Macroeconomics, International Economics, and Financial Markets Research Group
David Peel has published pioneering papers on the applications of nonlinear time series models to parity conditions such as purchasing power parity, and covered interest parity (Journal of Political Economy, International Economic Review, Journal of Money, Credit and Banking) and the modelling of political popularity (SNDE, JRSSa). He has contributed to the theoretical modelling of central banks with asymmetric preferences (Economic Journal) and the political theory of business cycles (European Economic Review). He has also contributed to the literature of the economics of gambling markets (Economica). Ivan Paya has extended the analysis of the mean reversion and persistent properties of real exchange rates and inflation series by looking at the structure of impulse response functions and temporal aggregation effects (JMCB, Journal of Applied Econometrics). Themsis Pavlidis has recently joined the department and works along with David Peel and Ivan Paya on modelling real exchange rates with trade costs, robust linearity tests and forecasting and nonlinear models. Alina Spiru investigates the Efficient Market Hypothesis in the forward market and the nonlinear modelling of inflation.
Nick Snowden extends the work on international economics by looking at capital flows and financial markets. He analyses financial aspects of economic development and stabilisation problems (Oxford Economics Papers, World Development). Marwan Izzeldin's research relates to the modelling and forecasting of high frequency data. He investigates volatility and forecasting in equity and foreign exchange markets as well as the application of Bootstrapping techniques in testing long memory (Computational Statistics and Data Analysis). Deborah Gefang works on nonlinear models for business cycles using a Bayesian approach.
For further details of individual research and publications in these areas, see Staff Profiles.
Potential PhD topics
The group would particularly welcome applications from well-qualified candidates interested in pursuing PhD study in any of the following areas:
- Taylor rules and forecasting evaluation of the efficiency of asset markets
- Evaluation of the properties of forecasts, particularly macroeconomic and earnings forecasts of analysts
- Deviations from financial arbitrage conditions
- Inflation dynamics
- Linearity and long memory tests
- Volatility in financial and forex markets
- Quantifying risk in Islamic financial instruments
- Investigating the growth of small states
- Industrial location and adjustment to policy reform in India
- The implications of alternative objectives of independent central banks
- The development of management practice in OECD countries, 1960-2000
- Current economic policy issues within the European Union (micro and macro)
- Political economy, economic geography, and international trade
