| 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 |
0 |
883 |
1 |
2 |
9 |
1,955 |
| A Cross Section of Equity Returns: The No-Arbitrage Test |
0 |
1 |
2 |
19 |
1 |
2 |
14 |
177 |
| A DSGE model of banks and financial intermediation with default risk |
0 |
0 |
7 |
561 |
2 |
3 |
26 |
787 |
| A Monte Carlo procedure for checking identification in DSGE models |
0 |
0 |
1 |
63 |
0 |
2 |
5 |
77 |
| A Monte Carlo procedure for checking identification in DSGE models |
0 |
0 |
0 |
101 |
2 |
2 |
8 |
173 |
| A Risk Management Approach to Optimal Asset Allocation |
1 |
1 |
2 |
367 |
1 |
2 |
13 |
1,012 |
| An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors |
0 |
1 |
2 |
223 |
1 |
2 |
9 |
1,010 |
| An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate |
0 |
0 |
0 |
118 |
0 |
0 |
6 |
732 |
| Asset Pricing with Observable Stochastic Discount Factors |
2 |
7 |
72 |
1,994 |
19 |
39 |
360 |
7,343 |
| Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium |
0 |
0 |
0 |
150 |
0 |
0 |
0 |
604 |
| Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results |
0 |
0 |
0 |
28 |
0 |
0 |
5 |
56 |
| Comparing different data descriptors in Indirect Inference tests on DSGE models |
1 |
1 |
1 |
98 |
2 |
2 |
5 |
86 |
| Consumption, Size and Book-to-Market Ratio in Equity Returns |
0 |
0 |
1 |
31 |
0 |
2 |
21 |
279 |
| Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen |
0 |
0 |
0 |
78 |
1 |
2 |
5 |
323 |
| Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis |
0 |
0 |
1 |
342 |
1 |
3 |
19 |
966 |
| Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis |
0 |
0 |
0 |
496 |
0 |
1 |
6 |
1,219 |
| Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models |
2 |
2 |
4 |
325 |
4 |
7 |
19 |
866 |
| EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
277 |
| Exchange Rate Determination with Bank-Financed Investment |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
210 |
| Forecasting Inflation from the Term Structure |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
439 |
| Global Asset Allocation with Time-varying Risk |
0 |
0 |
0 |
328 |
1 |
3 |
7 |
931 |
| How Useful are DSGE Macroeconomic Models for Forecasting? |
0 |
0 |
3 |
209 |
1 |
2 |
12 |
338 |
| How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics |
0 |
0 |
1 |
57 |
1 |
1 |
9 |
58 |
| How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics |
0 |
0 |
3 |
517 |
3 |
5 |
18 |
311 |
| How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference |
0 |
2 |
2 |
63 |
0 |
6 |
8 |
252 |
| How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference |
0 |
3 |
6 |
160 |
2 |
8 |
17 |
343 |
| How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings |
0 |
0 |
0 |
113 |
0 |
2 |
7 |
161 |
| Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework |
0 |
0 |
1 |
120 |
1 |
3 |
6 |
576 |
| International CAPM: Why Has it Failed? |
1 |
2 |
3 |
1,169 |
1 |
3 |
16 |
3,748 |
| Is the Euro Sustainable? |
0 |
0 |
0 |
211 |
0 |
4 |
10 |
618 |
| Is the Euro Sustainable? |
0 |
2 |
4 |
161 |
2 |
6 |
14 |
365 |
| Is the UK triple-A? |
0 |
0 |
1 |
50 |
0 |
0 |
4 |
141 |
| Macroeconomic Influences on Optimal Asset Allocation |
0 |
0 |
4 |
451 |
2 |
5 |
18 |
1,096 |
| Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
