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 3 8 879 0 6 12 1,930
A Cross Section of Equity Returns: The No-Arbitrage Test 0 0 2 16 0 1 10 134
A DSGE model of banks and financial intermediation with default risk 1 3 15 533 2 7 36 715
A Monte Carlo procedure for checking identification in DSGE models 0 0 7 93 1 2 14 145
A Monte Carlo procedure for checking identification in DSGE models 0 0 0 62 0 1 3 59
A Risk Management Approach to Optimal Asset Allocation 0 2 7 355 0 6 14 978
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors 0 0 0 219 0 3 14 982
An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate 0 4 4 115 0 6 7 719
Asset Pricing with Observable Stochastic Discount Factors 0 1 10 1,897 1 4 21 6,817
Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium 0 0 0 150 0 0 1 600
Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results 0 0 2 27 1 2 8 43
Comparing different data descriptors in Indirect Inference tests on DSGE models 0 42 42 42 2 22 22 22
Comparing different data descriptors in Indirect Inference tests on DSGE models 2 2 8 91 3 6 19 64
Consumption, Size and Book-to-Market Ratio in Equity Returns 0 0 2 24 0 2 20 180
Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen 0 0 0 76 0 1 6 308
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 0 0 7 336 1 3 16 910
Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis 0 1 5 493 3 6 21 1,179
Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models 2 7 16 301 2 10 28 810
EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT 0 0 0 0 0 0 1 273
Exchange Rate Determination with Bank-Financed Investment 0 0 0 35 0 0 2 204
Forecasting Inflation from the Term Structure 0 0 0 0 1 4 5 428
Global Asset Allocation with Time-varying Risk 0 0 2 324 0 3 10 915
How Useful are DSGE Macroeconomic Models for Forecasting? 1 4 8 196 2 8 22 307
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 2 9 506 1 10 30 250
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 0 54 0 2 2 35
How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference 0 0 0 58 0 1 6 231
How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference 0 1 7 144 2 4 15 307
How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings 2 3 6 108 3 4 11 137
Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 117 1 1 1 559
International CAPM: Why Has it Failed? 0 4 10 1,153 0 6 22 3,693
Is the Euro Sustainable? 0 0 3 155 1 1 6 335
Is the Euro Sustainable? 1 2 4 202 2 6 16 587
Is the UK triple-A? 0 1 6 48 1 3 21 120
Macroeconomic Influences on Optimal Asset Allocation 0 1 3 437 1 3 11 1,017
Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market 0 0 0 0 0 1 2 350
Macroeconomic Sources of Equity Risk 1 3 4 590 4 13 27 2,153
Macroeconomic Sources of FOREX Risk 1 2 5 463 2 6 27 1,403
Macroeconomic Sources of Risk in the Term Structure 0 0 1 101 1 1 5 249
Macroeconomic Sources of Risk in the Term Structure 0 0 3 132 1 1 5 360
Measuring Fiscal Sustainability 0 2 11 1,482 2 5 27 3,348
Measuring Fiscal Sustainability 0 0 5 106 0 0 11 271
Measuring the Fiscal Stance 3 7 38 605 27 47 184 2,135
Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems 0 0 0 0 0 0 0 153
Microeconomic Sources of Equity Risk 0 0 0 133 0 0 5 569
Modelling the U.S. sovereign credit rating 0 0 5 45 2 2 11 108
National Insolvency: A Test of the US Intertemporal Budget Constraint 0 0 0 110 0 0 2 521
Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency 0 0 0 48 0 0 0 162
Optimal International Asset Allocation and Home Bias 1 2 5 764 1 5 14 2,135
Optimal Monetary Policy using a VAR 1 2 4 170 1 2 5 366
Rational Expectations and Exchange Rate Dynamics 1 1 4 787 2 2 12 2,844
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 1 163
Revisiting the Great Moderation: policy or luck? 0 0 2 76 1 1 9 147
Small sample performance of indirect inference on DSGE models 0 0 4 69 1 3 10 93
Some Problems in the Testing of DSGE Models 0 0 0 38 0 1 4 117
Some problems in the testing of DSGE models 0 0 2 121 1 2 4 156
Sovereign credit ratings in the European Union: a model-based fiscal analysis 1 2 7 106 3 7 28 133
THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY 0 0 2 169 2 2 7 468
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 3 130 1 4 8 279
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 1 42 0 1 4 104
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 21 0 1 5 72
Testing a DSGE model of the EU using indirect inference 0 0 1 85 0 0 2 171
Testing macro models by indirect inference: a survey for users 1 2 7 56 2 6 19 74
Testing macroeconomic models by indirect inference on unfiltered data 0 0 1 94 1 2 9 168
Testing macroeconomic models by indirect inference on unfiltered data 0 0 0 38 0 1 4 93
Testing part of a DSGE model by Indirect Inference 2 4 17 107 6 15 44 71
The 'Puzzles' Methodology: en route to Indirect Inference? 0 0 0 34 0 1 3 99
The 'Puzzles' methodology: en route to Indirect Inference? 0 0 0 68 1 2 2 158
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 0 129 0 3 11 365
The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility 0 0 0 163 0 1 3 525
The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks 0 0 2 132 0 1 13 341
The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods 0 0 0 62 0 0 0 199
The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? 0 0 2 292 1 8 17 845
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 0 2 261
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 1 1 54
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 1 2 3 315
The asymmetric effect of the business cycle on the relation between stock market returns and their volatility 0 0 0 69 4 5 7 205
The ‘Puzzles’ Methodology: En Route to Indirect Inference? 0 0 1 78 1 3 10 299
Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 1 2 106 1 3 5 242
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 2 38 0 1 3 100
Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985 0 0 3 65 0 0 3 458
What do the Fama-French Factors Add to C-CAPM? 0 0 6 50 2 5 23 221
What do the Fama-French factors add to CCAPM? 0 0 4 91 0 0 18 231
What is the truth about DSGE models? Testing by indirect inference 1 2 24 85 8 14 46 98
What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds 0 1 1 206 0 1 2 654
What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds 0 1 2 237 0 1 4 883
Why crises happen - nonstationary macroeconomics 0 0 0 30 1 1 2 110
Why crises happen - nonstationary macroeconomics 0 0 4 230 3 4 14 324
Total Working Papers 22 115 378 18,099 115 332 1,140 52,416


