Macroeconomics and Finance

Macroeconomics and Finance Research Group

About us

Members of the Macroeconomics and Finance Research Group cover a wide range of research interests including:

  • fiscal and monetary policy
  • economic growth
  • the economic impact of immigration
  • corporate finance
  • asset-pricing
  • banking
  • international finance
  • financial networks
  • political economy of finance
  • agent-based modelling of financial behaviour.


PhD students


  • Nikolaos Koufos (supervisor: Dr O. Saka & Prof. Keith Pilbeam)
  • Rowlando Morgan (supervisor: Prof M. Ben-Gad and Prof J. Pearlman)
  • Vittorio Siracusa (supervisor: Prof M. Ben-Gad and Prof J. Pearlman)
  • Alexandro Sotirios Sokianos (supervisor: Prof M. Ben-Gad and Prof J. Pearlman)
  • Mohamed Zahran, Essays on the Macroeconomics of Uncertainty (supervisor: Prof J. Pearlman and Prof S. Jafarey)
  • Johnson Nyella, The Effcts of Mobile Money on Monetary Policy in  Developing Country Contexts (supervisor: Prof S. Jafarey and Prof J. Pearlman)
  • Nayab Kanwal, Aging and Inequality (supervisor: Dr G. Faggio and Prof. S. Jafarey)

Past PhD students

  • Vania Esady, 2020, The Role of Expectation Formation for Macroeconomic Policy, supervisors: Prof M. Ben-Gad and Prof J. Pearlman. First Placement: Bank of England
  • Zamid Aligishiev, 2020, Essays on the effects of government expenditure stimulus, supervisors: Prof M. Ben-Gad and Prof J. Pearlman. First Placement: International Monetary Fund
  • Azar Sultanov, 2021, The Impact of Immigration on Public Debt: A Dynamic Macroeconomic Analysis, supervisors: Prof M. Ben-Gad and Prof J. Pearlman. First Placement: UNDP and International Monetary Fund
  • Ivy Sabuga, 2022, The interaction of monetary and macroprudential policies in dynamic macro models, supervisors: Prof M. Ben-Gad and Prof J. Pearlman. First Placement: International Monetary Fund
  • Monika Junicke, 2014, Theoretical and Empirical Contributions to Monetary Policy Analysis, supervisors: Prof M. Ben-Gad. First Placement: University of Cagliari
  • Syed Amir Hosseini, 2019, Essays on the Political Economy of Institutional Reform, supervisors: Prof S. Jafarey and Dr T. Gabrielli First Palcement: McKinsey & Co
  • Anna Kaliciak, 2021, Essays on the British Premium Bonds Programme. Supervisor: Prof A. Banal-Estanol. First placement: City University
  • Enrique Benito, 2017, Asset encumbrance, Size Distribution and Liquidity Provision: Three Essays on Banking. Supervisor: Prof A. Banal-Estanol. First placement: Delloite



Saka, O., Eichengreen, B. & C. G. Aksoy, Epidemic exposure, financial technology, and the digital divide, Journal of Money, Credit and Banking, Forthcoming.

Saka, O., Eichengreen, B. & C. G. Aksoy, The Political scar of epidemics, The Economic Journal, Forthcoming.

Huang, R., Pilbeam, K. and Pouliot, W. (2022). Are macroeconomic forecasters optimists or pessimists? A reassessment of survey based forecasts. Journal of Economic Behavior & Organization, 197, pp. 706–724. doi:10.1016/j.jebo.2022.03.012.

Boonman, T., Litsios, I., Pilbeam, K. and Pouliot, W. (2022). Modelling the trade balance between the northern and southern eurozone using an intertemporal approach. Journal of International Money and Finance, 121, pp. 102508–102508. doi:10.1016/j.jimonfin.2021.102508.

Banal-Estanol, A., Boot, N. and J. Seldeslachts (2022) “Common Ownership Patterns in the European Banking Sector – The Impact of the Financial Crisis” Journal of Competition Law & Economics, Special Issue on Common Ownership, Vol. 18 (1), March 2022, 135–167.


Saka, O., Eichengreen, B. & C. G. Aksoy, Revenge of the experts: Will COVID-19 renew or diminish public trust in science?. Journal of Public Economics, 2021.

