Essex Finance Centre Working Papers

From University of Essex, Essex Business School
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25847: Does Easing Financing Matter for Firm Performance?

Udichibarna Bose, Sushanta Mallick and Serafeim Tsoukas

25125: Central Bank Announcements: Big News for Little People?

Michael Lamla and Dmitri Vinogradov

24921: Assessing the vulnerability to price spikes in agricultural commodity markets

Athanasios Triantafyllou, George Dotsis and Alexandros Sarris

24771: Inflation and Deflationary Biases in Inflation Expectations

Michael Lamla, Damian PJaifar and Lea Rendell

24735: Oil Price Uncertainty and the Macroeconomy

Athanasios Triantafyllou, Nikolaos Vlastakis and Neil Kellard

24137: Testing for Episodic Predictability in Stock Returns

Matei Demetrescu, Iliyan Georgiev, Paulo Rodrigues and AM Robert Taylor

24136: A Generalised Fractional Differencing Bootstrap for Long Memory Processes

George Kapetanios, Fotis Papailias and AM Robert Taylor

24072: Deterministic Parameter Change Models in Continuous and Discrete Time

Marcus Chambers and AM Robert Taylor

23878: Temporal aggregation of seasonally near-integrated processes

Tomás del Barrio Castro, Paulo Rodrigues and AM Robert Taylor

23707: State-level wage Phillips curves

George Kapetanios, Menelaos Tasiou, Simon Price and Alexia Ventouri

23582: Does tax enforcement matter for the cost of bank loans? Evidence from the United States

Theodora Bermpei and Antonios Kalyvas

23409: Risk, Financial Stability and FDI

Neil M Kellard, Alexandros Kontonikas, Michael Lamla, Stefano Maiani and Geoffrey Wood

23347: The Implications of Central Bank Transparency for Uncertainty and Disagreement

Boonlert Jitmaneeroj, Michael Lamla and Andrew Wood

23321: Credit Default Swap Spreads: Funding Liquidity Matters!

Chiara Banti, Neil Kellard and Radu-Dragomir Manac

23320: Time varying cointegration and the UK Great Ratios

George Kapetanios, Stephen Millard, Simon Price and Katerina Petrova

23198: Detecting Regimes of Predictability in the U.S. Equity Premium

David Harvey, Stephen J Leybourne, Robert Sollis and AM Robert Taylor

22666: Machine Learning Macroeconometrics A Primer

Dimitris Korobilis

22665: Variational Bayes inference in high-dimensional time-varying parameter models

Dimitris Korobilis and Gary Koop

21684: Time-Varying Parameters in Continuous and Discrete Time

Marcus Chambers and AM Robert Taylor

21470: Robust Tests for Deterministic Seasonality and Seasonal Mean Shifts

Sam Astill and AM Robert Taylor

21329: Forecasting with High-Dimensional Panel VARs

Gary Koop and Dimitris Korobilis

21268: Competition and Risk-Taking in Investment banking

Degl’Innocenti, M, Franco Fiordelisi, Claudia Girardone and N Radić

21162: Testing for Parameter Instability in Predictive Regression Models

I Georgiev, Di Harvey, Stephen Leybourne and Am Taylor

21006: A Bootstrap Stationarity Test for Predictive Regression Invalidity

I Georgiev, Di Harvey, Stephen Leybourne and Amr Taylor

20937: Measuring Dynamic Connectedness with Large Bayesian VAR Models

Dimitris Korobilis and Kamil Yilmaz

20781: Exchange rate predictability and dynamic Bayesian learning

Joscha Beckmann, Gary Koop, Dimitris Korobilis and R Schüssler

20571: Monetary Policy and Corporate Bond Returns

Alexandros Kontonikas, P Maio and Zivile Zekaite

20329: Level Shift Estimation in the Presence of Non-stationary Volatility with an Application to the Unit Root Testing Problem

D Harris, H Kew and Am Taylor

20328: A UK financial conditions index using targeted data reduction: forecasting and structural identification

G Kapetanios, Sg Price and Garry Young

19565: Forecasting with many predictors using message passing algorithms

Dimitris Korobilis

19480: Bank capital and profitability:Evidence from a global sample

Paolo Coccorese and Claudia Girardone

18832: Unit Root Tests and Heavy-Tailed Innovations

I Georgiev, Paulo Rodrigues and Robert Taylor

18626: Adaptive Minnesota Prior for High-Dimensional Vector Autoregressions

Dimitris Korobilis and Davide Pettenuzzo

18195: Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty

Joseph Byrne, Shuo Cao and Dimitris Korobilis

18194: Decomposing Global Yield Curve Co-Movement

Joseph Byrne, Shuo Cao and Dimitris Korobilis

17454: Determining the Cointegration Rank in Heteroskedastic VAR Models of Unknown Order

Giuseppe Cavaliere, Luca De Angelis, A Rahbek and Robert Taylor

16807: Semi-Parametric Seasonal Unit Root Tests

Tomás del Barrio Castro, Paulo Rodrigues and Robert Taylor

16588: Governance, efficiency and risk taking in Chinese banking

Y Dong, Claudia Girardone and J Kuo

16511: "What's the Use of Having a Reputation If You Can't Ruin It Every Now and Then?" Regulatory Enforcement Actions on Banks and the Structure of Loan Syndicates

Manthos Delis, M Iosifidi, Sotirios Kokas, Steven Ongena and Dimitrios Xefteris

16024: Public-Private Partnerships as Collaborative Projects: testing the theory on cases from EU and Russia

Dmitri Vinogradov and E Shadrina

15847: Tests of the Co-integration Rank in VAR Models in the Presence of a Possible Break in Trend at an Unknown Point

D Harris, Stephen Leybourne and Robert Taylor

15772: Learning or Leaning: Persistent and Transitory Spillovers from FDI

Rb Davies, Michael Lamla and M Schiffbauer

15627: Policy initiatives and firms' access to external finance: Evidence from a panel of emerging Asian economies

Udichibarna Bose, Ronald MacDonald and Serafeim Tsoukas

15626: Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics

Chiara Banti

15373: Open outcry versus electronic trading: tests of market efficiency on crude palm oil futures

Stuart Snaith, Neil Kellard and N Ahmad