Brunel Macroeconomics Research Centre (BMRC)
Who We Are
Our main research areas
We are a group of experienced macroeconomists with a good record of mutual research co-operation, an excellent set of published papers, a good stream of external research funding. Our main research areas are:- monetary policy
- unemployment and the labour market
- financial development and growth
BMRC Members
- Ray Barrell
- Nauro Campos
- Alessandra Canepa
- Mauro Costantini
- Javier Coto-Martinez
- Evangelos Dioikitopoulos
- Sugata Ghosh
- John Hunter
- Menelaos Karanasos
- Dilruba Karim
- Aris Kartsaklas
- Panagiotis Konstantinou
- Russ Moro
- Alexia Ventouri
Advisory Board
The centre's international Advisory Board comprises a group of leading macroeconomists and researchers:- Richard Baillie (Michigan State University)
- Giovanni Barone-Adesi (University of Lugano)
- Chris Martin (University of Bath)
- James Davidson (University of Exeter)
- Philip Davis (National Institute of Economics and Social Research)
- George Kapetanios (Queen Mary, University of London)
- Marika Karanassou (Queen Mary, University of London)
- Steve Satchell (University of Cambridge)
- Ron Smith (Birkbeck College, University of London)
- Publish a series of papers in refereed journals
- Give a series of keynote addresses and invited presentations
- Hold a series of visiting positions
- Serve as journal editors or on editorial boards
- Hold one international conference at Brunel.
Journal Service
Nauro Campos
- Quantitative and Qualitative Analysis in the Social Sciences (associate editor)
John Hunter
- Quantitative and Qualitative Analysis in the Social Sciences (associate editor)
Menelaos Karanasos
- Quantitative and Qualitative Analysis in the Social Sciences (founding editor)
Publications
Journal Papers
(Forthcoming) Coto-Martinez, J. and Reboredo, JC., "The relative price of non-traded goods under imperfect competition", Oxford Bulletin of Economics and Statistics
(2013) Costantini, M. and Lupi, C., A Simple Panel-CADF Test for Unit Roots, Oxford Bulletin of Economics and Statistics 75 (2) : 276- 296
(2013) Costantini, M., Demetriades, PO., James, GA. and Lee, KC., Financial Restraints and Private Investment: Evidence from a Nonstationary Panel, Economic Inquiry 51 (1) : 248- 259
(2012) Costantini, M. and Guttierrez, L., Bootstrap innovational outlier unit root tests in dependent panels, Economics Letters 117 (3) : 817- 819
(2012) Costantini, M. and Sen, A., On the Asymptotic Distribution of a Simple Test for Trending and Breaking Series, Journal of Statistical Planning and Inference 142 (7) : 1690- 1697
(2012) Ventouri, A., G. Chortareas. and C.Girardone., Bank supervision, regulation, and efficiency: Evidence from the European Union, Journal of Financial Stability 8 (4) : 292- 302
(2012) Konstantinou, P. and Drakos, K., Investment Decisions in Manufacturing: Assessing the Effects of Real Oil Prices and their Uncertainty, Journal of Applied Econometrics
(2012) Canepa, A., Robust Bartlett adjustment for hypotheses testing on cointegrating vectors: A bootstrap approach, Economics and Finance Working Paper, Brunel University12-10
(2012) Karim, D., Liadze, I., Barrell, R. and Davis, EP., Off-balance sheet exposures and banking crises in OECD countries, Journal of Financial Stability
(2012) Pal, S. and Ghosh, S., Poverty, Elite Heterogeneity, And The Allocation Of Public Spending: Panel Evidence From The Indian States, Review of Income and Wealth 58 (1) : 51- 78
(2012) Campos, NF. and Horváth, R., Reform redux: Measurement, determinants and growth implications, European Journal of Political Economy 28 (2) : 227- 237
(2012) Campos, NF., Karanasos, MG. and Tan, B., Two to tangle: Financial development, political instability and economic growth in Argentina, Journal of Banking and Finance 36 (1) : 290- 304
(2012) Konstantinou, P. and Corsetti, G., What Drives US Foreign Borrowing? Evidence on the External Adjustment to Transitory and Permanent Shocks, The American Economic Review 102 (2) : 1062- 1092
(2011) Date, P., Canepa, A. and Abdel-Jawad, M., A mixed integer linear programming model for optimal sovereign debt issuance, European Journal of Operational Research 214 (3) : 749- 758 Download publication
(2011) Davis, EP., Karim, D. and Liadze, I., Should multivariate early warning systems for banking crises pool across regions?, Review of World Economics 147 (4) : 693- 716
