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713-522-7911

Dr. Hassan Shirvani Professor Cullen Foundation Chair in Economics
Economics, Finance & DEIS
713/525-2118
shirvani@stthom.edu

Dr. Hassan Shirvani is the Cullen Endowed Chair of Economics. His research areas include macroeconomics, investments and international finance. He can speak on investments, economic finance, financial institutions and markets.

Areas of Expertise
Investments, Financial Institutions, Markets, Macroeconomics, National Debt

Degrees

  • Doctor of Philosophy - Economics - Harvard University (1979)
  • Artium Magister - Economics - Harvard University

Publications

  • "Robust Panel Unit Root Tests for the Velocity of Money in a Sample of the OECD Countries"
    Banks and Bank Systems
    his paper examines the presence of unit roots in the velocity of money (both narrowly and broadly defined) for a large sample of the OECD countries, using the heterogeneous panel unit root tests developed by Im, Pesaran and Shin (2003) and Pesaran (2007). Under both the assumptions of cross sectional dependence and independence across the panel, we find evidence of unit roots in the velocities of money. These findings raise serious questions about the efficacy of the fixed money supply growth rules in the conduct of monetary policy, at least in the context of the OECD countries.
    (2014)
  • "Government Size and Stock Market Performance in the G7 Countries: Some Robust Bilateral Causality Tests"
    International Business and Management
    This paper performs robust bilateral Granger causality tests between government size and stock market performance for the G7 countries. The robust test procedures involve the use of recently developed time series analysis of non-stationary data with possible structural breaks. Applying such tests, the paper finds the underlying data to be generally non-stationary and non-cointegrated, even after allowing for possible breaks in the data, thus implying that the standard bilateral Granger causality tests conducted in the first differences of the variables are robust. The empirical results indicate the presence of one-way causality from the stock market to government size for all the countries in the sample. Thus, we find no evidence that government size matters to the performance of the stock market. In addition, to the extent that stock prices discount future economic performance, our findings show that, if anything, it is economic prosperity that determines government size. Our findings thus refute some recent assertions that the current financial crisis is an expression of the market angst regarding the growing size of the public sector in recent decades.
    (2014) Vol. 4 Page 1-6
  • "Nonlinear Mean Reversion in the Inflation Rate: Evidence from a Panel of OECD Countries"
    Southern Business & Economic Journal
    This paper examines the presence of mean-reversion in the inflation rates of a panel of 15 OECD countries between 1960 and 2007 by testing the null hypothesis of unit roots in these inflation rates against two distinct alternatives. Against the alternative of stationarity around a linear trend, the standard Dickey-Fuller test rejects the null for only one of the fifteen countries, indicating the absence of mean-reversion in the inflation rate of almost all the countries in the sample. However, against the alternative of stationarity around a nonlinear (STAR) trend, the null is rejected for fourteen of the fifteen countries, indicating the presence of mean reversion in the inflation rate of almost all the countries in the sample. Given the less restrictive nature of the nonlinear trends, our results thus provide strong support for the long run stability of the inflation rate in most major industrial countries.
    (2014) Vol. 36
  • "Testing for Nonlinear Trend-Reversion in the Stock Prices of the G7 Countries"
    International review of applied financial issues and economics
    (2013) Vol. 2
  • "The Relative Importance of the Determinants of the US Money Supply"
    AABRI Research in Business and Economics Journal
    This paper examines the changes in the relative importance of the determinants of the US money supply (both narrowly and broadly defined) over the past two decades. Using the cointegration approach and the recently developed technique of dominance analysis, the paper finds the currency ratio to be the main determinant of the US money supply over the sample period, a result in line with others in the literature for earlier periods. However, our findings also indicate that during the peak of the recent financial crisis, 2008-2009, the bank excess reserves ratio emerged as an equally important factor. This was due to the fact that the bulk of the monetary base created by the Fed to counter the crisis ended up as idle bank reserves, thereby significantly limiting the effect of the newly issued monetary base on the money supply.
