DPhil candidate in Economics, Publications MPhil Thesis, 2005: “Level, Slope, Curvature: Characterising the Yield Curve”, linear and non-linear cointegrated VAR
models are used to assess the stationarity of the
curve’s derivatives and their interpretations. Published papers: ·
“Putting Economists to Work”, Oxonomics, Vol. 1, Issue 1, 2006. www.economics.ox.ac.uk/oxonomics/online.htm Unpublished papers: ·
“Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model”,
Economics Discussion Papers, No 2008-13. www.economics-ejournal.org/economics/discussionpapers/2008-13
·
“Characterising
the Yield Curve’s Derivatives in a Regime-Changing Cointegrated VAR Model”,
manuscript, December 2006. ·
“Temporal Aggregation in a
Cointegrated VAR: Evidence from Simulations and the US Yield Curve”,
manuscript, April 2007. ·
“Global Liquidity, Asset Prices
and Monetary Policy: Evidence from Cointegrated VAR Models”, manuscript,
November 2007 (with Christin K. Tuxen). Part of the paper previously
appeared in: Proceedings – Conference in Honour
of David F. Hendry, Oxford, August 2007, under the title: “Global Liquidity
and Asset Prices in a Cointegrated VAR”. www.economics.ox.ac.uk/hendryconference/papers.htm Other publications: ·
The Business of Climate Change:
Challenges and Opportunities, Lehman Brothers, February 2007 (with John
Llewellyn and Camille Chaix). www.lehman.com/who/intcapital ·
“A wider spread”, Damocles, Lehman
Brothers, 24 May 2006 (with Paul Sheard). ·
“Global Focus: Global liquidity
and risk premia”, Global Weekly Economic Monitor,
Lehman Brothers, 24 March 2006 (with Michael Dicks). ·
“Global Letter: After the flood”,
Global Weekly Economic Monitor, Lehman Brothers, 24 March 2006 (with John
Llewellyn). ·
“Global Letter: Dragon under
pressure”, Global Weekly Economic Monitor, Lehman Brothers, 24 February
2006 (with John Llewellyn). ·
“ ·
“Global Letter: Over to you”, Global Weekly Economic
Monitor, Lehman Brothers, 27 January 2006 (with John Llewellyn). ·
“One year on: a 2005 forecast
post-mortem”, Outlook 2006: Plain Sailing – for now, Lehman Brothers, 12
December 2005. ·
“Risk remains generally low, so
far”, Damocles, Lehman Brothers, 9 November 2005 (with John Llewellyn).