(2011) Cerqueti, R. and Costantini, M., Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels, Journal of Banking and Finance 35 (10) : 2598- 2605
(2011) Barrell, R., Holland, D. and Liadze, I., Accounting for UK economic performance 1973-2009, European Commission book on the UK economyNIESR DP no 359
(2011) Costantini, M. and Kunst, RM., Combining Forecasts Based on Multiple Encompassing Tests in a Macroeconomic Core System, JOURNAL OF FORECASTING 30 (6) : 579- 596
(2011) Costantini, M. and Popp, S., A note on the asymptotic distribution of a Perron-type innovational outlier unit root test with a break, STATISTICAL PAPERS 52 (3) : 677- 682
(2011) Konstantinou, P. and Tagkalakis, A., Boosting confidence: Is there a role for fiscal policy?, 28 (4) : 1629- 1641
(2011) Barrell, R., Davis, EP., Karim, D. and Liadze, I., How idiosyncratic are banking crises in oecd countries?, National Institute Economic Review 216 (1) : R53- R58
(2011) Konstantinou, P. and Tagkalakis, A., Boosting confidence: Is there a role for fiscal policy?, Economic Modelling 28 (4) : 1629- 1641
(2011) Babecký, J. and Campos, NF., Does reform work? An econometric survey of the reform-growth puzzle, Journal of Comparative Economics 39 (2) : 140- 158
(2011) Campos, NF., Saleh, A. and Kuzeyev, V., Dynamic ethnic fractionalization and economic growth, Journal of International Trade and Economic Development 20 (2) : 129- 152
(2011) Chortareas, GE., Girardone, C. and Ventouri, A., Financial frictions, bank efficiency and risk: Evidence from the Eurozone, Journal of Business Finance and Accounting 38 (1-2) : 259- 287
(2011) Hunter, J. and Burke, SP., Long-run equilibrium price targetting, Quantitative and Qualitative Analysis in the Social Sciences 5 (1) : 26- 36 Download publication
(2011) Chen, S., Härdle, WK. and Moro, RA., Modeling Default Risk with Support Vector Machines, Quantitative Finance 11 (1) : 135- 154
(2011) Conrad, C., Karanasos, M. and Zeng, N., Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study, Journal of Empirical Finance 18 (1) : 147- 159
(2011) Davis, EP., Karim, D. and Liadze, I., Should multivariate early warning systems for banking crises pool across regions?, Review of World Economics 1- 24
(2011) Ghosh, S. and Chatterjee, S., The Dual Nature of Public Goods and Congestion: The Role of Fiscal Policy Revisited, Canadian Journal of Economics 44 (4) : 1471- 1496
(2010) Campos, NF., Hsiao, C. and Nugent, JB., Crises, What Crises? New Evidence on the Relative Roles of Political and Economic Crises in Begetting Reforms, JOURNAL OF DEVELOPMENT STUDIES 46 (10) : 1670- 1691
(2010) Costantini, M. and Pappalardo, C., A hierarchical procedure for the combination of forecasts, INTERNATIONAL JOURNAL OF FORECASTING 26 (4) : 725- 743
(2010) Barrell, R., Davis, EP., Karim, D. and Liadze, I., Bank regulation, property prices and early warning systems for banking crises in OECD countries, Journal of Banking & Finance 34 (9) : 2255- 2264
(2010) Barrell, R., Holland, D. and Karim, D., Tighter financial regulation and its impact on global growth, National Institute Economic Review 213 (1) : 39- 44
(2010) Conrad, C. and Karanasos, M., Negative volatility spillovers in the unrestricted ECCC-GARCH model, Econometric Theory 26 (3) : 838- 862
(2010) Campos, NF. and Kinoshita, Y., Structural Reforms, Financial Liberalization, and Foreign Direct Investment, IMF STAFF PAPERS 57 (2) : 326- 365
(2010) Auteri, M. and Costantini, M., A panel cointegration approach to estimating substitution elasticities in consumption, ECONOMIC MODELLING 27 (3) : 782- 787
(2010) Barrell, R., Fitzgerald, J. and Riley, R., EU enlargement and migration: Assessing the macroeconomic impacts, Journal of Common Market Studies March 48 (2) : 373- 395
(2010) Conrad, C., Karanasos, M. and Zeng, N., The link between macroeconomic performance and variability in the UK, Economics Letters 106 (3) : 154- 157
(2010) Barrell, R., Davis, EP., Karim, D. and Liadze, I., Banking regulation, property prices and early warning systems for banking crises in OECD countries?, Journal of Banking and Finance
(2010) Konstantinou, PT., Adjustment of US external imbalances: At what horizon?, Economics Letters 106 (3) : 166- 168
(2010) Ghosh, S. and Gregoriou, A., Can Corruption Favour Growth via the Composition of Government Spending?, Economics Bulletin 30 (3) : 2270- 2278
