Details about Joseph P. Byrne

Access statistics for papers by Joseph P. Byrne.

Last updated 2025-01-23. Update your information in the RePEc Author Service.

Short-id: pby6

Working Papers

2020

1. Asset Prices and Capital Share Risks: Theory and Evidence
   Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2020)
2. Endogenous Uncertainty in the Oil Market: A Bayesian Stochastic Volatility-in-Mean Analysis
   CEERP Working Paper Series, Centre for Energy Economics Research and Policy, Heriot-Watt University
3. The Conditional Risk and Return Trade-Off on Currency Portfolios
   MPRA Paper, University Library of Munich, Germany

2017

4. Carry Trades and Commodity Risk Factors
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Carry trades and commodity risk factors, Journal of International Money and Finance, Elsevier (2019) View citations (13) (2019)
5. Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals, European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation (2020) View citations (7) (2020)
6. Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations
   MPRA Paper, University Library of Munich, Germany View citations (3)
   Also in CEERP Working Paper Series, Centre for Energy Economics Research and Policy, Heriot-Watt University (2017) View citations (3)
7. The Time-Varying Risk Price of Currency Carry Trades
   MPRA Paper, University Library of Munich, Germany View citations (1)

2016

8. Common Information in Carry Trade Risk Factors
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article Common information in carry trade risk factors, Journal of International Financial Markets, Institutions and Money, Elsevier (2018) View citations (8) (2018)
9. Decomposing Global Yield Curve Co-Movement
   Essex Finance Centre Working Papers, University of Essex, Essex Business School
   See also Journal Article Decomposing global yield curve co-movement, Journal of Banking & Finance, Elsevier (2019) View citations (11) (2019)
10. Stock Return Prediction with Fully Flexible Models and Coefficients
    MPRA Paper, University Library of Munich, Germany
11. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
    Essex Finance Centre Working Papers, University of Essex, Essex Business School View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2015) View citations (1)
    MPRA Paper, University Library of Munich, Germany (2015) View citations (1)

2015

12. Co-Movement, Spillovers and Excess Returns in Global Bond Markets
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015)
13. Firm survival, uncertainty and Financial frictions: Is there a Financial uncertainty accelerator?
    Heriot-Watt University Economics Discussion Papers, Department of Economics, School of Management and Languages, Heriot Watt University View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) View citations (4)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014)
    See also Journal Article FIRM SURVIVAL, UNCERTAINTY, AND FINANCIAL FRICTIONS: IS THERE A FINANCIAL UNCERTAINTY ACCELERATOR?, Economic Inquiry, Western Economic Association International (2016) View citations (26) (2016)

2014

14. Exchange Rate Predictability in a Changing World
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (8)
    Papers, arXiv.org (2014) View citations (2)
    Working Paper series, Rimini Centre for Economic Analysis (2014) View citations (2)
    Working Papers, Business School - Economics, University of Glasgow (2014) View citations (7)
    See also Journal Article Exchange rate predictability in a changing world, Journal of International Money and Finance, Elsevier (2016) View citations (46) (2016)
15. On the Sources of Uncertainty in Exchange Rate Predictability
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (5)
    Also in MPRA Paper, University Library of Munich, Germany (2014) View citations (7)
    Working Papers, Business School - Economics, University of Glasgow (2014) View citations (2)
    See also Journal Article ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2018) View citations (43) (2018)

2011

16. Common factors of the exchange risk premium in emerging European markets
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article COMMON FACTORS OF THE EXCHANGE RISK PREMIUM IN EMERGING EUROPEAN MARKETS, Bulletin of Economic Research, Wiley Blackwell (2012) View citations (6) (2012)
17. International Capital Flows to Emerging and Developing Countries: National and Global Determinants
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (23)
    Also in Working Papers, Business School - Economics, University of Glasgow (2011) View citations (23)
18. Primary commodity prices: co-movements, common factors and fundamentals
    Policy Research Working Paper Series, The World Bank View citations (23)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) View citations (8)
    See also Journal Article Primary commodity prices: Co-movements, common factors and fundamentals, Journal of Development Economics, Elsevier (2013) View citations (130) (2013)

