Details about Deborah Gefang

Access statistics for papers by Deborah Gefang.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: pge123

Working Papers

2023

1. Fast Two-Stage Variational Bayesian Approach to Estimating Panel Spatial Autoregressive Models with Unrestricted Spatial Weights Matrices
   Papers, arXiv.org
2. Identifying spatial interdependence in panel data with large N and small T
   Papers, arXiv.org View citations (1)

2020

3. Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs
   Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) View citations (13)
   Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
   See also Journal Article Computationally efficient inference in large Bayesian mixed frequency VARs, Economics Letters, Elsevier (2020) View citations (13) (2020)
4. Did the absence of a central bank backstop in the sovereign bond markets exacerbate spillovers during the euro-area crisis?
   Working Papers, Bank of Greece View citations (2)

2019

5. Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage
   Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (13)
   Also in Economic Statistics Centre of Excellence (ESCoE) Discussion Papers, Economic Statistics Centre of Excellence (ESCoE) (2019) View citations (13)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019) View citations (13)

2014

6. Asymmetric volatility spillovers between UK regional worker flows and vacancies
   Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
   See also Journal Article Asymmetric volatility spillovers between the U.K. regional worker flows and vacancies, Applied Economics, Taylor & Francis Journals (2017) (2017)

2013

7. A new look at variation in employment growth in Canada
   Working Papers, Lancaster University Management School, Economics Department
8. Technical appendix to: a new look at variation in employment growth in Canada
   Working Papers, Lancaster University Management School, Economics Department

2012

9. The Dynamics of UK and US Inflation Expectation
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (16)
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011)
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2008)
   Working Paper series, Rimini Centre for Economic Analysis (2009) View citations (1)
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2011) View citations (2)
   See also Journal Article The dynamics of UK and US inflation expectations, Computational Statistics & Data Analysis, Elsevier (2012) View citations (16) (2012)
10. Time Variation in the Dynamics of Worker Flows: Evidence from the US and Canada
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (2)

2011

11. Understanding Liquidity and Credit Risks in the Financial Crisis
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (36)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (39)
    Working Paper series, Rimini Centre for Economic Analysis (2010) View citations (6)
    See also Journal Article Understanding liquidity and credit risks in the financial crisis, Journal of Empirical Finance, Elsevier (2011) View citations (34) (2011)

2010

12. Technical Appendix to: Understanding Liquidity and Credit Risks in the Financial Crisis
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)

2008

13. Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (9)
14. Revisiting money-output causality from a Bayesian logistic smooth transition VECM perspective
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester

Journal Articles

2024

1. Inflation forecasting with rolling windows: An appraisal
   Journal of Forecasting, 2024, 43, (4), 827-851
2. Quantifying spillovers among regions
   Journal of International Money and Finance, 2024, 140, (C)

2023

3. A test to select between spatial weighting matrices
   Journal of Spatial Econometrics, 2023, 4, (1), 1-10 View citations (1)
4. Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
   International Journal of Forecasting, 2023, 39, (1), 346-363 View citations (6)

2021

5. Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis
   Oxford Economic Papers, 2021, 73, (4), 1454-1470 View citations (2)

2020

6. Computationally efficient inference in large Bayesian mixed frequency VARs
   Economics Letters, 2020, 191, (C) View citations (13)
   See also Working Paper Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs, Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2020) View citations (13) (2020)

2017

7. Asymmetric volatility spillovers between the U.K. regional worker flows and vacancies
   Applied Economics, 2017, 49, (50), 5117-5133
   See also Working Paper Asymmetric volatility spillovers between UK regional worker flows and vacancies, Discussion Papers in Economics (2014) (2014)

2014

8. A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors
   Journal of Economic Dynamics and Control, 2014, 41, (C), 257-275 View citations (4)
9. Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage
   International Journal of Forecasting, 2014, 30, (1), 1-11 View citations (65)
10. TIME VARIATION IN THE DYNAMICS OF WORKER FLOWS: EVIDENCE FROM NORTH AMERICA AND EUROPE
    Journal of Applied Econometrics, 2014, 29, (2), 265-290 View citations (7)

2012

11. Money‐output Causality Revisited – A Bayesian Logistic Smooth Transition VECM Perspective
    Oxford Bulletin of Economics and Statistics, 2012, 74, (1), 131-151 View citations (16)
12. The dynamics of UK and US inflation expectations
    Computational Statistics & Data Analysis, 2012, 56, (11), 3120-3133 View citations (16)
    See also Working Paper The Dynamics of UK and US Inflation Expectation, SIRE Discussion Papers (2012) View citations (16) (2012)

2011

13. Understanding liquidity and credit risks in the financial crisis
    Journal of Empirical Finance, 2011, 18, (5), 903-914 View citations (34)
    See also Working Paper Understanding Liquidity and Credit Risks in the Financial Crisis, SIRE Discussion Papers (2011) View citations (36) (2011)

2009

14. Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach
    Studies in Nonlinear Dynamics & Econometrics, 2009, 14, (1), 33 View citations (12)

Chapters

2008

1. Investigating nonlinear purchasing power parity during the post-Bretton Woods era – A Bayesian exponential smooth transition VECM approach
   A chapter in Bayesian Econometrics, 2008, pp 471-500