(2010) Dioikitopoulos, EV. and Kalyvitis, S., ENDOGENOUS TIME PREFERENCE AND PUBLIC POLICY: GROWTH AND FISCAL IMPLICATIONS, Macroeconomic Dynamics 1- 15
(2010) Dioikitopoulos, E. and Kalyvitis, S., Endogenous Time Preference And Public Policy: Growth And Fiscal Implications, Macroeconomic Dynamics vol. 14 (S2)
(2010) Barrell, R. and Weale, M., Fiscal policy, fairness between generations, and national saving, Oxford Review of Economic Policy 26 (1) : 38- 47
(2010) Davis, EP. and Karim, D., Macroprudential regulation: the missing policy pillar?, National Institute Economic Review 211 (1) : 67- 80
(2010) Conrad, C. and Karanasos, M., Negative volatility spillovers in the unrestricted ECCC-GARCH model, Econometric Theory 26 (3) : 838- 862
(2010) Cerqueti, R. and Costantini, M., Some Nonparametric Asymptotic Results for a Class of Stochastic Processes, COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 39 (14) : 2552- 2560
(2009) Karanasos, M. and Kartsaklas, A., Dual long-memory, structural breaks and the link between turnover and the range-based volatility, Journal of Empirical Finance 16 (5) : 838- 851
(2009) Barrell, R., Holland, D. and Te Velde, DW., A fiscal stimulus to address the effects of the global financial crisis on sub-Saharan Africa, NIESR Discussion PaperPaper No. 331
(2009) Coto-Martinez, J., Garcia-Alonso, MDC. and Levine, P., Taste for variety and optimum product diversity in an open economy, Bulletin of Economic Research 61 (2) : 127- 138
(2009) Costantini, M. and Destefanis, S., Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions, ECONOMIC MODELLING 26 (2) : 320- 327
(2009) Gregoriou, A., Hunter, J. and Wu, F., An empirical investigation of the relationship between the real economy and stock returns for the United States, Journal of Policy Modeling 31 (1) : 133- 143
(2009) Al-Eyd, A., Barrell, R. and Davis, EP., Consumer confidence indices and short-term forecasting of consumption, The Manchester School 77 (1) : 96- 111
(2009) Kartsaklas, A. and Karanasos, M., Dual long-memory, structural breaks and the link between turnover and the range-based volatility, Journal of Empirical Finance 16 838- 851
(2009) Battisti, G., Canepa, A. and Stoneman, P., e-Business usage across and within firms in the UK: profitability, externalities and policy, Research Policy 38 (1) : 133- 143
(2009) Chortareas, G., Girardone, C. and Ventouri, A., Efficiency and productivity of Greek banks in the EMU era, Applied Financial Economics 19 (16) : 1317- 1328
(2009) Ventouri, A., Chortareas, G. and Girardone, C., Efficiency and productivity of Greek banks in the EMU era, Applied Financial Economics 19 (2009) (16) : 1317- 1328
(2009) Ghosh, S., Gregoriou, A. and Ioannidis, C., Heterogeneous time varying transaction costs and asset pricing in international equity markets, Financial Markets and Portfolio Management 23 (3) : 271- 283
(2009) Gregoriou, A. and Ghosh, S., On the heterogeneous impact of public capital and current spending on growth across nations, Economics Letters 105 (1) : 32- 35
(2009) Campos, NF. and Barbosa, RL., Paintings and numbers: an econometric investigation of sales rates, prices, and returns in Latin American art auctions, Oxford Economic Papers 61 (1) : 28- 51
(2009) Costantini, M. and Westerlund, J., Panel cointegration and the neutrality of money, Empirical Economics 36 (1) : 1- 26
(2009) Campos, NF. and Dabušinskas, A., So many rocket scientists, so few marketing clerks: Estimating the effects of economic reform on occupational mobility in Estonia, European Journal of Political Economy 25 (2) : 261- 275
(2009) Barrell, R. and Weale, M., The economics of a reduction in VAT, Fiscal Studies 30 (1) : 17- 30
(2009) Gregoriou, A. and Ghosh, S., The impact of government expenditure on growth: empirical evidence from a heterogeneous panel, Bulletin of Economic Research 61 (1) : 95- 102
(2008) Fountas, S. and Karanasos, M., Are economic growth and the variability of the business cycle related ? Evidence from five European countries, Journal of International Money and Finance 22 (4) : 445- 459
(2008) Davis, EP. and Karim, D., Could early warning models have predicted the sub-prime crisis?, National Institute Economic Review 206
(2008) Fic, T., Barrell, R. and Holland, D., Entry rates and the risks of misalignment in the EU8, Journal of Policy Modeling 30 (5) : 761- 774
(2008) Canepa, A. and Stoneman, P., Financial constraints to innovation in the UK: Evidence from CIS2 and CIS3, Oxford Economics Papers 60 (4) : 711- 730
