Published Papers - Nabil Ben Mohamed MAGHREBI

Some Perspectives on the Shifting Dynamics of Economic Systems and the Changing Role of Faculties of Economics

Nabil El Maghrebi

和歌山大学経済学会研究年報 The Annals of Wakayama University Economic Society   26   197 - 224   2022.09

Preliminary Evidence on the Relation between Economic Uncertainty, Financial Stress and Liquidity Risk

Nabil El Maghrebi

Wakayama Economic Review   408   17 - 34   2022.03

The linkage between equity returns and government responses to the disease outbreak

Nabil El Maghrebi

和歌山大学経済学会研究年報 The Annals of Wakayama University Economic Society   25   31 - 49   2021.09

Liquidity Traps and the Limits of Monetary Easing during Balance Sheet Recessions

Nabil El Maghrebi

和歌山大学経済学会経済理論 Wakayama Economic Review   400   47 - 62   2020.03

Financial Market Impact on the Real Economy: An Assessment of Asymmetries and Volatility Linkages between the Stock Market and Unemployment Rate

Mark J. Holmes, Nabil ElMaghrebi

Journal of Economic Asymmetries   13   1 - 7   2016

Reconsidering the Role of Tobin’s Q: Nonlinearities in the Adjustment of Investment Expenditure

Mark Holmes, Nabil Maghrebi

Studies in Economics & Finance   32 ( 2 ) 222 - 234   2015.06  [Refereed]

Risk Sharing and Shared Prosperity in Islamic Finance

Mirakhor, A, Nabil El Maghrebi

Islamic Economic Studies   23 ( 2 ) 85 - 115   2015  [Refereed]

Financial instability and the short-term dynamics of volatility expectations

Nabil Maghrebi, Mark J. Holmes, Kosuke Oya

Applied Financial Economics   24 ( 6 ) 377 - 395   2014.03  [Refereed]

DOI

Conceptual Analysis of Islamic Home-Financing Models

Holmes M.J, K. Oya, Nabil El Maghrebi

ISRA International Journal of Islamic Finance   5 ( 1 ) 29 - 88   2013  [Refereed]

Nonlinear adjustments of volatility expectations to forecast errors: Evidence from Markov-regime switches in implied volatility

Kazuhiko Nishina, Nabil Maghrebi, Mark J. Holmes

Review of Pacific Basin Financial Markets and Policies   15 ( 3 ) 1 - 23   2012.09  [Refereed]

DOI

Some Preliminary Evidence on the Relation between Market Volatility Expectations and Leading Indicators of the Japanese Economy

Nabil Maghrebi, Mark J.Holmes

Keizai riron : economic theory ( Wakayama University )  367   87 - 105   2012

DOI

Model-free implied volatility: From surface to index

M. Fukasawa, I. Ishida, N. Maghrebi, K. Oya, M. Ubukata, K. Yamazaki

International Journal of Theoretical and Applied Finance   14 ( 4 ) 433 - 463   2011.06  [Refereed]

DOI

Market Volatility and Financial Regulation

Nabil Maghrebi

The annals of the Economic Society, Wakayama University ( Wakayama University )  14   175 - 186   2010

Reflections on the U.S. Housing and Credit Crisis

Nabil Maghrebi

Keizai riron : economic theory ( Wakayama University )  351   23 - 41   2009

Is there a connection between monetary unification and real economic integration? Evidence from regime-switching stationarity tests

Mark J. Holmes, Nabil Maghrebi

JOURNAL OF INTERNATIONAL MONEY AND FINANCE ( ELSEVIER SCI LTD )  27 ( 6 ) 958 - 970   2008.10  [Refereed]

　View Summary

We investigate the extent of real convergence among G7 economies in terms of long-rum real interest parity. A novel approach is applied where unit-root tests of real interest differentials are embedded within a Markov regime-switching framework. Whereas standard univariate unit-root tests provide little support for parity, we find real convergence is present after allowing for regime switches in real interest misalignments. However, differentials across members of the euro zone are likely to exhibit greater persistence despite nominal convergence. It is non-sequitur to infer from monetary unification that nominal convergence is necessarily conducive to real interest realignments or preventive of misalignments. (C) 2008 Elsevier Ltd. All rights reserved.

