Alexander Michaelides

Centre for Economic Policy Research (CEPR)

Research Affiliate

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

Imperial College Business School

Professor

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

32

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CITATIONS
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356

Scholarly Papers (32)

1.
Downloads 950 ( 17,514)
Citation 42

Portfolio Choice and Liquidity Constraints

Number of pages: 41 Posted: 03 Jan 2000
Alexander Michaelides and Michael Haliassos
Imperial College Business School and Goethe University Frankfurt - House of Finance
Downloads 887 (19,054)
Citation 42

Abstract:

Portfolio Choice and Liquidity Constraints

International Economic Review, Vol. 44, No. 1, pp. 143-177, February 2003
Number of pages: 35 Posted: 13 May 2003
Alexander Michaelides and Michael Haliassos
Imperial College Business School and Goethe University Frankfurt - House of Finance
Downloads 41 (345,706)
Citation 42

Abstract:

Portfolio Choice and Liquidity Constraints

CEPR Discussion Paper No. 2822
Number of pages: 47 Posted: 07 Jun 2001
Alexander Michaelides and Michael Haliassos
Imperial College Business School and Goethe University Frankfurt - House of Finance
Downloads 22 (428,502)
Citation 42

Abstract:

Buffer stock saving, entry costs, liquidity constraints, portfolio choice, precautionary saving

Portfolio Choice and Liquidity Constraints

International Economic Review, Forthcoming
Posted: 25 Sep 2001
Alexander Michaelides and Michael Haliassos
Imperial College Business School and Goethe University Frankfurt - House of Finance

Abstract:

Precautionary Saving, Portfolio Choice, Liquidity Constraints, Buffer Stock Saving, Entry Costs

2.

Calibration and Computation of Household Portfolio Models

University of Cyprus Department of Economics Working Paper No. 00-04
Number of pages: 55 Posted: 16 Oct 2000
Alexander Michaelides and Michael Haliassos
Imperial College Business School and Goethe University Frankfurt - House of Finance
Downloads 826 (20,970)
Citation 11

Abstract:

Precautionary saving, portfolio choice, liquidity constraints, preference specifications, buffer stock saving, calibration, computational methods

The Adverse Effects of Systematic Leakage Ahead of Official Sovereign Debt Rating Announcements

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81 Posted: 17 Dec 2011 Last Revised: 16 Sep 2014
Imperial College Business School, University of Cyprus - Department of Accounting and Finance, University of Cyprus - Department of Accounting and Finance and University of Cyprus - Department of Public and Business Administration
Downloads 517 (40,450)
Citation 1

Abstract:

sovereign ratings, event studies, institutional quality, information leakage, TRMI

Sovereign Debt Rating Changes and the Stock Market

CEPR Discussion Paper No. DP8743
Number of pages: 54 Posted: 20 Jan 2012
Imperial College Business School, University of Cyprus - Department of Accounting and Finance, University of Cyprus - Department of Accounting and Finance and University of Cyprus - Department of Public and Business Administration
Downloads 9 (502,089)
Citation 1

Abstract:

event studies, institutional quality., international finance, sovereign ratings

Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence

Number of pages: 50 Posted: 26 May 2003
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 464 (46,474)
Citation 101

Abstract:

Life-Cycle Models, Portfolio Choice, Preference Heterogeneity, Liquidity Constraints, Stock Market Participation, Uninsurable Labor Income Risk

Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence

CEPR Discussion Paper No. 4853
Number of pages: 65 Posted: 11 May 2005
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 31 (383,466)
Citation 101

Abstract:

Life-cycle models, portfolio choice, preference heterogeneity, liquidity constraints, stock market participation, uninsurable labor income risk

5.

