Michael Ellington

University of Liverpool

Chatham Street

Liverpool, L69 7ZA

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS

980

SSRN CITATIONS
Rank 44,377

SSRN RANKINGS

Top 44,377

in Total Papers Citations

11

CROSSREF CITATIONS

5

Scholarly Papers (13)

1.

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 164 (227,136)

Abstract:

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

2.

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 BarunĂ­k
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 128 (277,021)
Citation 2

Abstract:

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

3.

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

Number of pages: 44 Posted: 18 Sep 2018 Last Revised: 28 Oct 2020
Michael Ellington
University of Liverpool
Downloads 115 (299,425)

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

4.

Dynamic Network Risk

Number of pages: 62 Posted: 07 Jul 2020
Michael Ellington and Jozef BarunĂ­k
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 113 (306,998)

Abstract:

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Network Risk, Firm Volatility, Cross Section Of Stock Returns

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 102 (325,190)

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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 93 (345,036)

Abstract:

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

7.

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 57 (452,349)
Citation 3

Abstract:

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

8.

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 53 (467,436)

Abstract:

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

9.

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 50 (479,536)
Citation 2

Abstract:

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

10.

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

Number of pages: 25 Posted: 08 Jun 2021 Last Revised: 10 Aug 2021
Michael Ellington, Marcin Michalski and Costas Milas
University of Liverpool, University of Liverpool and University of Liverpool
Downloads 30 (582,405)

Abstract:

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

11.

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 27 (594,732)
Citation 1

Abstract:

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Density Forecasting, Quasi Bayesian Local Likelihood Methods, Vector Auto-Regression, 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 26 (601,163)
Citation 1

Abstract:

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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 22 (628,375)

Abstract:

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time-varying parameter model, real wages, search frictions