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 1 1 7 880 1 1 10 1,931
A Cross Section of Equity Returns: The No-Arbitrage Test 0 0 2 16 1 1 9 135
A DSGE model of banks and financial intermediation with default risk 0 2 14 535 0 5 31 720
A Monte Carlo procedure for checking identification in DSGE models 0 0 0 62 0 1 3 60
A Monte Carlo procedure for checking identification in DSGE models 0 2 6 95 1 3 12 148
A Risk Management Approach to Optimal Asset Allocation 2 2 8 357 3 3 15 981
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors 0 0 0 219 0 0 12 982
An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate 0 0 4 115 0 0 7 719
Asset Pricing with Observable Stochastic Discount Factors 0 1 6 1,898 1 4 18 6,821
Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium 0 0 0 150 1 1 1 601
Comparing Indirect Inference and Likelihood testing: asymptotic and small sample results 0 0 1 27 1 3 10 46
Comparing different data descriptors in Indirect Inference tests on DSGE models 1 2 8 93 2 4 18 68
Consumption, Size and Book-to-Market Ratio in Equity Returns 0 2 4 26 0 3 18 183
Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen 0 0 0 76 3 4 10 312
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 0 0 3 336 0 0 9 910
Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis 0 0 2 493 0 3 17 1,182
Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models 2 2 15 303 2 4 27 814
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 0 204
Forecasting Inflation from the Term Structure 0 0 0 0 0 0 5 428
Global Asset Allocation with Time-varying Risk 0 0 2 324 0 0 7 915
How Useful are DSGE Macroeconomic Models for Forecasting? 0 1 8 197 0 1 19 308
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 0 0 54 1 1 3 36
How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics 0 2 9 508 4 10 33 260
How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference 1 1 1 59 2 3 8 234
How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference 1 4 8 148 2 6 17 313
How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 2 7 110 0 5 11 142
Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 117 1 1 2 560
International CAPM: Why Has it Failed? 0 0 9 1,153 0 0 16 3,693
Is the Euro Sustainable? 0 0 4 202 0 1 14 588
Is the Euro Sustainable? 0 0 3 155 0 0 5 335
Is the UK triple-A? 0 0 5 48 0 2 16 122
Macroeconomic Influences on Optimal Asset Allocation 0 1 4 438 0 1 12 1,018
Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market 0 0 0 0 0 2 4 352
Macroeconomic Sources of Equity Risk 1 1 5 591 4 10 30 2,163
Macroeconomic Sources of FOREX Risk 0 0 5 463 1 1 20 1,404
Macroeconomic Sources of Risk in the Term Structure 0 0 3 132 1 2 6 362
Macroeconomic Sources of Risk in the Term Structure 0 0 1 101 1 2 4 251
Measuring Fiscal Sustainability 0 1 9 1,483 0 2 21 3,350
Measuring Fiscal Sustainability 0 0 4 106 0 0 9 271
Measuring the Fiscal Stance 0 2 33 607 1 18 159 2,153
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 2 569
Modelling the U.S. sovereign credit rating 0 0 4 45 0 1 9 109
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 0 0 3 764 0 0 11 2,135
Optimal Monetary Policy using a VAR 0 1 5 171 0 1 6 367
Rational Expectations and Exchange Rate Dynamics 0 1 4 788 0 1 10 2,845
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 3 8 150
Small sample performance of indirect inference on DSGE models 0 0 3 69 1 2 9 95
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 2 6 158
Sovereign credit ratings in the European Union: a model-based fiscal analysis 0 0 4 106 0 3 21 136
THE ASYMMETRIC EFFECT OF THE BUSINESS CYCLE ON THE RELATION BETWEEN STOCK MARKET RETURNS AND THEIR VOLATILITY 0 0 2 169 0 0 5 468
Testing DSGE Models by indirect inference: a survey of recent findings 5 34 34 34 5 19 19 19
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 1 42 0 0 4 104
Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments 0 0 2 130 0 1 7 280
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 21 0 0 4 72
Testing a DSGE model of the EU using indirect inference 0 0 1 85 0 0 1 171
Testing macro models by indirect inference: a survey for users 0 2 7 58 0 3 16 77
Testing macroeconomic models by indirect inference on unfiltered data 0 0 0 38 0 0 4 93
Testing macroeconomic models by indirect inference on unfiltered data 0 0 1 94 0 2 10 170
Testing part of a DSGE model by Indirect Inference 0 2 14 109 2 9 43 80
The 'Puzzles' Methodology: en route to Indirect Inference? 0 0 0 34 0 1 4 100
The 'Puzzles' methodology: en route to Indirect Inference? 0 2 2 70 0 3 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 1 10 366
The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility 0 1 1 164 0 1 3 526
The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks 1 1 3 133 1 1 13 342
The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods 0 0 0 62 1 1 1 200
The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting? 0 1 2 293 0 1 14 846
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 3 315
The asymmetric effect of the business cycle on the relation between stock market returns and their volatility 0 1 1 70 0 1 8 206
The small sample properties of Indirect Inference in testing and estimating DSGE models 5 9 51 51 7 14 36 36
The ‘Puzzles’ Methodology: En Route to Indirect Inference? 0 0 1 78 0 1 8 300
Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 2 106 1 2 7 244
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference 0 0 1 38 0 0 2 100
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 1 6 51 1 5 20 226
What do the Fama-French factors add to CCAPM? 0 0 2 91 1 2 12 233
What is the truth about DSGE models? Testing by indirect inference 1 3 20 88 2 9 41 107
What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds 0 1 2 207 0 1 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 0 0 3 883
Why crises happen - nonstationary macroeconomics 0 1 5 231 1 6 18 330
Why crises happen - nonstationary macroeconomics 0 0 0 30 0 1 3 111
Total Working Papers 21 90 392 18,189 58 206 1,068 52,622