Life-Cycle Asset Allocation: A Model with Borrowing Constraints, Uninsurable Labor Income Risk and Stock-Market Participation Costs

Number of pages: 46 Posted: 08 Feb 2002
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 414 (52,076)
Citation 8

Abstract:

Life-Cycle Asset Allocation, Liquidity Constraints, Stock Market Participation Costs, Uninsurable Labor Income Risk

International Portfolio Choice, Liquidity Constraints and the Home Equity Bias Puzzle

Number of pages: 48 Posted: 21 Dec 2000
Alexander Michaelides
Imperial College Business School
Downloads 390 (57,576)
Citation 10

Abstract:

International portfolio choice, home equity bias, liquidity constraints, information costs

International Portfolio Choice, Liquidity Constraints and the Home Equity Bias Puzzle

CEPR Discussion Paper No. 3066
Number of pages: 37 Posted: 30 Nov 2001
Alexander Michaelides
Imperial College Business School
Downloads 22 (428,502)
Citation 10

Abstract:

International portfolio choice, home equity bias, liquidity constraints, information costs

Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion

Number of pages: 49 Posted: 18 Jul 2000
Alexander Michaelides
Imperial College Business School
Downloads 369 (61,466)
Citation 6

Abstract:

Portfolio choice, liquidity constraints, buffer stock saving, stock market mean reversion, stock market predictability

Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion

CEPR Discussion Paper No. 2823
Number of pages: 50 Posted: 12 Jun 2001
Alexander Michaelides
Imperial College Business School
Downloads 25 (412,179)
Citation 6

Abstract:

Buffer stock saving, liquidity constraints, portfolio choice, stock market mean reversion, stock market predictability

8.

Optimal Savings with Taxable and Tax-Deferred Accounts

Number of pages: 49 Posted: 14 Sep 2004
Valery Polkovnichenko, Francisco Gomes and Alexander Michaelides
University of Texas at Dallas - Jindal School of Management - Department of Finance & Managerial Economics, London Business School and Imperial College Business School
Downloads 262 (87,014)
Citation 12

Abstract:

Portfolio Choice, Tax-Deferred Accounts, Retirement Savings, Liquidity Constraints, Uninsurable Labor Income Risk

9.

Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labor Income Risk

Number of pages: 52 Posted: 01 Feb 2002
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 240 (98,896)
Citation 27

Abstract:

Life-Cycle Asset Allocation, Habit Formation, Liquidity Constraints, Stock Market Participation Costs, Uninsurable Labor Income Risk

Stock Market Mean Reversion and Portfolio Choice over the Life Cycle

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 46 Posted: 14 Feb 2015 Last Revised: 18 Nov 2015
Alexander Michaelides and Yuxin Zhang
Imperial College Business School and Imperial College London
Downloads 168 (140,919)

Abstract:

Portfolio Choice over the Life Cycle, Stock Market Mean Reversion, Stock Market Predictability, Hedging Demands, Lifestyle funds, enhanced target-date funds

Stock Market Mean Reversion and Portfolio Choice over the Life Cycle

Netspar Discussion Paper No. 06/2015-018
Number of pages: 101 Posted: 18 Aug 2015 Last Revised: 09 Sep 2015
Alexander Michaelides and Yuxin Zhang
Imperial College Business School and Imperial College London
Downloads 52 (311,556)

Abstract:

Portfolio choice over the life cycle, stock market mean reversion, stock market predictability, hedging demands, lifestyle funds, enhanced target-date funds.

11.

What Happened in Cyprus?

Number of pages: 62 Posted: 18 May 2014 Last Revised: 06 Jun 2014
Alexander Michaelides
Imperial College Business School
Downloads 214 (78,301)

Abstract:

Cyprus, Bail-in, stress tests, cost of inaction, sovereign debt, banking crisis, fiscal imbalances, European sovereign debt crisis

New Evidence on the Effects of U.S. Monetary Policy on Exchange Rates

Number of pages: 13 Posted: 26 Nov 2000
Alexander Michaelides and Sarantis C. Kalyvitis
Imperial College Business School and Athens University of Economics and Business - Department of International and European Economic Studies
Downloads 204 (117,527)
Citation 1

Abstract:

monetary policy, overshooting, excess returns, forward premium puzzle

New Evidence on the Effects of U.S. Monetary Policy on Exchange Rates

Economics Letters
Posted: 26 Nov 2000
Alexander Michaelides and Sarantis C. Kalyvitis
Imperial College Business School and Athens University of Economics and Business - Department of International and European Economic Studies

