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Michael Wickens

University of York

Emeritus Professor of Economics

Heslington

York, YO10 5DD

United Kingdom

Cardiff Business School

Professor of Economics

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5

Munich, DE-81679

Germany

  • University of York

    • Email
    • Tel: +44 1904 433 764
    • Fax: +44 1904 433 575
SCHOLARLY PAPERS

45

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4,534

TOTAL CITATIONS
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Top 11,732

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56

Scholarly Papers (45)

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1.

Macroeconomic Sources of Forex Risk

Downloads 1,699 (26,057)
Citation 9

Macroeconomic Sources of Forex Risk

Univ. of York Econ. Discussion Paper No. 2001/13
Number of pages: 47 Posted: 16 Oct 2001
Michael Wickens, Michael Wickens and Peter N. Smith
University of YorkCardiff Business School and University of York - Department of Economics and Related Studies
Downloads 1,661 (26,499)
Citation 9

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FOREX, Market efficiency, risk premium, stochastic discount factors, GARCH

Macroeconomic Sources of Forex Risk

Number of pages: 49 Posted: 05 Feb 2002
Peter N. Smith, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 38 (1,238,337)
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FOREX, market efficiency, risk premium, stochastic discount factors, GARCH

2.

Asset Pricing with Observable Discount Factors

U of York, Economics Discussion Paper No. 2002/03
Number of pages: 52 Posted: 27 Mar 2002
Peter N. Smith, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 459 (155,822)
Citation 3

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Asset Pricing, Stochastic Discount Factors, Forex, Equity, Term Structure, Affine Factor Models, Consumption CAPM, Financial Econometrics, GARCH

3.

Macroeconomic Sources of Risk in the Term Structure

Number of pages: 49 Posted: 26 Nov 2004
Michael Wickens, Michael Wickens and Hiona Balfoussia
University of YorkCardiff Business School and Bank of Greece
Downloads 363 (205,172)
Citation 2

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term structure, the stochastic discount factor model, term premia, GARCH

4.

Pension Systems (Un)Sustainability and Fiscal Constraints: A Comparative Analysis

CESifo Working Paper No. 10487
Number of pages: 52 Posted: 09 Jun 2023
Burkhard Heer, Vito Polito, Michael Wickens and Michael Wickens
University of Augsburg, University of Sheffield and University of YorkCardiff Business School
Downloads 337 (221,994)

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ageing, fiscal space, public pension sustainability, overlapping generations model

5.

What Do the Fama-French Factors Add to C-CAPM?

Downloads 302 (251,365)

What Do the Fama-French Factors Add to C-CAPM?

CESifo Working Paper Series No. 4197
Number of pages: 25 Posted: 24 Apr 2013
Pongrapeeporn Abhakorn, Peter N. Smith, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 135 (545,263)

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C-CAPM, asset pricing, Fama-French factors

What Do the Fama-French Factors Add to C-CAPM?

Number of pages: 26 Posted: 16 May 2013
Pongrapeeporn Abhakorn, Peter N. Smith, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 104 (674,237)

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What Do the Fama-French Factors Add to C-CAPM?

CAMA Working Paper 23/2013
Number of pages: 26 Posted: 08 Jun 2013
Pongrapeeporn Abhakorn, Peter N. Smith, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 63 (947,975)

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6.

What Was the Market's View of U.K. Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

FRB of New York Staff Report No. 57
Number of pages: 45 Posted: 15 Oct 2006
Eli M. Remolona, Michael Wickens, Michael Wickens and Frank F. Gong
Bank for International Settlements (BIS) - Monetary and Economic Department, University of YorkCardiff Business School and Bank of America - Bank of America, Hong Kong
Downloads 267 (284,962)
Citation 17

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inflation risk, expected inflation, indexed bonds, affine yields and monetary policy

7.

