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 3 883 1 2 12 1,949
A Cross Section of Equity Returns: The No-Arbitrage Test 0 0 0 17 2 2 20 167
A DSGE model of banks and financial intermediation with default risk 0 0 11 557 3 6 31 771
A Monte Carlo procedure for checking identification in DSGE models 0 0 2 101 1 1 9 167
A Monte Carlo procedure for checking identification in DSGE models 0 0 1 63 1 2 9 75
A Risk Management Approach to Optimal Asset Allocation 1 1 4 366 1 2 12 1,001
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors 0 0 1 222 1 3 18 1,007
An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate 0 0 0 118 1 1 5 728
Asset Pricing with Observable Stochastic Discount Factors 4 25 62 1,967 34 129 362 7,219
Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium 0 0 0 150 0 0 2 604
Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results 0 0 1 28 0 1 6 53
Comparing different data descriptors in Indirect Inference tests on DSGE models 0 0 2 97 2 2 12 83
Consumption, Size and Book-to-Market Ratio in Equity Returns 0 0 2 30 7 11 46 273
Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen 0 0 0 78 2 2 2 320
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 0 0 3 341 1 4 27 953
Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis 0 0 2 496 1 2 15 1,215
Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models 0 1 5 322 0 7 18 855
EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT 0 0 0 0 0 0 1 276
Exchange Rate Determination with Bank-Financed Investment 0 0 0 36 1 1 4 210
Forecasting Inflation from the Term Structure 0 0 0 0 1 1 6 437
Global Asset Allocation with Time-varying Risk 0 0 1 328 0 1 6 925
How Useful are DSGE Macroeconomic Models for Forecasting? 0 0 5 208 3 3 14 334
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 2 515 1 2 23 297
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 1 2 57 0 1 8 50
How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference 0 0 1 61 0 0 7 244
How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference 0 1 2 155 1 3 10 331
How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 2 113 3 3 9 157
Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework 0 0 1 119 1 1 6 571
International CAPM: Why Has it Failed? 0 1 6 1,167 4 6 24 3,740
Is the Euro Sustainable? 0 0 8 211 0 0 15 610
Is the Euro Sustainable? 0 0 1 157 0 1 14 354
Is the UK triple-A? 1 1 1 50 2 4 9 141
Macroeconomic Influences on Optimal Asset Allocation 0 1 4 449 1 3 34 1,086
Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market 0 0 0 0 1 1 11 374
Macroeconomic Sources of Equity Risk 0 1 5 599 1 5 29 2,227
Macroeconomic Sources of FOREX Risk 0 1 4 473 3 4 19 1,442
Macroeconomic Sources of Risk in the Term Structure 0 0 0 101 0 0 6 263
Macroeconomic Sources of Risk in the Term Structure 0 1 2 134 0 1 10 376
Measuring Fiscal Sustainability 0 0 0 110 2 2 9 288
Measuring Fiscal Sustainability 0 1 7 1,493 0 2 20 3,381
Measuring the Fiscal Stance 2 3 16 639 3 26 102 2,359
Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems 0 0 0 0 1 2 9 163
Microeconomic Sources of Equity Risk 0 0 0 134 1 1 7 580
Modelling the U.S. sovereign credit rating 0 0 0 47 1 1 8 123
National Insolvency: A Test of the US Intertemporal Budget Constraint 0 0 0 111 0 0 10 543
Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency 0 0 0 48 0 0 2 167
Optimal International Asset Allocation and Home Bias 0 0 7 776 1 5 31 2,184
Optimal Monetary Policy using a VAR 0 1 1 172 1 4 18 388
Rational Expectations and Exchange Rate Dynamics 1 3 8 801 3 5 16 2,870
Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 0 0 163
Revisiting the Great Moderation: policy or luck? 0 0 2 79 1 2 13 167
Small sample performance of indirect inference on DSGE models 0 0 2 73 0 0 8 109
Some Problems in the Testing of DSGE Models 0 0 0 38 2 2 8 129
Some problems in the testing of DSGE models 0 0 0 121 0 0 4 172
Sovereign credit ratings in the European Union: a model-based fiscal analysis 0 0 1 110 2 2 14 159
THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY 0 0 2 171 0 0 9 478
Testing DSGE Models by indirect inference: a survey of recent findings 0 2 17 73 2 5 47 115
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 3 134 1 2 9 293
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 0 42 1 1 6 112
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 21 3 4 12 90
Testing a DSGE model of the EU using indirect inference 0 0 0 85 0 0 8 186
Testing macro models by indirect inference: a survey for users 0 0 3 64 0 1 20 107
Testing macroeconomic models by indirect inference on unfiltered data 1 2 3 101 2 4 9 186
Testing macroeconomic models by indirect inference on unfiltered data 0 0 0 39 0 0 4 102
Testing part of a DSGE model by Indirect Inference 0 0 2 120 1 1 26 122
The 'Puzzles' Methodology: en route to Indirect Inference? 0 0 0 35 1 1 5 109
The 'Puzzles' methodology: en route to Indirect Inference? 0 0 2 72 1 1 6 173
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 0 130 2 2 10 383
The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility 0 0 0 164 0 0 13 548
The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks 0 0 1 135 0 0 9 355
The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods 0 0 3 65 2 2 11 213
The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? 0 1 4 303 1 3 37 902
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 1 1 4 267
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 1 14 73
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 0 3 319
The asymmetric effect of the business cycle on the relation between stock market returns and their volatility 0 0 1 71 0 0 5 213
The small sample properties of Indirect Inference in testing and estimating DSGE models 1 1 3 63 2 2 16 77
The ‘Puzzles’ Methodology: En Route to Indirect Inference? 0 0 0 79 2 2 14 319
Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 1 4 114 1 3 12 266
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 0 38 1 1 7 109
Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985 0 0 1 66 3 3 9 485
What do the Fama-French Factors Add to C-CAPM? 0 0 4 56 0 2 18 252
What do the Fama-French factors add to CCAPM? 0 0 1 94 2 2 15 260
What is the truth about DSGE models? Testing by indirect inference 0 0 3 99 2 2 20 148
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 5 661
What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds 0 0 2 239 0 2 11 897
Why crises happen - nonstationary macroeconomics 0 0 1 32 0 1 8 127
Why crises happen - nonstationary macroeconomics 0 0 4 240 0 0 13 362
Total Working Papers 11 50 254 18,673 130 321 1,565 55,139


