Working Papers
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European firms, Panic Borrowing and Credit Lines Drawdowns: What did we learn from the COVID-19 Shock? by Mario Cerrato, Hormoz Ramian and Shengfeng Mei, June 2023
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Default Risk and the Cross-Section of UK Insurance Firms’ Returns , by Mario Cerrato, Paolo Coccorese and Xuan Zhang, June 2022
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“No Good Deal-No Bad Models”, by Boyarchecko, N., Cerrato, M., J., Crosby and S., Hodges, Federal Reserve Bank of New York, Staff Report.
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Cerrato, M., ,C., de Perretti, R., Larsson, N., Sarantis, “A Non-Linear Panel Unit Root Test Under Cross Section Dependence”, University of Glasgow Business School, working papers.
Publications
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Foreign exchange order flow as a risk factor (2024), by Craig Burnside, Mario Cerrato and Zhekai Zhang, The Journal of Financial and Quantitative Analysis, conditionally accepted
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Li, D., Zhang, Z. and Cerrato, M. (2023) Factor investing and currency portfolio management. International Review of Financial Analysis, 87, 102626. (doi: 10.1016/j.irfa.2023.102626)
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Bakshi, G., Cerrato, M. and Crosby, J. (2018) Implications of incomplete markets for international economies. Review of Financial Studies, 31(10), pp. 4017-4062. (doi: 10.1093/rfs/hhx120)
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Caporale, G. M., Cerrato, M. and Zhang, X. (2017) Analysing the determinants of insolvency risk for general insurance firms in the UK. Journal of Banking and Finance, 84, pp. 107-122. (doi: 10.1016/j.jbankfin.2017.07.011)
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Cerrato, M. , Crosby, J., Kim, M. and Zhao, Y. (2017) The joint credit risk of UK global-systemically important banks. Journal of Futures Markets, 37(10), pp. 964-988. (doi: 10.1002/fut.21855)
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Cerrato, M. , Crosby, J., Kim, M. and Zhao, Y. (2017) Relation between higher order comoments and dependence structure of equity portfolio. Journal of Empirical Finance, 40, pp. 101-120. (doi: 10.1016/j.jempfin.2016.11.007)
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Cerrato, M. , Kim, H. and MacDonald, R. (2015) Microstructure order flow: statistical and economic evaluation of nonlinear forecasts. Journal of International Financial Markets, Institutions and Money, 39, pp. 40-52. (doi: 10.1016/j.intfin.2015.05.010)
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Cerrato, M. , Kalyoncu, H., Hassan Naqvi, N. and Tsoukis, C. (2015) Current accounts in the long run and the intertemporal approach: a panel data investigation. World Economy, 38(2), pp. 340-359. (doi: 10.1111/twec.12152)
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Cerrato, M. , Kim, H. and MacDonald, R. (2013) Equilibrium exchange rate determination and multiple structural changes. Journal of Empirical Finance, 22, pp. 52-66. (doi: 10.1016/j.jempfin.2013.03.001)
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Cerrato, M. , Kim, H. and MacDonald, R. (2013) Nominal interest rates and stationarity. Review of Quantitative Finance and Accounting, 40(4), pp. 741-745. (doi: 10.1007/s11156-012-0296-x)
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Kadow, A., Cerrato, M. , MacDonald, R. and Straetmans, S. (2013) Does the euro dominate Central and Eastern European money markets? Journal of International Money and Finance, 32, pp. 700-718. (doi: 10.1016/j.jimonfin.2012.06.004)
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Cerrato, M. , De Peretti, C. and Stewart, C. (2013) Is the consumption-income ratio stationary? Evidence from linear and non-linear panel unit root tests for OECD and non-OECD countries. Manchester School, 81(1), pp. 102-120. (doi: 10.1111/j.1467-9957.2011.02272.x)
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Cerrato, M. , Sarantis, N. and Saunders, A. (2011) An investigation of customer order flow in the foreign exchange market. Journal of Banking and Finance, 35(8), pp. 1892-1906. (doi: 10.1016/j.jbankfin.2010.12.003)
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Cerrato, M. , Kim, H. and MacDonald, R. (2010) Three-regime asymmetric STAR modeling and exchange rate reversion. Journal of Money, Credit and Banking, 42(7), pp. 1447-1467. (doi: 10.1111/j.1538-4616.2010.00349.x)
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Caporale, G.M. and Cerrato, M. (2010) Using Chebyshev polynomials to approximate partial differential equations. Computational Economics, 35(3), pp. 235-244. (doi: 10.1007/s10614-009-9172-8)
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Caporale, G.M. and Cerrato, M. (2008) Black market and official exchange rates: long-run equilibrium and short-run dynamics. Review of International Economics, 16(3), pp. 401-412. (doi: 10.1111/j.1467-9396.2007.00709.x)
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Cerrato, M. , Kellard, N. and Sarantis, N. (2008) The purchasing power parity persistence paradigm: evidence from black currency market. Manchester School, 76(4), pp. 405-423.
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Cerrato, M. and Sarantis, N. (2008) Symmetry, proportionality and the purchasing power parity: evidence from panel cointegration tests. International Review of Economics and Finance, 17(1), pp. 56-65. (doi: 10.1016/j.iref.2006.03.001)
Book Sections
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de Peretti, C., Siani, C. and Cerrato, M. (2009) An artificial neural network based heterogeneous panel unit root test in case of cross sectional independence. In: 2009 International Joint Conference on Neural Networks. IEEE, pp. 2487-2493. ISBN 9781424435487 (doi: 10.1109/IJCNN.2009.5178885)
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Cerrato, M. and Spagnolo, G. (2005) No Euro please, we're British! In: Barber, S. (ed.) The City in Europe and the World. European Research Forum at London Metropolitan University: London, UK. ISBN 9780954744816
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Cerrato, M. and Sarantis, N. (2003) Structural break and unit roots in black market real exchange. In: Lardic, S. and Mignon, V. (eds.) Recent Developments on Exchange Rates. Series: Applied Econometrics Association series. Palgrave Macmillan: Basingstoke, UK. ISBN 9781403934871