Details about Anindya Banerjee

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Workplace:	Department of Economics, University of Birmingham, (more information at EDIRC)

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Working Papers

2012

1. How do anticipated changes to short-term market rates influence banks' retail interest rates? Evidence from the four major euro area economies
   Working papers, Banque de France View citations (1)
2. The changing role of expectations in US monetary policy: A new look using the Livingston Survey
   Working papers, Banque de France

2011

3. A MULTIPLE BREAK PANEL APPROACH TO ESTIMATING UNITED STATES PHILLIPS CURVES
   Dundee Discussion Papers in Economics, Economic Studies, University of Dundee
   Also in Dundee Discussion Papers in Economics, Economic Studies, University of Dundee (2010) View citations (2)
   Discussion Papers, Department of Economics, University of Birmingham (2010) View citations (5)
4. Cointegration in Panel Data with Breaks and Cross-section Dependence
   Discussion Papers, Department of Economics, University of Birmingham
   Also in Working Paper Series, European Central Bank (2006) View citations (43)
   Economics Working Papers, European University Institute (2006) View citations (43)
5. Testing for Panel Cointegration Using Common Correlated Effects
   Discussion Papers, Department of Economics, University of Birmingham

2010

6. Forecasting with Factor-augmented Error Correction
   Discussion Papers, Department of Economics, University of Birmingham
7. Forecasting with Factor-augmented Error Correction Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
   Also in Discussion Papers, Department of Economics, University of Birmingham (2009) View citations (1)
8. Interest rate pass-through in the major European economies - the role of expectations
   Discussion Papers, Department of Economics, University of Birmingham View citations (1)
   Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM)
9. Modelling Thirty Five Years of Coffee Prices in Brazil, Guatemala and India and the Law of One Price
   Discussion Papers, Department of Economics, University of Birmingham
10. The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies
    Working Papers, COMISEF View citations (3)

2008

11. Factor-augmented Error Correction Models
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (11)
    Also in Economics Working Papers, European University Institute (2008) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (2)
12. Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
    Economics Working Papers, European University Institute View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (24)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2008) View citations (9)

2007

13. Measuring Long-Run Exchange Rate Pass-Through
    Working papers, Banque de France View citations (8)
    Also in Economics Discussion Papers, Kiel Institute for the World Economy (2007) View citations (9)
    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2008)

2006

14. The Long-Run Phillips Curve and Non-Stationary Inflation
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article in Journal of Macroeconomics (2008)

2005

15. Forecasting macroeconomic variables for the new member states of the European Union
    Working Paper Series, European Central Bank View citations (9)

2004

16. Competition, the Lisbon Strategy and the Euro
    Economics Working Papers, European University Institute
17. Forecasting Macroeconomic Variables for the Acceding Countries
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (8)

2003

18. A New Look at the Feldstein-Horioka Puzzle using an Integrated Panel
    Working Papers, CEPII research center View citations (14)
19. A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated
    Economics Working Papers, European University Institute View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2006)
20. Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
    Also in Economics Working Papers, European University Institute (2002) View citations (9)
    See also Journal Article in International Journal of Forecasting (2006)
21. Leading Indicators for Euro Area Inflation and GDP Growth
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (35)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2003) View citations (7)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)

2002

22. A Markup Model for Forecasting Inflation for the Euro
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (1)
23. A Markup Model for Forecasting Inflation in the Euro AreaI
    Economics Working Papers, European University Institute View citations (3)
24. Factor Forecasts for the UK
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in Economics Working Papers, European University Institute (2001) View citations (30)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (9)
25. Inflation Measures of the Markup
    Economics Working Papers, European University Institute View citations (1)
26. Inflation and Measures of the Markup
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (2)
    See also Journal Article in Journal of Macroeconomics (2005)
27. Testing for PPP: Should We Use Panel Methods?
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (11)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (49)
    See also Journal Article in Empirical Economics (2005)
28. The Long-Run Relationship among Relative Price Variability, Inflation and the Markup
    Economics Working Papers, European University Institute View citations (3)