376 |
| Macroeconomic Sources of Equity Risk |
1 |
2 |
3 |
601 |
1 |
10 |
26 |
2,244 |
| Macroeconomic Sources of FOREX Risk |
0 |
0 |
7 |
477 |
1 |
2 |
19 |
1,454 |
| Macroeconomic Sources of Risk in the Term Structure |
0 |
0 |
0 |
101 |
0 |
0 |
0 |
263 |
| Macroeconomic Sources of Risk in the Term Structure |
0 |
0 |
1 |
134 |
0 |
0 |
2 |
377 |
| Measuring Fiscal Sustainability |
0 |
0 |
0 |
110 |
0 |
1 |
3 |
289 |
| Measuring Fiscal Sustainability |
0 |
0 |
2 |
1,493 |
0 |
5 |
9 |
3,387 |
| Measuring the Fiscal Stance |
0 |
1 |
7 |
642 |
4 |
8 |
60 |
2,380 |
| Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
164 |
| Microeconomic Sources of Equity Risk |
0 |
0 |
0 |
134 |
0 |
3 |
5 |
584 |
| Modelling the U.S. sovereign credit rating |
0 |
0 |
1 |
48 |
0 |
0 |
2 |
124 |
| National Insolvency: A Test of the US Intertemporal Budget Constraint |
0 |
0 |
1 |
112 |
0 |
0 |
1 |
544 |
| Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency |
0 |
1 |
1 |
49 |
0 |
1 |
1 |
168 |
| Optimal International Asset Allocation and Home Bias |
0 |
0 |
1 |
777 |
0 |
1 |
18 |
2,192 |
| Optimal Monetary Policy using a VAR |
0 |
1 |
2 |
173 |
0 |
1 |
10 |
390 |
| Rational Expectations and Exchange Rate Dynamics |
1 |
1 |
9 |
804 |
3 |
6 |
24 |
2,884 |
| Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
164 |
| Revisiting the Great Moderation: policy or luck? |
0 |
0 |
2 |
80 |
0 |
1 |
9 |
170 |
| Small sample performance of indirect inference on DSGE models |
1 |
1 |
1 |
74 |
2 |
3 |
6 |
114 |
| Some Problems in the Testing of DSGE Models |
0 |
0 |
0 |
38 |
0 |
0 |
3 |
130 |
| Some problems in the testing of DSGE models |
0 |
0 |
0 |
121 |
0 |
0 |
1 |
173 |
| Sovereign credit ratings in the European Union: a model-based fiscal analysis |
0 |
0 |
1 |
110 |
1 |
2 |
8 |
163 |
| THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY |
0 |
0 |
0 |
171 |
0 |
0 |
0 |
478 |
| Testing DSGE Models by indirect inference: a survey of recent findings |
1 |
1 |
11 |
78 |
6 |
7 |
28 |
128 |
| Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments |
1 |
1 |
1 |
135 |
3 |
4 |
9 |
300 |
| Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments |
1 |
1 |
1 |
43 |
1 |
1 |
3 |
114 |
| Testing a DSGE Model of the EU Using Indirect Inference |
0 |
0 |
0 |
21 |
0 |
0 |
4 |
90 |
| Testing a DSGE model of the EU using indirect inference |
0 |
0 |
0 |
85 |
0 |
0 |
0 |
186 |
| Testing macro models by indirect inference: a survey for users |
0 |
0 |
5 |
68 |
1 |
2 |
12 |
115 |
| Testing macroeconomic models by indirect inference on unfiltered data |
0 |
0 |
3 |
102 |
1 |
3 |
15 |
197 |
| Testing macroeconomic models by indirect inference on unfiltered data |
0 |
0 |
2 |
41 |
0 |
0 |
3 |
105 |
| Testing part of a DSGE model by Indirect Inference |
0 |
0 |
0 |
120 |
1 |
4 |
7 |
128 |
| The 'Puzzles' Methodology: en route to Indirect Inference? |
0 |
0 |
0 |
35 |
0 |
1 |
3 |
111 |
| The 'Puzzles' methodology: en route to Indirect Inference? |
0 |
0 |
0 |
72 |
1 |
1 |
2 |
174 |
| 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 |
0 |
0 |
2 |
383 |
| The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility |
0 |
0 |
0 |
164 |
0 |
0 |
0 |
548 |
