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

SCHOLARLY PAPERS

41

DOWNLOADS
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Top 17,386

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2,823

SSRN CITATIONS
Rank 7,215

SSRN RANKINGS

Top 7,215

in Total Papers Citations

7

CROSSREF CITATIONS

135

Scholarly Papers (41)

1.
Downloads 1,299 ( 14,987)
Citation 4

Macroeconomic Sources of Forex Risk

Univ. of York Econ. Discussion Paper No. 2001/13
Number of pages: 47 Posted: 16 Oct 2001
Michael Wickens and Peter N. Smith
University of York and University of York - Department of Economics and Related Studies
Downloads 1,270 (15,216)
Citation 6

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

Macroeconomic Sources of Forex Risk

CEPR Discussion Paper No. 3148
Number of pages: 49 Posted: 05 Feb 2002
Peter N. Smith and Michael Wickens
University of York - Department of Economics and Related Studies and University of York
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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 and Michael Wickens
University of York - Department of Economics and Related Studies and University of York
Downloads 370 (81,668)
Citation 1

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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

CESifo Working Paper Series No. 1329; CEIS Working Paper No. 61
Number of pages: 49 Posted: 26 Nov 2004
Michael Wickens and Hiona Balfoussia
University of York and Bank of Greece
Downloads 307 (100,758)

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

4.

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 and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of York
Downloads 207 (150,598)

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Stock returns, asymmetry

5.
Downloads 179 (172,066)
Citation 4

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 and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 90 (292,857)

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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 and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 58 (376,684)

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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 and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 31 (485,906)

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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 and Frank F. Gong
Bank for International Settlements (BIS) - Monetary and Economic Department, University of York and Bank of America - Bank of America, Hong Kong
Downloads 160 (189,602)
Citation 17

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

7.

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 and Michael Wickens
Ministry of Finance of Thailand, University of York - Department of Economics and Related Studies and University of York
Downloads 62 (359,236)

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

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 and Michael Wickens
University of Augsburg, Cardiff Business School and University of York
Downloads 44 (427,144)

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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 and Michael Wickens
University of Augsburg, University of Bath and University of York
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Dependency Ratio, Fiscal space, Laffer Effects, Pensions

9.

Macroeconomic Influences on Optimal Asset Allocation

CEPR Discussion Paper No. 3144
Number of pages: 44 Posted: 14 Feb 2002
Thomas Flavin and Michael Wickens
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics and University of York
Downloads 44 (418,977)
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Asset allocation, macroeconomic effects, multivariate GARCH

10.

Optimal International Asset Allocation With Time-Varying Risk

Scottish Journal of Political Economy, Vol. 53, No. 5, pp. 543-564, November 2006
Number of pages: 22 Posted: 13 Oct 2006
Thomas Flavin and Michael Wickens
National University of Ireland, Maynooth (NUI Maynooth) - Department of Economics and University of York
Downloads 30 (478,515)
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11.

Measuring Fiscal Sustainability

CEPR Discussion Paper No. 5312
Number of pages: 56 Posted: 30 Dec 2005
Vito Polito and Michael Wickens
University of Bath and University of York
Downloads 27 (493,938)
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Budget deficits, government debt, fiscal sustainability, VAR analysis, economic policy

12.

Microeconomic Sources of Equity Risk

CEPR Discussion Paper No. 4070
Number of pages: 35 Posted: 19 Nov 2003
Michael Wickens
University of York
Downloads 20 (534,073)
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Equity risk premium, stochastic discount factor model, consumption CAPM, multivariate garch with no-arbitrage, Epstein-Zin model

13.

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
University of York
Downloads 9 (602,736)
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Default, Financial crisis, Financial intermediation, Liquidity shortages, Risk

14.

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 and Michael Wickens
Cardiff Business School and University of York
Downloads 8 (609,448)
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credit ratings, EMU, euro crisis, fiscal policy

15.

Modelling the U.S. Sovereign Credit Rating

CEPR Discussion Paper No. DP9150
Number of pages: 50 Posted: 02 Oct 2012
Vito Polito and Michael Wickens
Cardiff Business School and University of York
Downloads 7 (615,970)
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Credit risk, default probability, fiscal limits, Sovereign risk

16.

How Useful are DSGE Macroeconomic Models for Forecasting?

CEPR Discussion Paper No. DP9049
Number of pages: 35 Posted: 28 Sep 2012
Michael Wickens
University of York
Downloads 7 (615,970)
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DSGE models, Forecasting, VAR models

17.

Is the Euro Sustainable?

CEPR Discussion Paper No. DP6337
Number of pages: 22 Posted: 27 May 2008
Michael Wickens
University of York
Downloads 7 (615,970)
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ECB, euro, inflation, monetary policy

18.
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Checking if the Straitjacket Fits

CAMA Working Paper No. 81/2019
Number of pages: 28 Posted: 12 Nov 2019
Adrian Pagan and Michael Wickens
University of Sydney and University of York
Downloads 4 (665,285)

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Checking If the Straitjacket Fits

CEPR Discussion Paper No. DP14140
Number of pages: 28 Posted: 04 Dec 2019
Adrian Pagan and Michael Wickens
University of Sydney and University of York
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DSGE models, Model testing, SVARs

19.