2000

29. An I(2) Analysis of Inflation and the Markup
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (1998) View citations (13)
    See also Journal Article in Journal of Applied Econometrics (2001)
30. Industry Structure and the Dynamics of Price Adjstment
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee
    Also in Economics Working Papers, European University Institute (2000) View citations (1)
    See also Journal Article in Applied Economics (2001)
31. Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data
    Economics Working Papers, European University Institute View citations (7)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (58)
    See also Journal Article in Econometrics Journal (2004)
32. The Markup and the Business Cycle Reconsidered
    Economics Working Papers, European University Institute View citations (2)
33. The Relationship Between the Markup and Inflation in the G7 Plus One Economies
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (13)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (1999)
    Economics Working Papers, European University Institute (2000) View citations (9)
34. The Relationship between the Markup and Inflation in the G7 Economies and Australia
    Dundee Discussion Papers in Economics, Economic Studies, University of Dundee View citations (11)

1996

35. The Econometric Analysis of Economic Policy
    Economics Working Papers, European University Institute View citations (16)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)

1995

36. On the Power of Cointegration Tests: Dimension Invariance vs. Common Factors
    Working Papers, Queen's University, Department of Economics View citations (2)

1994

37. Dynamic Specification and Testing for Unit Roots and Co-Integration
    Working Papers, Queen's University, Department of Economics View citations (2)

1992

38. Simultanenous Versus Sequential Move Structures in Principal-Agent Models
    Economics Series Working Papers, University of Oxford, Department of Economics

1991

39. Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (16)
    Also in Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid View citations (12)
    See also Journal Article in International Economic Review (1991)

1990

40. Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions
    Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
    See also Journal Article in Economics Letters (1990)
41. Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (50)
    See also Journal Article in Journal of Business & Economic Statistics (1992)

1989

42. ESTIMATING EULER EQUATIONS WITH INTEGRATED SERIES
    Economics Series Working Papers, University of Oxford, Department of Economics

1988

43. Moral Hazard and Limited Liability in the Market for Loans: Credit Restriction Versus Credit Rationing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

1987

44. Rejections of orthogonality in rational expectations models: Further Monte Carlo results for an extended set of regressors
    Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
    See also Journal Article in Economics Letters (1987)

Undated

45. Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
    Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid View citations (122)
46. Tests of the life cycle - permanent income hypothesis in the presence of random walks: asymptotic theory and small sample interpretations
    Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
    See also Journal Article in Oxford Economic Papers (1988)

Journal Articles

2012

1. Coffee Market Liberalisation and the Implications for Producers in Brazil, Guatemala and India*
   World Bank Economic Review, 2012, 26, (3), 514-538

2008

2. Measuring Long-Run Exchange Rate Pass-Through
   Economics - The Open-Access, Open-Assessment E-Journal, 2008, 2, (6), 1-36 View citations (5)
   See also Working Paper (2007)
3. The long-run Phillips curve and non-stationary inflation
   Journal of Macroeconomics, 2008, 30, (4), 1792-1815 View citations (6)
   See also Working Paper (2006)

2007

4. Inflation, relative price variability and the markup: Evidence from the United States and the United Kingdom
   Economic Modelling, 2007, 24, (1), 82-100 View citations (3)

2006

5. A markup model for forecasting inflation for the euro area
   Journal of Forecasting, 2006, 25, (7), 495-511 View citations (3)
6. A re-interpretation of the linear quadratic model when inventories and sales are polynomially cointegrated
   Journal of Applied Econometrics, 2006, 21, (8), 1249-1264
   See also Working Paper (2003)
7. Are there any reliable leading indicators for US inflation and GDP growth?
   International Journal of Forecasting, 2006, 22, (1), 137-151 View citations (28)
   See also Working Paper (2003)
8. Frontiers in Time Series Analysis: Introduction
   Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 679-682

2005

9. Inflation and measures of the markup
   Journal of Macroeconomics, 2005, 27, (2), 289-306 View citations (15)
   See also Working Paper (2002)
10. Leading Indicators for Euro-area Inflation and GDP Growth
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 785-813 View citations (30)
    See also Working Paper (2003)
11. Modelling structural breaks, long memory and stock market volatility: an overview
    Journal of Econometrics, 2005, 129, (1-2), 1-34 View citations (24)
12. Testing for PPP: Should we use panel methods?
    Empirical Economics, 2005, 30, (1), 77-91 View citations (83)
    See also Working Paper (2002)

2004

13. A reinvestigation of the markup and the business cycle
    Economic Modelling, 2004, 21, (2), 267-284 View citations (11)
14. Some cautions on the use of panel methods for integrated series of macroeconomic data
    Econometrics Journal, 2004, 7, (2), 322-340 View citations (89)
    See also Working Paper (2000)

2001

15. An I(2) analysis of inflation and the markup
    Journal of Applied Econometrics, 2001, 16, (3), 221-240 View citations (46)
    See also Working Paper (2000)
16. Industry structure and the dynamics of price adjustment
    Applied Economics, 2001, 33, (15), 1889-1901 View citations (10)
    See also Working Paper (2000)

1999

17. Panel Data Unit Roots and Cointegration: An Overview
    Oxford Bulletin of Economics and Statistics, 1999, 61, 607-29 View citations (204)

1996

18. The Econometric Analysis of Economic Policy
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 573-600 View citations (25)
    See also Working Paper (1996)

1992

19. Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence
    Journal of Business & Economic Statistics, 1992, 10, (3), 271-87 View citations (178)
    See also Working Paper (1990)
20. Testing Integration and Cointegration: An Overview
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 225-55 View citations (17)

1991

21. Estimating Intertemporal Quadratic Adjustment Cost Models with Integrated Series
    International Economic Review, 1991, 32, (4), 919-36 View citations (17)
    See also Working Paper (1991)

1990

22. Dynamic Specification and Linear Transformations of the Autoregressive-Distributed Lag Model
    Oxford Bulletin of Economics and Statistics, 1990, 52, (1), 95-104 View citations (6)
23. Moral Hazard, Limited Liability and Taxation: A Principal-Agent Model
    Oxford Economic Papers, 1990, 42, (1), 46-60 View citations (4)
24. Orthogonality tests with de-trended data: Interpreting Monte-Carlo results using Nagar expansions
    Economics Letters, 1990, 32, (1), 19-24
    See also Working Paper (1990)

1989

25. Efficiency in Hierarchies: Implementing the First-Best Solution by Sequential Actions
    RAND Journal of Economics, 1989, 20, (4), 637-645 View citations (3)

1988

26. Tests of the Life Cycle-Permanent Income Hypothesis in the Presence of Random Walks: Asymptotic Theory and Small-Sample Interpretations
    Oxford Economic Papers, 1988, 40, (4), 610-33 View citations (3)
    See also Working Paper

1987

27. Do we reject rational expectations models too often?: Interpreting evidence using Nagar expansions
    Economics Letters, 1987, 24, (1), 27-32 View citations (2)
28. Rejections of orthogonality in rational expectations models: Further Monte Carlo results for an extended set of regressors
    Economics Letters, 1987, 25, (3), 243-247
    See also Working Paper (1987)

1986

29. Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 253-77 View citations (183)

Books

1993

1. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
   OUP Catalogue, Oxford University Press View citations (234)

Edited books

2010

1. The Central and Eastern European Countries and the European Union
   Cambridge Books, Cambridge University Press

2006

2. The Central and Eastern European Countries and the European Union
   Cambridge Books, Cambridge University Press

Editor

1. Oxford Bulletin of Economics and Statistics
   Department of Economics, University of Oxford
2. Oxford Economic Papers
   Oxford University Press