Research

Ongoing Research Projects

What are Words Worth? The predictive content of big data news sentiment indicators for real-time assessments of the vulnerability to UK’s economic growth (joint with Craig Thamotheram, NIESR, and with international collaborator Leifa Thorsrud), Turing-HSBC-ONS Economic Data Science Award, October 2018 to September 2019.

We assess whether news sentiment indicators based on daily business news help real-time probabilistic assessments about the UK’s real economic growth. Our analysis of news sentiment indicators and real-time density forecasting focuses on the vulnerability of economic growth. In normal times, economic growth is positively skewed, and in recessions negative skew emerges. We develop a copula modelling methodology for mixed-frequency estimation with news sentiment indicators, and evaluate the forecasts for economic growth probabilistically.

Democratising FX Expertise (The Money Cloud Consortium, a partnership between The University of Warwick, The Coefficiency Lab and The Money Cloud), application for funding to Innovate. With Craig Thamotheram, NIESR, and Simon van Norden, HEC Montreal. Grant awarded, September 2019 to May 2020.

This project aligns leading FX, ML and research expertise to facilitate the development of a world-first, machine learning enhanced FX exchange, based on The Money Cloud (TMC’s) award-winning platform, enabling users from all over the world to easily establish the best FX exchange options and predict market dynamics to an unheralded level of accuracy. TMC will harness users’ transactional data and use machine learning to provide analysis of past transactions and recent behaviour well as predictive forecasts for trading clients or to sell to relevant organisations.

Financial Conditions and Vulnerable Growth 1875 – 2017, with Pat Coe (Carleton)
WWI Finance and the McKenna Rule, with James Nason (NC State)
Adaptive Expectations in the Presence of Asymmetrically Distributed Variables, with Liz Wakerly (EPS)
Better Copula Forecast Densities with Surveys, with Craig Thamotheram (NIESR)

 

Completed Papers

Recent:  here
Older Research Papers:
  • Downloads from Google scholar page

Real-time Forecast Combinations for the Oil Price, joint with A. Garratt and Y. Zhang. Journal of Applied Econometrics, April-May 2019

Asymmetric Density Forecasting of U.S. Macroeconomic Variables using a Gaussian Copula Model of Cross-Sectional and Serial Dependence”, with M. Smith, Journal of Business and Economic Statistics, July 2016

“Forecast Densities for Economic Aggregates from Disaggregate Ensembles”, with F. Ravazzolo, Studies in Nonlinear Dynamics and Econometrics, September 2014

“Measuring Output Gap Nowcast Uncertainty”, with A. Garratt and J. Mitchell, International Journal of Forecasting, April–June 2014

“UK World War I and Interwar Data for Business Cycle and Growth Analysis”, with J.M. Nason, Cliometrica, January 2012

“Combining VAR and DSGE Forecast Densities”, with I.W. Bache, A.S. Jore and J. Mitchell, Journal of Economic Dynamics and Control, October 2011

“Real-time Inflation Forecast Densities from Ensemble Phillips Curves” with A. Garratt, J. Mitchell, and E. Wakerly, North American Journal of Economics and Finance, January 2011

“Combining Forecast Densities from VARS with Uncertain Instabilities”, with A.S. Jore and J. Mitchell, Journal of Applied Econometrics, February 2010

“RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence” with O. Karagedlikli, T. Matheson and C. Smith, Journal of Economic Surveys, February 2010

“Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty”, with A. Garratt, E. Mise and G. Koop, Journal of Business and Economic Statistics, October 2009

“Real-time Probability Forecasts of UK Macroeconomic Events”, with A. Garratt and K. Lee, National Institute Economic Review, January 2008

“Forecasting Substantial Data Revisions in the Presence of Model Uncertainty” with A. Garratt and G. Koop, Economic Journal, July 2008

“The McKenna Rule and UK World War I Finance”, with J.M. Nason, American Economic Review, Papers and Proceedings, May 2007

“UK Real-time Macro Data Characteristics”, with A. Garratt, Economic Journal, February 2006

“Debt and Budget Surpluses with a Tax Habit and Balanced Budget Hawks”, with E. Loukoianova, Public Finance and Management, March 2006

“The Cost Effectiveness of the UK’s Sovereign Debt Portfolio”, with P. Coe and M.H. Pesaran, Oxford Bulletin of Economics and Statistics, August 2005

“Signalling Ability to Pay and Rent Sharing Dynamics”, Journal of Economic Dynamics and Control, October 2004

“‘Keep it Real’: A Real-time UK Macro Data Set”, with A. Pick and D.M. Egginton, Economics Letters, September 2002

“The Great Canadian Training Robbery: Evidence on the Returns to Educational Mismatch”, Economics of Education Review, April 2000

“Measuring Core Inflation”, with D.T. Quah, Economic Journal, September 1995