Michael Ellington

University of Liverpool

Chatham Street

Brownlow Hill

Liverpool, L69 7ZA

United Kingdom

  • University of Liverpool

SCHOLARLY PAPERS

13

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SSRN CITATIONS
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13

CROSSREF CITATIONS

6

Scholarly Papers (13)

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1.

Dynamic Networks in Large Financial and Economic Systems

Number of pages: 54 Posted: 27 Jul 2020 Last Revised: 24 Feb 2021
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 385 (119,674)
Citation 7

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Dynamic networks, Network connections, Time-varying parameter VAR, Realized Volatility, Connectedness, Spillovers.

2.

UK Policy Uncertainty, Monetary Policy Stance and Exchange Rates in Light of Brexit

Number of pages: 17 Posted: 18 Sep 2018
Michael Ellington and Costas Milas
University of Liverpool and University of Liverpool
Downloads 194 (239,475)

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Brexit, uncertainty, interest rate spread, shadow rates, exchange rates

3.

Dynamic Network Risk

Number of pages: 62 Posted: 07 Jul 2020
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 186 (248,532)

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Network Risk, Firm Volatility, Cross Section Of Stock Returns

4.

The Empirical Relevance of the Shadow Rate and the Zero Lower Bound

Journal of Money, Credit and Banking
Number of pages: 46 Posted: 18 Sep 2018 Last Revised: 03 Nov 2021
Michael Ellington
University of Liverpool
Downloads 145 (306,593)

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Monetary Policy, Shadow Rate, Taylor Rules, Zero Lower Bound

5.

Real Estate Illiquidity and Returns: A Time-varying Regional Perspective

International Journal of Forecasting, Forthcoming
Number of pages: 27 Posted: 13 Jun 2019 Last Revised: 10 Sep 2021
Michael Ellington, Xi Fu and Yunyi
University of Liverpool, University of Liverpool and University of Liverpool
Downloads 141 (313,491)

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Real Estate, Liquidity, Forecasting, Time-Varying Parameter VAR.

6.

Global Liquidity, Money Growth and UK Inflation

Number of pages: 17 Posted: 08 Dec 2016 Last Revised: 29 Jun 2018
Michael Ellington and Costas Milas
University of Liverpool and University of Liverpool
Downloads 109 (378,927)

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Global Liquidity, Inflation, Divisia Money, Non-linear Model

7.

Fat Tails, Serial Dependence, and Implied Volatility Index Connections

European Journal of Operational Research
Number of pages: 31 Posted: 24 Mar 2021 Last Revised: 28 Sep 2021
Michael Ellington
University of Liverpool
Downloads 80 (461,822)

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Finance, Network Analysis, Forecasting, Volatility Spillovers, Bayesian VAR

8.

Of Votes and Viruses: The UK Economy and Economic Policy Uncertainty

Ellington, M., Michalski, M., Milas, C. (2022), "Of votes and viruses: the UK economy and economic policy uncertainty", The European Journal of Finance, DOI: 10.1080/1351847X.2022.2083978
Number of pages: 18 Posted: 08 Jun 2021 Last Revised: 22 Sep 2022
Michael Ellington, Marcin Michalski and Costas Milas
University of Liverpool, University of Liverpool and University of Liverpool
Downloads 73 (486,500)

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Brexit, COVID-19, Economic Policy Uncertainty, VAR models

9.

The Case for Divisia Monetary Statistics: A Bayesian Time-Varying Approach

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 28 Posted: 02 Dec 2016 Last Revised: 26 Oct 2018
Michael Ellington
University of Liverpool
Downloads 65 (517,192)
Citation 3

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Time-varying Parameter VAR, Frequency Domain, Divisia Index, Monetary Policy

10.

Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-Varying Parameter VAR

Journal of International Money and Finance, Forthcoming
Number of pages: 38 Posted: 08 Dec 2016 Last Revised: 24 Dec 2016
Michael Ellington, Chris Florackis and Costas Milas
University of Liverpool, University of Liverpool (UK) and University of Liverpool
Downloads 61 (533,823)
Citation 5

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Stock Market Liquidity, House Market Liquidity, Liquidity Shocks, Time-varying Parameter VAR

11.

Is Broader Better? A Monetary Approach to Forecasting Economic Activity

Downloads 52 (574,819)
Citation 1

Is Broader Better? A Monetary Approach to Forecasting Economic Activity

Number of pages: 39 Posted: 24 Feb 2021
Michael Ellington and Marcin Michalski
University of Liverpool and University of Liverpool
Downloads 45 (623,659)
Citation 2

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Density Forecasting, Quasi Bayesian Local Likelihood Methods, Vector Auto-Regression, Divisia Money

Is Broader Better? A Monetary Approach to Forecasting Economic Activity

Number of pages: 39 Posted: 12 Apr 2022
Michael Ellington and Marcin Michalski
University of Liverpool and University of Liverpool
Downloads 7 (925,329)

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Density Forecasting, Quasi Bayesian Local Likelihood Methods, vector autoregression, Divisia money.

12.

Financial Market Illiquidity Shocks and Macroeconomic Dynamics: Evidence from the UK

Journal of Banking and Finance, Forthcoming
Number of pages: 23 Posted: 06 Mar 2018
Michael Ellington
University of Liverpool
Downloads 35 (668,578)
Citation 1

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stock market illiquidity, time-varying parameter VAR, macro-financial linkages, sign restrictions

13.

Search Frictions and Evolving Labour Market Dynamics

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 26 Posted: 07 Jun 2019 Last Revised: 23 Mar 2021
Michael Ellington, Christopher Martin and Bingsong Wang
University of Liverpool, University of Bath - Department of Economics and affiliation not provided to SSRN
Downloads 34 (674,939)

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time-varying parameter model, real wages, search frictions