Abstract:

monetary policy, overshooting, excess returns, forward premium puzzle

Bank Capital Buffers in a Dynamic Model

Number of pages: 60 Posted: 02 Dec 2014 Last Revised: 01 Dec 2016
Jochen Mankart, Alexander Michaelides and Spyros Pagratis
Deutsche Bundesbank Research Centre, Imperial College Business School and Athens University of Economics and Business, Assistant Professor
Downloads 202 (118,599)

Abstract:

Banking, Equity Buffers, Regulatory Interactions, Dynamic Models

A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints

CEPR Discussion Paper No. DP10299
Number of pages: 63 Posted: 23 Jan 2015
Jochen Mankart, Alexander Michaelides and Spyros Pagratis
Deutsche Bundesbank Research Centre, Imperial College Business School and Athens University of Economics and Business - Department of Economics
Downloads 0

Abstract:

bank failures, bank leverage, capital requirements, uninsurable risks

14.

Proposal to Address the Current Crisis in Cyprus

Number of pages: 3 Posted: 25 Mar 2013
University of Cyprus - Department of Economics, University of Cyprus - Department of Social and Political Sciences, University of Cyprus - Department of Public and Business Administration, Imperial College Business School, University of Cyprus - Department of Accounting and Finance, University of Cyprus - Department of Accounting and Finance, BI Norwegian Business School and University of Cyprus
Downloads 174 (125,242)

Abstract:

Cyprus crisis, Cyprus bailout, insured deposits, deposit insurance

15.
Downloads 166 (142,347)
Citation 16

How Deep is the Annuity Market Participation Puzzle?

EFA 2008 Athens Meetings Paper
Number of pages: 45 Posted: 03 Mar 2008
Paula Lopes, Alexander Michaelides and Joachim Inkmann
Financial Markets Group, LSE, Imperial College Business School and University of Melbourne - Department of Finance
Downloads 123 (182,858)
Citation 16

Abstract:

Annuities, portfolio choice, bequest motive

How Deep is the Annuity Market Participation Puzzle?

Netspar Discussion Paper No. 07/2010-039
Number of pages: 58 Posted: 14 Nov 2010
Joachim Inkmann, Paula Lopes and Alexander Michaelides
University of Melbourne - Department of Finance, Financial Markets Group, LSE and Imperial College Business School
Downloads 38 (356,219)
Citation 16

Abstract:

Annuities, Portfolio Choice, Life Insurance, Bequest Motive

How Deep is the Annuity Market Participation Puzzle?

CEPR Discussion Paper No. DP7940
Number of pages: 59 Posted: 28 Jul 2010
Joachim Inkmann, Paula Lopes and Alexander Michaelides
University of Melbourne - Department of Finance, Financial Markets Group, LSE and Imperial College Business School
Downloads 5 (523,164)
Citation 16

Abstract:

Annuities, bequest motive, life insurance, portfolio choice

16.

Buffer Stock Saving and Habit Formation

Number of pages: 46 Posted: 04 Mar 2002
Alexander Michaelides
Imperial College Business School
Downloads 164 (138,684)
Citation 5

Abstract:

Habit Formation, Buffer Stock Saving, Undiversifiable Labor Income Risk, Excess Sensitivity, Smoothness of Consumption

Can Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?

Number of pages: 32 Posted: 15 Feb 2000
Alexander Michaelides and Sydney C. Ludvigson
Imperial College Business School and New York University - Department of Economics
Downloads 143 (162,168)
Citation 5

Abstract:

Can Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?

