University projects

Below I outline research projects I undertook during my education at University of Southampton and Université libre de Bruxelles, which include dissertations and significant research thought pieces for taught courses. I am the sole author of each piece and am fully responsible for all errors.

MRes Research Project: Credit easiness and the economy

This paper constructs a credit conditions index for the UK economy at an aggregate level, and also one for households and one for private non-financial companies, using a novel robust dynamic principal components approach. The resulting indices are then used to analyse how credit conditions affect total output, household consumption, and private sector gross fixed capital formation. The results confirm that credit conditions do matter for the UK economy. It appears that credit conditions for PNFCs matter more in explaining business investment growth, with the effect of a change in credit conditions being more persistent and lasting for up to the next three full quarters. Credit conditions for households matter too, albeit they explain less variation in household consumption growth, and the effect from a change in credit conditions is less pronounced and less persistent.

Grade awarded: 90%. Grade was highest awarded in cohort (2018).

MRes Research Project: Rethinking the unbiased forward rate hypothesis of exchange rates

This paper assesses the behaviour of a variety of spot rate and forward rate GBP currency pairs, in particular to try and model the relationship between the spot rate and the forward rate, both at time of purchase t. The results suggest that the relationship between the spot rate and the forward rate is contemporaneous at the time of purchase, and that the spot rate at time t is a good predictor of the forward rate purchased at time t with maturity at time t+m. This provides a new interpretation of the unbiased forward rate hypothesis, implying that forward rates provide a guarantee of today's price for a fixed duration of time into the future given our inability to forecast future spot rates, rather than being a predictor of future spot rates.

Grade awarded: 83%.

MSc Dissertation: Assessing the Martingale Behaviour of the Forward Rate and the Spot Rate [LINK]

This paper assesses the behaviour of the five most volatile GBP currency pairs, which are also five of the ten most volatile currency pairs traded. The results obtained show not only are these currency pairs martingales, but more importantly, the forward rate is a martingale difference sequence with respect to the spot rate.

Grade awarded: 75%. Grade was highest awarded in cohort (2013).

MSc Dissertation: Assessing the Effect of Exchange Rate Uncertainty on International Trade [LINK]

This paper assesses the impact of unexpected exchange rate fluctuations on Britain's trade with 12 of its 15 largest trading partners. These countries also consist of the six most volatile GBP currency pairs. The results show that a deviation in our expectations of exchange rates negatively impacts on trade in a statistically significant way.

Grade awarded: 68%. Grade was second highest awarded in cohort (2013).

BSc Dissertation: The Impact of the Euro on Britain's Trade with Adopting and Non-adopting Countries [LINK]

For my undergraduate dissertation, I assessed the impact of the Eurozone on Britain's trade with both adopting and non-adopting countries. Using an augmented multiplicative gravity model and a Pseudo-Poisson-Maximum-Likelihood estimation, I find that while at the moment Britain is not trading differently with Eurozone countries compared to non-Eurozone countries in a significant way, there is a negative trend in Britain's trade flows with Eurozone countries for each year longer the Euro is in use.

Grade awarded: 83% (I was awarded 85% for the dissertation in and of itself, weighted 90% of the module, and 69% for the initial research proposal, weighted 10% of the module).

Grade was highest awarded in cohort (2012) and I received the Departmental Prize for the work.