Brunel Macroeconomics Research Group (BMRG)
Director: Prof. Menelaos Karanasos
The Brunel Macroeconomics Research Group (BMRG) was founded in 2005 to enhance the quality of research on macro and financial economics within the department and beyond, by fostering high quality (and policy-relevant as well) economic research, and disseminating it widely to other economics departments in the UK and abroad, and to the private sector as well. Drawing together the expertise of its members and affiliates, BMRG initiates and coordinates research activities and communicates the results quickly and effectively to academics in the UK, Europe and around the world. One of the aims is to develop links with a distributed network of economists, some of whom are affiliated with BMRG, and to collaborate with them through the Centre on a wide range of policy-related research projects and dissemination activities. The research group offers particular advantages in conducting innovative research on a broad range of topics in economics and finance. We have contributed significantly to macro-economic policy making through our work on financial regulation (Prof. Davis and Dr. Karim) and on consumption, savings and pensions (Prof. Davis). We have affected the efficiency of the public sector through our work on debt management. Prof. Philip Davis is a member of the National Institute of Economic and Social Research (NIESR): We have changed the debate on development through our direct involvement in foreign direct investment, FDI (Prof. Karanasos). Prof. Menelaos Karanasos often visits Heidelberg University and the Alfred Weber Institute of Economics:Group Aims:
Key Collaborations:
Prof. Yannis Karavias is doing research that deals with structural breaks which is an essential step in most empirical economic research: This is particularly true in panel data comprised of many cross-sectional units, which are all affected by major events. The COVID-19 pandemic has affected most sectors of the global economy; however, its impact on stock markets is still unclear. Prof. Stylianos Asimakopoulos examines: i) how do firms change their debt structure when the become ESG rated? ii) Do they adjust their optimal leverage position?, and iii) What is the impact of debt-overhang for ESG rated firms? Prof. Sugata Ghosh is primarily a macroeconomist, specialising in growth theory and empirics, and macro theory and policy; but over the years has diversified his research interests to include issues in development economics, applied microeconomic theory, and environmental economics. His article on “Ethnic identities, public spending, and political regimes” is available on the Ideas for India webpage.
Prof. James Steeley during the mid- 1990s worked for the Bank of England, where he managed a research team developing techniques to interpret financial market prices for use in monetary policy advice, and techniques to improve the pricing of UK government debt issues.
He is on the advisory editorial board of the academic journal Studies in Economics and Finance and on the editorial board of the International Journal of Behavioural Accounting and Finance. He is an academic affiliated member of the Chartered Institute of Securities and Investments and was on the founding editorial board of their research journal.
Among his former students he can count a professor of finance, a professor of economics and the successor to Michael Flatley in Riverdance.
Members (31):
M. Karanasos (personal webpage)
V. Sarafidis (personal webpage)
G. Maria-Caporale (Brunel webpage)
P. Davis (NIESR webpage)
S. Ghosh (Brunel webpage)
Y. Karavias (personal webpage)
S. Asimakopoulos (personal webpage)
J. Steeley (Brunel webpage)
Angeliki Theophilopoulou (Brunel webpage)
Marco Realdon (Brunel Webpage)
Tomoe Moore (Brunel webpage)
Fang Xu (Brunel webpage)
Oleg Badunenko (Brunel webpage)
John Hunter (Brunel webpage)
Dilruba Karim (Brunel webpage)
Ka Kei Chan (Brunel Webpage)
Matteo Pazzona (Personal webpage)
Aris Kartsaklas (Personal webpage)
A. Fasianos (Brunel webpage)
W-Y. Kang (Brunel webpage)
S. Poupakis (Personal webpage)
S. Fischer (Brunel webpage)
A-M. Sova (Brunel webpage)
M. Gould (Brunel webpage)