2010

19. Exchange Rate Pass Through To Import Prices: Panel Evidence From Emerging Market Economies
    Working Papers, Business School - Economics, University of Glasgow View citations (11)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) View citations (10)
20. IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) View citations (1)
21. Interest Rate Co-movements, Global Factors and the Long End of the Term Spread
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (12)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) View citations (10)
    See also Journal Article Interest rate co-movements, global factors and the long end of the term spread, Journal of Banking & Finance, Elsevier (2012) View citations (16) (2012)
22. International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) View citations (2)
    See also Journal Article International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (13) (2013)

2008

23. Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) View citations (2)
24. Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship
    Working Papers, Business School - Economics, University of Glasgow View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) View citations (1)
    See also Journal Article Structural breaks in the real exchange rate and real interest rate relationship, Global Finance Journal, Elsevier (2010) View citations (8) (2010)
25. The Global Dimension to Fiscal Sustainability
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008)
    See also Journal Article The global dimension to fiscal sustainability, Journal of Macroeconomics, Elsevier (2011) View citations (17) (2011)
26. The Global Side of the Investment-Savings Puzzle
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008)
    See also Journal Article The Global Side of the Investment-Saving Puzzle, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (20) (2009)

2007

27. Euro Area Inflation: Aggregation Bias and Convergence
    Working Papers, Business School - Economics, University of Glasgow View citations (5)
    See also Journal Article Euro area inflation: aggregation bias and convergence, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2010) View citations (3) (2010)
28. Unit Roots in Inflation and Aggregation Bias
    Working Papers, Business School - Economics, University of Glasgow View citations (2)

2006

29. US Trade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis
    Working Papers, Business School - Economics, University of Glasgow View citations (8)
    See also Journal Article US trade and exchange rate volatility: A real sectoral bilateral analysis, Journal of Macroeconomics, Elsevier (2008) View citations (64) (2008)
30. Unit Roots and Structural Breaks: A Survey of the Literature
    Working Papers, Business School - Economics, University of Glasgow View citations (15)

2005

31. Convergence in TFP among Italian Regions - Panel Unit Roots with Heterogeneity and Cross Sectional Dependence
    ERSA conference papers, European Regional Science Association View citations (3)

2003

32. PANEL ESTIMATION OF THE IMPACT OF EXCHANGE RATE UNCERTAINTY ON INVESTMENT IN THE MAJOR INDUSTRIAL COUNTRIES
    Public Policy Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003)
33. Panel Estimation of the Impact of Uncertainty on Investment in the Industrial Countries
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (4)

2002

34. Investment and Uncertainty in the G7
    MPRA Paper, University Library of Munich, Germany View citations (30)
    See also Journal Article Investment and Uncertainty in the G7, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2005) View citations (49) (2005)

1999

35. An Artificial Neural Network System of Leading Indicators
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (13)

1998

36. Job creation and destruction in the corporate sector: the relative importance of births, deaths and
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (5)

Undated

37. Commodity Correlation Risk
    Working Papers, University of Strathclyde Business School, Department of Economics

Journal Articles

2024

1. Decomposing Uncertainty in Macro-Finance Term Structure Models
   The Review of Asset Pricing Studies, 2024, 14, (3), 428-449
2. The Macroeconomic Impact of Global and Country-Specific Climate Risk
   Environmental & Resource Economics, 2024, 87, (3), 655-682 View citations (2)

2022

3. The time-varying risk price of currency portfolios
   Journal of International Money and Finance, 2022, 124, (C) View citations (1)

2021

4. The conditional volatility premium on currency portfolios
   Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (4)

2020

5. Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals
   (Oil price shocks and the stock market: evidence from Japan)
   European Review of Agricultural Economics, 2020, 47, (2), 499-528 View citations (7)
   See also Working Paper Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals, MPRA Paper (2017) View citations (1) (2017)

