Published Work (Pre-Publication Working Paper versions of most papers included)

“The currency that came in from the cold: Capital controls and the information content of order flow”
(with T. Petursson and P. Vitale) Journal of International Money and Finance 2023  Central Bank of Iceland  WP version

“Judgment day: Algorithmic trading around the Swiss franc cap removal”  (with L Chen A Ranaldo and N Vause)  Journal of International Economics 2023 Bank of England WP version

"Discounting and the Market Valuation of Defined Benefit Pensions" (with L. Larcher) European Financial Management 2021 QMUL WP version

"On the Transactions Costs of UK Quantitative easing" Journal of Banking and Finance, 2018  QMUL WP version

"Carry Trades, Order Flow and the Forward Bias Puzzle" (with D. Rime and P. Vitale) Journal of Money Credit and Banking, 2016  QMUL WP version

"Intraday Patterns in FX returns and order flow" (with A. Ranaldo)  Journal of Money Credit and Banking, 2013 QMUL WP version

"The Financial Market Impact of UK Quantitative Easing" (with J. Chadha and A. Waters) Oxford Review of Economic Policy, Winter 2012 QMUL WP version

"A Variance Decomposition of Index-Linked Bond Returns" Economics Letters, July 2012 QMUL WP Version

"Exchange Rate Policy in Small Rich Economies" (with T. Petursson and A. Rose) Open Economies Review, July 2012 QMUL WP Version 

“Differences in Beliefs and Currency Risk Premiums”  (with A. Beber and A. Buraschi)  Journal of Financial Economics, December 2010.  WP Version

“An empirical study of liquidity and information effects of order flow on exchange rates” (with P. Vitale)  Journal of International Money and Finance, April 2010  ECB WP Version  

“Does the ECB have a credibility Problem?” (with M. Hume) Economics Letters June 2007

“Out in the Cold? Iceland’s trade experience outside the EU and EMU (with T. Peterson)  Cambridge Journal of Economics, September 2006  Central Bank of Iceland WP Version 

“Life on the Outside: Economic Prospects and Conditions Outside Euroland” (with D. Miles and D. Barr) Economic Policy, October 2003

“Investigating Excess Returns from Nominal Bonds” (with J. Chadha). Oxford Bulletin of Economics and Statistics, February 2003  Bank of England WP Version

"Trading on the Forward Premium” (with J. Baz, V. Naik and J. Peress). Journal of Portfolio Management, September 2001  Lehman Brothers  WP Version
 
“The impact of Euro notes and coins” (with F. Fornasari) Cesifo forum 3/2001

“Bidding and Information: Evidence from UK Gilt-Edged Auctions” (With J. Ganley). Economic Journal, October 2000  Bank of England WP version

“The FX Impact of Cross-Border M&A” (with F. Fornasari). BIS Paper No 2 April 2001 

“Fifty years of Asset price Volatility” (with N. Anderson). Journal of Risk, Spring 2000 Bank of England WP version

“The First Year of the Single Currency”. The Business Economist, January 2000

“Long Term Real Interest Rates: Evidence on the Global Capital Market” (with B. Henry and G. Williams). Oxford Review of Economic Policy, Summer 1999

“The Valuation of sub-underwriting agreements for UK rights issues” (with I. Twinn) Bank of England Quarterly Bulletin, 1996 Bank of England WP version

“M0: Causes and Consequences” (with P. Fisher) The Manchester School, 1996 Bank of England WP version

“Bond prices and market expectations of inflation” Bank of England Quarterly Bulletin, 1995

“The determination of M0 and M4” (with P. Fisher) Bank of England Quarterly Bulletin, 1994

"House Prices, Arrears and Possessions" (with M Joyce) Bank of England Quarterly Bulletin, 1992

Books, Book Chapters & Book Reviews

Macroeconomics: Understanding the Global Economy (with D. Miles and A. Scott) Wiley

“Asset Allocation for Sovereign Wealth Funds” (with R. Kosowski) in Handbook of Quantitative Asset Management (Scherer and Winston eds). OUP 2011

“Anticipating Correlations” Book Review, Journal of Risk Management in Financial Institutions. 2009