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 1 884 0 0 3 1,963
A Cross Section of Equity Returns: The No-Arbitrage Test 0 0 1 20 0 1 13 201
A DSGE model of banks and financial intermediation with default risk 0 1 2 568 0 1 7 803
A Monte Carlo procedure for checking identification in DSGE models 0 0 0 63 0 0 0 77
A Monte Carlo procedure for checking identification in DSGE models 0 0 0 102 0 0 1 176
A Risk Management Approach to Optimal Asset Allocation 1 2 3 371 2 5 22 1,050
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors 0 0 0 224 0 1 3 1,022
An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate 0 0 1 120 1 1 4 741
Asset Pricing with Observable Stochastic Discount Factors 0 0 0 2,006 1 1 5 7,420
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 0 62
Comparing different data descriptors in Indirect Inference tests on DSGE models 0 0 1 100 0 0 1 91
Consumption, Size and Book-to-Market Ratio in Equity Returns 0 0 0 33 0 0 9 297
Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen 0 0 0 78 4 4 4 328
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 0 0 0 346 0 0 2 981
Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis 0 0 1 500 0 0 2 1,238
Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models 1 1 1 334 1 1 3 882
EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT 0 0 0 0 0 0 1 282
Estimating macro models and the potentially misleading nature of Bayesian estimation 0 0 4 47 0 3 10 38
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 1 443
Global Asset Allocation with Time-varying Risk 0 0 0 328 0 0 1 935
How Useful are DSGE Macroeconomic Models for Forecasting? 0 0 0 210 1 2 3 349
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 0 57 1 1 2 70
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 1 519 0 0 3 336
How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference 0 0 0 65 0 0 1 260
How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference 0 0 0 164 0 0 3 360
How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 0 113 0 0 2 166
Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework 0 0 1 121 0 1 4 581
International CAPM: Why Has it Failed? 0 0 6 1,182 0 0 22 3,790
Is the Euro Sustainable? 0 0 0 213 0 0 2 625
Is the Euro Sustainable? 0 0 0 161 2 2 6 382
Is the UK triple-A? 0 0 0 50 0 0 4 148
Macroeconomic Influences on Optimal Asset Allocation 0 0 3 455 0 1 5 1,111
Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market 0 0 0 0 0 0 0 377
Macroeconomic Sources of Equity Risk 0 0 0 601 0 0 0 2,250
Macroeconomic Sources of FOREX Risk 1 1 2 481 1 2 3 1,469
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 2 2 1,495 1 4 6 3,406
Measuring Fiscal Sustainability 0 0 0 111 0 1 4 295
Measuring the Fiscal Stance 0 1 4 659 0 3 11 2,428
Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems 0 0 0 0 0 1 3 171
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 0 0 128
National Insolvency: A Test of the US Intertemporal Budget Constraint 0 0 0 112 0 1 2 549
Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency 1 1 1 50 1 1 1 169
Optimal International Asset Allocation and Home Bias 0 0 1 779 0 0 2 2,202
Optimal Monetary Policy using a VAR 0 0 1 179 1 13 37 441
Rational Expectations and Exchange Rate Dynamics 0 0 2 808 2 4 15 2,919
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 1 81 0 0 3 176
Small sample performance of indirect inference on DSGE models 0 0 0 74 0 0 1 120
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 1 3 179
Sovereign credit ratings in the European Union: a model-based fiscal analysis 0 0 1 112 1 1 4 173
THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY 0 0 0 171 0 1 1 480
Testing DSGE Models by indirect inference: a survey of recent findings 0 1 3 89 0 1 4 150
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 0 43 0 0 0 116
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 1 139 0 0 2 308
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 22 0 0 1 93
Testing a DSGE model of the EU using indirect inference 0 0 1 87 0 0 1 190
Testing macro models by indirect inference: a survey for users 0 0 1 77 0 0 1 127
Testing macroeconomic models by indirect inference on unfiltered data 0 0 0 41 0 0 1 109
Testing macroeconomic models by indirect inference on unfiltered data 0 0 2 108 3 3 5 210
Testing part of a DSGE model by Indirect Inference 0 1 1 122 0 1 1 134
The 'Puzzles' Methodology: en route to Indirect Inference? 0 0 0 35 0 0 0 114
The 'Puzzles' methodology: en route to Indirect Inference? 0 0 0 72 0 0 1 180
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 0 0 388
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 1 2 369
The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods 0 1 2 67 0 1 2 220
The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? 0 0 0 305 1 2 4 921
The Persistence in Volatility of the US Term Premium 1970-1986 0 0 0 0 0 0 1 271
The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence 0 0 0 0 0 0 1 81
The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence 0 0 0 0 0 0 2 327
The asymmetric effect of the business cycle on the relation between stock market returns and their volatility 0 0 0 71 0 1 1 218
The eurozone: what is to be done? 1 2 5 54 2 4 15 75
The small sample properties of Indirect Inference in testing and estimating DSGE models 0 0 0 65 0 0 1 96
The ‘Puzzles’ Methodology: En Route to Indirect Inference? 0 0 0 79 0 0 2 330
Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 0 116 0 0 1 275
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 0 40 0 0 1 119
Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985 0 0 1 69 1 1 6 505
What do the Fama-French Factors Add to C-CAPM? 0 0 0 57 0 0 1 265
What do the Fama-French factors add to CCAPM? 0 0 0 97 0 1 6 286
What is the truth about DSGE models? Testing by indirect inference 0 1 1 101 0 1 2 168
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 0 669
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 1 904
Why crises happen - nonstationary macroeconomics 0 0 0 33 0 0 0 134
Why crises happen - nonstationary macroeconomics 0 0 0 242 0 0 1 370
Total Working Papers 5 15 59 19,049 27 75 312 56,764