2019

6. Carry trades and commodity risk factors
   Journal of International Money and Finance, 2019, 96, (C), 121-129 View citations (13)
   See also Working Paper Carry Trades and Commodity Risk Factors, MPRA Paper (2017) View citations (2) (2017)
7. Decomposing global yield curve co-movement
   Journal of Banking & Finance, 2019, 106, (C), 500-513 View citations (11)
   See also Working Paper Decomposing Global Yield Curve Co-Movement, Essex Finance Centre Working Papers (2016) (2016)
8. Oil prices, fundamentals and expectations
   Energy Economics, 2019, 79, (C), 59-75 View citations (29)

2018

9. Common information in carry trade risk factors
   Journal of International Financial Markets, Institutions and Money, 2018, 52, (C), 37-47 View citations (8)
   See also Working Paper Common Information in Carry Trade Risk Factors, MPRA Paper (2016) (2016)
10. ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
    International Economic Review, 2018, 59, (1), 329-357 View citations (43)
    See also Working Paper On the Sources of Uncertainty in Exchange Rate Predictability, SIRE Discussion Papers (2014) View citations (5) (2014)

2017

11. Forecasting the term structure of government bond yields in unstable environments
    Journal of Empirical Finance, 2017, 44, (C), 209-225 View citations (12)

2016

12. Exchange rate predictability in a changing world
    Journal of International Money and Finance, 2016, 62, (C), 1-24 View citations (46)
    See also Working Paper Exchange Rate Predictability in a Changing World, SIRE Discussion Papers (2014) View citations (2) (2014)
13. FIRM SURVIVAL, UNCERTAINTY, AND FINANCIAL FRICTIONS: IS THERE A FINANCIAL UNCERTAINTY ACCELERATOR?
    Economic Inquiry, 2016, 54, (1), 375-390 View citations (26)
    See also Working Paper Firm survival, uncertainty and Financial frictions: Is there a Financial uncertainty accelerator?, Heriot-Watt University Economics Discussion Papers (2015) View citations (2) (2015)
14. International capital flows to emerging markets: National and global determinants
    Journal of International Money and Finance, 2016, 61, (C), 82-100 View citations (62)

2015

15. Foreign exchange market pressure and capital controls
    Journal of International Financial Markets, Institutions and Money, 2015, 37, (C), 42-53 View citations (15)

2013

16. A new approach to tests of pricing-to-market
    Journal of International Money and Finance, 2013, 32, (C), 654-667 View citations (3)
17. International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data
    Journal of Money, Credit and Banking, 2013, 45, (5), 913-932 View citations (13)
    Also in Journal of Money, Credit and Banking, 2013, 45, (5), 913-932 (2013) View citations (30)
    See also Working Paper International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data, SIRE Discussion Papers (2010) View citations (1) (2010)
18. Primary commodity prices: Co-movements, common factors and fundamentals
    Journal of Development Economics, 2013, 101, (C), 16-26 View citations (130)
    See also Working Paper Primary commodity prices: co-movements, common factors and fundamentals, Policy Research Working Paper Series (2011) View citations (23) (2011)

2012

19. COMMON FACTORS OF THE EXCHANGE RISK PREMIUM IN EMERGING EUROPEAN MARKETS
    Bulletin of Economic Research, 2012, 64, (Supplement 1), s71-s85 View citations (6)
    See also Working Paper Common factors of the exchange risk premium in emerging European markets, MPRA Paper (2011) View citations (2) (2011)
20. Interest rate co-movements, global factors and the long end of the term spread
    Journal of Banking & Finance, 2012, 36, (1), 183-192 View citations (16)
    See also Working Paper Interest Rate Co-movements, Global Factors and the Long End of the Term Spread, SIRE Discussion Papers (2010) View citations (12) (2010)

