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Details about Joseph P. Byrne

Homepage:https://pureportal.strath.ac.uk/en/persons/joseph-byrne
Postal address:Department of Economics, Strathclyde Business School, University of Strathclyde, 199 Cathedral Street, Glasgow G4 0QU United Kingdom
Workplace:Economics Department, University of Strathclyde, (more information at EDIRC)

Access statistics for papers by Joseph P. Byrne.

Last updated 2023-08-02. Update your information in the RePEc Author Service.

Short-id: pby6


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Working Papers

2020

  1. Asset Prices and Capital Share Risks: Theory and Evidence
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Papers, arXiv.org (2020) Downloads
  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 Downloads
  3. The Conditional Risk and Return Trade-Off on Currency Portfolios
    MPRA Paper, University Library of Munich, Germany Downloads

2017

  1. Carry Trades and Commodity Risk Factors
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article Carry trades and commodity risk factors, Journal of International Money and Finance, Elsevier (2019) Downloads View citations (9) (2019)
  2. Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (6) (2020)
  3. Oil Prices and Informational Frictions: The Time-Varying Impact of Fundamentals and Expectations
    CEERP Working Paper Series, Centre for Energy Economics Research and Policy, Heriot-Watt University Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2017) Downloads View citations (3)
  4. The Time-Varying Risk Price of Currency Carry Trades
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2016

  1. Common Information in Carry Trade Risk Factors
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Common information in carry trade risk factors, Journal of International Financial Markets, Institutions and Money, Elsevier (2018) Downloads View citations (7) (2018)
  2. Decomposing Global Yield Curve Co-Movement
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads
    See also Journal Article Decomposing global yield curve co-movement, Journal of Banking & Finance, Elsevier (2019) Downloads View citations (9) (2019)
  3. Stock Return Prediction with Fully Flexible Models and Coefficients
    MPRA Paper, University Library of Munich, Germany Downloads
  4. Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty
    Essex Finance Centre Working Papers, University of Essex, Essex Business School Downloads View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2015) Downloads View citations (1)
    Working Papers, Business School - Economics, University of Glasgow (2015) Downloads View citations (1)

2015

  1. Co-Movement, Spillovers and Excess Returns in Global Bond Markets
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2015) Downloads
  2. 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 Downloads View citations (2)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2015) Downloads View citations (4)
    Working Papers, Business School - Economics, University of Glasgow (2015) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads

    See also Journal Article FIRM SURVIVAL, UNCERTAINTY, AND FINANCIAL FRICTIONS: IS THERE A FINANCIAL UNCERTAINTY ACCELERATOR?, Economic Inquiry, Western Economic Association International (2016) Downloads View citations (24) (2016)

2014

  1. Exchange Rate Predictability in a Changing World
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (7)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2014) Downloads View citations (2)
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (2)
    Papers, arXiv.org (2014) Downloads View citations (2)
    MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (8)

    See also Journal Article Exchange rate predictability in a changing world, Journal of International Money and Finance, Elsevier (2016) Downloads View citations (42) (2016)
  2. On the Sources of Uncertainty in Exchange Rate Predictability
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (2)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2014) Downloads View citations (5)
    MPRA Paper, University Library of Munich, Germany (2014) Downloads View citations (7)

    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) Downloads View citations (41) (2018)

2011

  1. Common factors of the exchange risk premium in emerging European markets
    MPRA Paper, University Library of Munich, Germany Downloads 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) Downloads View citations (6) (2012)
  2. International Capital Flows to Emerging and Developing Countries: National and Global Determinants
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (23)
    Also in Working Papers, Business School - Economics, University of Glasgow (2011) Downloads View citations (23)
  3. Primary commodity prices: co-movements, common factors and fundamentals
    Policy Research Working Paper Series, The World Bank Downloads View citations (23)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads View citations (8)

    See also Journal Article Primary commodity prices: Co-movements, common factors and fundamentals, Journal of Development Economics, Elsevier (2013) Downloads View citations (125) (2013)

