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 6 880 1 2 11 1,933
A Cross Section of Equity Returns: The No-Arbitrage Test 0 0 1 16 0 0 5 135
A DSGE model of banks and financial intermediation with default risk 2 4 13 539 2 8 28 728
A Monte Carlo procedure for checking identification in DSGE models 0 0 3 95 1 1 8 149
A Monte Carlo procedure for checking identification in DSGE models 0 0 0 62 1 1 3 61
A Risk Management Approach to Optimal Asset Allocation 1 2 8 359 1 2 13 983
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors 0 0 0 219 0 0 10 982
An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate 1 2 6 117 1 2 8 721
Asset Pricing with Observable Stochastic Discount Factors 0 1 3 1,899 1 3 13 6,824
Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium 0 0 0 150 0 0 1 601
Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results 0 0 0 27 0 0 9 46
Comparing different data descriptors in Indirect Inference tests on DSGE models 1 1 6 94 1 2 15 70
Consumption, Size and Book-to-Market Ratio in Equity Returns 1 1 3 27 24 25 30 208
Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen 0 1 1 77 1 2 12 314
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 0 0 2 336 2 5 10 915
Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis 0 0 2 493 3 5 17 1,187
Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models 2 4 15 307 3 6 28 820
EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT 0 0 0 0 1 1 1 274
Exchange Rate Determination with Bank-Financed Investment 0 0 0 35 0 0 0 204
Forecasting Inflation from the Term Structure 0 0 0 0 0 1 5 429
Global Asset Allocation with Time-varying Risk 1 1 1 325 1 1 4 916
How Useful are DSGE Macroeconomic Models for Forecasting? 1 2 9 199 1 3 18 311
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 0 54 0 0 3 36
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 1 1 6 509 2 3 28 263
How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference 0 0 1 59 0 0 6 234
How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference 1 2 9 150 1 2 16 315
How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 5 110 0 1 10 143
Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework 0 1 1 118 0 1 3 561
International CAPM: Why Has it Failed? 1 2 9 1,155 2 4 16 3,697
Is the Euro Sustainable? 1 1 3 203 1 2 11 590
Is the Euro Sustainable? 0 0 1 155 0 0 2 335
Is the UK triple-A? 0 0 1 48 0 3 12 125
Macroeconomic Influences on Optimal Asset Allocation 0 1 5 439 2 7 18 1,025
Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market 0 0 0 0 2 2 5 354
Macroeconomic Sources of Equity Risk 1 1 5 592 2 7 32 2,170
Macroeconomic Sources of FOREX Risk 0 0 3 463 0 6 20 1,410
Macroeconomic Sources of Risk in the Term Structure 0 0 2 132 0 0 5 362
Macroeconomic Sources of Risk in the Term Structure 0 0 1 101 0 0 4 251
Measuring Fiscal Sustainability 1 2 7 1,485 1 2 15 3,352
Measuring Fiscal Sustainability 0 1 2 107 1 2 6 273
Measuring the Fiscal Stance 2 4 24 611 13 26 134 2,179
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 1 1 1 134 1 1 2 570
Modelling the U.S. sovereign credit rating 0 1 3 46 1 2 7 111
National Insolvency: A Test of the US Intertemporal Budget Constraint 0 0 0 110 3 4 6 525
Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency 0 0 0 48 0 1 1 163
Optimal International Asset Allocation and Home Bias 0 0 3 764 0 1 10 2,136
Optimal Monetary Policy using a VAR 0 0 3 171 0 0 3 367
Rational Expectations and Exchange Rate Dynamics 0 3 7 791 1 4 10 2,849
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 1 76 0 0 7 150
Small sample performance of indirect inference on DSGE models 0 0 1 69 1 1 8 96
Some Problems in the Testing of DSGE Models 0 0 0 38 0 0 4 117
Some problems in the testing of DSGE models 0 0 2 121 0 0 6 158
Sovereign credit ratings in the European Union: a model-based fiscal analysis 0 0 2 106 2 2 14 138
THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY 0 0 0 169 0 0 3 468
Testing DSGE Models by indirect inference: a survey of recent findings 4 9 43 43 5 14 33 33
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 1 130 0 0 6 280
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 0 42 0 0 2 104
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 21 1 2 4 74
Testing a DSGE model of the EU using indirect inference 0 0 1 85 1 1 2 172
Testing macro models by indirect inference: a survey for users 1 1 7 59 1 1 14 78
Testing macroeconomic models by indirect inference on unfiltered data 0 0 0 38 0 1 4 94
Testing macroeconomic models by indirect inference on unfiltered data 0 2 2 96 0 2 8 172
Testing part of a DSGE model by Indirect Inference 1 6 15 115 3 7 39 87
The 'Puzzles' Methodology: en route to Indirect Inference? 0 0 0 34 0 0 3 100
The 'Puzzles' methodology: en route to Indirect Inference? 0 0 2 70 0 0 5 161
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 0 10 366
The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility 0 0 1 164 0 1 4 527
The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks 0 0 1 133 0 1 8 343
The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods 0 0 0 62 0 0 1 200
The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? 0 0 1 293 0 1 10 847
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 0 0 261
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 0 1 54
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 0 2 315
The asymmetric effect of the business cycle on the relation between stock market returns and their volatility 0 0 1 70 0 0 8 206
The small sample properties of Indirect Inference in testing and estimating DSGE models 2 6 57 57 1 8 44 44
The ‘Puzzles’ Methodology: En Route to Indirect Inference? 0 0 0 78 1 1 6 301
Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 2 4 108 0 2 9 246
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 0 38 0 1 2 101
Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985 0 0 0 65 3 5 5 463
What do the Fama-French Factors Add to C-CAPM? 0 0 3 51 1 1 14 227
What do the Fama-French factors add to CCAPM? 0 0 1 91 1 1 5 234
What is the truth about DSGE models? Testing by indirect inference 2 3 12 91 3 7 35 114
What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds 0 0 2 207 0 0 2 655
What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds 0 0 1 237 1 1 3 884
Why crises happen - nonstationary macroeconomics 0 3 6 234 4 9 24 339
Why crises happen - nonstationary macroeconomics 0 0 0 30 0 0 2 111
Total Working Papers 29 72 348 18,261 107 221 991 52,843


