Accepting PhD Students

PhD projects

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

20012019
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Research Output 2001 2019

2019

Carry trades and commodity risk factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., Sep 2019, In : Journal of International Money and Finance. 96, p. 121-129 9 p.

Research output: Contribution to journalArticle

Currency
Commodities
Risk factors
Carry trade
Factors
Commodity prices
Comovement
Time-varying
Commodities
Factors

Decomposing Global Yield Curve Co-Movement

Byrne, J. P., Cao, S. & Korobilis, D., Sep 2019, In : Journal of Banking and Finance. 106, p. 500-513 14 p.

Research output: Contribution to journalArticle

Yield curve
Comovement
Term premium
Macroeconomic fundamentals
Transmission channel
2018

Common Information in Carry Trade Risk Factors

Byrne, J. P., Ibrahim, B. M. & Sakemoto, R., Jan 2018, In : Journal of International Financial Markets, Institutions and Money. 52, p. 37-47 11 p.

Research output: Contribution to journalArticle

Open Access
File
Common factors
Carry trade
Market risk
Stock market
Risk factors

Oil Prices, Fundamentals and Expectations

Byrne, J. P., Lorusso, M. & Xu, B., 8 May 2018, In : Energy Economics.

Research output: Contribution to journalArticle

Open Access
File
Oil prices
Oil
Oil demand
Friction
Fluctuations

On the Sources of Uncertainty in Exchange Rate Predictability

Byrne, J. P., Korobilis, D. & Ribeiro, P. J., Feb 2018, In : International Economic Review. 59, 1, p. 329–357 29 p.

Research output: Contribution to journalArticle

Uncertainty
Predictability
Exchange rates
Predictors
Coefficients
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

Financial Integration in a Changing World

Byrne, J. P., Eross, A. & Fu, R., 15 Nov 2017.

Research output: Working paper

File
Financial integration
Estimation risk
Extreme events
Volatility index
Vulnerability

Forecasting the term structure of government bond yields in unstable environments

Byrne, J. P., Cao, S. & Korobilis, D., Dec 2017, In : Journal of Empirical Finance. 44, p. 209-225 17 p.

Research output: Contribution to journalArticle

Open Access
File
Term structure
Government bonds
Bond yields
Model uncertainty
Interest rates

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

Friction
Oil prices
Time-varying
Oil supply
Uncertainty

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

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

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

Exchange rate predictability in a changing world

Byrne, J. P., Korobilis, D. & Ribeiro, P. J., Apr 2016, In : Journal of International Money and Finance. 62, p. 1-24 24 p.

Research output: Contribution to journalArticle

Open Access
File
Exchange rates
Predictability
Taylor rule
Time-varying parameters
Currency

Firm survival, uncertainty, and financial frictions: Is there a financial uncertainty accelerator?

Byrne, J. P., Spaliara, M-E. & Tsoukas, S., Jan 2016, In : Economic Inquiry. 54, 1, p. 375-390 16 p.

Research output: Contribution to journalArticle

Firm survival
Uncertainty
Financial frictions
Finance
Global financial crisis

Firm survival, uncertainty and financial frictions: Is there a financial uncertainty accelerator?

Byrne, J. P., Spaliara, M-E. & Tsoukas, S., Jan 2016, In : Economic Inquiry. 54, 1, p. 375-390 16 p.

Research output: Contribution to journalArticle

Firm survival
Uncertainty
Financial frictions
Finance
Corporate failure

International capital flows to emerging markets: National and global determinants

Byrne, J. P. & Fiess, N., Mar 2016, In : Journal of International Money and Finance. 61, p. 82-100 19 p.

Research output: Contribution to journalArticle

Emerging markets
International capital flows
Capital flows
Capital inflows
Commonality

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
2015

Foreign exchange market pressure and capital controls

Akram, G. M. & Byrne, J. P., Jul 2015, In : Journal of International Financial Markets, Institutions and Money. 37, p. 42-53 12 p.

