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 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


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 2 2 4 349 4 10 21 789
Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 3 13 196 4 21 66 819
The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 2 15 396 5 13 68 1,482
The Decentralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach 1 2 15 307 2 10 81 1,229
Total Chapters 5 9 47 1,248 15 54 236 4,319


Statistics updated 2021-10-04