2010

  1. Exchange Rate Pass Through To Import Prices: Panel Evidence From Emerging Market Economies
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (11)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (10)
  2. IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads View citations (1)
  3. Interest Rate Co-movements, Global Factors and the Long End of the Term Spread
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (10)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (12)

    See also Journal Article Interest rate co-movements, global factors and the long end of the term spread, Journal of Banking & Finance, Elsevier (2012) Downloads View citations (15) (2012)
  4. International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads 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) Downloads View citations (9) (2013)

2008

  1. Common and Idiosyncratic Factors of the Exchange Risk Premium in Emerging European Markets
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) Downloads View citations (2)
  2. Structural Breaks in the Real Exchange Rate and Real Interest Rate Relationship
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008) Downloads View citations (1)

    See also Journal Article Structural breaks in the real exchange rate and real interest rate relationship, Global Finance Journal, Elsevier (2010) Downloads View citations (8) (2010)
  3. The Global Dimension to Fiscal Sustainability
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (2)
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) Downloads

    See also Journal Article The global dimension to fiscal sustainability, Journal of Macroeconomics, Elsevier (2011) Downloads View citations (17) (2011)
  4. The Global Side of the Investment-Savings Puzzle
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2008) Downloads

    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

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

2006

  1. US Trade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (8)
    See also Journal Article US trade and exchange rate volatility: A real sectoral bilateral analysis, Journal of Macroeconomics, Elsevier (2008) Downloads View citations (57) (2008)
  2. Unit Roots and Structural Breaks: A Survey of the Literature
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (14)

2005

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

2003

  1. 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 Downloads
    Also in Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University (2003) Downloads
  2. Panel Estimation of the Impact of Uncertainty on Investment in the Industrial Countries
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (4)

2002

  1. Investment and Uncertainty in the G7
    MPRA Paper, University Library of Munich, Germany Downloads View citations (30)
    See also Journal Article Investment and Uncertainty in the G7, Review of World Economics (Weltwirtschaftliches Archiv), Springer (2005) Downloads View citations (47) (2005)

1999

  1. 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

  1. 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

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

Journal Articles

2022

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

2021

  1. The conditional volatility premium on currency portfolios
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) Downloads View citations (3)

2020

  1. 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 Downloads View citations (6)
    See also Working Paper Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals, MPRA Paper (2017) Downloads View citations (1) (2017)

2019

  1. Carry trades and commodity risk factors
    Journal of International Money and Finance, 2019, 96, (C), 121-129 Downloads View citations (9)
    See also Working Paper Carry Trades and Commodity Risk Factors, MPRA Paper (2017) Downloads View citations (2) (2017)
  2. Decomposing global yield curve co-movement
    Journal of Banking & Finance, 2019, 106, (C), 500-513 Downloads View citations (9)
    See also Working Paper Decomposing Global Yield Curve Co-Movement, Essex Finance Centre Working Papers (2016) Downloads (2016)
  3. Oil prices, fundamentals and expectations
    Energy Economics, 2019, 79, (C), 59-75 Downloads View citations (22)

2018

  1. Common information in carry trade risk factors
    Journal of International Financial Markets, Institutions and Money, 2018, 52, (C), 37-47 Downloads View citations (7)
    See also Working Paper Common Information in Carry Trade Risk Factors, MPRA Paper (2016) Downloads (2016)
  2. ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
    International Economic Review, 2018, 59, (1), 329-357 Downloads View citations (41)
    See also Working Paper On the Sources of Uncertainty in Exchange Rate Predictability, Working Papers (2014) Downloads View citations (2) (2014)

2017

  1. Forecasting the term structure of government bond yields in unstable environments
    Journal of Empirical Finance, 2017, 44, (C), 209-225 Downloads View citations (10)