Saka, O. & C. Bircan, Lending cycles and real outcomes: Costs of political misalignment, The Economic Journal, 2021.
Gurgone, A. and G. Iori (2021), Macroprudential capital buffers in heterogeneous banking networks. Insights from an ABM with liquidity crises. European Journal of Finance (published online 15.09.2021).

M. Steinbacher, M. Raddant, F. Karimi,  E. Camacho Cuena, S. Alfarano, G. Iori, T. Lux (2021),  Advances in the Agent-based modeling of economic and social behavior, SN Business & Economics, 1:99.

Maria Cristina Recchioni, Giulia Iori, Gabriele Tedeschi, Michelle S. Ouellette (2021), The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications, European Journal of Operational Research, 293, 1, pages 336-360.

Asteriou, D., Pilbeam, K. and Tomuleasa, I. (2021). The impact of corruption, economic freedom, regulation and transparency on bank profitability and bank stability: Evidence from the Eurozone area. Journal of Economic Behavior and Organization, 184, pp. 150–177. doi:10.1016/j.jebo.2020.08.023.

Huang, R., Pilbeam, K. and Pouliot, W. (2021). Do actively managed US mutual funds produce positive alpha? Journal of Economic Behavior and Organization, 182, pp. 472–492. doi:10.1016/j.jebo.2019.03.006

Pilbeam, K., Asteriou, D. and Listios, I. (2021). DSGE Modelling for the UK Economy 1974-2017. Bulletin of Economic Research, 72(2), pp. 295–323. doi:10.1111/boer.1225

Asteriou, D., Pilbeam, K. and Pratiwi, C.E. (2021). Public debt and economic growth: panel data evidence for Asian countries. Journal of Economics and Finance, 45(2), pp. 270–287. doi:10.1007/s12197-020-09515-7.

Banal-Estanol, A., M. Newham and J. Seldeslachts (2021) “Common Ownership Patterns in the Pharmaceutical Industry: A Network Analysis”. Antitrust Bulletin, Special Issue on Common Ownership, 2021, Vol. 66(1), pp. 68-99.


Saka, O., Domestic Banks as lightning rods? Home bias and information during the Eurozone crisis, Journal of Money, Credit and Banking, 2020.

Burcu Kapar, Giulia Iori, Giampaolo Gabbi, Guido Germano, Market Microstructure, Banks' Behaviour and Interbank Spreads. Evidence after the crisis, J. Econ Interact Coord 15, 283–331 (2020).

Banal-Estanol. A., J. Seldeslachts and Xavier Vives (2020). “Diversification, Common Ownership, and Strategic Incentives” American Economic Association, Papers and Proceedings, Vol. 110, May 2020, pp. 1-5.


Litsios, I. and Pilbeam, K. (2019). The Role of National Debts in the Determination of the Yen-Dollar Exchange Rate. Economic Inquiry, 57(2), pp. 1182–1195. doi:10.1111/ecin.12735

Pilbeam, K. (2019). Brexit and its Impact on the Pound in the Foreign Exchange Market. The Economists’ Voice, 16(1). doi:10.1515/ev-2019-0

Asteriou, D., Pilbeam, K. and Sarantidis, A. (2019). The Behaviour of Banking Stocks During the Financial Crisis and Recessions. Evidence from Changes-in-Changes Panel Data Estimations. Scottish Journal of Political Economy, 66(1), pp. 154–179. doi:10.1111/sjpe.1219

Pilbeam, K. and Preston, H. (2019). An Empirical Investigation of the Performance of Japanese Mutual Funds: Skill or Luck? International Journal of Financial Studies, 7(1), pp. 6–6. doi:10.3390/ijfs7010006


Andrea Gurgone, Giulia Iori, and Saqib Jafarey, The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model, Journal of Economic Dynamics and Control, Volume 91, Pages 257-288 (2018).