| The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks |
0 |
0 |
0 |
135 |
0 |
1 |
5 |
360 |
| The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods |
0 |
0 |
1 |
65 |
0 |
0 |
4 |
214 |
| The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? |
0 |
0 |
3 |
304 |
1 |
5 |
14 |
909 |
| The Persistence in Volatility of the US Term Premium 1970-1986 |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
268 |
| The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
75 |
| The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
320 |
| The asymmetric effect of the business cycle on the relation between stock market returns and their volatility |
0 |
0 |
1 |
71 |
0 |
0 |
1 |
213 |
| The small sample properties of Indirect Inference in testing and estimating DSGE models |
1 |
1 |
2 |
64 |
4 |
4 |
10 |
85 |
| The ‘Puzzles’ Methodology: En Route to Indirect Inference? |
0 |
0 |
0 |
79 |
0 |
1 |
5 |
322 |
| Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference |
0 |
0 |
3 |
116 |
1 |
1 |
9 |
271 |
| Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference |
0 |
0 |
0 |
38 |
0 |
1 |
5 |
113 |
| Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985 |
0 |
0 |
1 |
67 |
2 |
3 |
14 |
492 |
| What do the Fama-French Factors Add to C-CAPM? |
0 |
1 |
2 |
57 |
0 |
1 |
14 |
259 |
| What do the Fama-French factors add to CCAPM? |
0 |
2 |
3 |
97 |
0 |
3 |
11 |
268 |
| What is the truth about DSGE models? Testing by indirect inference |
0 |
0 |
1 |
99 |
2 |
2 |
13 |
156 |
| What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds |
0 |
0 |
0 |
207 |
1 |
3 |
5 |
664 |
| What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds |
0 |
0 |
1 |
240 |
0 |
1 |
6 |
900 |
| Why crises happen - nonstationary macroeconomics |
0 |
0 |
3 |
241 |
1 |
2 |
6 |
365 |
| Why crises happen - nonstationary macroeconomics |
1 |
1 |
1 |
33 |
1 |
2 |
8 |
133 |
| Total Working Papers |
15 |
37 |
205 |
18,778 |
89 |
219 |
1,128 |
55,707 |
| 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 |
0 |
0 |
10 |
378 |
2 |
3 |
23 |
1,319 |
| 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 |
3 |
266 |
| A Survey of Some Recent Econometric Methods |
2 |
2 |
11 |
216 |
3 |
4 |
22 |
437 |
| A model-based indicator of the fiscal stance |
0 |
0 |
1 |
129 |
0 |
3 |
13 |
419 |
| A simple derivation of the limited information maximum likelihood estimator |
2 |
2 |
7 |
114 |
4 |
5 |
15 |
224 |
| An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate |
0 |
0 |
1 |
97 |
0 |
1 |
5 |
244 |
| Assessing the fiscal stance in the European Union and the United States, 1970–2011 |
0 |
1 |
3 |
93 |
0 |
3 |
12 |
225 |
| Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis |
0 |
0 |
1 |
176 |
1 |
2 |
5 |
398 |
| Dynamic Specification, the Long-run and the Estimation of Transformed |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
153 |
| Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ |
0 |
0 |
0 |
13 |
0 |
0 |
4 |
62 |
| Estimating shocks and impulse response functions |
0 |
0 |
1 |
1,936 |
3 |
3 |
6 |
4,482 |
| Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 |
0 |
0 |
0 |
118 |
0 |
1 |
5 |
305 |
| Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
609 |
| Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework |
0 |
0 |
3 |
121 |
0 |
0 |
10 |
355 |
| Forecasting inflation from the term structure |
0 |
0 |
3 |
85 |
1 |
2 |
10 |
207 |
| How Useful are DSGE Macroeconomic Models for Forecasting? |
0 |
2 |
3 |
66 |
2 |
6 |
26 |
208 |
| How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference |
1 |
2 |
4 |
59 |
1 |
6 |
19 |
185 |
| How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings |
0 |
0 |
0 |
32 |
0 |
0 |
5 |
121 |
| Interpreting cointegrating vectors and common stochastic trends |
0 |
0 |
1 |
236 |
1 |
2 |
7 |
489 |
| Is the Euro the Success that Everyone Seems to Think? |
0 |
0 |
0 |
27 |
0 |
0 |
5 |
81 |
| Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? |
0 |
0 |
1 |
264 |
0 |
0 |
5 |
907 |
| Macroeconomic Sources of Risk in the Term Structure |
0 |
0 |
0 |
58 |
0 |
0 |
1 |
190 |
| Macroeconomic influences on optimal asset allocation |
0 |
0 |
0 |
134 |
0 |
2 |
4 |
308 |
| Measuring Convergence of the EC Economies |
0 |
0 |
0 |
0 |
5 |
9 |
30 |
870 |
| Measuring Economic Convergence |
0 |
0 |
1 |
335 |
1 |
3 |
13 |
662 |
| Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems |
0 |
0 |
0 |
1 |
0 |
1 |
6 |
141 |
| Modelling the U.S. sovereign credit rating |
0 |
1 |
1 |
17 |
1 |
2 |
3 |
81 |
| OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME‐VARYING RISK |
0 |
0 |
0 |
77 |
0 |
0 |
2 |
191 |
| Optimal monetary policy using an unrestricted VAR |
0 |
0 |
2 |
47 |
1 |
1 |
5 |
98 |
| Papers in Honor of Patrick Minford |
1 |
1 |
2 |
26 |
3 |
5 |
18 |
81 |
| Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics |
0 |
0 |
0 |
70 |
0 |
0 |
0 |
152 |
| Some Unpleasant Consequences of EMU |
0 |
0 |
2 |
81 |
0 |
0 |
5 |
180 |
| Stochastic Life Cycle Theory with Varying Interest Rates and Prices |
0 |
0 |
0 |
40 |
0 |
0 |
0 |
136 |
| Testing a DSGE Model of the EU Using Indirect Inference |
0 |
0 |
0 |
43 |
0 |
1 |
2 |
122 |
| The 'Puzzles' methodology: En route to Indirect Inference? |
0 |
0 |
0 |
36 |
1 |
1 |
2 |
113 |
| The Bank of England's Monetary Policy Committee |
0 |
0 |
0 |
13 |
1 |
2 |
11 |
41 |
| The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors |
0 |
0 |
0 |
57 |
0 |
0 |
3 |
232 |
| 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 |
71 |
| The Econometrics of Agricultural Supply: An Application to the World Coffee Market |
0 |
1 |
4 |
165 |
0 |
1 |
10 |
398 |
| The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 |
0 |
3 |
8 |
93 |
1 |
6 |
21 |
204 |
| The equity premium and the business cycle: the role of demand and supply shocks |
0 |
0 |
1 |
59 |
0 |
1 |
3 |
154 |
| 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 |
0 |
1 |
7 |
313 |
1 |
2 |
15 |
667 |
| Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference |
0 |
1 |
2 |
23 |
1 |
5 |
9 |
81 |
| Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? |
0 |
0 |
0 |
13 |
0 |
0 |
3 |
42 |
| What do the Fama–French factors add to C-CAPM? |
0 |
1 |
1 |
42 |
0 |
2 |
7 |
174 |
| What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 |
0 |
1 |
3 |
100 |
0 |
2 |
8 |
242 |
| Total Journal Articles |
6 |
19 |
84 |
6,138 |
36 |
89 |
393 |
17,488 |
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