The Asymmetric Effect of the Business Cycle on the Relation between Stock Market Returns and Their Volatility

University of York, Discussion Paper No. 2006/03
Number of pages: 37 Posted: 03 Mar 2005
Peter N. Smith, Steffen Sorensen, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of YorkCardiff Business School
Downloads 255 (300,076)

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Stock returns, asymmetry

8.

Pension Systems (Un)Sustainability and Fiscal Constraints: A Comparative Analysis

Downloads 150 (494,203)

Pension Systems (Un)Sustainability and Fiscal Constraints: A Comparative Analysis

Number of pages: 83 Posted: 28 Dec 2023
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 85 (779,641)

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Ageing, Fiscal Space, Public Pension Sustainability, Overlapping Generations Model.

Pension Systems (Un)Sustainability and Fiscal Constraints: A Comparative Analysis

Number of pages: 46 Posted: 29 Jul 2024
Michael Wickens, Michael Wickens, Vito Polito and Burkhard Heer
University of YorkCardiff Business School, University of Sheffield and University of Augsburg
Downloads 39 (1,224,220)

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Ageing, Fiscal Space, Public Pension Sustainability, Overlapping Generations Model.

Pension Systems (Un)Sustainability and Fiscal Constraints: A Comparative Analysis

Number of pages: 48 Posted: 18 Oct 2024
Burkhard Heer, Vito Polito, Michael Wickens and Michael Wickens
University of Augsburg, University of Sheffield and University of YorkCardiff Business School
Downloads 26 (1,415,710)

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Ageing, Fiscal Space, Public Pension Sustainability, Overlapping Generations Model.

9.

Population Aging, Social Security and Fiscal Limits

Downloads 119 (604,538)
Citation 1

Population Aging, Social Security and Fiscal Limits

CESifo Working Paper Series No. 7121
Number of pages: 50 Posted: 23 Aug 2018
Burkhard Heer, Vito Polito, Michael Wickens and Michael Wickens
University of Augsburg, Cardiff Business School and University of YorkCardiff Business School
Downloads 117 (616,074)
Citation 1

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dependency ratio, fiscal space, Laffer effects, pensions, fiscal policy sustainability

Population Aging, Social Security and Fiscal Limits

CEPR Discussion Paper No. DP11978
Number of pages: 50 Posted: 25 Apr 2017
Burkhard Heer, Vito Polito, Michael Wickens and Michael Wickens
University of Augsburg, University of Bath and University of YorkCardiff Business School
Downloads 2 (1,657,086)
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Dependency Ratio, Fiscal space, Laffer Effects, Pensions

10.

Can Stochastic Discount Factor Models Explain the Cross Section of Equity Returns?

Number of pages: 29 Posted: 27 Jan 2016
Pongrapeeporn Abhakorn, Peter N. Smith, Michael Wickens and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of YorkCardiff Business School
Downloads 117 (608,822)

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Risk Premium; Equity Return; Stochastic Discount Factor; No-arbitrage Condition

11.

Checking if the Straitjacket Fits

Downloads 89 (747,755)
Citation 6

Checking if the Straitjacket Fits

CAMA Working Paper No. 81/2019
Number of pages: 28 Posted: 12 Nov 2019
Adrian Pagan, Michael Wickens and Michael Wickens
University of Sydney and University of YorkCardiff Business School
Downloads 84 (785,882)
Citation 6

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Checking If the Straitjacket Fits

CEPR Discussion Paper No. DP14140
Number of pages: 28 Posted: 04 Dec 2019
Adrian Pagan, Michael Wickens and Michael Wickens
University of Sydney and University of YorkCardiff Business School
Downloads 5 (1,640,921)
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DSGE models, Model testing, SVARs

12.

Macroeconomic Influences on Optimal Asset Allocation

Number of pages: 44 Posted: 14 Feb 2002
Thomas Flavin, Michael Wickens and Michael Wickens
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics, Finance and Accounting and University of YorkCardiff Business School
Downloads 76 (830,555)
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Asset allocation, macroeconomic effects, multivariate GARCH

13.