Is the UK Triple-A?

CEPR Discussion Paper No. DP9378
Number of pages: 39 Posted: 12 Mar 2013
Vito Polito and Michael Wickens
Cardiff Business School and University of York
Downloads 4 (636,383)
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credit ratings, debt default

20.

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 and Michael Wickens
University of York - Department of Economics and Related Studies, Moody's Investor Services and University of York
Downloads 4 (636,383)
Citation 1
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business cycles, demand and supply shocks, equity premium, stock returns

21.

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 and Michael Wickens
Cardiff Business School and University of York
Downloads 3 (644,109)
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credit risk, default probability, fiscal policy, sovereign risk

22.

Why Crises Happen - Nonstationary Macroeconomics

CEPR Discussion Paper No. DP8157
Number of pages: 30 Posted: 27 Dec 2010
Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of York
Downloads 3 (644,109)
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banking crisis, banking regulation, Bootstrap, Indirect Inference, Nonstationarity, Productivity, Real Business Cycle

23.

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 and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of York
Downloads 3 (644,109)
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anomaly, Bootstrap, DSGE, indirect inference, puzzle, US-EU Model, VAR, Wald statistic

24.

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
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of York
Downloads 3 (644,109)
Citation 1
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Bootstrap, DSGE, indirect inference, New Classical, New Keynesian, Open economy model, VAR, Wald statistic

25.

Optimal Monetary Policy Using a VAR

CEPR Discussion Paper No. DP6957
Number of pages: 44 Posted: 02 Dec 2008
Vito Polito and Michael Wickens
University of Bath and University of York
Downloads 3 (644,109)
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monetary policy, optimal control, VAR models

26.

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 and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of York
Downloads 2 (653,588)
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anomaly, Boostrap, DSGE, indirect inference, puzzle, US-EU model, VAR, Wald statistic

27.

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 and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of York
Downloads 2 (653,588)
Citation 2
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Bootstrap, DSGE, grea moderation, indirect inference, New Classical, New Keynesian, regime change, structural break, US Model, VAR, Wald statistic

28.

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
University of York
Downloads 1 (665,516)
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eurozone crisis, financial markets, Fiscal policy, Monetary policy, pricing risk

29.

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 and Michael Wickens
Cardiff University - Cardiff Business School, Cardiff University Business School and University of York
Downloads 1 (665,516)
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DSGE Model, Indirect Inference, Monte Carlo

30.

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 and Michael Wickens
Cardiff University Business School, Cardiff University Business School and University of York
Downloads 1 (665,516)
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Bootstrap, DSGE, indirect inference, Monte Carlo, VECM

31.

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
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of York
Downloads 1 (665,516)
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Bootstrap, DSGE, DSGE-VAR weight, indirect inference, likelihood ratio, New Classical, New Keynesian, Wald statistic

32.

Assessing the Fiscal Stance in the European Union and the United States, 1970–2011

Economic Policy, Vol. 26, Issue 68, pp. 599-647, 2011
Number of pages: 49 Posted: 04 Oct 2011
Vito Polito and Michael Wickens
Cardiff Business School and University of York
Downloads 1 (665,516)
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33.

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
University of York
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Macroeconomic Shocks, New Keynesian Model, VAR analysis

34.

Testing Part of a DSGE Model by Indirect Inference

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 1, pp. 178-194, 2019
Number of pages: 17 Posted: 11 Jan 2019
Patrick Minford, Michael Wickens and Yongdeng Xu
Cardiff University Business School, University of York and Cardiff University - Cardiff Business School - Economics Section
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35.

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 and Yongdeng Xu
Cardiff University Business School, Cardiff University Business School, University of York and Cardiff University - Cardiff Business School - Economics Section
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DSGE model, error processes, indirect inference, likelihood ratio, structural parameters

36.

Testing Macro Models by Indirect Inference: A Survey for Users

CEPR Discussion Paper No. DP10766
Number of pages: 31 Posted: 18 Aug 2015
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School, University of York and Cardiff University - Cardiff Business School - Economics Section
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bootstrap, DSGE, indirect inference, likelihood ratio, New Classical, New Keynesian, Wald Statistic

37.

Small Sample Performance of Indirect Inference on DSGE Models

CEPR Discussion Paper No. DP10382
Number of pages: 42 Posted: 02 Feb 2015
Cardiff University - Cardiff Business School, Cardiff University Business School, Cardiff University Business School and University of York
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bootstrap, DSGE, indirect inference, likelihood ratio, new classical, new Keynesian, Wald statistic

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
University of York
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asset price modelling, DSGE modelling, theory and evidence in economics, time series modelling

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

The Manchester School, Vol. 83, pp. 60-82, 2015
Number of pages: 23 Posted: 27 Aug 2015
Michael Wickens
University of York
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39.

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 and Michael Wickens
University of London - Queen Mary - Department of Economics and University of York

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40.

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 and Eli M. Remolona
Bank of America - Bank of America, Hong Kong, University of York and Bank for International Settlements (BIS) - Monetary and Economic Department

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41.

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 and Michael Wickens
University of London - Queen Mary - Department of Economics and University of York

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