faculty_agbeyegbeProfessor • Member of the Doctoral Faculty at CUNY’s Graduate Center

Ph.D. Economics, University of Essex, 1983
Fields: Econometrics
Office: HW 1504a
Phone: (212) 772-5405
Fax: 212-772-5398
Email: tagbeyeg@hunter.cuny.edu
Web Page: www.cobeco.net/tagbeyeg/index.cfm


Professor Agbeyegbe joined the economics department in 1989 after spending six years on the faculty at Rutgers University. He is also Research Associate with the Caribbean Center for Monetary Studies, University of the West Indies, and he has held advisory and consulting positions with international agencies, such as the United Nations (UNDP, UNECA) and the International Monetary Fund (IMF). Professor Agbeyegbe has also served as Executive Editor of the Journal of Asian Economics, Associate Editor of Evaluation Review, Associate Editor of the Journal of African Finance and Economic Development (now the Journal of African Development), and Associate Editor of New Economic Papers-Caribbean. He attended the Global Research Forum on International Macroeconomics and Finance, November 17-18, 2016. The conference is co-organized by the European Central Bank, Federal Reserve Board, and Federal Reserve Bank of New York.

Professor Agbeyegbe’s main research interest is in time series econometrics with emphasis in natural resource, commodity and financial markets. He regularly teaches undergraduate and graduate courses in development economics, macroeconomics, and econometrics.


Estimation of Threshold Time Series Models Using Efficient Jump MCMC
(with Elena Goldman )
In Bayesian Statistics and its Application, edited by S.K. Upadhyay, U. Singh, and Dipak Dey
forthcoming 2005

Real Exchange Rate Volatility and the Choice of Regimes in Emerging Markets
(with P. Osakwe)
Journal of Asian Economics, 2005

The Stochastic Nature of Inflation: Three Caribbean Examples
In Problems and Challenges in Modelling and Forecasting Caribbean Economies, edited by G. Leon, S. Nichols, and P. Watson

Some Stylized Facts about the Jamaica Stock Market
Social Economic Studies, 1994

The Stochastic Behavior of Mineral-Commodity Prices
In Models, Methods, and Applications of Econometrics, edited by P.C.B. Phillips
Basil Blackwell, 1993

A Note on Deriving the Discrete Spectral of Some Continuous-Time Processes
Statistical Papers, 1992

An Exact Discrete Analog of an Open Linear Non-Stationary First-Order Continuous-Time System with Mixed Sample
Journal of Econometrics, 1988

An Exact Discrete Analog to a Continuous-Time System with Mixed-Sample
Econometric Theory, 1987

The Exact Discrete Analog to a Continuous-Time Model with Mixed-Order System
Journal of Economic Dynamics and Control, 1984

Econometric Modelling of Issues in Caribbean Economics and Finance: Technical Papers Series. Vols. 3 and 4.
(edited with Sang Kim)
University of the West Indies Press, 1998

Working Papers

Non-Linearity in Interest Rate Data: Estimation of a Threshold-CKLS Model with ARMA_GARCH Error
(with E. Goldman), 2004 under revision

Trade Liberalization and Tax Revenue Relationship in Sub-Saharan
(with J. Stotsky and A. WoldenMariam), 2004

On the Feasibility of a Monetary Union in the Southern Africa Development Community

The Effect of Overlapping Membership in Regional Integration Arrangement in Sub-Saharan Africa
(with F. Fiore), 2002

The Tail Behavior of Stock Index Return on the Jamaican Stock Exchange

Mean Reversion and the Volatility of Interest Rates: A Monte Carlo Study Based on Different Sampling Frequencies
(with T. Tanarugsachock), 2002

A Median Unbiased Estimator for Time Series Models
(with J. Cabrera), 2000

A Panel Model for Predicting Recessions in G7 Countries
(with P. Osakwe), 2000

Silver Inflation and Agricultural Prices: Were the Silverites Right?

RePEc Page