Michael Ellington

University of Liverpool

Chatham Street

Brownlow Hill

Liverpool, L69 7ZA

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 41,280

SSRN RANKINGS

Top 41,280

in Total Papers Downloads

2,296

SSRN CITATIONS
Rank 37,236

SSRN RANKINGS

Top 37,236

in Total Papers Citations

21

CROSSREF CITATIONS

6

Scholarly Papers (16)

1.

Persistence in Financial Connectedness and Systemic Risk

Number of pages: 63 Posted: 27 Jul 2020 Last Revised: 21 Sep 2023
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 544 (96,907)
Citation 18

Abstract:

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Finance, Network connections, Variance Decompositions, Persistence, Spectral Domain.

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 236 (242,740)

Abstract:

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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 217 (262,807)

Abstract:

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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 204 (278,273)
Citation 2

Abstract:

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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 165 (335,806)

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

6.

Common Firm-level Investor Fears: Evidence from Equity Options

Number of pages: 49 Posted: 09 Sep 2023 Last Revised: 10 Nov 2023
Lancaster University Management School, Charles University in Prague - Department of Economics, University of Liverpool - Management School (ULMS) and University of Liverpool
Downloads 153 (357,992)

Abstract:

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asset pricing, implied variance, firm-level, equity options

7.

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 124 (421,894)
Citation 1

Abstract:

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

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 78 (583,220)
Citation 1

Abstract:

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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 23 (962,047)

Abstract:

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

9.

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 100 (493,518)

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

10.

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 86 (543,288)
Citation 1

Abstract:

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

11.

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 81 (563,284)
Citation 3

Abstract:

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

12.

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 76 (584,479)
Citation 6

Abstract:

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

13.

Stock Market Liquidity and Return Predictability: Investing in the long-run

Number of pages: 50 Posted: 28 Jan 2024
Michael Ellington and Maria Kalli
University of Liverpool and King's College London
Downloads 68 (620,993)

Abstract:

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Stock Market Liquidity, Return Predictability,Bayesian Non-parametrics, Long Term Horizon

14.

Predictive Distributions and the Market Return: The Role of Market Illiquidity

Number of pages: 50 Posted: 28 Jan 2024
Michael Ellington and Maria Kalli
University of Liverpool and King's College London
Downloads 50 (720,006)

Abstract:

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Stock Market Illiquidity, Return Predictability, Bayesian Methods, Bayesian Non-parametrics, Vector Autoregression.

15.

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 47 (739,237)

Abstract:

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time-varying parameter model, real wages, search frictions

16.

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 44 (759,504)
Citation 1

Abstract:

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