Pilbeam, K., Glycopantis, D. and Beckmann, J. (2018). The dollar-euro exchange rate and monetary fundamentals. Empirical Economics, 54(4), pp. 1389–1410. doi:10.1007/s00181-017-1335-1

Benbouzid, N., Mallick, S. and Pilbeam, K. (2018). The housing market and the credit default swap premium in the UK banking sector: A VAR approach. Research in International Business and Finance, 44, pp. 1–15. doi:10.1016/j.ribaf.2017.01.009

Gabrieli, T., Pilbeam, K. and Wang, T. (2018). Estimation of bubble dynamics in the Chinese real estate market: a State space model. International Economics and Economic Policy, 15(2), pp. 483–499. doi:10.1007/s10368-017-0398-y


Gabrieli, T., Pilbeam, K. and Shi, B. (2017). The impact of shadow banking on the implementation of Chinese monetary policy. International Economics and Economic Policy pp. 1–19. doi:10.1007/s10368-017-0397-z

Pilbeam, K. and Litsios, I. (2017). The long-run determination of the real exchange rate. Evidence from an intertemporal modelling framework using the dollar-pound exchange rate. Open Economies Review, 28(5), pp. 1011–1028. doi:10.1007/s11079-017-9467-7

Litsios, I. and Pilbeam, K. (2017). An empirical analysis of the nexus between investment, fiscal balances and current account balances in Greece, Portugal and Spain. Economic Modelling, 63, pp. 143–152. doi:10.1016/j.econmod.2017.02.003

Asena Temizsoy, Giulia Iori, Gabriel Montes-Rojas, Network centrality and funding rates in the e-MID interbank market, Journal of Financial Stability, Volume 33, Pages 346-365 (2017)


Girma, S., Lancheros, S. P. and A. Riaño "Global Engagement and Returns Volatility," Oxford Bulletin of Economics and Statistics 78: 814-833

Asteriou, D., Masatci, K. and Pılbeam, K. (2016). Exchange rate volatility and international trade: International evidence from the MINT countries. Economic Modelling, 58, pp. 133–140. doi:10.1016/j.econmod.2016.05.006

Begiazi, K., Asteriou, D. and Pilbeam, K. (2016). A multivariate analysis of United States and global real estate investment trusts. International Economics and Economic Policy, 13(3), pp. 467–482. doi:10.1007/s10368-016-0349-z

Belke, A. and Pilbeam, K. (2016). Exports, growth and financial stability in the euro area and beyond. International Economics and Economic Policy, 13(3), pp. 339–343. doi:10.1007/s10368-016-0354-2


Saka, O., Fuertes, A-M & E. Kalotychou, ECB policy and Eurozone fragility: Was De Grauwe right?. Journal of International Money and Finance, 2015.

Beckmann, J., Czudaj, R. and Pilbeam, K. (2015). Causality and volatility patterns between gold prices and exchange rates. The North American Journal of Economics and Finance, 34, pp. 292–300. doi:10.1016/j.najef.2015.09.015

Pilbeam, K., Bris, A., Alcidi, C., Barslund, M., De Groen, W.P. and Gros, D. (2015). Currency Interventions: Effective Policy Tool or Shortsighted Gamble? Intereconomics, 50(2), pp. 64–81. doi:10.1007/s10272-015-0528-0

Pilbeam, K. and Langeland, K.N. (2015). Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts. International Economics and Economic Policy, 12(1), pp. 127–142. doi:10.1007/s10368-014-0289-4

G. Iori, M. Politi, G. Germano and G. Gabbi, Banks' Strategies and Cost of Money: Effects of the Financial Crisis on the European Electronic Overnight Interbank Market, Journal of Financial Management Markets and Institutions, Vol 2, pages 179-202 (2015)

Asena Temizsoy, Giulia Iori, Gabriel Montes-Rojas, The role of bank relationships in the interbank market, Journal of Economic Dynamics and Control, Volume 59, Pages 118–141 (2015)

Vasilis Hatzopoulos, Giulia Iori, Rosario N. Mantegna, Salvatore Micciche', Michele Tumminello, Quantifying preferential trading in the e-MID interbank market, Quantitative Finance, Volume 15, Issue 4, Pages 693-710 (2015).

Giulia Iori, Rosario Nunzio Mantegna, Luca Marotta, Salvatore Miccichè, James Porter, Michele Tumminello, Networked relationships in the e-MID Interbank market: A trading model with memory, Journal of Economic Dynamics and Control, Volume 50, Pages 98-116 (2015).

