Cluster for Research in Econometrics, Macroeconomics and Finance (CREMF)

Leader: Professor John Fender

The Cluster for Research in Econometrics, Macroeconomics and Finance has eleven members and was formed from the merger of two separate research groups earlier in the year. It is particularly strong in macroeconometrics and applied economics, but a wide variety of other interests are also represented within the cluster, including theoretical econometrics, methodology, history of thought, real options theory, development macroeconomics, real options theory and applications and theoretical macroeconomics. It organises regular seminars and visits by collaborators of members of the cluster. It is sponsoring a special session at the Money, Macroeconomics and Finance Research Group conference at Birmingham in September 2011 and plans to hold small conferences on a variety of topics of interest to its members from time to time.


Roger E Backhouse
Roger Backhouse's recent research has been on the history of economics and the other social sciences since 1945. He is currently completing books on John Maynard Keynes and on the history of non-market clearing macroeconomics and is about to embark on an intellectual biography of Paul A. Samuelson.

Ralph Bailey
His current research is on unionized labour markets, electricity pricing, market games, and numerical methods. His broader research interests are in the mathematical methods of economics and in the philosophy of knowledge.

Anindya Banerjee
Anindya Banerjee's recent research has focused on the macroeconometrics of large datasets, including the use of factor models for forecasting and estimation and inference in large macropanels of nonstationary data.  He has research interests in related fields, broadly macroeconomics, including mark-up models and the theory and estimation of New Keynesian Phillips curve.

Marco R Barassi
Marco Barassi works on applied time series econometrics. His research focuses in particular on the analysis and the estimation of non-stationary time series models, long memory models, and non-linear models with applications in environmental economics and financial economics. 

David G Dickinson
Director, Birmingham Business School

Joanne S Ercolani
Joanne works in the area of time series econometrics and in particular she is interested in continuous time models, modelling cyclical behaviour using differential equations and differential-difference equations, frequency domain methods of estimation and the estimation of spectral density functions.

Marco G Ercolani
His research is in the area of applied econometrics by 'bringing data to theories'. He has experience in analysing time-series, cross-section, and panel and datasets. Recent research has focused on applying Blinder-Oaxaca decompositions to analyse various aspects of labour markets.

John Fender
John Fender’s recent research has been in the areas of theoretical open economy macroeconomics and political economy models of franchise extension and institutional change. He is currently completing a textbook on monetary policy and investigating why severe fiscal contractions may be expansionary. He is also working on the economics of crime and on the stock market.

Nicholas J Horsewood
Senior Lecturer in Economics

Zhenya Liu
Liu works on different issues related to quantitative modelling of the global financial markets; in particular, his research focuses on application of the quantitative trading strategies to stock markets, such as regime switching modelling in stock markets, market microstructures, and trading-rule testing; he also is involved in real-time program trading.

William Pouliot
Pouliot’s research looks at different areas of econometrics as it relates to testing of parameter stability in regression and Value at Risk models; in particular this research applies theories of weak convergence to establish limiting distributions of test statistics that are used to test for parameter stability in regression and Value at Risk models. His research also looks at the role uncertainty plays in OLG models and how it can affect first best outcomes; his research shows that uncertainty can lead to multiple steady states and can impact household decision’s in such a way that the first best outcome is no longer attainable. 

James Reade
Considers himself to be an applied econometrician, working in areas as diverse as monetary economics, behavioural economics and finance. He also has an interest in establishing the small sample properties and behaviours of econometric procedures related to time series and panel applications.

Somnath Sen
Somnath Sen's recent research has been in the broad field of finance and development in emerging economies as well as in the macroeconomics of trade policy during the inter-war years. He is also researching into the interrelationships between security, conflict and development.

Frank Strobel
His current research interests lie mainly in the areas of financial economics and banking; his recent work examines various refinements of common bank insolvency risk measures, the relationship between bank equity involvement in industrial firms and bank risk, and the role uncertainty plays in banks' loan charge-off decisions


PhD students

*Supervisors in brackets.

  • Dilrukshi Abeywardhana (Dickinson, Strobel)
  • Hossam Ahmed (Banerjee, Horsewood)
  • Ala’Aeddin Al-Tarawneh (Horsewood, Dickinson)
  • Sofia Amaral (Fender, Bandyopadhyay)
  • Kemal Bagzibagli (Banerjee, Fender)
  • Parminder Bains (Horsewood)
  • Le Ho An Chau (Dickinson, Mullineux)
  • Linda Delamaire (Sinclair, Dickinson)
  • Kai Huang (M Ercolani, J Ercolani)
  • Truong Thi Mai Huong (Sen, Horsewood)
  • Ali Jamhour (Sen, Ford)
  • Kwang-Jo Jeong (Horsewood)
  • Yi Jin (Dickinson, Rowat)
  • Mohammad Khataybeh (Horsewood, Ford)
  • Dejing Kong (Dickinson, Strobel)
  • Igp Wira Kusuma (Sinclair, Ercolani)
  • Tae Yong Kwon (Fender, Banerjee)
  • Attasuda Lerskullawat (Fender, Barassi)
  • Trong Vi Ngo (Dickinson, Mullineux)
  • Nsor Ojiji (Sen, Horsewood)
  • Boris Petkov (Sinclair, Horsewood)
  • Yong Sheng (Fender, Reade)
  • Min Tan (M Ercolani, Dickinson)
  • Le Trung Thanh (Barassi, Dickinson)
  • Cansu Unver (Horsewood, Barassi)
  • Chong Zhao (Banerjee, Barassi)


*The following acadmics have visited our cluster (for at least a few days) in the recent past (2008 onwards).

Victor Bystrov
Computational Optimization Methods in Statistics, Econometrics and Finance

Laetitia Lepetit
LAPE, Université de Limoges.


*Selected pubulications for the current REF period. 

Author(s)  Journal articles 
Backhouse, R. and S.G. Medema (2009)  "Retrospectives - On the Definition of Economics." Journal of Economic Perspectives, 23(1), 221-233. 
Backhouse, R. and S.N. Durlauf (2009)   "Robbins on Economic Generalizations and Reality in the Light of Modern Econometrics." Economica, 76, 873-890. 
Backhouse, R. and S.G. Medema (2009)  "Defining Economics: the Long Road to Acceptance of the Robbins Definition." Economica, 76, 805-820. 
Backhouse, R. and B.W. Bateman (2009)  "Keynes and Capitalism." History of Political Economy, 41(4), 645-671.

Author(s)  Journal articles 
Banerjee, A. and B. Russell (2008)  "The Long-Run Phillips Curve and Non-Stationary Inflation." Journal of Macroeconomics, 30, 1792-1815. 

Author(s)  Journal articles 
Barassi, M.R., M.A. Cole and R.J.R. Elliott (2011)  "The Stochastic Convergence of CO2  Emissions: a Long Memory Approach." Environmental and Resource Economics, 49(3), 367-385. 
Barassi, M.R., M.A. Cole and R.J.R. Elliott (2008)  "Stochastic Divergence or Convergence of per capita Carbon Dioxide Emissions: Re-examining the Evidence." Environmental and Resource Economics, 40, 121-137.
Barassi, M.R., G.M. Caporale and S.G. Hall (2008)  "A Comparison between Tests for Changes in the Adjustment  Coefficients in Cointegrated Systems." Journal of Statistical Computation and Simulation, 78(1), 1-17. 

Author(s)        Journal articles 
Ercolani, J. (2011)             "On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter." Journal of Time Series Analysis
Ercolani, J. (2009)  "Cyclical Trends in Continuous Time Models." Econometric Theory, 25, 1112-1119. 

ercolani m
Author(s)  Journal articles 
Ercolani, M.G. and Z. Wei (forthcoming)  "An Empirical Analysis of China’s Dualistic Economic Development: 1965-2009." Asian Economic Papers
Ercolani, M.G. (2010)  "Transitional Inflation Changes with the Adoption of the Euro: Aggregate and Disaggregate Sector Evidence." Journal of Economic Policy Reform
Albornoz, F., M.A. Cole, R.J.R. Elliott and M.G. Ercolani (2009)  "Foreign Direct Investment and Environmental Management: in Search of Environmental Spillovers." World Economy, 32 (1): 136-163. 

Author(s)  Journal articles 
Fender, J. and C.J. Ellis (2011)  "Information Cascades and Revolutionary Regime Transitions." The Economic Journal, 121(553), 763-792.
Fender, J. and N. Rankin (2011)  "A Further Contribution Towards Explaining why Disinflation through Currency Pegging may Cause a Boom." Journal of International Money and Finance, 30(3), 516-536. 
Fender, J. and C.J. Ellis (2009)  "The Economic Evolution of Democracy." Economics of Governance, 10(2), 119-145. 

Author(s)  Journal articles 
Doling, J. and N. Horsewood (2011)  "Home Ownership and Pensions: Causality and the Really Big Trade-off." Housing, Theory and Society, 28(2), 166-182.
Ryan, C. and N. Horsewood (2009) "The Role of Banks in Financial Integration: Evidence from New EU Members." International Economics and Economic Policy, 6(3), 235-258. 
Martinez-Zarzoso, I., F. Nowak-Lehmann, and N. Horsewood (2009)  "Are Regional Trading Agreements Beneficial? Static and Dynamic Panel Gravity Models." The North American Journal of Economics and Finance, 20(1), 46-65. 