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 2 2 4 82
A Note on the Use of Proxy Variables 1 2 7 363 4 6 14 1,275
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 0 0 1 260
A Survey of Some Recent Econometric Methods 1 1 2 193 2 3 15 387
A model-based indicator of the fiscal stance 1 3 15 108 4 8 32 361
A simple derivation of the limited information maximum likelihood estimator 0 0 3 99 1 1 5 198
An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate 2 3 7 93 3 5 12 226
Assessing the fiscal stance in the European Union and the United States, 1970–2011 0 0 2 86 0 1 10 196
Asset Pricing with Observable Stochastic Discount Factors 0 0 2 152 0 0 3 389
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 1 1 3 167 2 3 13 370
Dynamic Specification, the Long-run and the Estimation of Transformed 0 0 0 0 1 1 5 141
Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ 0 0 0 12 0 0 6 54
Estimating shocks and impulse response functions 0 1 5 1,931 0 1 9 4,458
Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 0 1 1 118 0 2 6 296
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 1 3 591
Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 118 0 0 1 342
Forecasting inflation from the term structure 0 0 2 82 1 2 6 194
How Useful are DSGE Macroeconomic Models for Forecasting? 1 2 5 55 1 6 18 156
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference 1 2 5 51 1 3 16 153
How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 1 3 29 0 4 15 93
Interpreting cointegrating vectors and common stochastic trends 0 0 6 231 0 1 13 461
Is the Euro the Success that Everyone Seems to Think? 0 0 1 26 0 0 2 67
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? 0 0 5 261 2 3 14 890
Macroeconomic Sources of Risk in the Term Structure 0 0 0 57 0 1 7 184
Macroeconomic influences on optimal asset allocation 1 1 4 126 2 2 9 279
Measuring Convergence of the EC Economies 0 0 0 0 1 1 5 799
Measuring Economic Convergence 2 2 7 330 5 8 21 632
Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems 0 0 0 1 0 0 3 129
Modelling the U.S. sovereign credit rating 0 0 1 15 0 4 11 63
OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME-VARYING RISK 0 0 0 77 0 1 2 185
Optimal monetary policy using an unrestricted VAR 0 1 4 40 0 1 6 80
Papers in Honor of Patrick Minford 0 0 2 21 0 1 12 54
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 0 1 67 0 0 5 141
Some Unpleasant Consequences of EMU 0 0 2 79 0 0 4 171
Stochastic Life Cycle Theory with Varying Interest Rates and Prices 0 0 0 38 1 1 2 133
Testing a DSGE Model of the EU Using Indirect Inference 0 1 1 43 2 3 4 112
The 'Puzzles' methodology: En route to Indirect Inference? 0 0 1 35 0 0 7 104
The Bank of England's Monetary Policy Committee 1 1 1 12 1 1 2 29
The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors 0 1 1 56 0 1 3 226
The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments 0 0 0 16 2 2 3 67
The Econometrics of Agricultural Supply: An Application to the World Coffee Market 0 1 3 158 0 1 8 380
The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 1 1 3 79 1 2 7 167
The equity premium and the business cycle: the role of demand and supply shocks 0 0 2 56 0 1 6 142
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 1 2 2 75
The sustainability of current account deficits: A test of the US intertemporal budget constraint 0 1 7 295 1 3 12 629
Towards a Theory of the Labour Market 0 0 1 7 0 0 3 42
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference 0 2 3 20 0 2 6 62
Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? 0 0 0 12 0 0 4 37
What do the Fama–French factors add to C-CAPM? 0 0 1 41 0 0 4 163
What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 0 0 3 92 1 2 7 222
Total Journal Articles 13 29 122 6,083 42 93 388 17,064


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 2 7 19 330 9 16 40 715
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 2 9 153 2 7 85 534
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 9 366 4 9 35 1,338
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 6 278 9 17 39 1,062
Total Chapters 3 11 43 1,127 24 49 199 3,649


Statistics updated 2018-12-03