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Working paper
On Price Dynamics with Search and Bargaining in the Product Market
In: Macroeconomic Dynamics, forthcoming
SSRN
Working paper
The cyclical structure of the UK inflation rate: 1210–2016
In: Economics letters, Band 181, S. 182-185
ISSN: 0165-1765
Time Trends and Persistence in the Global CO2 Emissions Across Europe
In: Environmental and resource economics, Band 73, Heft 1, S. 213-228
ISSN: 1573-1502
SSRN
Working paper
Long-term Business Relationships, Bargaining and Monetary Policy
In: Economic Modelling, Forthcoming
SSRN
Brexit and uncertainty in financial markets
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE (Financial Times Stock Index) 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX (foreign exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the European Union (EU) to achieve an appropriate Brexit deal.
BASE
On the Persistence of UK Inflation: A Long-Range Dependence Approach
In: CESifo Working Paper Series No. 6968
SSRN
Brexit and Uncertainty in Financial Markets
In: CESifo Working Paper Series No. 6874
SSRN
Working paper
SSRN
Working paper