American Economic Review
Posted: 15 Feb 2000
Alexander Michaelides and Sydney C. Ludvigson
Imperial College Business School and New York University - Department of Economics

Abstract:

18.
Downloads 121 (184,442)
Citation 29

Winners and Losers in Housing Markets

Number of pages: 56 Posted: 18 Feb 2009
Nobuhiro Kiyotaki, Kalin Nikolov and Alexander Michaelides
Princeton University - Department of Economics, European Central Bank (ECB) and Imperial College Business School
Downloads 118 (188,831)
Citation 29

Abstract:

Real estates, Land, Housing Prices, Life cycle, Collateral constraints

Winners and Losers in Housing Markets

CEPR Discussion Paper No. DP7953
Number of pages: 58 Posted: 16 Aug 2010
Nobuhiro Kiyotaki, Alexander Michaelides and Kalin Nikolov
Princeton University - Department of Economics, Imperial College Business School and European Central Bank (ECB)
Downloads 3 (533,349)
Citation 29

Abstract:

Collateral constraints., Housing Prices, Land, Life cycle, Real estate

19.

Aggregate Implications of Defined Benefit and Defined Contribution Systems

Boston College Center for Retirement Research Working Paper No. 2003-16
Number of pages: 51 Posted: 10 Jun 2004
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 112 (188,061)

Abstract:

General Equilibrium, Liquidity Constraints, Heterogeneous Agents, Undiversifiable Labor Income, Defined Benefit Systems, Defined Contribution Systems

20.

Limiting Fiscal Procyclicality: Evidence from Resource-Rich Countries

Number of pages: 51 Posted: 10 Sep 2013 Last Revised: 14 Jan 2014
Centre for Banking and Financial Research, University of Cyprus, European University Institute, University of Cyprus - Department of Economics, Imperial College Business School and University of Reading - The Centre for Euro Asian Studies
Downloads 80 (213,282)

Abstract:

fiscal procyclicality, commodity prices, natural resources, sovereign wealth funds, fiscal rules

Inflation, Money Demand and Portfolio Choice

Number of pages: 60 Posted: 22 Feb 2014
Kosuke Aoki, Alexander Michaelides and Kalin Nikolov
University of Tokyo, Imperial College Business School and European Central Bank (ECB)
Downloads 62 (285,454)

Abstract:

Life Cycle Models, Portfolio Choice, Inflation, Money Demand, Stock Market Participation, Uninsurable Labor Income Risk

Inflation, Money Demand and Portfolio Choice

Netspar Discussion Paper No. 02/2014-101
Number of pages: 61 Posted: 22 Dec 2015
Kosuke Aoki, Alexander Michaelides and Kalin Nikolov
University of Tokyo, Imperial College Business School and European Central Bank (ECB)
Downloads 12 (485,276)

Abstract:

Life cycle models, portfolio choice, Infl‡ation, money demand, stock market participation, uninsurable labor income risk

22.

Quantifying the Distortionary Fiscal Cost of ‘The Bailout’

Number of pages: 47 Posted: 03 Jun 2010 Last Revised: 06 Oct 2010
Francisco Gomes, Alexander Michaelides and Valery Polkovnichenko
London Business School, Imperial College Business School and University of Texas at Dallas - Jindal School of Management - Department of Finance & Managerial Economics
Downloads 71 (253,979)
Citation 1

Abstract:

Can the Life Insurance Market Provide Evidence for a Bequest Motive?

Netspar Discussion Paper No. 07/2010-027, 23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 46 Posted: 04 Aug 2010 Last Revised: 13 Aug 2010
Joachim Inkmann and Alexander Michaelides
University of Melbourne - Department of Finance and Imperial College Business School
Downloads 56 (300,596)
Citation 2

Abstract:

Portfolio Choice, Life Insurance, Bequest Motive

Can the Life Insurance Market Provide Evidence for a Bequest Motive?

Journal of Risk and Insurance, Vol. 79, Issue 3, pp. 671-695, 2012
Number of pages: 25 Posted: 23 Aug 2012
Joachim Inkmann and Alexander Michaelides
University of Melbourne - Department of Finance and Imperial College Business School
Downloads 0
Citation 2

Abstract:

24.

Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts

CEPR Discussion Paper No. 4852
Number of pages: 56 Posted: 11 May 2005
Alexander Michaelides, Francisco Gomes and Valery Polkovnichenko
Imperial College Business School, London Business School and University of Texas at Dallas - Jindal School of Management - Department of Finance & Managerial Economics
Downloads 22 (415,043)
Citation 8

Abstract:

Portfolio choice, tax-deferred accounts, retirement savings, liquidity constraints, uninsurable labor income risk

25.

Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk

CEPR Discussion Paper No. 3868
Number of pages: 54 Posted: 05 Jun 2003
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 22 (415,043)
Citation 25

Abstract:

Life-cycle asset allocation, habit formation, liquidity constraints, stock market participation costs, uninsurable labour income risk

26.

Quantifying the Distortionary Fiscal Cost of 'The Bailout'

CEPR Discussion Paper No. DP7941
Number of pages: 45 Posted: 28 Jul 2010
Francisco Gomes, Alexander Michaelides and Valery Polkovnichenko
London Business School, Imperial College Business School and University of Texas at Dallas - Jindal School of Management - Department of Finance & Managerial Economics
Downloads 4 (504,100)
Citation 1

Abstract:

Bailout, Fiscal Policy, Government Debt, Incomplete Financial Markets., Tax Distortions

Evidence on the Insurance Effect of Marginal Income Taxes

CEPR Discussion Paper No. DP6710
Number of pages: 37 Posted: 10 Jun 2008
Charles Grant, Christos Koulovatianos, Alexander Michaelides and Mario Padula
University of Reading, Universite du Luxembourg - Faculty of Law, Economics and Finance, Imperial College Business School and University "Ca' Foscari" of Venice
Downloads 3 (533,349)

Abstract:

Consumption Insurance, Tax Distortions, Undiversifiable Earnings Risk

Evidence on the Insurance Effect of Marginal Income Taxes

CFS Working Paper No. 2008/06
Posted: 25 Sep 2008
Charles Grant, Christos Koulovatianos, Alexander Michaelides and Mario Padula
University of Reading, Universite du Luxembourg - Faculty of Law, Economics and Finance, Imperial College Business School and University "Ca' Foscari" of Venice

Abstract:

Undiversifiable Earnings Risk, Consumption Insurance, Tax Distortions

Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

CEPR Discussion Paper No. DP6136
Number of pages: 53 Posted: 19 May 2008
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 3 (533,349)
Citation 45

Abstract:

Equity premium, incomplete risk sharing, life-cycle models, limited stock market participation, preference heterogeneity

Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

The Review of Financial Studies, Vol. 21, Issue 1, pp. 415-448, 2008
Posted: 26 Jun 2008
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School

Abstract:

29.

Cyprus: From Boom to Bail‐In

Economic Policy, Vol. 29, Issue 80, pp. 639-689, 2014
Number of pages: 51 Posted: 20 Oct 2014
Alexander Michaelides
Imperial College Business School
Downloads 1 (521,934)

Abstract:

30.

Private Information in Currency Markets

Number of pages: 57 Posted: 25 Jan 2016 Last Revised: 03 Sep 2016
Alexander Michaelides, Andreas Milidonis and George Nishiotis
Imperial College Business School, University of Cyprus - Department of Accounting and Finance and University of Cyprus - Department of Accounting and Finance
Downloads 0 (209,065)

Abstract:

sovereign debt ratings, foreign exchange, institutional quality, information leakage, TRMI

31.

Limiting Fiscal Procyclicality: Evidence from Resource-Rich Countries

CEPR Discussion Paper No. DP9672
Number of pages: 54 Posted: 07 Oct 2013
Dimitrios Georgiou, Maria Heracleous, Alexander Michaelides and stela cani
European University Institute, University of Cyprus - Department of Economics, Imperial College Business School and University of Reading
Downloads 0 (531,865)

Abstract:

commodity prices, fiscal procyclicality, fiscal rules, natural resources, sovereign wealth funds

32.

A Comment on Diagnostic Tools for Counterfactual Inference

Political Analysis, Vol. 17, Issue 1, pp. 89-106, 2009
Posted: 18 Aug 2009
Nicholas Sambanis and Alexander Michaelides
Yale University - Political Science and Imperial College Business School

Abstract: