| 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 |
0 |
1 |
9 |
1,958 |
| A Cross Section of Equity Returns: The No-Arbitrage Test |
0 |
0 |
2 |
19 |
3 |
4 |
16 |
184 |
| A DSGE model of banks and financial intermediation with default risk |
1 |
2 |
6 |
564 |
1 |
2 |
16 |
791 |
| A Monte Carlo procedure for checking identification in DSGE models |
0 |
0 |
1 |
102 |
0 |
0 |
6 |
174 |
| A Monte Carlo procedure for checking identification in DSGE models |
0 |
0 |
0 |
63 |
0 |
0 |
2 |
77 |
| A Risk Management Approach to Optimal Asset Allocation |
0 |
0 |
1 |
367 |
1 |
3 |
13 |
1,016 |
| An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors |
0 |
0 |
2 |
224 |
1 |
2 |
6 |
1,014 |
| An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate |
0 |
0 |
0 |
118 |
2 |
2 |
5 |
736 |
| Asset Pricing with Observable Stochastic Discount Factors |
0 |
4 |
30 |
2,002 |
3 |
17 |
136 |
7,387 |
| Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium |
0 |
0 |
0 |
150 |
0 |
0 |
1 |
605 |
| Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results |
0 |
0 |
0 |
28 |
0 |
1 |
3 |
57 |
| Comparing different data descriptors in Indirect Inference tests on DSGE models |
0 |
0 |
2 |
99 |
1 |
2 |
6 |
89 |
| Consumption, Size and Book-to-Market Ratio in Equity Returns |
0 |
0 |
2 |
32 |
0 |
2 |
10 |
284 |
| Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen |
0 |
0 |
0 |
78 |
0 |
0 |
4 |
324 |
| Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis |
1 |
2 |
3 |
344 |
2 |
5 |
22 |
975 |
| Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis |
0 |
0 |
2 |
498 |
2 |
3 |
12 |
1,227 |
| Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models |
0 |
1 |
5 |
327 |
0 |
2 |
14 |
870 |
| EXCHANGE RATE DETERMINATION WITH BANK FINANCED INVESTMENT |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
280 |
| Estimating macro models and the potentially misleading nature of Bayesian estimation |
25 |
25 |
25 |
25 |
9 |
9 |
9 |
9 |
| Exchange Rate Determination with Bank-Financed Investment |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
211 |
| Forecasting Inflation from the Term Structure |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
442 |
| Global Asset Allocation with Time-varying Risk |
0 |
0 |
0 |
328 |
0 |
0 |
5 |
932 |
| How Useful are DSGE Macroeconomic Models for Forecasting? |
0 |
0 |
0 |
209 |
1 |
4 |
9 |
344 |
| How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics |
0 |
0 |
0 |
57 |
1 |
3 |
13 |
64 |
| How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics |
0 |
1 |
2 |
518 |
4 |
6 |
28 |
327 |
| How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference |
0 |
0 |
2 |
63 |
0 |
2 |
9 |
254 |
| How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference |
0 |
1 |
8 |
163 |
0 |
5 |
20 |
351 |
| How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings |
0 |
0 |
0 |
113 |
0 |
2 |
6 |
163 |
| Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework |
0 |
0 |
1 |
120 |
0 |
1 |
6 |
577 |
| International CAPM: Why Has it Failed? |
1 |
2 |
7 |
1,174 |
1 |
8 |
20 |
3,761 |
| Is the Euro Sustainable? |
0 |
0 |
0 |
211 |
0 |
0 |
9 |
619 |
| Is the Euro Sustainable? |
0 |
0 |
2 |
161 |
0 |
2 |
13 |
369 |
| Is the UK triple-A? |
0 |
0 |
0 |
50 |
0 |
1 |
2 |
143 |
| Macroeconomic Influences on Optimal Asset Allocation |