Measuring Fiscal Sustainability

CEPR Discussion Paper No. 5312
Number of pages: 56 Posted: 30 Dec 2005
Vito Polito, Michael Wickens and Michael Wickens
University of Bath and University of YorkCardiff Business School
Downloads 66 (907,769)
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Budget deficits, government debt, fiscal sustainability, VAR analysis, economic policy

14.

A DSGE Model of Banks and Financial Intermediation with Default Risk

CEPR Discussion Paper No. DP8556
Number of pages: 25 Posted: 16 Sep 2011
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 31 (1,304,549)
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Default, Financial crisis, Financial intermediation, Liquidity shortages, Risk

15.

Microeconomic Sources of Equity Risk

Number of pages: 35 Posted: 19 Nov 2003
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 23 (1,411,822)
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Equity risk premium, stochastic discount factor model, consumption CAPM, multivariate garch with no-arbitrage, Epstein-Zin model

16.

How Useful are DSGE Macroeconomic Models for Forecasting?

CEPR Discussion Paper No. DP9049
Number of pages: 35 Posted: 28 Sep 2012
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 20 (1,448,301)
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DSGE models, Forecasting, VAR models

17.

Modelling the U.S. Sovereign Credit Rating

CEPR Discussion Paper No. DP9150
Number of pages: 50 Posted: 02 Oct 2012
Vito Polito, Michael Wickens and Michael Wickens
Cardiff Business School and University of YorkCardiff Business School
Downloads 19 (1,459,862)
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Credit risk, default probability, fiscal limits, Sovereign risk

18.

How the Euro Crisis Evolved and How to Avoid Another: EMU, Fiscal Policy and Credit Ratings

CEPR Discussion Paper No. DP9521
Number of pages: 20 Posted: 25 Jun 2013
Vito Polito, Michael Wickens and Michael Wickens
Cardiff Business School and University of YorkCardiff Business School
Downloads 11 (1,534,404)
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credit ratings, EMU, euro crisis, fiscal policy

19.

Is the Euro Sustainable?

CEPR Discussion Paper No. DP6337
Number of pages: 22 Posted: 27 May 2008
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 11 (1,541,665)
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ECB, euro, inflation, monetary policy

20.

Why Crises Happen - Nonstationary Macroeconomics

CEPR Discussion Paper No. DP8157
Number of pages: 30 Posted: 27 Dec 2010
James Davidson, David Meenagh, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 9 (1,548,648)
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banking crisis, banking regulation, Bootstrap, Indirect Inference, Nonstationarity, Productivity, Real Business Cycle

21.

Optimal Monetary Policy Using a VAR

CEPR Discussion Paper No. DP6957
Number of pages: 44 Posted: 02 Dec 2008
Vito Polito, Michael Wickens and Michael Wickens
University of Bath and University of YorkCardiff Business School
Downloads 9 (1,555,090)
Citation 1
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monetary policy, optimal control, VAR models

22.

Idiosyncratic Shocks: A New Procedure for Identifying Shocks in a VAR with Application to the New Keynesian Model

CEPR Discussion Paper No. DP13613
Number of pages: 17 Posted: 27 Mar 2019 Last Revised: 01 Apr 2019
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 8 (1,555,090)
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Macroeconomic Shocks, New Keynesian Model, VAR analysis

23.

Sovereign Credit Ratings in the European Union: A Model-Based Fiscal Analysis

CEPR Discussion Paper No. DP9665
Number of pages: 44 Posted: 30 Sep 2013
Vito Polito, Michael Wickens and Michael Wickens
Cardiff Business School and University of YorkCardiff Business School
Downloads 7 (1,561,096)
Citation 1
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credit risk, default probability, fiscal policy, sovereign risk

24.

Is the UK Triple-A?

CEPR Discussion Paper No. DP9378
Number of pages: 39 Posted: 12 Mar 2013
Vito Polito, Michael Wickens and Michael Wickens
Cardiff Business School and University of YorkCardiff Business School
Downloads 7 (1,561,096)
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credit ratings, debt default

25.

