Trading on the financial markets

Macroeconomics and Financial Markets

Research by this group has produced significant advances in the application and development of time series econometrics, issues of monetary policy, financial markets, forecasting and high frequency data analysis.

The group of Macroeconomics and Financial Markets was created with the arrival of David Peel, who is in the top 2% of most highly-cited economists according to REPEC, in 2004. Its substantial growth over the last decade has been accompanied by a diversification in both theoretical and applied aspects of macroeconomics and financial economics. Their research has produced advances in the application of nonlinear time series models to parity conditions and modelling of exchange rates in the presence of commodity market frictions. In the domain of time series econometrics their work has shed light on the effects of temporal aggregation on estimation methods and on the computation of IRFs; the impact of conditional heteroskedasticity on linearity tests and model specification procedures; the performance of forecast evaluation measures, and the modeling and forecasting of high frequency data in equity and foreign exchange markets. Members of the group are currently working on new tests for detecting rational bubbles in asset prices; applied Bayesian econometrics; and volatility modelling and forecasting.

Members of this research group support the UK Housing Market Observatory. This website provides real-time monitoring of the UK national and regional real estate markets and indicators of house price exuberance based on econometric methods. This information can be used to identify the time when exuberance escalates in housing markets and the degree of synchronisation across regions in the UK.

This research group has recently developed the macro theory capacity and has complemented the already existing interest in theoretical modeling of central banks with asymmetric preferences with advances in the analysis of optimal monetary and fiscal policy in New Keynesian models embodying limited asset market participation and habit persistence; as well as the macro-prudential roles of bank capital regulation and monetary policy in DSGE models with endogenous financial frictions.

Other topics that our colleagues have contributed to in the recent past include the estimation of stochastic frontier models; efficiency and productivity analysis, in particular, of the banking sector; the analysis of gambling markets, and the study of Hayek.

Members of this research group currently hold several editorial positions at the Applied Economics suite of journals, Journal of Banking and Finance, Journal of Productivity Analysis, and Empirical Economics. In addition to this they have served as member of the Economic and Financial Committee (EFC) of the European Union, in the executive committee of the Society for Nonlinear Dynamics and Econometrics (SNDE), and the ESRC peer-review college. Marwan Izzeldin is the director of Gulf One Lancaster Centre for Economic Research (GOLCER).

Potential PhD topics

The group would particularly welcome applications from well-qualified candidates interested in pursuing PhD study in any of the following areas: Analysis of gambling markets; Bubbles in asset prices; Forecasting daily stock volatility, Quantifying risk in Islamic financial instruments; Interaction between fiscal and monetary policy in DSGE models; Macro-prudential regulation and monetary policy; Analysis of high-order risk attitudes and portfolio choice.