Michael P. Clements

University of Reading - Henley Business School

Whiteknights

Reading, RG6 6BA

United Kingdom

  • University of Reading - Henley Business School

SCHOLARLY PAPERS

23

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in Total Papers Downloads

3,650

SSRN CITATIONS
Rank 15,183

SSRN RANKINGS

Top 15,183

in Total Papers Citations

23

CROSSREF CITATIONS

51

Scholarly Papers (23)

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1.

Did Quantitative Easing Only Inflate Stock Prices? Macroeconomic Evidence from the US and UK

Number of pages: 48 Posted: 14 Sep 2016 Last Revised: 23 Feb 2018
Mirco Balatti, Chris Brooks, Michael P. Clements and Konstantina Kappou
Henley Business School - ICMA Centre, University of Bristol - School of Economics, Finance and Management, University of Reading - Henley Business School and University of Reading - ICMA Centre
Downloads 1,821 (13,798)
Citation 4

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Quantitative Easing, Monetary Policy, Stock Market, Vector Autoregression

2.

Forecasting GDP Growth Rates Using Google Trends in the United States and Brazil

Number of pages: 53 Posted: 09 Jun 2021 Last Revised: 12 Oct 2022
Evripidis Bantis, Michael P. Clements and Andrew Urquhart
ICMA Centre, Henley Business School, University of Reading - Henley Business School and ICMA Centre, Henley Business School
Downloads 403 (107,683)

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Big Data, Google Search, Factor Models, Nowcasting, Variable Selection

3.

Economic Forecasting: Some Lessons from Recent Research

Number of pages: 38 Posted: 22 Sep 2003
David F. Hendry and Michael P. Clements
University of Oxford-Nuffield College and University of Reading - Henley Business School
Downloads 267 (167,336)

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Forecasting; structural breaks; model selection; forecast-error taxonomy

4.

Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

Number of pages: 36 Posted: 15 May 2014
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 213 (207,977)
Citation 7

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Ex ante and ex post uncertainty, Macro and stock market uncertainty, MIDAS models.

5.

Economic Forecasting in a Changing World

Capitalism and Society, Vol. 3, Issue 2, Article 1, 2008
Number of pages: 20 Posted: 30 Jan 2013
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford-Nuffield College
Downloads 207 (213,451)
Citation 1

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6.

Forecasting Bitcoin

Number of pages: 39 Posted: 09 Aug 2022
Jian Chen, Michael P. Clements and Andrew Urquhart
University of Reading - Henley Business School, University of Reading - Henley Business School and ICMA Centre, Henley Business School
Downloads 126 (321,766)

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Bitcoin, Jump Prediction, Particle Filter, Trading Strategy

7.

Real-Time Factor Model Forecasting and the Effects of Instability

The ICMA Centre, Henley Business School, University or Reading Discussion Paper Number: 2014-05
Number of pages: 31 Posted: 02 Jun 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 78 (439,248)
Citation 1

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Factor Models, Robust Approaches, Financial Crisis

8.

Modelling Price and Variance Jump Clustering Using the Marked Hawkes Process

Number of pages: 65 Posted: 27 Dec 2021 Last Revised: 05 Oct 2022
Jian Chen, Michael P. Clements and Andrew Urquhart
University of Reading - Henley Business School, University of Reading - Henley Business School and ICMA Centre, Henley Business School
Downloads 76 (445,666)

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Jump Clustering, Marked Hawkes Process, Self-excitation, Bayesian Inference

9.

Do US Macroeconomic Forecasters Exaggerate Their Differences?

Number of pages: 25 Posted: 16 Sep 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 57 (516,071)

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Macro-forecasting, imitative behaviour, histogram forecasts, point predictions.

10.

Assessing the Evidence of Macro-Forecaster Herding: Forecasts of Inflation and Output Growth

Number of pages: 40 Posted: 05 Nov 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 56 (520,378)
Citation 1

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macro-forecasting, imitative behaviour, private information, idiosyncratic errors

11.

Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets

Number of pages: 39 Posted: 20 Aug 2014
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 54 (528,971)
Citation 2

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Survey forecasts, data revisions, economic indicators, stock returns, macro announcements

12.

Assessing Macro Uncertainty in Real-Time When Data are Subject to Revision

Number of pages: 27 Posted: 11 Jan 2015
Michael P. Clements
University of Reading - Henley Business School
Downloads 50 (546,975)
Citation 5

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in-sample uncertainty, out-of-sample uncertainty, real-time-vintage estimation

13.

Data Revisions and Real-Time Probabilistic Forecasting of Macroeconomic Variables.

Number of pages: 37 Posted: 24 Jul 2017
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 48 (556,346)
Citation 2

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real-time forecasting, inflation and output growth predictive densities, real- time-vintages, time-varying heteroscedasticity.

14.

Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment

Number of pages: 40 Posted: 23 Mar 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 36 (620,041)

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15.

Surveys of Professionals

FRB of Cleveland Working Paper No. 22-13
Number of pages: 52 Posted: 10 May 2022
Michael P. Clements, Robert W. Rich and Joseph S. Tracy
University of Reading - Henley Business School, Federal Reserve Banks - Federal Reserve Bank of Cleveland and National Bureau of Economic Research (NBER)
Downloads 31 (650,936)

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economic forecasting, survey expectations, data collection and modeling, quantitative methods

16.

Forecasting Quarterly Aggregate Crime Series

Manchester School, Vol. 73, No. 6, pp. 709-727, December 2005
Number of pages: 19 Posted: 23 Dec 2005
Michael P. Clements and Robert Witt
University of Reading - Henley Business School and University of Surrey
Downloads 28 (671,545)

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17.

Rounding Behaviour of Professional Macro-Forecasters

Number of pages: 43 Posted: 28 Jul 2020
Michael P. Clements
University of Reading - Henley Business School
Downloads 25 (693,829)

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Rounding, survey expectations, uncertainty, forecast accuracy, histograms.

18.

Guest Editors' Introduction: Information in Economic Forecasting

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 713-753, December 2005
Number of pages: 41 Posted: 03 Feb 2006
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford-Nuffield College
Downloads 23 (709,576)
Citation 2

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19.

Are Macroeconomic Density Forecasts Informative?

ICMA Centre, Henley Business School Discussion Paper April 2017
Number of pages: 42 Posted: 24 Jul 2017
Michael P. Clements
University of Reading - Henley Business School
Downloads 19 (742,483)
Citation 6

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probability distribution forecasts, aggregation, Kullback-Leibler information criterion

20.

Forecasters' Disagreement About How the Economy Operates, and the Role of Long-Run Relationships

Number of pages: 48 Posted: 27 Nov 2015
Michael P. Clements
University of Reading - Henley Business School
Downloads 16 (768,981)

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Expectations formation, Equilibrium, Multivariate Disagreement.

21.

Evaluating a Model by Forecast Performance

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 931-956, December 2005
Number of pages: 26 Posted: 03 Feb 2006
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford-Nuffield College
Downloads 16 (768,981)
Citation 1

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22.

Forecasting with Difference-Stationary and Trend-Stationary Models

Posted: 27 Sep 2001
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford-Nuffield College

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Forecasting, Trend Stationarity, Difference Stationarity

23.

A Comparison of the Forecast Performance of Markov-Switching and Threshold Autoregressive Models of Us Gnp

Posted: 09 Apr 1999
Michael P. Clements and Hans-Martin Krolzig
University of Reading - Henley Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics

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Other Papers (1)

Total Downloads: 187
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1.

Macroeconomic Forecasting with Mixed Frequency Data: Forecasting Us Output Growth and Inflation

Number of pages: 35 Posted: 27 Jan 2006
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 187

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Data frequency, multiple predictors, combination, real time forecasting