• EH14 4AS

    United Kingdom

Accepting PhD Students

PhD projects

Economics; Finance; International Finance; Exchange Rates; Primary Commodity Prices; Co-movement; Empirical Macroeconomics; Macro-Finance; Consumption; Investment.

20012020

Research output per year

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Personal profile

Research interests

Professor Byrne's research areas include International Finance, Financial Economics and Applied Econometrics. He has academic journal publications in Journal of Money, Credit, and Banking, International Economic Review, Journal of Development Economics, Journal of International Money and Finance, Journal of Banking and Finance and Oxford Bulletin of Economics and Statistics. He has over thirty publications in peer reviewed academic journals. He has co-authored a book published by Cambridge University Press entitled Financial Structure. He is interested in supervising PhD students in Economics and Finance.

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Recent Working Papers

Byrne, J.P., and Sakemoto, R. (2020), ‘The Conditional Volatility Premium on Currency Portfolios.’ Working Paper. 

Byrne, J.P., Ibrahim, B. and Zong, X. (2020), 'Asset Prices and Capital Share Risks: Theory and Evidence.' Working Paper. MPRA Paper 101781, University Library of Munich, Germany.

Byrne, J.P. and Ersoy, E. (2020), 'Endogenous Uncertainty in the Oil Market: A Bayesian Stochastic Volatility-in-Mean Analysis.' Working Paper.

Byrne, J.P. and Fu, R., (2018), 'Stock Return Prediction with Fully Flexible Models and Coefficients' Heriot-Watt University Discussion Paper. 

Byrne, J.P., Ibrahim, B.M. and Sakemoto, R., (2018), 'The Time-Varying Risk Price of Currency Carry TradesUniversity Library of Munich, Germany. MPRA Paper #80788. 

Selected Publications

Byrne, J.P., Sakemoto, R. and Xu, B., (2020), 'Commodity Prices Co-movement: Heterogeneity and the Time-Varying Impact of Fundamentals.' European Review of Agricultural Economics, vol. 47, pp. 499-528. 

Byrne, J.P., Cao, S. and Korobilis, D., (2019), 'Decomposing Global Yield Curve Co-Movement.Journal of Banking and Finance vol. 106, pp. 500-513.

Byrne, J.P., Ibrahim, B.M. and Sakemoto, R., (2019), 'Carry Trades and Commodity Risk Factors.' Journal of International Money and Finance vol. 96, pp. 121-129.

Byrne, J.P., Lorusso, M. and Xu, B., (2019), 'Oil Prices, Fundamentals and Expectations.'  Energy Economics vol. 79, pp. 59-75.

Byrne, J.P., Korobilis, D. and Ribeiro, P.J., (2018), 'On the Sources of Uncertainty in Exchange Rate PredictabilityInternational Economic Review, vol. 59(1), pp. 329-357. Working Paper Version.

Byrne, J.P., Ibrahim, B.M. and Sakemoto, R., (2018), 'Common Information in Carry Trade Risk FactorsJournal of International Financial Markets, Institutions and Money, vol. 52, pp. 37-47.

Byrne, J.P., Cao, S. and Korobilis, D., (2017), 'Forecasting the Term Structure of Government Bond Yields in Unstable EnvironmentsJournal of Empirical Finance, vol. 44, pp. 209-225. 

Byrne, J.P. and Fiess, N., (2016), ‘International Capital Flows to Emerging Markets: National and Global Determinants’ Journal of International Money and Finance, vol. 61, pp. 82-100.

Byrne, J.P., Korobilis, D. and Ribeiro, P.J., (2016), ‘Exchange Rate Predictability in a Changing World’ Journal of International Money and Finance, vol. 62, pp. 1-24.

Byrne, J.P., Spaliara, M.-E. and Tsoukas, S., (2016), ‘Firm Survival, Uncertainty and Financial Frictions: Is there a Financial Uncertainty Accelerator?’ Economic Inquiry, vol. 54, pp. 375-390.

Akram Gilal, M. and Byrne, J.P., (2015), ‘Foreign Exchange Market Pressure and Capital Controls’  Journal of International Financial Markets, Institutions and Money, vol. 37, pp. 42-53.

Byrne, J.P., Fazio, G. and Fiess, N., (2013), ‘Primary commodity prices: co-movements, common factors and fundamentals’ Journal of Development Economics, vol. 101, pp. 16-26.

Byrne, J.P., Kontonikas, A. and Montagnoli, A., (2013), ‘International evidence on the New Keynesian Phillips Curve using aggregate and disaggregate data’ Journal of Money, Credit, and Banking, vol. 45, pp. 913-932.

Byrne, J.P., Kortava, E. and MacDonald, R., (2013), ‘A new approach to testing for Pricing-to-Market’ Journal of International Money and Finance, vol. 32, pp. 654-667.

Byrne, J.P., Fazio, G. and Fiess, N., (2012), ‘Interest rate co-movements, global factors and the long end of the term spread’ Journal of Banking and Finance, vol. 36, pp. 183-192.  

Byrne, J.P, Fazio, G. and Fiess N., (2009), ‘The global side of the investment-saving puzzle’ Journal of Money, Credit, and Banking, vol. 41(5), pp. 1033-1040.

Byrne, J.P. and Davis, E.P., (2005), ‘The Impact Of Short And Long-Run Exchange Rate Uncertainty On Investment: A Panel Study Of Industrial Countries.Oxford Bulletin of Economics and Statistics, vol. 67(3), pp. 307-330. 

Byrne, J.P. and Davis, E.P., (2005), ‘Investment and Uncertainty In The G7.’ Review of World Economics, vol. 141(1), pp. 1-32.

Byrne, J.P. and Davis, E.P., (2004), ‘Permanent and Temporary Inflation Uncertainty and Investment In The United States.Economics Letters, vol. 85(2), pp. 271-277.

Byrne, J.P. and Davis, E.P., (2003), ‘Disaggregate Wealth and Aggregate Consumption: An Investigation Of Empirical Relationships For The G7.’ Oxford Bulletin of Economics and Statistics, vol. 65(2), pp. 197-220.

Byrne, J.P. and Davis, E.P., (2003), Financial Structure: An Investigation of Sectoral Balance Sheets in the G7. Cambridge University Press, Cambridge.

Biography

Professor Joseph Byrne is an Economics Professor in Edinburgh Business School. He joined Heriot-Watt University in 2013. He was Head of the Department of Accountancy, Economics and Finance in the School of Social Sciences, and a member of the School Management Board, between 2017 and 2019. He was Lecturer, Senior Lecturer and Reader in the University of Glasgow (2005-2013). In Glasgow he was a member of the Adam Smith Business School School Executive Board and Director of Postgraduate Research for the Business School (2010-2013). Before that he was Convener of Potgraduate Research in Economics in Glasgow University. From 2003 to 2005, he was an Economics Lecturer in the University of Strathclyde. He was a Senior Research Officer in the National Institute of Economic and Social Research (NIESR) in London and worked in NIESR between 2000 and 2003. He has a PhD from the University of Strathclyde, MSc in Economics from the Scottish Graduate Programme in Economics based in the University of Glasgow and BA (Hons) in Economics from Strathclyde.

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Research Output

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

Byrne, J. P., Kontonikas, A. & Montagnoli, A., Aug 2013, In : Journal of Money, Credit and Banking. 45, 5, p. 913-932 20 p.

Research output: Contribution to journalArticle

11 Citations (Scopus)

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

Byrne, J. P., Fazio, G. & Fiess, N., Mar 2013, In : Journal of Development Economics. 101, p. 16-26 11 p.

Research output: Contribution to journalArticle

71 Citations (Scopus)

A new approach to tests of pricing-to-market

Byrne, J. P., Kortava, E. & MacDonald, R., Feb 2013, In : Journal of International Money and Finance. 32, p. 654-667 14 p.

Research output: Contribution to journalArticle

4 Citations (Scopus)

Interest rate co-movements, global factors and the long end of the term spread

Byrne, J. P., Fazio, G. & Fiess, N., Jan 2012, In : Journal of Banking and Finance. 36, 1, p. 183-192 10 p.

Research output: Contribution to journalArticle

17 Citations (Scopus)

The global side of the investment-saving puzzle

Byrne, J. P., Fazio, G. & Fiess, N., Aug 2009, In : Journal of Money, Credit and Banking. 41, 5, p. 1033-1040 8 p.

Research output: Contribution to journalArticle

15 Citations (Scopus)

Press / Media

Why contract theory won Hart and Holmström the Nobel economics prize

Arnab Bhattacharjee & Joseph Paul Byrne

10/10/1614/10/16

8 items of Media coverage, 1 Media contribution

Press/Media: Research