Author(s)  Journal articles 
Pouliot, W. and J. Olmo (forthcoming)  "Early Detection Techniques for Market Failure." Studies in Nonlinear Dynamics and Econometrics.
Pouliot, W., K. Pilbeam and J. Olmo (forthcoming) "Detecting the Presence of Insider Trading via Structural Break Tests." Journal of Banking and Finance. 

Author(s)  Journal articles 
Reade, J. and U. Volz (2011)  "Leader of the Pack? German Monetary Dominance in Europe Prior to EMU." Economic Modelling, 28(1-2), 239-250. 
Koyama, M. and J. Reade (2009)  "Playing Like the Home Team: an Economic Investigation into Home Advantage in Football." The International Journal of Sports Finance, 4(1), 16-41. 
Hendry, D.F. and J. Reade (2008)  "Discussion of Elusive Return Predictability, by Allan Timmermann." The International Journal of Forecasting, 24(1), 22-28. 
Hendry, D.F., J. Reade and A. Spanos (2008)  "Linear vs. Log-linear Unit Root Specification: an Application of Mis-specification Encompassing." The Oxford Bulletin of Economics and Statistics (Special Issue on Encompassing), 70(1), 829–847. 

Author(s)  Journal articles 
Sun,. P, S. Sen and J. Tong (2011)  "Size Effects on the Transmission Mechanism from Finance to Development: A Study of Large Emerging Economies." The World Economy, 34, 778-791. 

Author(s)  Journal articles 
Strobel, F. (forthcoming)  "Bank Insolvency Risk and Z-score Measures with Unimodal Returns." Applied Economics Letters. 
Strobel, F. (forthcoming)  "Bank Insolvency Risk and Different Approaches to Aggregate Z-Score Measures: a Note." Applied Economics Letters. 
Strobel, F. (2010)  "Bank Insolvency Risk and Aggregate Z-score Measures: a Caveat." Economics Bulletin, 30(4), 2576-2578. 
Strobel, F. (2009)  "Financial Fragility and Crisis Union in the Asia-Pacific Region", Global Economy Journal, vol. 9(2), Art. 7. 

Working papers


Numbers  Discussion paper titles  Author(s) 
11-01  Information and Efficiency: Goal Arrival in Soccer Betting  Karen Coxon and J James Reade 
11-02              Modelling Monetary and Fiscal Policy in the US: A Cointegration Approach  J James Reade 
11-10              Monetary Policy Games, Instability and Incomplete Information  Richard Barrett, Ioanna Kokores and Somnath Sen 


2010 papers
Numbers  Discussion paper title  Author(s) 
09-06R  Forecasting with Factor-augmented Error Correction Models  Anindya Banerjee, Massimiliano Marcellino and Igor Masten 
10-03  Democratic Errors  Christopher J Ellis and John Fender 
10-06  An Empirical Analysis of the Lewis-Ranis-FEI Theory of Dualistic Economic Development of China  Marco G Ercolani and Zheng Wei 
10-07  Interest Rate Pass-Through in the Major European Economies - The Role of Expectations  Anindya Banerjee, Victor Bystrov and Paul Mizen 
10-09  On the Asymptotic Properties of a Feasible Estimator of the Continuous Time Long Memory Parameter  Joanne S Ercolani 
10-13  Too Much to Lose, or More to Gain? Should Sweden Join the Euro  J James Reade and Ulrich Volz 
10-14  A Multiple Break Panel Approach to Estimating United States Phillips Curves  Bill Russell, Anindya Banerjee, Issam Malki and Nataliia Ponomareva 
10-15  Volatility and the Hedging Effectiveness of China Fuel Oil Futures  Wei Chen and J L Ford 
10-18  Safety-First and Portfolio Section: An Econometric Study for Pakistan's Banking Sector  J L Ford and Zahid Muhammad 
10-21  Money Transmission Mechanisms and Identified Long-Run Relationships between the Banking Sector's Balance Sheet and the Macroeconomy in Pakistan  J L Ford and Zahid Mohammad 
10-22  Modelling Thirty Five Years of Coffee Prices in Brazil, Guatemala and India and the Law of One Price  Anindya Banerjee, Sushil Mohan and Bill Russell 
10-24  FDI and Economic Development in China 1970-2006: A Cointegration Study  J L Ford, S Sen and Hongxu Wei 
10-25 A simultaneous Equation Model of Economic Growth, FDI and the government policy in China  J L Ford, Somnath Sen and Hongxu Wei 
10-27  Information Aggregation, Growth and Franchise Extension with Applications to Female Enfranchisement and Inequality  Christopher J Ellis and John Fender 
10-30  A Smoothed-Distribution Form of Nadaraya-Watson Estimation  Ralph W Bailey and John T Addison 
10-31  Beggar Thy Neighbour: British Imports During the Inter-War Years and the Effect of the 1932 Tariff  Nicholas Horsewood, Somnath Sen and Anca Voicu 
10-32  The Stochastic Convergence of CO2 Emissions: A Long Memory Approach  Marco R Barassi, Matthew A Cole and Robert J R Elliott 
10-33 Panel Estimation for Worriers Anindya Banerjee, Markus Eberhardt and J James Reade