G. Gabbi, G. Iori, S. Jafarey, and J. Porter, Financial regulations and bank credit to the real economy, Journal of Economic Dynamics and Control, Volume 50, Pages 117-143 (2015).

Burcu Kapar, Giulia Iori and Jose Olmo, Bank Characteristics and the Interbank Money Market: A Distributional Approach, Studies in Nonlinear Dynamics & Econometrics, Volume 19, Issue 3, Pages 249–283 (2015).


Agarwal, N., C. Milner and A. Riaño "Credit Constraints and Spillovers from Foreign Firms in China," Journal of Banking & Finance 48: 261-275


B. Biais, J. Hombert, P.O. Weill (2013) "Equilibrium Pricing and Trading Volume under Preference Uncertainty", Review of Economic Studies, forthcoming.

B. Biais, C. Bisiere, S. Pouget (2013) "Equilibrium Discovery and Preopening Mechanisms in an Experimental Market", Management Science, forthcoming.

F. Corsi, S. Peluso, F. Audrino (2013) "Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation", Journal of Applied Econometrics, forthcoming.

F. Audrino, F. Corsi, K. Filipova (2013) "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators", Econometric Reviews, forthcoming.

A. Saichev, D. Sornette, V. Filimonov, F. Corsi (2013) "Homogenous Volatility Bridge Estimators", Quantitative Finance, forthcoming.

F. Corsi, N. Fusari, D. La Vecchia (2013) "Realizing Smiles: Pricing Options with Realized Volatility", Journal of Financial Economics, Volume 107, Issue 2, February 2013, pp. 284-304.


F. Corsi, R. Reno (2012) "Discrete-time volatility forecasting with persistent leverage effect and the link with continuous-time volatility modeling", Journal of Business and Economic Statistics, Volume 30, Issue 3, 2012, pp. 368-80.

F. Corsi, F. Audrino (2012) "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects", Journal of Financial Econometrics, Volume 10, Issue 4, April 2012, pp. 591-616.

G. Tedeschi, G. Iori, M. Gallegati (2012) "Herding Effects in Order Driven Markets: The Rise and Fall of the Gurus", Journal of Economic Behaviour and Organisation, Volume 81, pp. 82-96.


F. Corsi, F. Audrino, R. Reno (2011) "HAR Modeling for Realized Volatility Forecasting", Chapter in Handbook in Financial Engineering and Econometrics: Volatility Models and their Applications, by L. Bauwens, C. Hafner, S. Laurent.


B. Biais, T. Mariotti, J.C. Rochet, S. Villeneuve (2010) "Large Risks, Limited Liability and Dynamic Moral Hazard", Econometrics, Volume 78, Issue 1, January 2010, pp. 73-118.

B. Biais, P. Bossaerts, C. Spatt (2010) "Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information", The Review of Financial Studies, Volume 23, Issue 4, pp. 1503-43.

F. Corsi, D. Pirino, R. Reno (2010) "Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting", Journal of Econometrics, Volume 159, Issue 2, December 2010, pp. 276-88.

F. Audrino, F. Corsi (2010) "Modelling Tick-by-Tick Realized Correlations", Computational Statistics and Data Analysis, Volume 54, Issue 11, 1 November 2010, pp. 2372-82.

F. Corsi (2009) "A Simple Approximate Long Memory Model of Realized Volatility", Journal of Financial Econometrics, Volume 7, Issue 2, February 2009, pp. 174-96.


B. Biais, T. Mariotti (2009) "Credit, Wages and Bankruptcy Laws", Journal of the European Economic Association, Volume 7, Issue 5, September 2009, pp. 939-73.

B. Biais, M. Weber (2009) "Hindsight Bias, Risk Perception and Investment Performance", Management Science, Volume 55, Issue 6, June 2009, pp. 1018-29.

S. Bianco, F. Corsi, R. Reno (2009) "Intraday LeBaron effects", Proceedings of National Academy of Sciences of United States of America (PNAS), Volume 106, Issue 28, 29 June 2009, pp.11439-43.