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 1 83
A Note on the Use of Proxy Variables 0 5 9 376 0 8 26 1,308
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 80 1 1 4 264
A Survey of Some Recent Econometric Methods 1 3 12 210 2 6 26 427
A model-based indicator of the fiscal stance 0 0 5 128 0 1 14 407
A simple derivation of the limited information maximum likelihood estimator 0 2 7 110 1 4 11 214
An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate 0 0 2 96 0 2 8 241
Assessing the fiscal stance in the European Union and the United States, 1970–2011 0 0 1 90 0 3 15 216
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis 0 1 3 176 0 1 8 394
Dynamic Specification, the Long-run and the Estimation of Transformed 0 0 0 0 0 1 10 152
Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ 0 0 0 13 0 1 2 59
Estimating shocks and impulse response functions 0 0 3 1,936 2 2 9 4,479
Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 0 0 0 118 0 1 3 301
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 1 2 7 605
Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 118 1 2 5 347
Forecasting inflation from the term structure 0 1 3 85 0 1 8 204
How Useful are DSGE Macroeconomic Models for Forecasting? 0 0 5 64 2 5 25 193
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference 0 1 2 57 1 3 10 172
How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 3 32 1 2 18 119
Interpreting cointegrating vectors and common stochastic trends 0 0 2 236 0 0 17 484
Is the Euro the Success that Everyone Seems to Think? 0 0 1 27 0 2 11 79
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? 0 1 2 264 1 4 8 906
Macroeconomic Sources of Risk in the Term Structure 0 0 0 58 0 0 4 189
Macroeconomic influences on optimal asset allocation 0 0 3 134 0 1 12 305
Measuring Convergence of the EC Economies 0 0 0 0 0 3 30 848
Measuring Economic Convergence 0 0 0 334 1 3 8 653
Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems 0 0 0 1 1 4 10 140
Modelling the U.S. sovereign credit rating 0 0 1 16 0 0 10 78
OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME‐VARYING RISK 0 0 0 77 0 1 5 191
Optimal monetary policy using an unrestricted VAR 0 0 3 46 0 0 8 96
Papers in Honor of Patrick Minford 0 1 2 25 2 4 8 67
Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics 0 0 2 70 0 0 5 152
Some Unpleasant Consequences of EMU 0 0 0 79 0 0 3 176
Stochastic Life Cycle Theory with Varying Interest Rates and Prices 0 0 2 40 0 0 3 136
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 43 0 0 5 121
The 'Puzzles' methodology: En route to Indirect Inference? 0 0 1 36 0 0 4 111
The Bank of England's Monetary Policy Committee 0 0 0 13 0 0 0 30
The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors 0 0 1 57 0 0 3 229
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 3 70
The Econometrics of Agricultural Supply: An Application to the World Coffee Market 0 0 3 162 0 1 7 391
The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 0 1 7 89 0 2 15 191
The equity premium and the business cycle: the role of demand and supply shocks 1 1 1 59 1 2 6 153
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 0 2 78
The sustainability of current account deficits: A test of the US intertemporal budget constraint 2 3 13 311 3 7 23 662
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference 0 0 0 21 2 2 5 74
Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? 0 0 0 13 0 2 2 41
What do the Fama–French factors add to C-CAPM? 0 0 0 41 1 2 6 170
What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 0 1 6 99 1 2 14 238
Total Journal Articles 4 21 105 6,095 25 88 447 17,244
1 registered items for which data could not be found


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 9 345 1 3 30 767
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 13 182 1 9 88 745
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 9 380 4 9 44 1,410
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 0 8 292 2 4 56 1,143
Total Chapters 0 3 39 1,199 8 25 218 4,065


Statistics updated 2020-09-04