2016

  1. Exchange rate predictability in a changing world
    Journal of International Money and Finance, 2016, 62, (C), 1-24 Downloads View citations (42)
    See also Working Paper Exchange Rate Predictability in a Changing World, Working Papers (2014) Downloads View citations (7) (2014)
  2. FIRM SURVIVAL, UNCERTAINTY, AND FINANCIAL FRICTIONS: IS THERE A FINANCIAL UNCERTAINTY ACCELERATOR?
    Economic Inquiry, 2016, 54, (1), 375-390 Downloads View citations (24)
    See also Working Paper Firm survival, uncertainty and Financial frictions: Is there a Financial uncertainty accelerator?, Heriot-Watt University Economics Discussion Papers (2015) Downloads View citations (2) (2015)
  3. International capital flows to emerging markets: National and global determinants
    Journal of International Money and Finance, 2016, 61, (C), 82-100 Downloads View citations (53)

2015

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

2013

  1. A new approach to tests of pricing-to-market
    Journal of International Money and Finance, 2013, 32, (C), 654-667 Downloads View citations (3)
  2. International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data
    Journal of Money, Credit and Banking, 2013, 45, (5), 913-932 Downloads View citations (9)
    Also in Journal of Money, Credit and Banking, 2013, 45, (5), 913-932 (2013) Downloads View citations (26)

    See also Working Paper International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data, SIRE Discussion Papers (2010) Downloads View citations (1) (2010)
  3. Primary commodity prices: Co-movements, common factors and fundamentals
    Journal of Development Economics, 2013, 101, (C), 16-26 Downloads View citations (125)
    See also Working Paper Primary commodity prices: co-movements, common factors and fundamentals, Policy Research Working Paper Series (2011) Downloads View citations (23) (2011)

2012

  1. COMMON FACTORS OF THE EXCHANGE RISK PREMIUM IN EMERGING EUROPEAN MARKETS
    Bulletin of Economic Research, 2012, 64, (Supplement 1), s71-s85 Downloads View citations (6)
    See also Working Paper Common factors of the exchange risk premium in emerging European markets, MPRA Paper (2011) Downloads View citations (2) (2011)
  2. Interest rate co-movements, global factors and the long end of the term spread
    Journal of Banking & Finance, 2012, 36, (1), 183-192 Downloads View citations (15)
    See also Working Paper Interest Rate Co-movements, Global Factors and the Long End of the Term Spread, Working Papers (2010) Downloads View citations (10) (2010)

2011

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

2010

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

2009

  1. 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) Downloads View citations (3)

    See also Working Paper The Global Side of the Investment-Savings Puzzle, SIRE Discussion Papers (2008) Downloads (2008)
  2. Total Factor Productivity Convergence among Italian Regions: Some Evidence from Panel Unit Root Tests
    Regional Studies, 2009, 43, (1), 63-76 Downloads View citations (29)

2008

  1. US trade and exchange rate volatility: A real sectoral bilateral analysis
    Journal of Macroeconomics, 2008, 30, (1), 238-259 Downloads View citations (57)
    See also Working Paper US Trade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis, Working Papers (2006) Downloads View citations (8) (2006)

2005

  1. Investment and Uncertainty in the G7
    Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (1), 1-32 Downloads View citations (47)
    See also Working Paper Investment and Uncertainty in the G7, MPRA Paper (2002) Downloads View citations (30) (2002)
  2. 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 Downloads View citations (37)

2004

  1. Macroeconomic policy in Europe: experiments with monetary responses and fiscal impulses
    Economic Modelling, 2004, 21, (5), 877-931 Downloads View citations (26)
  2. Permanent and temporary inflation uncertainty and investment in the United States
    Economics Letters, 2004, 85, (2), 271-277 Downloads View citations (41)

2003

  1. Disaggregate Wealth and Aggregate Consumption: an Investigation of Empirical Relationships for the G7
    Oxford Bulletin of Economics and Statistics, 2003, 65, (2), 197-220 Downloads View citations (40)
  2. Some international evidence on price determination: a non-stationary panel approach
    Economic Modelling, 2003, 20, (4), 809-838 Downloads View citations (2)
  3. The implications of diversity in consumption behaviour for the choice of monetary policy rules in Europe
    Economic Modelling, 2003, 20, (2), 275-299 Downloads View citations (10)

2002

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

Books

2003

  1. Financial Structure
    Cambridge Books, Cambridge University Press View citations (1)
 
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