R. Liu (Brunel webpage)
P. Gupta (Brunel webpage)
R. Moro (Brunel webpage)
J. Coto-Martinez (Brunel webpage)
Yiannis Karavias:
“Structural breaks in interactive effects panels and the stock market reaction to COVID-19″, Journal of Business & Economic Statistics, 2023
Angeliki Theophilopoulou:
“The impact of macroeconomic uncertainty on inequality: An empirical study for the United Kingdom”, Journal of Money Credit and Banking, 2022
Menelaos Karanasos:
(1) “A unified theory for ARMA models with varying coefficients: One solution fits all”, Econometric Theory, Forthcoming
(2) “Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics”, European Journal of Operational Research, 2023
Tomoe Moore:
(1) “The effect of capital flows on the imports of capital goods in developing countries”, Journal of Corporate Finance, 2024
(2) “A shot in the arm: Economic support packages and firm performance during COVID-19“, Journal of Corporate Finance, 2023
Wenke Zhang:
“Operational research and artificial intelligence methods in banking”, European Journal of Operational Research, 2023
Stylianos Asimakopoulos:
“The role of environmental, social, and governance rating on corporate debt structure“, Journal of Corporate Finance, 2023
Oleg Badunenko:
(1) “On distinguishing the direct causal effect of an intervention from its efficiency-enhancing effects”, European Journal of Operational Research, 2023
(2) “Achieving a sustainable cost-efficient business model in banking: The case of European commercial banks”, European Journal of Operational Research, 2021
Nicola Spagnolo:
“Inflection points, kinks, and jumps: A statistical approach to detecting nonlinearities”, Organizational Research Methods, 2022
Stavros Poupakis:
“Resemblance and discrimination in elections”, Journal of Politics, Forthcoming
PDF files:
I. Karavias: JBES;
A. Theofilopoulou: JMCB;
M. Karanasos: (1) EJOR, (2) ET, ET_OnlineAppendix
W. Zhang: EJOR;
S. Asimakopoulos: JCF;
O. Badunenko: (1) EJOR, (2) EJOR;
N. Spagnolo: ORM
Sixty two 3-rated (AJG Classification) Publications:
Menelaos Karanasos:
(1) “The short- and long-run cyclical variation of the cross-asset nexus: MIDAS evidence on financial and financialised assets”, Journal of Commodity Markets, Forthcoming
(2) “Short- and long-run cross-border sustainability interdependences”, Annals of Operational Research, Forthcoming
(3) “Macro-financial linkages in the high-frequency domain: Economic fundamentals and the Covid-induced uncertainty channel in US and UK financial markets”, International Journal of Finance and Economics, 2024 (with GM. Caporale)
(4) “The finance-growth nexus and public-private ownership of banks in Brazil since 1870″, Annals of Operational Research, Forthcoming
(5) “Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers”, Annals of Operations Research,2022 (with J. Hunter)
(6) “A three-dimensional asymmetric power HEAVY model”, International Journal of Finance and Economics, 2022
(7) “Financial volatility modeling with option-implied information and important macro-factors”, Journal of the Operational Research Society, 2022
(8) “On the economic fundamentals behind the dynamics of equicorrelations among asset classes: Global evidence from equities, real estate and commodities”, Journal of International Financial Markets, Institutions & Money, 2021
(9) “The long memory HEAVY process: modeling and forecasting financial volatility”, Annals of Operations Research, 2021
(10) “Investors’ trading behaviour and stock market volatility during crisis periods: a dual long-memory model for the Korean stock exchange”, International Journal of Finance and Economics, 2021 (with GM. Caporale and A. Kartsaklas)
Marco Realdon:
(1) “The efficiency of the Estr overnight index swap market”, Journal of International Financial Markets, Institutions and Markets, 2024
(2) “Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)”, Quantitative Finance, 2021
Fabio Spagnolo:
“Cross-border portfolio flows and news media coverage”, Journal of International Money and Finance, 2022 (with GM. Caporale and N. Spagnolo)
Tomoe Moore:
“Does macroprudential policy alleviate the adverse impact of COVID-19 on the resilience of banks?”, Journal of Banking and Finance, 2022