    (2013) Vol. 8 Page 16
  • "Interest Rate Liberalization and Inflation in Developing Countries: A Theoretical Analysis"
    Banks and Bank Systems
    Interest rate liberalization is often recommended as an effective measure to curb inflation in developing countries. Higher interest rates on deposits, it is particularly asserted, can reduce inflation by lowering the velocity of circulation of money. This assertion, however, ignores the adverse effects of higher interest rates on money supplies, as governments create new money to help their banks deal with losses from higher deposit costs. Indeed, in the context of a simple model, this paper shows that such increases in money supplies can dominate reductions in money velocities, thus exacerbating inflationary pressures. The paper also shows that the use of government bonds instead of money to finance higher deposit costs may prove ineffective, as such bonds are often perfect substitutes for money as a result of governmental bond price support programs.
    (2013) Vol. 8 Page 115-120
  • "Trend Reversion in the Velocity of Money: Some International Evidence Based on the STAR Approach"
    AABRI Research in Business and Economics Journal
    This paper examines the presence of trend reversion in the velocity of money for a sample of major industrial countries by testing the null hypothesis of a unit root in the velocity against two distinct alternatives. Against the alternative of stationarity around a linear trend, the standard Dickey-Fuller test fails to reject the null for any of the sample countries, thus lending support to the unpredictability of the velocity of money in these countries. However, against the alternative of stationarity around a nonlinear (STAR) trend, the null is rejected for all the countries in the sample, thus confirming the presence of trend reversion in the velocity for all cases. Given the less restrictive nature of the nonlinear trends, our findings provide strong support for fixed monetary rules in the conduct of monetary policy.
    (2012) Vol. 6
  • "Bank Efficiency in Turkey during the recent global crisis"
    Banks and Bank Systems
    This paper assesses the change in bank efficiency in Turkey during the recent financial crisis. Using a modified version of the standard data envelopment analysis (DEA) for a sample of 26 major Turkish banks, we find both substantial inefficiencies throughout the recent crisis, as well as a seeming deterioration in overall efficiency between 2007 and 2010.
    (2012) Vol. 7 Page 5-10
  • "Stock prices, home pirces, and private consumption in the US: some robust bilateral causality tests"
    Modern Economy
    (2012) Vol. 3
  • "Microsoft Dividend Policy Reversal: What Forces Lay Behind the Change?"
    Journal of Finance Case Research
    (2011) Vol. 12
  • "Periodic Integration and Cointegration of the US Stock Prices, Dividends, and Interest Rates: A New Test of the Present Value Model"
    Journal of CENTRUM Catherda
    (2011) Vol. 4 Page 67-77
  • "A New Approach to Data Envelopment Analysis with an Application to Bank Efficiency in Turkey"
    Banks and Bank Systems
    The conventional data envelopment analysis (DEA) relies on linear averages of outputs and inputs to measure operational efficiency, a process that renders the direct application of linear programming techniques untenable. To overcome this difficulty, the average input is often normalized to equal one. This paper offers an alternative approach in which the use of nonlinear averages results in log-linear relationships, thus making it possible to directly use linear programming for optimization purposes. The paper also illustrates the new approach by analyzing the efficiency of a sample of Turkish banks, where it is shown that the extent of inefficiency among these banks is much smaller than implied by the use of the more conventional approach.
    (2011) Vol. 6 Page 5-10
  • "The Stability of the Demand for Money in Monetary Unions: Some Empirical Evidence from WAEMU"
    International Economic Journal
    Previous studies of the stability of the demand for money have been largely conducted in the context of individual countries. To the extent that these countries have control over their monetary policies, such an approach is well justified. However, for monetary unions, where the control over monetary policy is usually vested in a central or outside authority, it is more appropriate to examine the stability of the money demand for the union as a collective entity. This paper follows this approach with respect to a West African monetary union, the WAEMU, whose monetary policies are largely dictated by the French authorities. Using cointegration theory and CUSUM stability tests, we find evidence that the demand for broad money is stable in this union. Given the empirical results, the paper draws inferences regarding their implications for the formulation of optimal monetary for the WAEMU.
    (2009) Vol. 23 Page 617-628
  • "A Kaldorian Monetary Model of the Business Cycle"
    Global Review of Business and Economic Research
    This paper presents a Kaldorian monetary model of the business cycle. Drawing upon the celebrated work of Kaldor, the paper derives nonlinear supply and demand curves for money as functions of the level of nominal income, with three short-run equilibrium points. Two of these points, corresponding to extreme values of income, are stable, and the more central point is unstable. In the long run, the demand and supply curves shift, causing nominal income to fluctuate between its extreme equilibrium values.
    (2009)
  • "Going Public-Microsoft, 1986"
    The case takes the reader through IPO process using the Microsoft 1986 public offering as an illustration. It reveals the motivations of the corporate participants and investment bankers, the interaction between the market and firm's fundamentals, and the negotiation processin setting the offer price. It begins with Microsoft executives' internal discussion and reasons for considering an IPO, continues with the process of selecting underwriters, and goes on to trace the events of the road show process. Ultimately, it reveals how the final offer price and the underwriting fees were negotiated.
    (2009)
  • "The Relationship between the Promised and Realized Yield to Maturies Revisited"
    Journal of Economics and Finance Education
    This paper reaffirms the long-held view that the promised yield to maturity of a coupon bond can be realized only under certain restrictive conditions. Specifically, the realized yield equals the promised yield only if the spot rate and yield curves are flat and remain unchanged throughout the term of the bond, a condition which rarely if ever holds. In addition, we explain that, regardless of the reinvestment rates, the promised yield on a coupon bond will be realized, provided that the bond is held not to its maturity but to its duration.
    (2009) Page 4
  • "A Model of the Cyclical Behavior of the Price Earnings Multiple"
    Southwestern Economic Review
    This paper presents a model of the cyclical behavior of the stock market price earnings multiple (PE), which explains the tendency of this multiple to fluctuate around its historical mean. Drawing upon the work of Kaldor, the paper derives nonlinear supply and demand curves for stocks, with three short-run equilibrium points. Two of these points, corresponding to extreme PE values, are stable, and the more central point is unstable. In the long-run, the demand and supply curves shift, causing the PE to fluctuate between its extreme equilibrium values, thus modeling cyclicality in the behavior of the market PE.
    (2009)
  • "Testing for Periodic Integration and Cointegration of the Stock Prices of the G7 Countries"
    Investment Management and Financial Innovations
    (2009) Vol. 6
  • "The Permanent Income Hypothesis in Five Major Industrial Countries"
    Journal of Economics and Finance
    This paper presents a new test of the permanent income hypothesis in five major industrial countries. The test first decomposes consumption and income intotheir long run trend (permanent) and short run cyclical (transitory) components, using the recently developed multivariate stochastic detrending approach developed by Vahid and Engle (1997), among others. This approach exploits the presence of possible common stochastic trends and cycles among the variables in the system to arrive at a more efficient decomposition of these variables. Using the decomposition results, and in contrast to many articles in the literature, the paper finds support for the permanent income hypothesis. Specifically, the paper finds that, while permanent consumption is related to permanent income, transitory consumption is related to neither permanent nor transitory income.
    (2009)
  • "Nonlinear mean-reversion in the real exchange rate evidence from a panel of OECD countries"
    AABRI Research in Business and Economics Journal
    We examine the presence of mean-reversion in the real exchange rates of a panel of 20 OECD using the standard Dickey-Fuller test and smooth transition autoregression (STAR) framework. Our results provide strong support for the long run empirical validity of the purchasing power parity in most all major industrial countries. Our findings attribute the nonlinear stationarity of the real exchange rates to certain nonlinearities in the short run adjustment paths of these rates. Such nonlinearities in the adjustment process may arise by more aggressive market reaction and government intervention when its departure from equilibrium is more drastic.
    (1900)
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