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 1 2 79
A Note on the Use of Proxy Variables 2 2 14 361 2 3 20 1,269
A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests 0 0 2 80 0 1 4 260
A Survey of Some Recent Econometric Methods 0 0 7 191 1 4 22 380
A model-based indicator of the fiscal stance 0 2 16 103 2 5 33 346
A simple derivation of the limited information maximum likelihood estimator 0 0 4 99 0 0 4 196
An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate 0 2 5 90 0 2 5 218
Assessing the fiscal stance in the European Union and the United States, 1970–2011 0 0 4 86 1 4 13 193
Asset Pricing with Observable Stochastic Discount Factors 0 1 1 151 1 2 4 388
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 1 1 5 165 3 4 9 361
Dynamic Specification, the Long-run and the Estimation of Transformed 0 0 0 0 0 1 2 137
Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ 0 0 0 12 1 3 5 52
Estimating shocks and impulse response functions 0 0 5 1,928 1 1 11 4,454
Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 0 0 0 117 1 1 1 291
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 1 4 589
Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 118 0 0 1 341
Forecasting inflation from the term structure 1 2 3 82 1 4 5 192
How Useful are DSGE Macroeconomic Models for Forecasting? 0 1 5 52 0 6 18 148
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference 0 2 6 48 0 6 16 145
How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 5 28 2 4 21 87
Interpreting cointegrating vectors and common stochastic trends 1 1 7 227 2 4 12 454
Is the Euro the Success that Everyone Seems to Think? 0 0 3 26 0 0 3 66
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? 0 1 5 259 0 3 16 883
Macroeconomic Sources of Risk in the Term Structure 0 0 0 57 1 2 4 180
Macroeconomic influences on optimal asset allocation 1 1 3 125 2 3 7 276
Measuring Convergence of the EC Economies 0 0 0 0 1 2 8 796
Measuring Economic Convergence 0 3 8 327 1 6 16 620
Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems 0 0 0 1 0 0 1 126
Modelling the U.S. sovereign credit rating 0 0 3 15 1 2 12 57
OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME-VARYING RISK 0 0 0 77 0 1 1 184
Optimal monetary policy using an unrestricted VAR 0 1 5 39 0 1 9 79
Papers in Honor of Patrick Minford 1 1 4 21 2 6 13 50
Productivity, Factor Transfers and Economic Growth in the UK 0 0 0 16 0 0 0 117
Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics 0 1 2 67 1 3 7 139
Some Unpleasant Consequences of EMU 0 0 0 77 0 1 2 168
Stochastic Life Cycle Theory with Varying Interest Rates and Prices 0 0 0 38 0 1 1 132
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 42 0 0 0 108
The 'Puzzles' methodology: En route to Indirect Inference? 0 0 2 34 0 3 8 102
The Bank of England's Monetary Policy Committee 0 0 0 11 0 0 1 28
The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors 0 0 1 55 0 0 2 224
The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments 0 0 0 16 1 1 1 65
The Econometrics of Agricultural Supply: An Application to the World Coffee Market 0 1 2 156 1 3 7 377
The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 0 0 4 78 0 0 11 163
The equity premium and the business cycle: the role of demand and supply shocks 0 0 2 54 0 0 5 138
The persistence in volatility of the US term premium 1970-1986 0 0 1 33 0 0 3 73
The sustainability of current account deficits: A test of the US intertemporal budget constraint 2 2 8 293 3 4 11 624
Towards a Theory of the Labour Market 0 0 0 6 0 0 2 41
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference 0 0 1 18 0 1 2 58
Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? 0 0 0 12 0 1 4 36
What do the Fama–French factors add to C-CAPM? 0 0 0 40 0 0 11 160
What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 0 1 3 90 0 1 6 217
Total Journal Articles 9 26 146 6,027 32 102 386 16,867


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 2 13 320 0 2 39 694
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 4 5 8 150 36 43 54 497
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 22 362 1 5 56 1,322
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 2 13 277 5 8 37 1,039
Total Chapters 5 10 56 1,109 42 58 186 3,552


Statistics updated 2018-06-06