(2008) Cerqueti, R. and Costantini, M., On the asymptotic behaviour of random matrices in a multivariate statistical model, STATISTICS & PROBABILITY LETTERS 78 (14) : 2039- 2045
(2008) Campos, NF. and Karanasos, MG., Growth, volatility and political instability: Non-linear time-series evidence for Argentina, 1896-2000, Economics Letters 100 (1) : 135- 137
(2008) Lacerda, AI. and Moro, RA., Analysis of the Predictors of Default for Portuguese Firms, Banco de Portugal Working Papers -
(2008) Davis, EP. and Karim, D., Comparing early warning systems for banking crises, Journal of Financial Stability 4 (2) : 89- 120 Download publication
(2008) Dioikitopoulos, EV. and Kalyvitis, S., Public capital maintenance and congestion: Long-run growth and fiscal policies, Journal of Economic Dynamics and Control 32 (12) : 3760- 3779
(2008) Dioikitopoulos, E. and Kalyvitis, S., Public capital maintenance and congestion: Long-run growth and fiscal policies, Journal of Economic Dynamics and Control Volume 32 (Issue 12)
(2008) Ghosh, S. and Gregoriou, A., The composition of government spending and growth: is current or capital spending better?, Oxford Economic Papers 60 (3) : 484- 516
(2008) Karanasos, M., The statistical properties of exponential ACD models, Quantitative and Qualitative Analysis in Social Sciences 2 (1) : 29- 49
Conference Papers
(2011) Barrell, R., Macroprudential regulation, Norges Bank conference
(2011) Barrell, R., Evaluating crisis prediction methods, CB conference on macroprudential regulation
(2011) Barrell, R., The impact of financial regulation on output in Europe, Kiel Institute Conference
(2011) Hunter, J. and Wu, F., Multifactor consumption based asset pricing model of the UK Stock Market: The US Stock Market as a wealth reference, Money Macro Finance Annual Conference Download publication
(2011) Barrell, R., Longer term fiscal issues, 10th Annual Bank for International Settlements
(2011) Hunter, J. and Wu, F., Multifactor consumption based asset pricing models using the US stock market as a reference: Evidence from a panel of developed economies, Infiniti Conference Download publication
(2011) Barrell, R., The banking sector and recovery in the EU, ServiceGap Conference at CEPS
(2010) Hunter, J. and Wu, F., A multifactor consumption based asset pricing model of the UK stock market: the US stock market as a wealth, Infiniti Conference
(2010) Hunter, J. and Burke, SP., Cointegration, common trends and long-run arbitrage, Conference on Macro and Financial Economics
(2009) Hunter, J. and Wu, F., A multifactor consumption based asset pricing model of the UK stock market: the US stock market as a wealth, EEFS Conference
(2008) Hunter, J. and Ioannidis, C., Matrix polynomial conditions for the existence of rational expectations solutions, The Econometrics Study Group Conference
Book Chapters
(2011) Davis, EP. and Karim, D., Policy efficacy in the crisis, exit strategies and the return to growth. In: Giudice, G., Kuenzel, R. and Springbett, T. eds. Uk Econom - The crisis in perspective: Essays on the drivers of recent UK economic performance and lessons for the future. Routledge
(2011) Ventouri, A., Chortareas, G. and Girardone, C., Regulation and Bank Performance in Europe. In: Molyneux, P. ed. Bank Performance, Risk and Firm Financing. Palgrave MacMillan 154- 173
(2010) Barrell, R. and Gottschalk, S., Capital adequacy requirements in emerging markets. In: The Basel Capital Accords in Developing Countries. Palgrave, London
(2010) Barrell, R., Holland, D., Liadze, I. and Pomerantz, O., EMU and its impact on growth and employment. In: Buti, M., Deroose, S., Gaspar, V. and Nogueira, J. eds. EMU at 10.
(2008) Ventouri, A., Chortareas, G. and Girardone, C., Efficiency and Productivity Change in Greek Banking: Methods and Recent Evidence. In: Molyneux, P. and Vallelado, E. eds. Frontiers of banks in a global economy. Palgrave MacMillan 211- 233
(2008) Davis, EP. and Karim, D., Research in and policy for financial stability - what have we learnt?. In: Mayes, D. and Pringle, R. eds. New Frontiers in the Regulation and Oversight of the Financial System. Central Banking Publications
Books
(Forthcoming) Hunter, J., Burke, J. and Canepa, A., Modelling non-stationary economic time series: a multivariate approach. Palgrave Macmillan
(2009) Canepa, A., Inference in Cointegrated Var Models. Lap Lambert Academic Publishing