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 3 80
A Note on the Use of Proxy Variables 0 0 10 361 0 0 16 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 0 4 260
A Survey of Some Recent Econometric Methods 0 1 4 192 0 4 20 384
A model-based indicator of the fiscal stance 1 2 17 105 2 7 38 353
A simple derivation of the limited information maximum likelihood estimator 0 0 4 99 0 1 5 197
An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate 0 0 4 90 1 3 7 221
Assessing the fiscal stance in the European Union and the United States, 1970–2011 0 0 3 86 1 2 13 195
Asset Pricing with Observable Stochastic Discount Factors 0 1 2 152 0 1 4 389
Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis 0 1 3 166 1 6 12 367
Dynamic Specification, the Long-run and the Estimation of Transformed 0 0 0 0 1 3 5 140
Erratum to: ‘Assessing the fiscal stance in the European Union and the United States, 1970–2011’ 0 0 0 12 1 2 6 54
Estimating shocks and impulse response functions 0 2 6 1,930 0 3 11 4,457
Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960 0 0 0 117 1 3 4 294
Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure 0 0 0 0 0 1 5 590
Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework 0 0 0 118 1 1 2 342
Forecasting inflation from the term structure 0 0 3 82 0 0 5 192
How Useful are DSGE Macroeconomic Models for Forecasting? 0 1 6 53 0 2 20 150
How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference 1 1 5 49 3 5 18 150
How the Euro Crisis Evolved and how to Avoid Another: EMU, Fiscal Policy and Credit Ratings 0 0 3 28 1 2 16 89
Interpreting cointegrating vectors and common stochastic trends 1 4 8 231 2 6 15 460
Is the Euro the Success that Everyone Seems to Think? 0 0 3 26 1 1 4 67
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns? 0 2 6 261 1 4 16 887
Macroeconomic Sources of Risk in the Term Structure 0 0 0 57 1 3 6 183
Macroeconomic influences on optimal asset allocation 0 0 3 125 0 1 8 277
Measuring Convergence of the EC Economies 0 0 0 0 2 2 5 798
Measuring Economic Convergence 0 1 6 328 1 4 17 624
Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems 0 0 0 1 1 3 3 129
Modelling the U.S. sovereign credit rating 0 0 2 15 0 2 12 59
OPTIMAL INTERNATIONAL ASSET ALLOCATION WITH TIME-VARYING RISK 0 0 0 77 0 0 1 184
Optimal monetary policy using an unrestricted VAR 0 0 5 39 0 0 8 79
Papers in Honor of Patrick Minford 0 0 4 21 3 3 14 53
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 2 67 0 2 7 141
Some Unpleasant Consequences of EMU 0 2 2 79 0 3 5 171
Stochastic Life Cycle Theory with Varying Interest Rates and Prices 0 0 0 38 0 0 1 132
Testing a DSGE Model of the EU Using Indirect Inference 0 0 0 42 0 1 1 109
The 'Puzzles' methodology: En route to Indirect Inference? 0 1 3 35 0 2 9 104
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 0 55 0 1 2 225
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 65
The Econometrics of Agricultural Supply: An Application to the World Coffee Market 0 1 2 157 1 2 8 379
The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987 0 0 4 78 2 2 10 165
The equity premium and the business cycle: the role of demand and supply shocks 1 2 4 56 1 3 7 141
The persistence in volatility of the US term premium 1970-1986 0 0 0 33 0 0 0 73
The sustainability of current account deficits: A test of the US intertemporal budget constraint 0 1 8 294 0 2 12 626
Towards a Theory of the Labour Market 0 1 1 7 0 1 3 42
Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference 0 0 1 18 0 2 4 60
Verdoorn’s Law and Kaldor’s Law: A Revisionist Interpretation? 0 0 0 12 0 1 5 37
What do the Fama–French factors add to C-CAPM? 0 1 1 41 0 3 8 163
What's Wrong with Modern Macroeconomics? Why its Critics have Missed the Point -super-1 0 2 5 92 0 3 9 220
Total Journal Articles 4 27 142 6,054 29 104 416 16,971


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 1 3 15 323 3 5 38 699
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 1 9 151 2 30 83 527
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 3 20 365 2 7 53 1,329
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 0 10 277 3 6 36 1,045
Total Chapters 2 7 54 1,116 10 48 210 3,600


Statistics updated 2018-09-04