadable!] (restricted)
3. R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "A test for multivariate ARCH effects," Applied Economics Letters, Taylor and Francis Journals, vol. 12(7), pages 411-417, June. [Downloadable!] (restricted)
4. R. Scott Hacker & Abdulnasser Hatemi-J, 2005. "The effect of regime shifts on the long-run relationships for Swedish money demand," Applied Economics, Taylor and Francis Journals, vol. 37(15), pages 1731-1736, August. [Downloadable!] (restricted)
5. Hatemi, A. & Irandoust, M., 2005. "Energy Consumption and Economic Growth in Sweden: A Leveraged Bootstrap Approach, 1965-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(4), pages 87-98. [Downloadable!]
6. Abdulnasser Hatemi-J & R. Scott Hacker, 2005. "An alternative method to test for contagion with an application to the Asian financial crisis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(6), pages 343-347, November. [Downloadable!] (restricted)
7. Lokman Gündüz & Abdulnasser Hatemi-J, 2005. "Stock Price and Volume Relation in Emerging Markets," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 41(1), pages 29-44, January. [Downloadable!] (restricted)
8. Hacker, R. Scott & Hatemi-J, Abdulnasser, 2005. "Time-Varying Estimates for the Natural Rate of Unemployment and the Phillips Curve in the US Using the Kalman Filter," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 58(3), pages 327-336.
9. Hatemi-J , Abdulnasser & Roca, Eduardo & Tang, Fang, 2005. "US Equity Market Spili-Over and Contagion Effects on Selected Asian Markets Vis-à-vis September 11," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 58(4), pages 449-470.

2004

1. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2004. "Is Pricing to Market Behavior a Long-Run Phenomenon? A Non-Stationary Panel Analysis," Empirica, Springer, vol. 31(1), pages 55-67, March. [Downloadable!] (restricted)
2. Hatemi-J, Abdulnasser, 2004. "Multivariate tests for autocorrelation in the stable and unstable VAR models," Economic Modelling, Elsevier, vol. 21(4), pages 661-683, July. [Downloadable!] (restricted)
3. Hatemi-J, Abdulnasser & Roca, Eduardo D., 2004. "Do birds of the same feather flock together?: The case of the Chinese states equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 281-294, July. [Downloadable!] (restricted)
4. R. Scott Hacker & Abdulnasser Hatemi-J, 2004. "The effect of exchange rate changes on trade balances in the short and long run," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 12(4), pages 777-799, December. [Downloadable!] (restricted)
5. Abdulnasser Hatemi-J & Eduardo Roca, 2004. "An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 475-488, December. [Downloadable!] (restricted)
6. Hatemi-J, Abdulnasser, 2004. "Is the Equity Market Informationally Efficient in Japan? Evidence from Leveraged Bootstrap Analysis," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 57(4), pages 461-473.
7. Hatemi-J, Abdulnasser & Maneschiöld , Per-Ola, 2004. "The Risk-Adjusted Interest Rate Parity: Panel Data Evidence," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 57(1), pages 1-10.

2003

1. A. Hatemi-J, 2003. "A new method to choose optimal lag order in stable and unstable VAR models," Applied Economics Letters, Taylor and Francis Journals, vol. 10(3), pages 135-137, February. [Downloadable!] (restricted)
2. R. Scott Hacker & Abdulnasser Hatemi-J, 2003. "How productivity and domestic output are related to exports and foreign output in the case of Sweden," Empirical Economics, Springer, vol. 28(4), pages 767-782, November. [Downloadable!] (restricted)
3. R. Hacker & Abdulnasser Hatemi-J, 2003. "Is the J-Curve Effect Observable for Small North European Economies?," Open Economies Review, Springer, vol. 14(2), pages 119-134, April. [Downloadable!] (restricted)

2002

1. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2002. "On the Causality between Exchange Rates and Stock Prices: A Note," Bulletin of Economic Research, Blackwell Publishing, vol. 54(2), pages 197-203, April.
2. Hatemi-J, Abdulnasser, 2002. "Is the Government's Intertemporal Budget Constraint Fulfilled in Sweden? An Application of the Kalman Filter," Applied Economics Letters, Taylor and Francis Journals, vol. 9(7), pages 433-39, June. [Downloadable!] (restricted)
3. Hatemi-J, Abdulnasser, 2002. "Export performance and economic growth nexus in Japan: a bootstrap approach," Japan and the World Economy, Elsevier, vol. 14(1), pages 25-33, January. [Downloadable!] (restricted)
4. Hatemi-J, Abdulnasser, 2002. "Fiscal policy in Sweden: effects of EMU criteria convergence," Economic Modelling, Elsevier, vol. 19(1), pages 121-136, January. [Downloadable!] (restricted)
5. Abdulnasser Hatemi-J & Ghazi Shukur, 2002. "Multivariate-based causality tests of twin deficits in the US," Journal of Applied Statistics, Taylor and Francis Journals, vol. 29(6), pages 817-824, August. [Downloadable!] (restricted)
6. Hatemi-J, Abdulnasser & Irandoust, Manucherhr, 2002. "Investigating Causal Relations between Fixed Investment and Economic Growth," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 55(1), pages 25-35.

2001

1. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2001. "Productivity Performance and Export Performance: A Time-Series Perspective," Eastern Economic Journal, Eastern Economic Association, vol. 27(2), pages 149-164, Spring. [Downloadable!]
2. Hatemi-J, Abdulnasser & Irandoust, Manucherhr, 2001. "Does Any Long-Run Relation Exist Between the Terms of Trade and the Trade Balance?," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 54(2), pages 177-185.

2000

1. Abdulnasser Hatemi-J, Manuchehr Irandoust, 2000. "Time-series evidence for Balassa’s export-led growth hypothesis," Journal of International Trade & Economic Development, Taylor and Francis Journals, vol. 9(3), pages 355-365, September. [Downloadable!] (restricted)
2. Abdulnasser Hatemi-J & Manuchehr Irandoust, 2000. "Export performance and economic growth causality: An empirical analysis," Atlantic Economic Journal, International Atlantic Economic Society, vol. 28(4), pages 412-426, December. [Downloadable!] (restricted)

1999

1. Hatemi-J, Abdulnasser & Shukur, Ghazi, 1999. "The Causal Nexus of Government Spending and Revenue in Finland: A Bootstrap Approach," Applied Economics Letters, Taylor and Francis Journals, vol. 6(10), pages 641-44, October. [Downloadable!] (restricted)

Software components

2009

1. Scott Hacker & Abdulnasser Hatemi, 2009. "HHtest: GAUSS module to implement bootstrap test for causality with leverage adjustments," Statistical Software Components G00005, Boston College Department of Economics. [Downloadable!]
2. Abdulnasser Hatemi, 2009. "CItest2b: GAUSS module to implement tests for cointegration with two unknown structural breaks," Statistical Software Components G00006, Boston College Department of Economics. [Downloadable!]
3. Scott Hacker & Abdulnasser Hatemi, 2009. "ContagT: GAUSS module to implement a pairwise bootstrap test for contagion," Statistical Software Components G00007, Boston College Department of Economics. [Downloadable!]

This page was last updated on 2009-12-2.