Prof Denise Osborn

After undergraduate and masters degrees at Sydney University, Denise completed a PhD in econometrics at the London School of Economics. She then worked for two years on the forecasting team at the National Institute for Economic and Social Research in London. She joined Manchester University as a lecturer in 1977, and has been a member of staff of the university since that date, being promoted to professor in 1992. She has held visiting positions at Monash University and the Australian National University, and is currently a research associate at the Centre for Applied Macroeconomic Analysis (CAMA), Australian National University.

Denise is, now, Chair of the Economics and Econometrics Sub-Panel for RAE2008 having formerly been its Vice-Chair, and member of the Business and Management Sub-Panel. She was recently (2003 to 2007) a member of the ESRC Research Evaluation Committee, having previously (1999 to 2003) been a member of the ESRC Training Board. In 2006 and 2007 she has been a member of the International Assessment Board of the Irish Research Council for the Humanities and Social Sciences. Other previous positions include chair of the UK Conference of Heads of Departments of Economics (CHUDE), membership of the Executive Committee and Council of the Royal Economic Society, inaugural chair of the Royal Economic Society Committee for Women in Economics and vice chair of the Economics and Econometrics Panel for RAE2001. She currently holds, or has held, editorial positions with the Journal of Applied Econometrics, Journal of Business and Economic Statistics, International Journal of Forecasting, The Manchester School, Economic Modelling, Ekonomia and Economic Issues.

Keywords: seasonality, seasonal adjustment, nonlinear models, structural change, monetary policy, inflation, international linkages.

Denise’s current research interests include: modelling seasonality in economic time series; the impact of seasonal adjustment on the properties of time series; capturing changing time series relationships through nonlinear and structural change models; interrelationships between macroeconomic and financial volatility; monetary policy relationships and inflation modelling; international macroeconomic and financial linkages, especially in relation to the Euro Area.

Current research includes projects funded by the Bank of England and Inquire (Institute for Investment Research UK). Both are in collaboration with Marianne Sensier from Economics and Ser-Huang Poon and Stuart Hyde from the Accounting and Finance Division, Manchester Business School. The Bank of England project, which also involves Dick van Dijk (Erasmus University Rotterdam), is investigating international volatility relationships for macroeconomic variables, while the Inquire project is concerned with international and cross-asset volatility dynamics.

A further project “International linkages between financial and real economy cycles” is funded by the Australian Research Council as an international linkage award, and is being undertaken in collaboration with Heather Anderson and Farshid Vahid from the Australian National University and Mardi Dungey from Cambridge University. Other research concerns linkages between international financial markets, some of which is joint with Nektarios Aslanidis (Monash University) and Marianne Sensier (Manchester), with further work on this topic being undertaken with Christos Savva (University of Cyprus).

Denise also has on-going research on seasonality and seasonal adjustment with Tomas del Barrio Castro (University of Barcelona) and on forecasting seasonal variables with Paulo Rodrigues (University of the Algave).

• ECON10072 Advanced Statistics
• ECON60521 Time Series Analysis

Publications Database

Denise is co-author with Eric Ghysels (University of North Carolina, Chapel Hill) of the Cambridge University Press monograph The Econometric Analysis of Seasonal Time Series

Additional information on publications can be found in Denise's cv

• The New Keynesian Phillips Curve: from sticky inflation to sticky prices (with Chengsi Zhang and Dong Heon Kim), forthcoming Journal of Money, Credit and Banking.
• Seasonal adjustment and the properties of business cycle regimes (with Antonio Matas-Mir and Marco Lombardi), forthcoming Journal of Applied Econometrics.
• Cointegration for periodically integrated processes (with Tomas del Barrio Castro), forthcoming Econometric Theory, February 2008.
• Testing for seasonal unit roots in periodic integrated autoregressive processes (with Tomas del Barrio Castro), forthcoming Econometric Theory.
• Public expenditure and economic growth: A disaggregated analysis (with Niloy Bose and Emran Haque ), Manchester School, vol. 75, pp.533-556.
• The international business cycle in a changing world: Volatility and the propagation of shocks in the G-7 (with Pedro J. Perez and Michael Artis), Open Economies Review, vol. 17, 2006, pp.255-279.
• Nonlinearity in the Fed’s monetary policy rule (with Dong Heon Kim and Marianne Sensier). Journal of Applied Econometrics, vol. 20, 2005, pp.621-639.

Research Students

Robert Anderson (inflation expectations)

Dilem Yildirim (nonlinearity and unit roots)

Robert O'Neill (financial econometrics)

Jahyun Koo (monetary policy)

Arshad Bhatti (economic growth)