| 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 |
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