Ka Kei Chan:
(1) “Corporate credit default swap systematic factors”, Journal of Future Markets, Forthcoming
(2) “Price convergence between credit default swap and put option: New evidence”, Journal of Empirical Finance, 2023
Fang Xu:
“Structural transmissions among investor attention, stock market volatility and trading volumes”, European Financial Management, 2022
Matteo Pazzona:
(1) “Do not shut up and do dribble: social media and TV consumption”, Journal of Population Economics, 2024 (with N. Spagnolo)
(2) “Revisiting the income inequality-crime puzzle”, World Development, 2024
(3) “Peer interactions and performance in a high-skilled labour market”, Scandinavian Journal of Economics, 2022
(4) “Inequality, crime and private protection”, Economics Letters, 2022
(5) “Migrant diversity and team performance in a high-skilled labour market”, Kyklos, 2022
Vasilis Sarafidis:
(1) “A method to evaluate the rank condition for CCE estimators”, Econometric Reviews, Forthcoming
(2) “IV estimation of spatial dynamic panels with interactive effects: Large sample theory and an application on bank attitude toward risk”, The Econometrics Journal, 2023
(3) “Two-stage instrumental variable estimation of linear panel data models with interactive effects”, The Econometrics Journal, 2022
Sugata Ghosh:
(1) “Positional preferences and efficiency in a dynamic economy”, Social Choice and Welfare, 2023
(2) “Ethnic identities, public spending and political regimes”, Journal of Comparative Economics, 2022
Woo-Young Kang:
(1) “Cyber-attacks, spillovers and contagion in the cryptocurrency markets”, Journal of International Financial Markets, Institutions and Money, 2021 (with GM. Caporale, F. Spagnolo and N. Spagnolo)
(2) “On the preferences of CoCo bond buyers and sellers”, Journal of International Financial Markets, Institutions and Money, 2021 (with GM. Caporale)
(3) “Loss sensitive investors and positively biased analysts in Hong Kong stock market”, Review of Quantitative Finance and Accounting, 2021
Dilruba Karim:
“The effects of macroprudential policy on banks’ profitability”, International Review of Financial Analysis, 2022 (with P. Davis)
Apostolos Fasianos:
(1) “Modelling monetary policy’s impact on labour markets under Covid-19″, Economic Letters, 2023
(2) “Unconventional Monetary Policy and Wealth Inequalities in Great Britain”, Oxford Bulletin of Economics and Statistics, 2021
(3) “Are housing wealth effects asymmetric in booms and busts?”, Journal of Real Estate Finance and Economics, 2021
Sven Fischer:
“Auctions with leaks about early bids: Analysis and experimental behavior”, Economic Inquiry, 2021
Stavros Poupakis:
(1) “Political connections and firms: network dimensions”, Oxford Economic Papers, 2023
(2) “Regression with an imputed dependent variable”, Journal of Applied Econometrics, 2022
(3) “Does FDI in upstream and downstream sectors facilitate quality upgrading? Evidence from Russian exporters”, Oxford Bulletin of Economics and Statistics, 2022
Oleg Badunenko:
(1) “Market power, optimal scale and competition promotion in banking: Analysis in the GCC region”, International Journal of Finance and Economics, 2024
(2) “Does inequality migrate? The development of income inequality across German states”, Journal of Regional Science, 2024
(3) “Better to grow or better to improve? Measuring environmental efficiency in OECD countries with a stochastic environmental Kuznets frontier (SEKF)”, Energy Economics, 2023
(4) “Do carbon taxes affect economic and environmental efficiency? The case of British Columbia’s manufacturing plants”, Energy Economics, 2023
(5) “The impact of efficiency on asset quality in banking”, European Journal of Finance, 2022,
(6) “The effect of restructuring electricity distribution systems on firms’ persistent and transient efficiency: The case of Germany”, The Energy Journal, 2021
(7) “Market size and market structure in banking”, Journal of International Financial Markets, Institutions and Money, 2021
Stylianos Asimakopoulos:
(1) “The combined effects of economic policy uncertainty and environmental, social, and governance ratings on leverage”, European Journal of Finance, 2024
(2) “Sustainable finance and governance: an overview”, European Journal of Finance, 2024
