Access Statistics for Michael R. Wickens

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
: A Risk Management Approach to Optimal Asset Allocation 0 0 0 884 0 0 2 1,965
A Cross Section of Equity Returns: The No-Arbitrage Test 0 0 0 20 1 2 3 204
A DSGE model of banks and financial intermediation with default risk 0 0 0 568 0 0 1 804
A Monte Carlo procedure for checking identification in DSGE models 0 0 1 103 0 0 4 180
A Monte Carlo procedure for checking identification in DSGE models 0 0 0 63 0 0 2 79
A Risk Management Approach to Optimal Asset Allocation 0 0 4 375 1 4 22 1,072
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors 0 0 0 224 0 0 1 1,023
An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate 0 0 1 121 0 0 1 742
Asset Pricing with Observable Stochastic Discount Factors 0 1 2 2,008 1 5 15 7,435
Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium 0 0 0 150 0 0 0 608
Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results 0 0 0 30 0 0 2 64
Comparing different data descriptors in Indirect Inference tests on DSGE models 0 0 0 100 0 0 1 92
Consumption, Size and Book-to-Market Ratio in Equity Returns 0 0 0 33 0 0 1 298
Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen 0 0 1 79 0 0 1 329
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 0 0 0 346 0 0 1 982
Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis 0 0 0 500 0 0 2 1,240
Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models 1 3 8 342 1 6 13 895
EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT 0 0 0 0 0 0 0 282
Estimating macro models and the potentially misleading nature of Bayesian estimation 0 0 2 49 0 0 5 43
Exchange Rate Determination with Bank-Financed Investment 0 0 0 36 0 0 0 212
Forecasting Inflation from the Term Structure 0 0 0 0 0 0 3 446
Global Asset Allocation with Time-varying Risk 0 0 0 328 0 0 0 935
How Useful are DSGE Macroeconomic Models for Forecasting? 0 0 0 210 0 0 0 349
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 1 520 0 0 3 339
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 0 57 0 0 2 72
How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference 0 0 1 66 0 0 2 262
How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference 0 1 2 166 0 1 3 363
How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 0 113 0 0 2 168
Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 121 0 0 2 583
International CAPM: Why Has it Failed? 0 0 1 1,183 2 2 6 3,796
Is the Euro Sustainable? 1 3 4 165 4 12 16 398
Is the Euro Sustainable? 0 0 2 215 0 0 5 630
Is the UK triple-A? 0 0 0 50 0 0 1 149
Macroeconomic Influences on Optimal Asset Allocation 0 0 1 456 2 3 6 1,117
Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market 0 0 0 0 0 0 1 378
Macroeconomic Sources of Equity Risk 0 0 0 601 0 0 0 2,250
Macroeconomic Sources of FOREX Risk 0 0 1 482 0 0 5 1,474
Macroeconomic Sources of Risk in the Term Structure 0 0 0 135 0 0 0 384
Macroeconomic Sources of Risk in the Term Structure 0 0 0 101 0 0 0 264
Measuring Fiscal Sustainability 0 1 5 116 0 3 8 303
Measuring Fiscal Sustainability 0 0 5 1,500 0 3 14 3,420
Measuring the Fiscal Stance 0 0 2 661 1 3 10 2,438
Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems 0 0 0 0 0 0 0 171
Microeconomic Sources of Equity Risk 0 0 0 134 0 0 0 589
Modelling the U.S. sovereign credit rating 0 0 0 48 0 1 1 129
National Insolvency: A Test of the US Intertemporal Budget Constraint 0 0 1 113 0 0 1 550
Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency 0 0 0 50 0 0 1 170
Optimal International Asset Allocation and Home Bias 1 1 4 783 1 1 6 2,208
Optimal Monetary Policy using a VAR 0 0 1 180 0 0 11 452
Rational Expectations and Exchange Rate Dynamics 0 1 4 812 0 1 6 2,925
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 0 164
Revisiting the Great Moderation: policy or luck? 0 0 0 81 0 0 1 177
Small sample performance of indirect inference on DSGE models 0 0 0 74 0 1 3 123
Some Problems in the Testing of DSGE Models 0 0 0 38 0 0 0 132
Some problems in the testing of DSGE models 0 0 0 121 0 0 1 180
Sovereign credit ratings in the European Union: a model-based fiscal analysis 0 0 0 112 0 0 1 174
THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY 0 0 0 171 0 0 4 484
Testing DSGE Models by indirect inference: a survey of recent findings 0 0 2 91 0 0 4 154
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 1 1 140 1 6 10 318
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 1 44 0 0 2 118
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 22 0 0 2 95
Testing a DSGE model of the EU using indirect inference 0 0 0 87 0 0 0 190
Testing macro models by indirect inference: a survey for users 0 0 2 79 0 0 3 130
Testing macroeconomic models by indirect inference on unfiltered data 0 0 2 110 0 0 4 214
Testing macroeconomic models by indirect inference on unfiltered data 0 0 0 41 0 0 1 110
Testing part of a DSGE model by Indirect Inference 0 0 1 123 0 0 2 136
The 'Puzzles' Methodology: en route to Indirect Inference? 0 0 0 35 0 0 1 115
The 'Puzzles' methodology: en route to Indirect Inference? 0 0 0 72 0 0 1 181
The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04) 0 0 0 132 0 1 1 389
The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility 0 0 0 164 0 0 0 549
The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks 0 0 0 135 0 0 0 369
The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods 0 0 0 67 0 0 1 221
The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? 0 0 1 306 0 1 3 924
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 1 1 1 272
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 0 0 81
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 1 2 329
The asymmetric effect of the business cycle on the relation between stock market returns and their volatility 0 0 1 72 0 0 2 220
The eurozone: what is to be done? 0 1 2 56 0 2 8 83
The small sample properties of Indirect Inference in testing and estimating DSGE models 0 0 2 67 0 0 3 99
The ‘Puzzles’ Methodology: En Route to Indirect Inference? 0 0 0 79 0 0 1 331
Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 0 116 0 0 1 276
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 0 40 0 0 2 121
Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985 0 0 1 70 0 0 1 506
What do the Fama-French Factors Add to C-CAPM? 0 0 1 58 0 0 1 266
What do the Fama-French factors add to CCAPM? 0 0 1 98 0 0 2 288
What is the truth about DSGE models? Testing by indirect inference 0 0 1 102 0 0 3 171
What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds 0 0 0 207 0 0 2 671
What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds 0 0 0 240 0 0 0 904
Why crises happen - nonstationary macroeconomics 0 0 0 242 0 0 2 372
Why crises happen - nonstationary macroeconomics 0 0 0 33 0 1 2 136
Total Working Papers 3 13 73 19,122 16 61 270 57,034