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 1 1 3 390 1 4 9 1,352
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 1 271
A Survey of Some Recent Econometric Methods 0 0 5 223 0 1 13 467
A model-based indicator of the fiscal stance 0 1 4 137 0 1 6 437
A simple derivation of the limited information maximum likelihood estimator 0 0 3 122 0 0 3 237
An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate 0 0 0 99 0 0 1 252
Assessing the fiscal stance in the European Union and the United States, 1970–2011 0 0 2 97 0 0 5 233
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis 0 1 1 181 1 2 3 415
Dynamic Specification, the Long-run and the Estimation of Transformed 0 0 0 0 0 0 3 158
Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ 0 0 0 13 0 0 0 64
Estimating shocks and impulse response functions 0 0 0 1,937 0 1 2 4,487
Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 0 0 0 118 0 0 0 308
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 1 2 618
Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 121 0 1 1 361
Forecasting inflation from the term structure 0 0 0 85 0 1 1 215
How Useful are DSGE Macroeconomic Models for Forecasting? 0 0 0 72 2 3 8 230
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference 1 1 1 68 1 1 5 213
How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings 1 1 1 34 1 1 3 128
Interpreting cointegrating vectors and common stochastic trends 1 1 2 243 1 4 6 504
Is the Euro the Success that Everyone Seems to Think? 0 0 0 29 0 0 0 85
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? 0 1 2 267 1 2 4 919
Macroeconomic Sources of Risk in the Term Structure 0 0 0 58 0 0 1 194
Macroeconomic influences on optimal asset allocation 0 0 0 134 0 0 2 310
Measuring Convergence of the EC Economies 0 0 0 0 5 9 24 921
Measuring Economic Convergence 0 0 0 338 1 1 1 669
Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems 0 0 0 1 0 0 3 148
Modelling the U.S. sovereign credit rating 0 1 2 20 0 1 2 88
OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME‐VARYING RISK 0 0 1 78 0 0 1 195
Optimal monetary policy using an unrestricted VAR 0 0 1 53 0 0 3 109
Papers in Honor of Patrick Minford 0 0 1 29 0 1 3 113
Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics 0 0 2 72 0 0 3 156
Some Unpleasant Consequences of EMU 0 0 2 85 0 0 2 187
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 0 125
The 'Puzzles' methodology: En route to Indirect Inference? 0 0 0 37 0 0 1 119
The Bank of England's Monetary Policy Committee 0 0 0 13 0 0 1 46
The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors 0 0 0 57 0 0 0 234
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 1 2 406
The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 0 0 1 99 0 0 4 221
The equity premium and the business cycle: the role of demand and supply shocks 0 0 0 62 0 0 1 161
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 5 328 0 2 7 690
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference 0 0 0 24 0 0 0 91
Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? 0 0 0 14 0 0 0 45
What do the Fama–French factors add to C-CAPM? 0 0 0 43 0 0 3 180
What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 0 0 1 104 0 1 3 253
Total Journal Articles 4 9 40 6,271 14 39 143 17,987


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 0 2 353 0 1 7 801
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 5 17 221 15 31 118 991
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 0 2 401 0 5 23 1,525
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 2 7 318 4 12 33 1,297
Total Chapters 1 7 28 1,293 19 49 181 4,614


Statistics updated 2023-05-07