2009 papers
Numbers  Discussion paper title  Author(s) 
09-04  Wage Dispersion in a Partially Unionized Labor Force  John T. Addison, Ralph W. Bailey and W. Stanley Siebert 
09-05  Sums and Extreme Values of Random Variables: Duality Properties  Ralph Bailey 
09-06  Forecasting with Factor-Augmented Error Correction Models  Anindya Banerjee, Massimiliano Marcellino and Igor Masten 
09-11  Rational Defence: War and Peace in South Asia  Richard Barrett and Somnath Sen 
09-17  Fractional Integration and Cointegration: Testing the Term Structure of Interest Rates  Marco R. Barassi and Dayong Zhang 
09-18 Transitional Price Rises with the Adoption of the Euro: Aggregate and Disaggregate Sector Evidence  Marco G Ercolani 



2008 papers
Numbers  Discussion paper title  Author(s) 
08-03  In Search of Environmental Spillovers  Facundo Albornoz, Matthew A. Cole, Robert J.R. Elliott and Marco G. Ercolani 
08-05  Bonuses, Credit Rating Agencies and the Credit Crunch  Peter J.N. Sinclair, Guy Spier and Tom Skinner 
08-09  The Whys and Wherefores of Controlling Inflation  Peter Sinclair 
08-10  How We Might Model a Credit Squeeze, and Draw Some Policy Implications for Responding to it  Peter Sinclair 


Research grants

*Selected research grants held by cluster members from 2002 onwards.

Source: The Leverhulme Trust 
Title: An Intellectual Biography of Paul A. Samuelson
Researcher(s): Roger Backhouse 
Period: October 2011 to September 2014

Source: British Academy
Title: Learning from Japan: what Japan Tells us about Macroeconomic Development Post-Crash
Researcher(s): James Reade (PI) and Hiroya Ichikawa
Amount: £6,892
Period: June 2011to May 2013

Source: European Union Seventh Research Framework Programme (FP7)
Title: Health at Work 
Researcher(s): Professor Theodossiou (Leader), Marco Ercolani
Amount: €1,046,445 (overall), €26,400 (University of Birmingham component
Period: October 2008 to December 2011

Source: The Leverhulme Trust 
Title: History of Post-war Social Science Network 
Researcher(s): Roger Backhouse 
Period: January 2007 to December 2010

Source: British Academy 
Title: Investigating Pass Through of Interest Rates in Euro Area Economies
Researcher(s): Anindya Banerjee and Paul Mizen
Period: 2007 to 2008

Source: ESRC
Title: New Methods for Detecting Multiple Structural Breaks in Time Series
Researcher(s): Anindya Banerjee, Giovanni Urga
Period: 2000 to 2003

Source: ESRC
Title: Modelling, Forecasting and Policy in the Evolving Macro-economy
Researcher(s): Anindya Banerjee, Grayham Mizon and David Hendry
Period: 2000 to 2002




Date: 22-23 September 2011
Venue: University House, University of Birmingham
Title: Lessons from the Japanese Economic Experience

Now call for papers.

The Department is hosting a conference to provide a forum to address the following two questions:

1. What have been the main causes of the prolonged downturn in Japan since 1990?
2. What are the implications, if any, for other advanced economies since the Financial Crisis of 2007-?

Keynote speakers for this conference will be Prof Sir David F Hendry (Oxford) and Prof Hiroya Ichikawa (Akita International University, Japan).

Please submit an abstract by 1 August 2011 to

Successful applicants will be informed by 15 August 2011.


Past Event


Date: 4-5 May 2010

Title: Macroeconomics/Econometrics Conference

"Call for papers"  Deadline for submissions 22 March 2010. Please contact Anindya Banerjee or John Fender