Research Output 1980 2019

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Discussion paper
2017

Carry Trades and Commodity Risk Factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., 14 Aug 2017, (MPRA Working Paper; no. 80789)

Research output: Working paperDiscussion paper

File
Carry trade
Currency
Commodities
Risk factors
Stock market

Does the abolition of border controls boost cross-border commuting? Evidence from Switzerland

Parenti, A. & Tealdi, C., May 2017, University of Pisa, p. 1-42 42 p.(Discussion Papers del Dipartimento di Economia e Management – University of Pisa; no. 213)

Research output: Working paperDiscussion paper

Commuting
Cross-border
Switzerland
Labor force
Model specification

Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations

Byrne, J. P., Lorusso, M. & Xu, B., Jun 2017, (CEERP Working Paper; no. 6)

Research output: Working paperDiscussion paper

Oil prices
Time-varying
Friction
Oil supply
Consumer confidence

The Time-Varying Risk Price of Currency Carry Trades

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., 14 Aug 2017, (MPRA Working Paper; no. 80788)

Research output: Working paperDiscussion paper

File
Currency
Time-varying risk
Carry trade
Expected returns
Economics
2016

Building sustainable credit unions

Mochrie, R. I., 14 Sep 2016

Research output: Working paperDiscussion paper

Credit unions
Financial inclusion
Public policy
Service innovation
Financial intermediation

Common Information in Carry Trade Risk Factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., 2016, (Unpublished)

Research output: Working paperDiscussion paper

File
Common factors
Factors
Carry trade
Market risk
Stock market

Community Credit Unions and Payroll Deduction: A report on a field trial

Mochrie, R. I. & Waite, K., 20 Oct 2016

Research output: Working paperDiscussion paper

deduction
credit
community
employer
municipal council

Decomposing Global Yield Curve Co-Movement

Byrne, J. P., Cao, S. & Korobilis, D., 2016, (Unpublished)

Research output: Working paperDiscussion paper

File
Yield curve
Comovement
Transmission channel
Sentiment
Economic uncertainty

Stock Return Prediction with Fully Flexible Models and Coefficients

Byrne, J. P. & Fu, R., 2016, (Unpublished)

Research output: Working paperDiscussion paper

File
Coefficients
Stock returns
Prediction
Time variation
Stock return predictability

Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

Byrne, J. P., Cao, S. & Korobilis, D., 2016

Research output: Working paperDiscussion paper

File
Term structure
Finance
Model uncertainty
Factors
Model averaging
2014

Exchange Rate Predictability in a Changing World

Byrne, J. P., Korobilis, D. & Ribeiro, P. J., 14 Feb 2014, Adam Smith Business School, University of Glasgow, 86 p.(Economics Working Papers; no. 2014_3)

Research output: Working paperDiscussion paper

Open Access
File
Exchange rates
Predictability
Taylor rule
Benchmark
Random walk

On the Sources of Uncertainty in Exchange Rate Predictability

Byrne, J. P., Korobilis, D. & Ribeiro, P. J., 29 Sep 2014, Adam Smith Business School, University of Glasgow, 77 p.(Economics Working Papers; no. 2014_16)

Research output: Working paperDiscussion paper

Open Access
File
Predictability
Uncertainty
Coefficients
Exchange rates
Predictors
2011

Common factors of the exchange risk premium in emerging European markets

Byrne, J. P. & Nagayasu, J., 2011, University Library of Munich, (MPRA Paper; no. 31393)

Research output: Working paperDiscussion paper

File
Exchange risk
Common factors
Risk premium
Premium
Uncovered interest rate parity

International Capital Flows to Emerging and Developing Countries: National and Global Determinants

Byrne, J. P. & Fiess, N., 2011, University Of Glasgow, 36 p.(SIRE Discussion Papers; no. 2011-03)

Research output: Working paperDiscussion paper

Open Access
File
Developing countries
Capital flows
International capital flows
Emerging countries
Commonality

Primary commodity prices : co-movements, common factors and fundamentals

Byrne, J. P., Fazio, G. & Fiess, N., 1 Feb 2011, World Bank, 35 p.(Policy Research Working Paper Series; no. 5578)

Research output: Working paperDiscussion paper

Open Access
File
Common factors
Commodity prices
Comovement
Primary commodities
Developing countries
2010

Exchange rate pass through to import prices: Panel evidence from emerging market economies

Byrne, J. P., Chavali, A. & Kontonikas, A., 2010, University Of Glasgow, 31 p.(SIRE Discussion Papers; no. 2010-46)

Research output: Working paperDiscussion paper

Open Access
File
Exchange rate pass-through
Emerging market economies
Import prices
Asymmetry
Exchange rates

Inflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility

Byrne, J. P., Kaneez, F. & Kontonikas, A., 11 Jan 2010, Glasgow: University Of Glasgow, (Economics Working Papers; no. 2010_09)

Research output: Working paperDiscussion paper

File
Stochastic volatility
Globalization
Inflation rate
Inflation
Dynamic factor model

Interest Rate Co-movements, Global Factors and the Long End of the Term Spread

Byrne, J. P., Fazio, G. & Fiess, N., 2010, (Unpublished) Edinburgh: Scottish Institute for Research in Economics, (SIRE Discussion Papers; no. 2010-24)

Research output: Working paperDiscussion paper

File
Term spread
Interest rates
Factors
Comovement
Latent factors

International evidence on the new Keynesian Phillips Curve using aggregate and disaggregate data

Byrne, J. P., Kontonikas, A. & Montagnoli, A., 9 Jul 2010, Adam Smith Business School, University of Glasgow, 36 p.(Economics Working Papers; no. 2010_18)

Research output: Working paperDiscussion paper

Open Access
File
New Keynesian Phillips curve
Inflation
Empirical analysis
Aggregate data
Marginal cost