The Equity Premium and the Business Cycle: The Role of Demand and Supply Shocks

CEPR Discussion Paper No. DP7227
Number of pages: 34 Posted: 07 Apr 2009
Peter N. Smith, Steffen Sorensen, Michael Wickens and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of YorkCardiff Business School
Downloads 7 (1,566,597)
Citation 1
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business cycles, demand and supply shocks, equity premium, stock returns

26.

Forward Interest Rates as Predictors of Future US and UK Spot Rates Before and after the 2008 Financial Crisis

CEPR Discussion Paper No. DP14800
Number of pages: 28 Posted: 28 May 2020
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 6 (1,566,597)
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27.

How Did We Get to Where We are Now? Reflections on 50 Years of Macroeconomic and Financial Econometrics

CEPR Discussion Paper No. DP10197
Number of pages: 53 Posted: 14 Oct 2014
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 6 (1,566,597)
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asset price modelling, DSGE modelling, theory and evidence in economics, time series modelling

28.

Testing Macroeconomic Models by Indirect Inference on Unfiltered Data

CEPR Discussion Paper No. DP9058
Number of pages: 23 Posted: 28 Sep 2012
David Meenagh, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 6 (1,566,597)
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Bootstrap, DSGE, indirect inference, Monte Carlo, VECM

29.

How Much Nominal Rigidity is There in the US Economy? Testing a New Keynesian DSGE Model Using Indirect Inference

CEPR Discussion Paper No. DP7537
Number of pages: 28 Posted: 17 Nov 2009
Vo Phuong Mai Le, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 6 (1,566,597)
Citation 5
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Bootstrap, DSGE, grea moderation, indirect inference, New Classical, New Keynesian, regime change, structural break, US Model, VAR, Wald statistic

30.

Two Orthogonal Continents? Testing a Two-Country DSGE Model of the US and EU Using Indirect Inference

CEPR Discussion Paper No. DP7385
Number of pages: 26 Posted: 26 Aug 2009
Vo Phuong Mai Le, David Meenagh, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 6 (1,571,455)
Citation 4
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Bootstrap, DSGE, indirect inference, New Classical, New Keynesian, Open economy model, VAR, Wald statistic

31.

Comparing Different Data Descriptors in Indirect Inference Tests on DSGE Models

CEPR Discussion Paper No. DP11816
Number of pages: 14 Posted: 14 May 2021
Patrick Minford, Michael Wickens, Michael Wickens and Yongdeng Xu
Cardiff University Business School, University of YorkCardiff Business School and Cardiff University - Cardiff Business School - Economics Section
Downloads 5 (1,571,455)
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32.

Some Problems in the Testing of DSGE Models

CEPR Discussion Paper No. DP7621
Number of pages: 9 Posted: 18 Jan 2010
Vo Phuong Mai Le, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 5 (1,571,455)
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anomaly, Boostrap, DSGE, indirect inference, puzzle, US-EU model, VAR, Wald statistic

33.

The 'Puzzles' Methodology: En Route to Indirect Inference?

CEPR Discussion Paper No. DP7539
Number of pages: 26 Posted: 17 Nov 2009
Vo Phuong Mai Le, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 5 (1,571,455)
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anomaly, Bootstrap, DSGE, indirect inference, puzzle, US-EU Model, VAR, Wald statistic

34.

How Might the UK's Debt-GDP Ratio Be Reduced? Evidence from the Last 120 Years

CEPR Discussion Paper No. DP17172
Number of pages: 23 Posted: 27 May 2022
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 4 (1,575,921)
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Debt-GDP ratio, growth, inflation, primary deficit

35.

Testing Macro Models by Indirect Inference: A Survey for Users

CEPR Discussion Paper No. DP10766
Number of pages: 31 Posted: 18 Aug 2015
Vo Phuong Mai Le, David Meenagh, Patrick Minford, Michael Wickens, Michael Wickens and Yongdeng Xu
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School, University of YorkCardiff Business School and Cardiff University - Cardiff Business School - Economics Section
Downloads 4 (1,575,921)
Citation 6
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bootstrap, DSGE, indirect inference, likelihood ratio, New Classical, New Keynesian, Wald Statistic

36.