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparative Study of Modelling the Demand for Food in the United States and the Netherlands: Comments 0 0 0 6 0 0 0 83
A Note on the Use of Proxy Variables 0 0 2 392 0 0 4 1,356
A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests 0 0 0 81 0 0 0 271
A Survey of Some Recent Econometric Methods 1 2 6 229 3 5 13 480
A model-based indicator of the fiscal stance 0 1 4 141 0 1 7 444
A simple derivation of the limited information maximum likelihood estimator 0 0 0 122 0 0 0 237
An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate 0 0 1 100 0 0 2 254
Assessing the fiscal stance in the European Union and the United States, 1970–2011 0 1 4 101 0 1 8 241
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis 0 1 2 183 0 3 5 420
Dynamic Specification, the Long-run and the Estimation of Transformed 0 0 0 0 0 2 5 163
Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ 0 0 0 13 0 0 1 65
Estimating shocks and impulse response functions 0 0 1 1,938 1 1 2 4,489
Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 0 0 1 119 2 2 3 311
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 3 621
Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 121 0 0 0 361
Forecasting inflation from the term structure 0 0 1 86 0 1 5 220
How Useful are DSGE Macroeconomic Models for Forecasting? 1 1 4 76 1 3 8 238
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference 0 0 5 73 2 2 10 223
How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 0 34 0 0 0 128
Interpreting cointegrating vectors and common stochastic trends 1 1 8 251 1 2 9 513
Is the Euro the Success that Everyone Seems to Think? 0 0 0 29 0 0 1 86
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? 0 0 1 268 0 0 4 923
Macroeconomic Sources of Risk in the Term Structure 0 0 0 58 0 0 2 196
Macroeconomic influences on optimal asset allocation 0 0 0 134 0 0 0 310
Measuring Convergence of the EC Economies 0 0 0 0 2 3 17 938
Measuring Economic Convergence 0 0 0 338 0 0 1 670
Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems 0 0 0 1 0 0 0 148
Modelling the U.S. sovereign credit rating 0 0 0 20 0 1 2 90
OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME‐VARYING RISK 0 0 0 78 0 1 3 198
Optimal monetary policy using an unrestricted VAR 0 0 1 54 0 0 4 113
Papers in Honor of Patrick Minford 0 0 1 30 0 0 1 114
Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics 0 0 0 72 0 0 3 159
Some Unpleasant Consequences of EMU 0 0 0 85 0 0 0 187
Stochastic Life Cycle Theory with Varying Interest Rates and Prices 0 0 0 41 0 0 0 139
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 43 0 0 1 126
The 'Puzzles' methodology: En route to Indirect Inference? 0 0 0 37 0 0 3 122
The Bank of England's Monetary Policy Committee 0 0 0 13 0 0 0 46
The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors 0 0 0 57 0 0 2 236
The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments 0 0 0 16 0 0 0 71
The Econometrics of Agricultural Supply: An Application to the World Coffee Market 0 0 0 166 0 0 0 406
The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 0 0 1 100 0 0 2 223
The equity premium and the business cycle: the role of demand and supply shocks 0 0 0 62 0 0 0 161
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 0 0 79
The sustainability of current account deficits: A test of the US intertemporal budget constraint 0 1 2 330 0 1 3 693
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference 0 0 1 25 0 0 3 94
Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? 0 0 1 15 0 0 1 46
What do the Fama–French factors add to C-CAPM? 0 0 0 43 0 2 4 184
What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 0 0 1 105 0 1 3 256
Total Journal Articles 3 8 48 6,319 12 32 145 18,132


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asset Pricing and Macroeconomics, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 4 357 2 6 15 816
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 0 3 224 2 3 35 1,026
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 3 404 0 2 8 1,533
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 0 1 319 1 1 5 1,302
Total Chapters 0 2 11 1,304 5 12 63 4,677


Statistics updated 2024-05-04