(3) “A Bayesian DSGE approach to modelling cryptocurrency”, Review of Economic Dynamics, 2023
(4) “Can public spending boost private consumption?”, Canadian Journal of Economics, 2021
(5) “Dividend smoothing and credit rating changes”, European Journal of Finance, 2021
Anamaria Sova:
(1) “The Covid-19 pandemic and European trade flows: Evidence from a dynamic panel model”, International Journal of Finance and Economics, 2024 (with GM. Caporale)
(2) “The short-run and long-run effects of trade openness on financial development: some panel evidence for Europe”,
International Journal of Finance and Economics, 2023 (with GM. Caporale)
(3) “The direct and indirect effects of financial development on international trade: Evidence from the CEEC-6″, Journal of International Financial Markets, Institutions and Money, 2022 (with GM. Caporale)
Sheehan Rahman:
(1) “Has the transparency directive benefited the United Kingdom?”, Journal of International Accounting, Auditing and Taxation, Forthcoming
(2) “Narrative Tone and Earnings Persistence”, Journal of International Accounting, Auditing and Taxation, 2023
Guglielmo Maria Caporale:
(1) “Functional 0il price expectations shocks and inflation”, Journal of Future Markets, 2024
(2) “Aggregate insider trading and stock market volatility in the UK”, Journal of International Financial Markets, Institutions and Money, 2023 (with K. Kyriacou and N. Spagnolo)
(3) “On the persistence of UK inflation: A long-range dependence approach”, International Journal of Finance and Economics, 2022
(4) “Political tension and stock markets in the Arabian Peninsula”, International Journal of Finance and Economics, 2021 (with F. Spagnolo and N. Spagnolo)
Nicola Spagnolo:
“The impact of energy, renewable and CO2 emissions efficiency on countries’ productivity“, Energy Economics, 2023
Angeliki Theophilopoulou:
(1) “The distributional effects of climate change. An empirical analysis”, European Economic Review, 2024
(2) “The distributional effects of oil supply news shocks”, Economics Letters, 2024
PDF Files:
M. Karanasos: (1) ANOR; (2) IJFE; (3) JORS; (4) JIFMIM; (5) ANOR; (6) IJFE; (7) ANOR; (8) IJFE ; (9) ANOR
M. Realdon: (1) QF; (2) JIFMIM
F. Spagnolo: JIMF
T. Moore: JBF
F. Xu: EFM
M. Pazzona: (1) SJE; (2) EL; (3) KY; (4) WD; (5) JPE
V. Sarafidis: (1) ER; (2) EJ; (3) EJ
W-Y, Kang: (1): JIFMIM; (2) JIFMIM; (3) RQFE
D. Karim: IRFA
A. Fasianos: (1) EL; (2) OBES; (3) JREFE
S. Fischer: EI
S. Poupakis: (1) OEP; (2) JAE; (3) OBES
O. Badunenko: (1) EE; (2) EE; (3) EJF; (4) EJ; (5) JIFMIM; (6) JRS; (7) IJFE
S. Asimakopoulos: (1) EJF ; (2) EJF; (3) RED; (4) CJE; (5) EJF
A. Sova: (1) IJFE ; (2) IJFE; (3) JIFMIM
S. Rahman: (1) JIAAT; (2) JIAAT
G. Maria-Caporale: (1) IJFE; (2) IJFE; (3) JIFMIM; (4) JFM
N. Spagnolo: EE
Grants (2021 onwards):
The following grands were awarded to members of the group:
2021/2022, Fang Xu (British Academy, Value added: 8,906, FEC: 70,591.06)
2021/2022, Anamaria Sova and Guglielmo Maria Caporale (BA/Leverhulme grant on Covid-19 and trade)
Yannis Karavias:
[6] 2022-2025: Home Office. Project title: “What works Fund, Preventing Violence Against Women and Girls and Supporting Children”. Project value: £1,078,377. Role: Co-Investigator.
[4] 2022-2025: Youth Endowment Foundation. Project title: “Redthread”. Project value: £ 2,106,582.
Role: Co-Investigator.
[3] 2022-2025: Youth Endowment Foundation. Project title: “United Borders”. Project value: £ 652,286. Role: Co-Investigator, Impact Evaluation Lead.
[2] 2021-2022: INTERPOL. Project title: “Advice on current and emerging global criminal and terrorism-related trends and threats”. Project value: £24,643.44. Role: Co-Investigator.
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[1] 2020-2021: Home Office. Project title: “Supply of Domestic Abuse Perpetrators Research”. Project value: £95,137.52. Role: Co-Investigator, Impact Evaluation Lead.
PHOTOS:
J. Wu
E. Glebkina
M. Popova
M. Morshed
T. Drossidis
M. Gkolfinopoulou
S. Aghayeva
D. Alfred
C. Selvakumar
M. Oliaie
R. Abdilahi
V. Hung Ly
J. Ding
O. Dada
E. Mekpor
D. Petricean
A. Shatila
Photos:
S. Yfanti
P. Koutroumpis
N. Zeng
H. Omran
M. Aliwa
Z. Margaronis
S. Dafnos
F. Menla Ali