Testing DSGE Models by Indirect Inference and Other Methods: Some Monte Carlo Experiments

CEPR Discussion Paper No. DP9056
Number of pages: 26 Posted: 28 Sep 2012
Vo Phuong Mai Le, David Meenagh, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 4 (1,575,921)
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Bootstrap, DSGE, DSGE-VAR weight, indirect inference, likelihood ratio, New Classical, New Keynesian, Wald statistic

37.

The Eurozone: What is to Be Done?

CEPR Discussion Paper No. DP16313
Number of pages: 30 Posted: 14 Jul 2021
Patrick Minford, Zhirong Ou, Michael Wickens, Michael Wickens and Zheyi Zhu
Cardiff University Business School, Cardiff University - Cardiff Business School, University of YorkCardiff Business School and Cardiff University
Downloads 3 (1,579,934)
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38.

Estimating Macro Models and the Potentially Misleading Nature of Bayesian Estimation

CEPR Discussion Paper No. DP15684
Number of pages: 11 Posted: 11 Feb 2021
David Meenagh, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 3 (1,579,934)
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39.

Is There an Alternative Way to Avoid Another Eurozone Crisis to the Five Presidents' Report?

CEPR Discussion Paper No. DP11225
Number of pages: 28 Posted: 18 Apr 2016
Michael Wickens and Michael Wickens
University of YorkCardiff Business School
Downloads 3 (1,579,934)
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eurozone crisis, financial markets, Fiscal policy, Monetary policy, pricing risk

40.

A Monte Carlo Procedure for Checking Identification in DSGE Models

CEPR Discussion Paper No. DP9411
Number of pages: 21 Posted: 03 Apr 2013
Vo Phuong Mai Le, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 3 (1,579,934)
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DSGE Model, Indirect Inference, Monte Carlo

41.

Comparing Indirect Inference and Likelihood Testing: Asymptotic and Small Sample Results

CEPR Discussion Paper No. DP10765
Number of pages: 20 Posted: 18 Aug 2015
David Meenagh, Patrick Minford, Michael Wickens, Michael Wickens and Yongdeng Xu
Cardiff University Business School, Cardiff University Business School, University of YorkCardiff Business School and Cardiff University - Cardiff Business School - Economics Section
Downloads 2 (1,584,314)
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DSGE model, error processes, indirect inference, likelihood ratio, structural parameters

42.

Small Sample Performance of Indirect Inference on DSGE Models

CEPR Discussion Paper No. DP10382
Number of pages: 42 Posted: 02 Feb 2015
Vo Phuong Mai Le, David Meenagh, Patrick Minford, Michael Wickens and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of YorkCardiff Business School
Downloads 2 (1,584,314)
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bootstrap, DSGE, indirect inference, likelihood ratio, new classical, new Keynesian, Wald statistic

43.

The Rational Expectations Hypothesis of the Term Structure: The Evidence

London Business School Institute of Finance and Accounting Working Paper 185
Posted: 16 Sep 1999
Elias Tzavalis, Michael Wickens and Michael Wickens
University of London - Queen Mary - Department of Economics and University of YorkCardiff Business School

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44.

What Was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

CEPR Discussion Paper No. 2022
Posted: 31 Dec 1998
Frank F. Gong, Michael Wickens, Michael Wickens and Eli M. Remolona
Bank of America - Bank of America, Hong Kong, University of YorkCardiff Business School and Bank for International Settlements (BIS) - Monetary and Economic Department

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45.

Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure

JOURNAL OF MONEY, CREDIT, AND BANKING, Vol 28 No 3, August 1997
Posted: 07 Apr 1997
Elias Tzavalis, Michael Wickens and Michael Wickens
University of London - Queen Mary - Department of Economics and University of YorkCardiff Business School

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