Dr Dimitris Korobilis

  • Reader (Economics)

telephone: +44 (0)141 330 2950
email: Dimitris.Korobilis@glasgow.ac.uk

Biography

Dimitris works in the fields of applied econometrics, macroeconomics and finance. He has a wide range of publications in economics and econometrics journals, such as the European Economic Review, International Economic Review, and the Journal of Econometrics. He is currently in the top 5% of authors in the world according to the website RePEc, collecting data for more than 45,000 economists worldwide. Among a rich list of professional activities, Dimitris has been a visitor of the Deutsche Bundesbank; visiting assistant professor at Universite de Rennes 1; and has worked as an external consultant for the European Central Bank, the South African Reserve Bank, and the Scottish Government. He has a vast teaching experience, having delivered specialized courses and summer-schools in ECB, Bundesbank, Queen Mary, and Barcelona GSE, among others.

Research interests

Areas of expertise:

Econometrics

  • Time-Series econometrics
  • Bayesian computation
  • Model selection and Big Data
  • Forecasting

Macroeconomics

  • Monetary policy, and supply of money and credit
  • Inflation determination and forecasting
  • Business cycles fluctuations and news shocks

Macro-Finance

  • Term structure of interest rates
  • Exchange rate predictability and fundamentals
  • Asset pricing and stock return predictability

Selected publications

Grants

Leverhulme Grant: “Where is the news in business cycles? A new approach with novel methodologies.” (Dates: 1/9/2014 - 31/8/2017; Value: £117,742.00)

Supervision

Dimitris is willing to supervise in many areas of macroeconomics and finance, with focus on advanced econometric modelling using modern time-series methods. Possible topics include (but not limited to): -

  • Evaluation of monetary policy using vector autoregressions
  • Stock return predictability and asset allocation
  • Yield curve modelling and forecasting; time-varying term premia
  • Exchange rate predictability; carry trades; currency premia
  • Forecast evaluation; predictive density forecasting

Current PhD students

Thesis title: Analysis of interest rate term premium in emerging markets.
Co-supervisor: Dr Joseph Byrne

Pinho Jose Ribeiro

Thesis title: Forecasting under structural instabilities.
Co-supervisor: Dr Joseph Byrne

Financial Contracts, Policy and Credit Market Frictions in Business Cycle Fluctuations
Co-supervisor: Dr John Tsoukalas

Teaching

Undergraduate and Postgraduate Econometrics at University of Strathclyde, University Catholique Louvain, and University of Glasgow

Short courses (Summer Schools) at Queen Mary, Deutsche Bundesbank, University of Rennes 

Additional information

All publications

List by: Type | Date

Jump to: 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2008
Number of items: 17.

2016

Korobilis, D. (2016) Prior selection for panel vector autoregressions. Computational Statistics and Data Analysis, 101, pp. 110-120. (doi:10.1016/j.csda.2016.02.011)

Byrne, J., Korobilis, D., and Ribeiro, P. J. (2016) Exchange rate predictability in a changing world. Journal of International Money and Finance, 62, pp. 1-24. (doi:10.1016/j.jimonfin.2015.12.001)

Koop, G., and Korobilis, D. (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81, pp. 115-131. (doi:10.1016/j.euroecorev.2015.09.006)

2015

Bauwens, L., Koop, G., Korobilis, D., and Rombouts, J. V.K. (2015) The contribution of structural break models to forecasting macroeconomic series. Journal of Applied Econometrics, 30(4), pp. 596-620. (doi:10.1002/jae.2387)

2014

Koop, G., and Korobilis, D. (2014) A new index of financial conditions. European Economic Review, 71, pp. 101-116. (doi:10.1016/j.euroecorev.2014.07.002)

Belmonte, M. A. G., Koop, G., and Korobilis, D. (2014) Hierarchical shrinkage in time-varying parameter models. Journal of Forecasting, 33(1), pp. 80-94. (doi:10.1002/for.2276)

2013

Korobilis, D. (2013) Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, 75(2), pp. 157-179. (doi:10.1111/j.1468-0084.2011.00687.x)

Korobilis, D. (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18(1), pp. 148-150. (doi:10.1016/j.econlet.2012.10.003)

Bauwens, L., and Korobilis, D. (2013) Bayesian methods. In: Hashimzade, N. and Thornton, M.A. (eds.) Handbook of Empirical Methods in Macroeconomics. Edward Elgar Publishing: Cheltenham, pp. 363-380. ISBN 9780857931016

Koop, G., and Korobilis, D. (2013) Large Time-Varying Parameter VARs. Journal of Econometrics, 177(2), pp. 185-198. (doi:10.1016/j.jeconom.2013.04.007)

Korobilis, D. (2013) Hierarchical shrinkage priors for dynamic regressions with many predictors. International Journal of Forecasting, 29(1), (doi:10.1016/j.ijforecast.2012.05.006)

2012

Koop, G., and Korobilis, D. (2012) Forecasting inflation using dynamic model averaging. International Economic Review, 53(3), pp. 867-886. (doi:10.1111/j.1468-2354.2012.00704.x)

