People
Dr Deborah Gefang
Associate Professor of Economics
Research
Time Series Analysis
Applied Econometrics
Research papers can be downloaded via RePEc.
Publications
Hall, S. G., Gefang, D. and Tavlas, G. S. (2022). A test to select between spatial weighting matrices. Forthcoming in Journal of Spatial Econometrics.
Gefang, D., Koop, G., & Poon, A. (2022). Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage. International Journal of Forecasting.
Hall, S., Gibson, H., GeFang, D., Petrolas, P., & Tavlas, G. S. (2021). Cross-Country Spillovers of National Financial Markets and the effectiveness of ECB Policies during the Euro-Area Crises: The view from the south. Oxford Economic Papers.
Gefang, D., Koop, G., & Poon, A. (2020). Computationally efficient inference in large Bayesian mixed frequency VARs. Economics Letters, 191.
Gefang, F., & Johnes, G. (2017). Asymmetric volatility spillovers between UK regional worker flows and vacancies. Applied Economics, 49(50), 5117-5133.
Campolieti, M., Gefang, D., & Koop, G. (2014). A new look at variation in employment growth in Canada: The role of industry, provincial, national and external factors. Journal of Economic Dynamics and Control, 41, 257-275.
Campolieti, M., Gefang, D., & Koop, G. (2014). Time variation in the dynamics of worker flows: evidence from North America and Europe. Journal of Applied Econometrics, 29(2), 265-290.
Gefang, D. (2014). Bayesian Doubly Adaptive Elastic-Net Lasso for VAR Shrinkage. International Journal of Forecasting.
Gefang, D., Koop, G., & Potter, S. M. (2012). The dynamics of UK and US inflation expectations. Computational Statistics & Data Analysis, 56(11), 3120-3133.
Gefang, D. (2012). Money-output Causality Revisited - A Bayesian Logistic Smooth Transition VECM Perspective. Oxford Bulletin of Economics and Statistics, 74(1), 131-151.
Gefang, D., Koop, G., & Potter, S. M. (2011). Understanding liquidity and credit risks in the financial crisis. Journal of Empirical Finance, 18(5), 903-914.
Gefang, D. and Strachan, R. (2009). Nonlinear Impacts of International Business Cycles on the U.K. -- A Bayesian Smooth Transition VAR Approach. Studies in Nonlinear Dynamics & Econometrics, vol. 14, no. 1.
Supervision
Teaching
EC7090: The Macroeconomic Environment