C. Chiarella, G. Iori, J. Perello (2009) "The Impact of Hetergenous Trading Rules on the Limit Order Book and Order Flows", Journal of Economic Dynamics and Control, Volume 33, Issue 3, March 2009, pp. 525-37.

G. Tedeschi, G. Iori, M. Gallegati (2009) "The Role of Communication and Imitation in Limit Order Markets", Eur. Phys. J. B, 1, pp.489-97.


B. Biais, E. Perotti (2008) "Entrepreneurs and New Ideas", RAND Journal of Economics, Volume 39, Issue 4, Winter 2008, pp.1105-25.

F. Corsi, S. Mittnik, C. Pigorsch, U. Pigorsch (2008) "The Volatility of Realized Volatility", Econometric Reviews, Volume 27, Issue 1, January 2008, pp.46-78.

R. Carvalho, G. Iori (2008) "Socio-Economic Networks with Long-Range Interactions", Phys. Rev., E 78, 016110.

G. Iori, G. de Masi, O. Precup, G. Gabbi, G. Caldarelli (2008) "A Network Analysis of the Italian Overnight Money Market", Journal of Economic Dynamics and Control, 32, pp.259-78.

G. Iori, C. Deissenberg, " An analysis of Settlement Risk Contagion in Alternative Securities Settlement Architectures" in E.J. Konotghiorghes, B. Rustem & P. Winker (Eds.) Computational Methods in Financial Engineering, Springer, Heidelberg, 2008.

M. Jeannin, G. Iori, D. Samuel (2008) "The Pinning Effect: Theory and a Simulated Microstructure Model", Quantitative Finance, Volume 8, Issue 8, December 2008, pp.823-31.

V. Mattiussi, G. Ioro, "Currency futures volatility during the 1997 East Asian crisis: an application of Fourier analysis" in Debt, Risk and Liquidity in Futures Markets, London and New York: Routledge, B.A. Goss (ed) (2008).

Working papers

L. Delaney, Valuing Voluntary Disclosure with Competitive Interactions using a Real Options Approach.

L. Delaney, T. Gabrielli, Valuing a Real Estate Project with Uncertain Costs and Market Incompleteness.

L. Delaney, J.J.J Thiijssen, The Impact of Voluntary Disclosure on a Firm's Investment Policy.

G. Gabbi, G. Germano, V. Hatzopoulos, G. Iori, M. Politi, Market microstructure, banks' behaviour and interbank spreads.

V. Hatzopoulos, G. Iori, Information theoretic description of the e-Mid interbank market: implications for systemic risk.

V. Hatzopoulos, G. Iori, The topology of the e-Mid interbank market during the sub-prime crisis: implications for financial stability.

G. Iori, S. Lillywhite, M.O. Souza, J. Zubelli, Pricing Optionalities in Rig Lease Contracts.

G. Iori, J. Porter, Agent Based Modelling for Financial Markets, Chapter prepared for the Handbook on Computational Economics and Finance. Eds. S. Chen, M. Kaboudan, OUP, forthcoming.

B. Kapar, G. Iori, J. Olmo, The Cross-Section Analysis of Interbank Lending and Borrowing Rates: An Empirical Investigation Using Nonparametric Methods.

P. Kovaleva, L. Delaney, The Effect of Opacity in a Double Auction Market.

P. Kovaleva, G. Iori, Optimal Trading Strategy in a Limit Order Market with Imperfect Liquidity.

V. Mattiussi, M. Tumminello, G. Iori, R. Mantegna, A comparison of volatility estimators via the Kullback-Leibler distance (submitted to Quantitative Finance).

N. Stamboglis, G. Iori, Modelling Relationship Lending in the Overnight Interbank Market.

A. Temisov, G. Iori, G. Montes-Rojas, The role of relationship lending on credit spreads in the e-Mid market.

Y. Zu, Nonparametric Specification Tests for Stochastic Volatility Models based on Volatility Density.

Y. Zu, P. Bowijk, Testing for Cointegration with Nonstationary Volatility.

Y. Zu, P. Bowijk, Estimating Spot Volatility with High Frequency Financial Data.

Y. Zu, P. Bowijk, Nonparametric Specification Tests for Stochastic Volatility Models based on Return Distributions.