0 |
0 |
1 |
451 |
0 |
2 |
16 |
1,103 |
| Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
376 |
| Macroeconomic Sources of Equity Risk |
0 |
0 |
2 |
601 |
0 |
2 |
17 |
2,247 |
| Macroeconomic Sources of FOREX Risk |
0 |
0 |
3 |
477 |
1 |
7 |
16 |
1,462 |
| Macroeconomic Sources of Risk in the Term Structure |
1 |
1 |
1 |
135 |
2 |
4 |
5 |
381 |
| Macroeconomic Sources of Risk in the Term Structure |
0 |
0 |
0 |
101 |
0 |
0 |
0 |
263 |
| Measuring Fiscal Sustainability |
0 |
0 |
0 |
1,493 |
0 |
4 |
16 |
3,397 |
| Measuring Fiscal Sustainability |
0 |
0 |
1 |
111 |
0 |
1 |
3 |
291 |
| Measuring the Fiscal Stance |
2 |
4 |
10 |
649 |
5 |
17 |
48 |
2,409 |
| Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
166 |
| Microeconomic Sources of Equity Risk |
0 |
0 |
0 |
134 |
0 |
2 |
7 |
587 |
| Modelling the U.S. sovereign credit rating |
0 |
0 |
1 |
48 |
1 |
3 |
4 |
127 |
| National Insolvency: A Test of the US Intertemporal Budget Constraint |
0 |
0 |
1 |
112 |
0 |
1 |
3 |
546 |
| Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency |
0 |
0 |
1 |
49 |
0 |
0 |
1 |
168 |
| Optimal International Asset Allocation and Home Bias |
0 |
0 |
2 |
778 |
1 |
4 |
14 |
2,200 |
| Optimal Monetary Policy using a VAR |
0 |
0 |
2 |
174 |
0 |
1 |
5 |
393 |
| Rational Expectations and Exchange Rate Dynamics |
0 |
0 |
3 |
805 |
1 |
1 |
22 |
2,893 |
| Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
164 |
| Revisiting the Great Moderation: policy or luck? |
0 |
0 |
1 |
80 |
0 |
2 |
5 |
172 |
| Small sample performance of indirect inference on DSGE models |
0 |
0 |
1 |
74 |
0 |
1 |
9 |
118 |
| Some Problems in the Testing of DSGE Models |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
130 |
| Some problems in the testing of DSGE models |
0 |
0 |
0 |
121 |
0 |
0 |
2 |
174 |
| Sovereign credit ratings in the European Union: a model-based fiscal analysis |
0 |
0 |
1 |
111 |
1 |
3 |
8 |
167 |
| THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY |
0 |
0 |
0 |
171 |
0 |
1 |
1 |
479 |
| Testing DSGE Models by indirect inference: a survey of recent findings |
0 |
1 |
7 |
80 |
1 |
4 |
22 |
137 |
| Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments |
0 |
0 |
1 |
43 |
0 |
0 |
3 |
115 |
| Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments |
0 |
1 |
3 |
137 |
2 |
4 |
12 |
305 |
| Testing a DSGE Model of the EU Using Indirect Inference |
0 |
1 |
1 |
22 |
0 |
1 |
1 |
91 |
| Testing a DSGE model of the EU using indirect inference |
0 |
1 |
1 |
86 |
0 |
2 |
3 |
189 |
| Testing macro models by indirect inference: a survey for users |
1 |
1 |
9 |
73 |
1 |
1 |
15 |
122 |
| Testing macroeconomic models by indirect inference on unfiltered data |
0 |
3 |
4 |
105 |
0 |
3 |
14 |
203 |
| Testing macroeconomic models by indirect inference on unfiltered data |
0 |
0 |
0 |
41 |
0 |
0 |
3 |
107 |
| Testing part of a DSGE model by Indirect Inference |
0 |
0 |
1 |
121 |
0 |
0 |
9 |
131 |
| The 'Puzzles' Methodology: en route to Indirect Inference? |
0 |
0 |
0 |
35 |
0 |
0 |
2 |
111 |
| The 'Puzzles' methodology: en route to Indirect Inference? |
0 |
0 |
0 |
72 |
1 |
1 |
3 |
176 |
| 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 |
2 |
132 |
0 |
1 |
3 |
386 |
| 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 |
3 |
8 |
366 |
