Joseph Byrne

Professor, Prof

  • United Kingdom

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PhD projects

Economics and Finance

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Personal profile

Research Interests

Professor Byrne's research areas include International Finance, Financial Economics and Econometric Applications. He has academic journal publications in Journal of Money, Credit, and BankingInternational Economic ReviewJournal of Development EconomicsJournal of International Money and FinanceJournal of Banking and Finance and Oxford Bulletin of Economics and Statistics. He has over thirty publications in peer reviewed academic journals. His co-authored book entitled Financial Structure was published by Cambridge University Press. He is interested in supervising PhD students in Economics and Finance.

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Recent Working Papers

Byrne, J.P., Ibrahim, B. and Zong, X. (2020), 'Asset Prices and Capital Share Risks: Theory and Evidence.' Working Paper. MPRA Paper 101781, University Library of Munich, Germany.

Byrne, J.P. and Ersoy, E. (2020), 'Endogenous Uncertainty in the Oil Market: A Bayesian Stochastic Volatility-in-Mean Analysis.' CEERP Working Paper Series No. 12.

Byrne, J.P. and Fu, R., (2018), 'Stock Return Prediction with Fully Flexible Models and Coefficients.' Heriot-Watt University Discussion Paper. 

Selected Publications

Byrne, J.P., Ibrahim, B.M. and Sakemoto, R., (forthcoming), 'The Time-Varying Risk Price of Currency Carry Trades.' Journal of International Money and Finance.

Byrne, J.P. and Sakemoto, R., (2021), 'The Conditional Volatility Premium on Currency Portfolios.Journal of International Financial Markets, Institutions and Money, vol. 74, pp. 101415. 

Byrne, J.P., Sakemoto, R. and Xu, B., (2020), 'Commodity Prices Co-movement: Heterogeneity and the Time-Varying Impact of Fundamentals.European Review of Agricultural Economics, vol. 47, pp. 499-528. 

Byrne, J.P., Cao, S. and Korobilis, D., (2019), 'Decomposing Global Yield Curve Co-Movement.Journal of Banking and Finance vol. 106, pp. 500-513.

Byrne, J.P., Ibrahim, B.M. and Sakemoto, R., (2019), 'Carry Trades and Commodity Risk Factors.Journal of International Money and Finance vol. 96, pp. 121-129.

Byrne, J.P., Lorusso, M. and Xu, B., (2019), 'Oil Prices, Fundamentals and Expectations. Energy Economics vol. 79, pp. 59-75.

Byrne, J.P., Korobilis, D. and Ribeiro, P.J., (2018), 'On the Sources of Uncertainty in Exchange Rate PredictabilityInternational Economic Review, vol. 59(1), pp. 329-357. Working Paper Version.

Byrne, J.P., Ibrahim, B.M. and Sakemoto, R., (2018), 'Common Information in Carry Trade Risk Factors.Journal of International Financial Markets, Institutions and Money, vol. 52, pp. 37-47.

Byrne, J.P., Cao, S. and Korobilis, D., (2017), 'Forecasting the Term Structure of Government Bond Yields in Unstable Environments.Journal of Empirical Finance, vol. 44, pp. 209-225. 

Byrne, J.P. and Fiess, N., (2016), ‘International Capital Flows to Emerging Markets: National and Global Determinants.’ Journal of International Money and Finance, vol. 61, pp. 82-100.

Byrne, J.P., Korobilis, D. and Ribeiro, P.J., (2016), ‘Exchange Rate Predictability in a Changing World. Journal of International Money and Finance, vol. 62, pp. 1-24.

Byrne, J.P., Spaliara, M.-E. and Tsoukas, S., (2016), ‘Firm Survival, Uncertainty and Financial Frictions: Is there a Financial Uncertainty Accelerator?’ Economic Inquiry, vol. 54, pp. 375-390.

Akram Gilal, M. and Byrne, J.P., (2015), ‘Foreign Exchange Market Pressure and Capital Controls.’  Journal of International Financial Markets, Institutions and Money, vol. 37, pp. 42-53.

Byrne, J.P., Fazio, G. and Fiess, N., (2013), ‘Primary commodity prices: co-movements, common factors and fundamentals.’ Journal of Development Economics, vol. 101, pp. 16-26.

Byrne, J.P., Kontonikas, A. and Montagnoli, A., (2013), ‘International evidence on the New Keynesian Phillips Curve using aggregate and disaggregate data.’ Journal of Money, Credit, and Banking, vol. 45, pp. 913-932.

Byrne, J.P., Kortava, E. and MacDonald, R., (2013), ‘A new approach to testing for Pricing-to-Market.’ Journal of International Money and Finance, vol. 32, pp. 654-667.

Byrne, J.P., Fazio, G. and Fiess, N., (2012), ‘Interest rate co-movements, global factors and the long end of the term spread.’ Journal of Banking and Finance, vol. 36, pp. 183-192.  

Byrne, J.P, Fazio, G. and Fiess N., (2009), ‘The global side of the investment-saving puzzle.’ Journal of Money, Credit, and Banking, vol. 41(5), pp. 1033-1040.

Byrne, J.P. and Davis, E.P., (2005), ‘The Impact Of Short And Long-Run Exchange Rate Uncertainty On Investment: A Panel Study Of Industrial Countries.’ Oxford Bulletin of Economics and Statistics, vol. 67(3), pp. 307-330. 

Byrne, J.P. and Davis, E.P., (2005), ‘Investment and Uncertainty In The G7.’ Review of World Economics, vol. 141(1), pp. 1-32.

Byrne, J.P. and Davis, E.P., (2004), ‘Permanent and Temporary Inflation Uncertainty and Investment In The United States.’ Economics Letters, vol. 85(2), pp. 271-277.

Byrne, J.P. and Davis, E.P., (2003), ‘Disaggregate Wealth and Aggregate Consumption: An Investigation Of Empirical Relationships For The G7.’ Oxford Bulletin of Economics and Statistics, vol. 65(2), pp. 197-220.

Byrne, J.P. and Davis, E.P., (2003), Financial Structure: An Investigation of Sectoral Balance Sheets in the G7. Cambridge University Press, Cambridge.

Biography

Professor Joseph Byrne is Professor of Economics in the Department of Economics, Strathclyde Business School. Previously he was Professor of Economics in Edinburgh Business School, Heriot-Watt University from 2013-2021. He was Head of the Department of Accountancy, Economics and Finance in Heriot-Watt and a member of the School of Social Sciences, Management Board, between 2017 and 2019. He was Lecturer, Senior Lecturer and Reader in the University of Glasgow (2005-2013). In Glasgow he was a member of the Adam Smith Business School Executive Board and Director of Postgraduate Research for the Business School (2010-2013). Before that he was Convener of Postgraduate Research in Economics in Glasgow University. He was an Economics Lecturer in the University of Strathclyde, From 2003 to 2005. He was a Senior Research Officer in the National Institute of Economic and Social Research (NIESR) in London and worked in NIESR between 2000 and 2003. He has a PhD from the University of Strathclyde, MSc in Economics from the Scottish Graduate Programme in Economics based in the University of Glasgow and BA (Hons) in Economics from the University of Strathclyde.

Education/Academic qualification

Doctor of Philosophy

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