Research output: Contribution to journalArticle

File
Foreign exchange market
Capital controls
Exchange market pressure
Financial liberalization
Trade openness
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
2013

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

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

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

2012

Common factors of the exchange risk premium in emerging European markets

Byrne, J. P. & Nagayasu, J., Dec 2012, In : Bulletin of Economic Research. 64, s1, p. s71-s85 15 p.

Research output: Contribution to journalArticle

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

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

The global dimension to fiscal sustainability

Byrne, J. P., Fiess, N. & MacDonald, R., Jun 2011, In : Journal of Macroeconomics. 33, 2, p. 137-150 14 p.

Research output: Contribution to journalArticle

2010

Euro area inflation: aggregation bias and convergence

Byrne, J. P. & Fiess, N., 1 Jun 2010, In : Review of World Economics. 146, 2, p. 339-357 19 p.

Research output: Contribution to journalArticle

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
Inflation
Stochastic volatility
Dynamic factor model
Inflation rate
Globalization

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

Structural breaks in the real exchange rate and real interest rate relationship

Byrne, J. P. & Nagayasu, J., 2010, In : Global Finance Journal. 21, 2, p. 138-151 14 p.

Research output: Contribution to journalArticle

The time-series properties of UK inflation: evidence from aggregate and disaggregate data

Byrne, J. P., Kontonikas, A. & Montagnoli, A., Feb 2010, In : Scottish Journal of Political Economy. 57, 1, p. 33-47 15 p.

Research output: Contribution to journalArticle

2009

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

Total factor productivity convergence among Italian regions: some evidence from panel unit root tests

Byrne, J. P., Fazio, G. & Piacentino, D., 2009, In : Regional Studies. 43, 1, p. 63-76 14 p.

Research output: Contribution to journalArticle

2008

US trade and exchange rate volatility: A real sectoral bilateral analysis

Byrne, J. P., Darby, J. & MacDonald, R., Mar 2008, In : Journal of Macroeconomics. 30, 1, p. 238-259 22 p.

Research output: Contribution to journalArticle

2007

Unit roots and structural breaks: a survey of the literature

Byrne, J. P. & Perman, R., 2007, Cointegration for the Applied Economist. Bhasjara Rao, B. (ed.). Basingstoke: Palgrave Macmillan

Research output: Chapter in Book/Report/Conference proceedingChapter

2005

Investment and Uncertainty in the G7

Byrne, J. P. & Davis, E. P., Apr 2005, In : Review of World Economics. 141, 1, p. 1-32 32 p.

Research output: Contribution to journalArticle

Uncertainty
Business investment
Aggregate investment
Standard deviation
Exchange rate volatility
2004

Macroeconomic policy in Europe: experiments with monetary responses and fiscal impulses

Barrell, R., Becker, B., Byrne, J. P., Gottschalk, S., Hurst, I. & van Welsum, D., Sep 2004, In : Economic Modelling. 21, 5, p. 877-931 55 p.

Research output: Contribution to journalArticle

Permanent and temporary inflation uncertainty and investment in the United States

Byrne, J. P. & Davis, E. P., Nov 2004, In : Economics Letters. 85, 2, p. 271-277 7 p.

Research output: Contribution to journalArticle

2003

Disaggregate wealth and aggregate consumption: an investigation of empirical relationships for the G7

Byrne, J. P. & Davis, E. P., May 2003, In : Oxford Bulletin of Economics and Statistics. 65, 2, p. 197-220 24 p.

Research output: Contribution to journalArticle

Financial Structure: An Investigation of Sectoral Balance Sheets in the G7

Byrne, J. P. & Davis, E. P., 2003, Cambridge University Press. 242 p. (Economic and Social Studies; vol. 43)

Research output: Book/ReportBook

Some international evidence on price determination: a non-stationary panel approach

Ashworth, P. & Byrne, J. P., Jul 2003, In : Economic Modelling. 20, 4, p. 809-838 30 p.

Research output: Contribution to journalArticle