| The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods |
0 |
0 |
0 |
65 |
1 |
3 |
3 |
217 |
| The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? |
0 |
0 |
1 |
305 |
0 |
0 |
10 |
913 |
| The Persistence in Volatility of the US Term Premium 1970-1986 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
269 |
| The Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
77 |
| The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence |
0 |
0 |
0 |
0 |
0 |
4 |
5 |
324 |
| The asymmetric effect of the business cycle on the relation between stock market returns and their volatility |
0 |
0 |
0 |
71 |
0 |
2 |
2 |
215 |
| The eurozone: what is to be done? |
4 |
37 |
37 |
37 |
7 |
43 |
43 |
43 |
| The small sample properties of Indirect Inference in testing and estimating DSGE models |
0 |
0 |
2 |
65 |
2 |
3 |
12 |
89 |
| The ‘Puzzles’ Methodology: En Route to Indirect Inference? |
0 |
0 |
0 |
79 |
1 |
2 |
6 |
325 |
| Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference |
0 |
0 |
2 |
116 |
0 |
1 |
6 |
272 |
| Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference |
0 |
0 |
0 |
38 |
1 |
1 |
4 |
114 |
| Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985 |
0 |
0 |
1 |
67 |
1 |
3 |
12 |
497 |
| What do the Fama-French Factors Add to C-CAPM? |
0 |
0 |
1 |
57 |
0 |
1 |
6 |
262 |
| What do the Fama-French factors add to CCAPM? |
0 |
0 |
3 |
97 |
0 |
3 |
13 |
275 |
| What is the truth about DSGE models? Testing by indirect inference |
0 |
1 |
1 |
100 |
1 |
3 |
14 |
163 |
| What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds |
0 |
0 |
0 |
207 |
0 |
1 |
6 |
667 |
| What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds |
0 |
0 |
1 |
240 |
1 |
1 |
4 |
902 |
| Why crises happen - nonstationary macroeconomics |
0 |
1 |
2 |
242 |
0 |
3 |
7 |
369 |
| Why crises happen - nonstationary macroeconomics |
0 |
0 |
1 |
33 |
0 |
0 |
7 |
134 |
| Total Working Papers |
36 |
90 |
215 |
18,904 |
64 |
246 |
911 |
56,141 |
| 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 |
2 |
7 |
383 |
1 |
6 |
23 |
1,332 |
| 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 |
2 |
3 |
268 |
| A Survey of Some Recent Econometric Methods |
0 |
1 |
7 |
217 |
0 |
6 |
17 |
444 |
| A model-based indicator of the fiscal stance |
0 |
0 |
1 |
129 |
0 |
2 |
19 |
427 |
| A simple derivation of the limited information maximum likelihood estimator |
1 |
1 |
6 |
117 |
1 |
5 |
16 |
231 |
| An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate |
1 |
1 |
2 |
98 |
1 |
1 |
6 |
247 |
| Assessing the fiscal stance in the European Union and the United States, 1970–2011 |
0 |
0 |
5 |
95 |
0 |
0 |
11 |
228 |
| Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis |
1 |
1 |
3 |
179 |
1 |
4 |
11 |
406 |
| Dynamic Specification, the Long-run and the Estimation of Transformed |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
154 |
| Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ |
0 |
0 |
0 |
13 |
0 |
2 |
5 |
64 |
| Estimating shocks and impulse response functions |
0 |
0 |
1 |
1,937 |
0 |
0 |
6 |
4,485 |
| Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 |
0 |
0 |
0 |
118 |
0 |
0 |
5 |
307 |
| Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure |
0 |
0 |
0 |
0 |
0 |
3 |
6 |
612 |
| Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework |
0 |
0 |
3 |
121 |
0 |
1 |
11 |