Korobilis, D., and Gilmartin, M. (2012) On regional unemployment: an empirical examination of the determinants of geographical differentials in the UK. Scottish Journal of Political Economy, 59(2), pp. 179-195. (doi:10.1111/j.1467-9485.2011.00575.x)

2011

Koop, G., and Korobilis, D. (2011) UK macroeconomic forecasting with many predictors: which models forecast best and when do they do so? Economic Modelling, 28(5), pp. 2307-2318. (doi:10.1016/j.econmod.2011.04.008)

Korobilis, D. (2011) VAR forecasting using Bayesian variable selection. Journal of Applied Econometrics, 28(2), pp. 204-230. (doi:10.1002/jae.1271)

2010

Koop, G., and Korobilis, D. (2010) Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), pp. 267-358. (doi:10.1561/0800000013)

2008

Korobilis, D. (2008) Forecasting in vector autoregressions with many predictors. In: Chib, S. (ed.) Bayesian Econometrics. Series: Advances in Econometrics (23). Emerald, pp. 403-431. ISBN 9781848553088 (doi:10.1016/S0731-9053(08)23012-4)

This list was generated on Fri May 27 15:36:15 2016 BST.
Number of items: 17.

Articles

Korobilis, D. (2016) Prior selection for panel vector autoregressions. Computational Statistics and Data Analysis, 101, pp. 110-120. (doi:10.1016/j.csda.2016.02.011)

Byrne, J., Korobilis, D., and Ribeiro, P. J. (2016) Exchange rate predictability in a changing world. Journal of International Money and Finance, 62, pp. 1-24. (doi:10.1016/j.jimonfin.2015.12.001)

Koop, G., and Korobilis, D. (2016) Model uncertainty in panel vector autoregressive models. European Economic Review, 81, pp. 115-131. (doi:10.1016/j.euroecorev.2015.09.006)

Bauwens, L., Koop, G., Korobilis, D., and Rombouts, J. V.K. (2015) The contribution of structural break models to forecasting macroeconomic series. Journal of Applied Econometrics, 30(4), pp. 596-620. (doi:10.1002/jae.2387)

Koop, G., and Korobilis, D. (2014) A new index of financial conditions. European Economic Review, 71, pp. 101-116. (doi:10.1016/j.euroecorev.2014.07.002)

Belmonte, M. A. G., Koop, G., and Korobilis, D. (2014) Hierarchical shrinkage in time-varying parameter models. Journal of Forecasting, 33(1), pp. 80-94. (doi:10.1002/for.2276)

Korobilis, D. (2013) Assessing the transmission of monetary policy using time-varying parameter dynamic factor models. Oxford Bulletin of Economics and Statistics, 75(2), pp. 157-179. (doi:10.1111/j.1468-0084.2011.00687.x)

Korobilis, D. (2013) Bayesian forecasting with highly correlated predictors. Economics Letters, 18(1), pp. 148-150. (doi:10.1016/j.econlet.2012.10.003)

Koop, G., and Korobilis, D. (2013) Large Time-Varying Parameter VARs. Journal of Econometrics, 177(2), pp. 185-198. (doi:10.1016/j.jeconom.2013.04.007)

Korobilis, D. (2013) Hierarchical shrinkage priors for dynamic regressions with many predictors. International Journal of Forecasting, 29(1), (doi:10.1016/j.ijforecast.2012.05.006)

Koop, G., and Korobilis, D. (2012) Forecasting inflation using dynamic model averaging. International Economic Review, 53(3), pp. 867-886. (doi:10.1111/j.1468-2354.2012.00704.x)

Korobilis, D., and Gilmartin, M. (2012) On regional unemployment: an empirical examination of the determinants of geographical differentials in the UK. Scottish Journal of Political Economy, 59(2), pp. 179-195. (doi:10.1111/j.1467-9485.2011.00575.x)

Koop, G., and Korobilis, D. (2011) UK macroeconomic forecasting with many predictors: which models forecast best and when do they do so? Economic Modelling, 28(5), pp. 2307-2318. (doi:10.1016/j.econmod.2011.04.008)

Korobilis, D. (2011) VAR forecasting using Bayesian variable selection. Journal of Applied Econometrics, 28(2), pp. 204-230. (doi:10.1002/jae.1271)

Koop, G., and Korobilis, D. (2010) Bayesian multivariate time series methods for empirical macroeconomics. Foundations and Trends in Econometrics, 3(4), pp. 267-358. (doi:10.1561/0800000013)

Book Sections

Bauwens, L., and Korobilis, D. (2013) Bayesian methods. In: Hashimzade, N. and Thornton, M.A. (eds.) Handbook of Empirical Methods in Macroeconomics. Edward Elgar Publishing: Cheltenham, pp. 363-380. ISBN 9780857931016

Korobilis, D. (2008) Forecasting in vector autoregressions with many predictors. In: Chib, S. (ed.) Bayesian Econometrics. Series: Advances in Econometrics (23). Emerald, pp. 403-431. ISBN 9781848553088 (doi:10.1016/S0731-9053(08)23012-4)

This list was generated on Fri May 27 15:36:15 2016 BST.