Banerjee Anurag Anurag Banerjee
PhD., Tilburg University, UK
Associate professor
  • Biography
  • Publications
  • Research
  • Teaching
  • Contact

Anurag Banerjee is on leave from Durham University, UK. He has a PhD from Tilburg University. He is a theoretical econometrician working on sensitivity analysis of econometric models, semi-parametric methods and explosive time-series methods.   He also has an active applied interest in empirical asset pricing, corporate finance, financial education, and economic/social development. He also works on application of economic theory.  Most of his applied work concentrates on the evaluation of unintended consequences of strategies/policies. Most of his work concentrates on the evaluation of unintended consequences of strategies/policies. Occasionally he has collaborated with medical researchers as well.  He has an active interest in teaching quantitative modules.

Anurag is an affiliated Member of the Centre de Recherche Econo-financière et Actuarielle sur le Risque, ESSEC, Paris a member of Centre for Banking, Institutions and Development (CBID), Durham Business School.

Changing The Indian Economy: Renewal, Reform, And Revival, (edited with Rama Kanungo, Chris Rowley), (commissioned by Elsevier , 2017)

Journal Articles

The sensitivity of OLS when Variance matrix is (partially) unknown, (with J.R..Magnus) Journal of Econometrics, 92, 295-323, 1999.

On the Sensitivity of the usual t and F-tests to AR(1) misspecification, (with J.R. Magnus) Journal of Econometrics, (95)1 157-176, 2000 .

The political economy of public research investment and commodity policies in agriculture: an empirical study, (with Johan F.M. Swinnen, Harry de Gorter, Gordon C. Rausser) Agricultural Economics 22(2), 111-122, 2000.

Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th century, (with Johan F.M. Swinnen and Harry de Gorter) Agricultural Economics 26(1), 25-43, 2001

Sensitivity of Univariate AR(1) Time-series Forecasts near the Unit Root, Journal of Forecasting, 20(3), 203-229, 2001.

A Re-examination of Excess Sensitivity Puzzle when Consumers Forecast the Income Process, (with P.Basu) Journal of Forecasting, 20(5), 357-366, 2001.

Does A Sudden Death Liven Up The Game? Rules, Incentives, and Strategy in Football, (with Johan F.M. Swinnen), Economic Theory, 23(2), 2004.

A method of estimating the Average Derivative,  Journal of Econometrics, 136(1),  65-88, 2007

The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions (with Alan T.K. Wan and Guohua Zou), Economics Letters. 94(2), 213-219, 2007.

Skating on Thin Ice: Rule Changes and Team Strategies in the NHL, (with Johan F.M. Swinnen and Alfons Weersink) Canadian Journal of Economics,  40(2), 493-514, 2007 

The Value of Past Stock Return Information in the Formation of the Momentum Strategies  (with Daniel Hung), Journal of Banking and Finance, 35(11),  2011

Discrimination of short and long memory in small samples using sensitivity analysis: An application to growth convergence, Bulletin of Economic Research, 64 168–192, 2012

Active Momentum Trading versus Passive “1/N Naive Diversification (with Daniel Hung), Quantitative Finance, 13(5),  655-663, 2013

Sensitivity of  Detrended Long-Memory Processes,  Communications in Statistics – Theory and Methods, 42(20),  2013.

Is India Shining? (with Nilanjan Banik)  Review of Development Economics, 18(1),  59-72, 2014.

Functional Coefficient Models for Dependent Data: Piecewise Local Linear Estimation and Inference (with Jean-Yves Pitarakis), Studies in Nonlinear Dynamics & Econometrics 18 (5), 507-520 2014

How do momentum strategies `score’ against individual investors in Taiwan, Hong Kong and Korea? (with Daniel Hung) Emerging Markets Review 21, 67-81, 2014.

The Dynamics of Income Growth and Poverty: Evidence from Districts in India (with Nilanjan Banik, and Jyoti Prasad Mukhopadhyay), Development Policy Review 33 (3), 293-312, 2015.

An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis (with Daniel Hung and Lisa Lo) Journal of International Financial Markets, Institutions & Money, 41, 102–120 2016

Corporate financing and anticipated credit rating changes, (with Daniel Hung, Qingrui Meng), Review of Quantitative Finance and Accounting, 2016.

Demand for household sanitation in India using NFHS-3 data(with Nilanjan Banik and Ashvika Dalmia) (Forthcoming,  Special issue of Empirical Economics in honor of Kajal Lahiri.  edited by Prof  Badi Baltagi), 2017

Estimating Average Derivative with Integrated Regressors  (Revise and resubmit Journal of Time Series Econometrics)

Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model: An application to U.S. housing prices (with Guillaume Chevillon and Marie Kratz, ESSEC Business School) Presented at the NBER Summer Institute  2014.

(Re-submission Quantitative Economics)

The Endgame (with Gulio Seccia & Sarit Markovitch)  (Revise and resubmit Games and Economic Behavior)

Policy and Interdisciplinary Research Papers

The Rich Keep Getting Richer in country-India! Says Who? Asia-Pacific Research and Training Network on Trade Working Paper No. 105, United Nations ESCAP, September 2011. (with Nilanjan Banik)

Demand for Household Sanitation: The case of India”, ARTNeT Working Paper No. 154, United Nations ESCAP, January 26, 2016. (with Nilanjan Banik, & Ashvika Dalmia)

Analysis of hydrodilatation as part of a combined service for the stiff shoulder,  (with R. Sinha et. al.)  Shoulder and Elbow,  Vol 9, Issue 3, 2017

Working Papers

Financial Inclusion and Awareness the role of Financial Literacy (Dennis Phillip and X Yue)

A Parsimonious Asset Pricing Model with Exchange Traded Funds (with Daniel Hung and Junqi Li)

Dividend Policy and Managerial Overreaction to Trends in Profitability Growth and Decline (with Daniel Hung and  Xiehua Ji) (submitted to Journal of Financial Economics)

Business Cost and Skill Acquisition (with Parantap Basu & Elisa Keller)


Sensitivity of forecasts, estimates and inferences of Linear Models, Thesis Publishers, Amsterdam, 1997, ISBN 90-5668-031-5.

Econometric Theory : Sensitivity analysis of econometric models and semi-parametric econometrics

Applied Economics/ Econometrics: Evaluation of unintended consequences of strategies/policies in agriculture, sports, finance and development.   


Quantitative Methods

Financial Econometrics

Managerial Economics

Advanced Financial Econometrics

Nazarbayev University Graduate School of Business

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Office: +7 (7172) 70 63 80


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