2011

21. The global dimension to fiscal sustainability
    Journal of Macroeconomics, 2011, 33, (2), 137-150 View citations (17)
    See also Working Paper The Global Dimension to Fiscal Sustainability, SIRE Discussion Papers (2008) View citations (2) (2008)

2010

22. Does labour productivity flow across industries? Estimation robust to panel heterogeneity and cross sectional correlation
    Applied Economics Letters, 2010, 17, (2), 111-115 View citations (2)
23. Domestic vs. International Correlations of Interest Rate Maturities
    Economics Bulletin, 2010, 30, (2), 1082-1090
24. Euro area inflation: aggregation bias and convergence
    Review of World Economics (Weltwirtschaftliches Archiv), 2010, 146, (2), 339-357 View citations (3)
    See also Working Paper Euro Area Inflation: Aggregation Bias and Convergence, Working Papers (2007) View citations (5) (2007)
25. Structural breaks in the real exchange rate and real interest rate relationship
    Global Finance Journal, 2010, 21, (2), 138-151 View citations (8)
    See also Working Paper Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship, Working Papers (2008) View citations (1) (2008)
26. THE TIME‐SERIES PROPERTIES OF UK INFLATION: EVIDENCE FROM AGGREGATE AND DISAGGREGATE DATA
    Scottish Journal of Political Economy, 2010, 57, (1), 33-47 View citations (4)

2009

27. The Global Side of the Investment-Saving Puzzle
    Journal of Money, Credit and Banking, 2009, 41, (5), 1033-1040 View citations (20)
    Also in Journal of Money, Credit and Banking, 2009, 41, (5), 1033-1040 (2009) View citations (3)
    See also Working Paper The Global Side of the Investment-Savings Puzzle, SIRE Discussion Papers (2008) (2008)
28. Total Factor Productivity Convergence among Italian Regions: Some Evidence from Panel Unit Root Tests
    Regional Studies, 2009, 43, (1), 63-76 View citations (28)

2008

29. US trade and exchange rate volatility: A real sectoral bilateral analysis
    Journal of Macroeconomics, 2008, 30, (1), 238-259 View citations (64)
    See also Working Paper US Trade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis, Working Papers (2006) View citations (8) (2006)

2005

30. Investment and Uncertainty in the G7
    Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (1), 1-32 View citations (49)
    See also Working Paper Investment and Uncertainty in the G7, MPRA Paper (2002) View citations (30) (2002)
31. The Impact of Short‐ and Long‐run Exchange Rate Uncertainty on Investment: A Panel Study of Industrial Countries
    Oxford Bulletin of Economics and Statistics, 2005, 67, (3), 307-329 View citations (37)

2004

32. Macroeconomic policy in Europe: experiments with monetary responses and fiscal impulses
    Economic Modelling, 2004, 21, (5), 877-931 View citations (26)
33. Permanent and temporary inflation uncertainty and investment in the United States
    Economics Letters, 2004, 85, (2), 271-277 View citations (42)

2003

34. Disaggregate Wealth and Aggregate Consumption: an Investigation of Empirical Relationships for the G7
    Oxford Bulletin of Economics and Statistics, 2003, 65, (2), 197-220 View citations (44)
35. Some international evidence on price determination: a non-stationary panel approach
    Economic Modelling, 2003, 20, (4), 809-838 View citations (2)
36. The implications of diversity in consumption behaviour for the choice of monetary policy rules in Europe
    Economic Modelling, 2003, 20, (2), 275-299 View citations (10)

2002

37. A Comparison of Balance Sheet Structures in Major EU Countries
    National Institute Economic Review, 2002, 180, (1), 83-95 View citations (9)
    Also in National Institute Economic Review, 2002, 180, 83-95 (2002)
38. Sterling, the Euro and the Dollar
    National Institute Economic Review, 2002, 181, (1), 44-46 View citations (3)
    Also in National Institute Economic Review, 2002, 181, 44-46 (2002)