Michael P. Clements

University of Reading - Henley Business School

Whiteknights

Reading, RG6 6BA

United Kingdom

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 21,410

SSRN RANKINGS

Top 21,410

in Total Papers Downloads

4,416

SSRN CITATIONS
Rank 18,118

SSRN RANKINGS

Top 18,118

in Total Papers Citations

37

CROSSREF CITATIONS

37

Scholarly Papers (20)

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 2,173 (13,180)
Citation 4

Abstract:

Loading...

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 University of Reading - ICMA Centre
Downloads 480 (110,050)
Citation 1

Abstract:

Loading...

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 291 (192,265)

Abstract:

Loading...

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

4.

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 242 (231,346)
Citation 1

Abstract:

Loading...

5.

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 Bloomberg Economics
Downloads 239 (234,163)
Citation 8

Abstract:

Loading...

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

6.

Modelling Price and Variance Jump Clustering Using the Marked Hawkes Process

Journal of Financial Econometrics, Forthcoming
Number of pages: 51 Posted: 27 Dec 2021 Last Revised: 04 Jun 2023
Jian Chen, Michael P. Clements and Andrew Urquhart
Business School, University of Sussex, University of Reading - Henley Business School and University of Reading - ICMA Centre
Downloads 172 (316,578)

Abstract:

Loading...

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

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 115 (436,249)
Citation 1

Abstract:

Loading...

Factor Models, Robust Approaches, Financial Crisis

8.

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 Bloomberg Economics
Downloads 100 (482,531)
Citation 2

Abstract:

Loading...

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

9.

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 95 (499,074)
Citation 2

Abstract:

Loading...

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

10.

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 74 (580,199)

Abstract:

Loading...

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

11.

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 72 (588,973)
Citation 5

Abstract:

Loading...

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

12.

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 Bloomberg Economics
Downloads 67 (612,091)
Citation 2

Abstract:

Loading...

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

13.

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 Bank of Cleveland and National Bureau of Economic Research (NBER)
Downloads 66 (616,927)
Citation 1

Abstract:

Loading...

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

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 57 (663,728)

Abstract:

Loading...

15.

Do Professional Forecasters Believe in the Phillips Curve?

Number of pages: 43 Posted: 18 Jun 2023 Last Revised: 19 Jun 2023
Michael P. Clements
University of Reading - Henley Business School
Downloads 51 (704,415)
Citation 1

Abstract:

Loading...

Inflation forecasting, Phillips curve, model heterogeneity, forecast disagreement, theory consistency.

16.

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 44 (743,025)

Abstract:

Loading...

Expectations formation, Equilibrium, Multivariate Disagreement.

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 40 (771,170)

Abstract:

Loading...

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

18.

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 38 (785,502)
Citation 6

Abstract:

Loading...

probability distribution forecasts, aggregation, Kullback-Leibler information criterion

19.

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

Abstract:

Loading...

Forecasting, Trend Stationarity, Difference Stationarity

20.

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

Abstract:

Loading...

Other Papers (1)

Total Downloads: 227
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 Bloomberg Economics
Downloads 227

Abstract:

Loading...

Data frequency, multiple predictors, combination, real time forecasting