358 |
| Forecasting inflation from the term structure |
0 |
0 |
0 |
85 |
0 |
2 |
5 |
210 |
| How Useful are DSGE Macroeconomic Models for Forecasting? |
1 |
1 |
6 |
70 |
1 |
5 |
21 |
217 |
| How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference |
1 |
3 |
7 |
64 |
2 |
6 |
21 |
195 |
| How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings |
0 |
0 |
0 |
32 |
0 |
2 |
4 |
123 |
| Interpreting cointegrating vectors and common stochastic trends |
0 |
1 |
3 |
239 |
1 |
2 |
11 |
495 |
| Is the Euro the Success that Everyone Seems to Think? |
0 |
0 |
0 |
27 |
1 |
2 |
4 |
83 |
| Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? |
0 |
0 |
0 |
264 |
0 |
2 |
2 |
909 |
| Macroeconomic Sources of Risk in the Term Structure |
0 |
0 |
0 |
58 |
2 |
3 |
4 |
193 |
| Macroeconomic influences on optimal asset allocation |
0 |
0 |
0 |
134 |
0 |
0 |
2 |
308 |
| Measuring Convergence of the EC Economies |
0 |
0 |
0 |
0 |
3 |
5 |
27 |
881 |
| Measuring Economic Convergence |
0 |
0 |
0 |
335 |
1 |
1 |
10 |
665 |
| Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems |
0 |
0 |
0 |
1 |
0 |
2 |
3 |
143 |
| Modelling the U.S. sovereign credit rating |
1 |
1 |
2 |
18 |
2 |
4 |
8 |
86 |
| OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME‐VARYING RISK |
0 |
0 |
0 |
77 |
0 |
1 |
1 |
192 |
| Optimal monetary policy using an unrestricted VAR |
1 |
1 |
3 |
50 |
1 |
1 |
6 |
103 |
| Papers in Honor of Patrick Minford |
0 |
0 |
2 |
27 |
4 |
10 |
30 |
100 |
| Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics |
0 |
0 |
0 |
70 |
0 |
0 |
1 |
153 |
| Some Unpleasant Consequences of EMU |
0 |
0 |
2 |
83 |
0 |
0 |
3 |
182 |
| Stochastic Life Cycle Theory with Varying Interest Rates and Prices |
0 |
0 |
0 |
40 |
0 |
1 |
1 |
137 |
| Testing a DSGE Model of the EU Using Indirect Inference |
0 |
0 |
0 |
43 |
0 |
3 |
4 |
125 |
| The 'Puzzles' methodology: En route to Indirect Inference? |
1 |
1 |
1 |
37 |
1 |
2 |
4 |
115 |
| The Bank of England's Monetary Policy Committee |
0 |
0 |
0 |
13 |
1 |
3 |
14 |
44 |
| The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors |
0 |
0 |
0 |
57 |
0 |
0 |
3 |
233 |
| 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 |
1 |
71 |
| The Econometrics of Agricultural Supply: An Application to the World Coffee Market |
1 |
1 |
4 |
166 |
1 |
1 |
11 |
402 |
| The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 |
0 |
0 |
7 |
97 |
1 |
2 |
20 |
213 |
| The equity premium and the business cycle: the role of demand and supply shocks |
0 |
0 |
3 |
62 |
0 |
2 |
7 |
160 |
| The persistence in volatility of the US term premium 1970-1986 |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
78 |
| The sustainability of current account deficits: A test of the US intertemporal budget constraint |
0 |
2 |
6 |
318 |
0 |
2 |
12 |
676 |
| Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference |
0 |
0 |
2 |
23 |
1 |
4 |
11 |
85 |
| Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? |
0 |
1 |
1 |
14 |
0 |
1 |
3 |
44 |
| What do the Fama–French factors add to C-CAPM? |
0 |
0 |
1 |
42 |
0 |
0 |
3 |
175 |
| What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 |
0 |
1 |
4 |
103 |
1 |
3 |
8 |
248 |
| Total Journal Articles |
10 |
19 |
89 |
6,191 |
28 |
105 |
406 |
17,690 |
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