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 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


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 4 345 2 4 14 773
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 3 8 187 2 8 50 767
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 6 13 391 6 23 53 1,452
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 0 5 17 303 8 31 83 1,199
Total Chapters 2 14 42 1,226 18 66 200 4,191


Statistics updated 2021-04-06