DOI

The Bank of Japan Monetary Policy Meetings and the Behavior of the Nikkei225 Implied Volatility Index

Maghrebi Nabil

Osaka Economic Papers ( The Economic Society of Osaka University )  57 ( 4 ) 84 - 99   2008

DOI

The Nikkei225 Implied Volatility Index and the Behavior of Volatility Expectations in the Japanese Stock Market

Nabil Maghrebi, Kazuhiko Nishina, Moo-Sung Kim

Proceedings of the 15th Annual Meeting of the Nippon Finance Association, June 16-17, 2007, Keio University, Tokyo, Japan     218 - 227   2007.06

An Introduction to the Nikkei 225 Implied volatility index

Nabil El Maghrebi

The Wakayama Economic Review   336   35 - 55   2007.03

The KOSPI200 implied volatility index: Evidence of regime switches in volatility expectations

Nabil Maghrebi, Moo-Sung Kim, Kazuhiko Nishina

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES ( KOREAN SECURITIES ASSOC )  36 ( 2 ) 163 - 187   2007  [Refereed]

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This study develops a new KOSPI200 implied volatility index and examines its informational content and nonlinear dynamics. The construction of this new benchmark for volatility expectations follows the methodology for calculating the new VIX index from S&P500 options. The empirical evidence suggests that the expected level of volatility in the Korean stock market has been steadily falling since the inception of option trading and the onset of the Asian financial crisis. Implied volatility is found to reflect useful information on future volatility that is not contained in the history of returns, even after allowing for leverage effects. Markov regime-switching models suggest that nonlinearities in volatility expectations are not likely to be driven solely by the asymmetric impact of news but also by regime-dependencies in the realignment mechanism adjusting for forecast errors. The adjustment process is likely to be significant during regimes of lower volatility expectations but financial crises seem to elevate the level of anticipated volatility and impair its adaptive dynamics.

Are international real interest rate linkages characterized by asymmetric adjustments?

Mark J. Holmes, Nabil Maghrebi

Journal of International Financial Markets, Institutions and Money   16 ( 4 ) 384 - 396   2006.10  [Refereed]

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This study tests for asymmetries in the adjustment mechanism towards real interest parity using monthly data over the period 1973-2004 for the U.S. and a sample of other OECD economies. There is stronger evidence of long-run cointegrating relationships when an explicit distinction is made between decreasing and increasing deviations from equilibrium. The speed of mean-reversion tends to be fastest when momentum gathers for increasing rather than decreasing deviations. This evidence is consistent with asymmetric monetary policy responses where close linkages with respect to the U.S. are likely to be less prevalent in a regime of rising nominal interest rates and falling inflation. © 2005 Elsevier B.V. All rights reserved.

DOI

Are volatility expectations characterized by regime shifts? Evidence from implied volatility indices

Nabil Maghrebi, Kazuhiko Nishina and Mark J. Holmes

Osaka University Discussion Papers in Economics and Business   06-20   2006.07

Are there asymmetries in the relationship between exchange rate fluctuations and stock market volatility in pacific basin countries?

Nabil Maghrebi, Mark J. Holmes, Eric J. Pentecost

Review of Pacific Basin Financial Markets and Policies   9 ( 2 ) 229 - 256   2006.06  [Refereed]

DOI

Stock Market Volatility and the Forecasting Accuracy of Implied Volatility Indices

Nabil El Maghrebi, Kazuhiko Nishina, Moo-Sung Kim

Osaka University 21st Century Center of Excellence Program Discussion Paper Series   110   2006.03

The International Linkage between Implied Volatility Indices and the Dynamics of Return Correlation

Nabil Maghrebi, Kazuhiko Nishina

Proceedings of the Asian Finance Association Conference 2005, July 11-13, 2005, Kuala Lumpur, Malaysia     2005.07

The dynamics of volatility transmission in real interest rates: How integrated are the G7 economies?

Mark J. Holmes, Nabil Maghrebi

European Review of Economics and Finance   4 ( 2 ) 43 - 64   2005  [Refereed]

Asian real interest rates, nonlinear dynamics, and international parity

Mark J. Holmes, Nabil Maghrebi

International Review of Economics and Finance   13 ( 4 ) 387 - 405   2004  [Refereed]

DOI

The Impact of the Information Technology Bubble on Asian Equity Markets

Nabil Maghrebi, Moo-Sung Kim

Proceedings of Asia Pacific Economics and Business Conference 2002, vol. 1, pp. 490-499, October 2-4, 2002, Kuching, Malaysia     2002.10

Non-linearities, regime switching and the relationship between Asian equity and foreign exchange markets

Mark J. Holmes, Nabil Maghrebi

International Economic Journal   16 ( 4 ) 121 - 139   2002  [Refereed]

Return Dynamics of Japanese Stock Index Options

NISHINA Kazuhiko, NABIL Maghrebi M

The Japanese economic review ( 学術雑誌目次速報データベース由来 )  48 ( 1 ) 43 - 64   1997  [Refereed]

Information Technology and Financial Issues

Nabil El Maghrebi

Research Notes of the Center for Information Science, Wakayama University   1   17 - 20   1997

Some Preliminary Evidence on the Intermarket Pricing Relationship between Nikkei Stock Index Derivatives

NABIL Maghrebi M

Osaka Daigaku keizaigaku = The Economic review of Osaka University ( Osaka University )  43 ( 2 ) 76 - 92   1994

On Skewness Preference and Persistence Hypotheses

MAGHREBI N.

Japan financial review. ( 日本証券経済研究所 )  15 ( 15 ) 17 - 34   1992  [Refereed]