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Information about:
Michael R. Wickens

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Personal Details

First Name: Michael
Middle Name: R.
Last Name: Wickens
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RePEc Short-ID: pwi163

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Works

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Wickens, Michael, 2009. "Two Orthogonal Continents: Testing a Two-country DSGE Model of the US and EU Using Indirect Inference," Cardiff Economics Working Papers E2009/3, Cardiff University, Cardiff Business School, Economics Section, revised Jun 2009. [Downloadable!]

  2. Smith, Peter N & Sorensen, Steffen & Wickens, Michael R, 2009. "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers 7227, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  3. Polito, Vito & Wickens, Michael R, 2008. "Optimal Monetary Policy using a VAR," CEPR Discussion Papers 6957, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  4. Le, Vo Phuong Mai & Minford, Patrick & Wickens, Michael, 2008. "How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE Model using indirect inference," Cardiff Economics Working Papers E2008/32, Cardiff University, Cardiff Business School, Economics Section, revised Oct 2009. [Downloadable!]

  5. Meenagh, David & Minford, Patrick & Wickens, Michael, 2008. "Testing a DSGE model of the EU using indirect inference," Cardiff Economics Working Papers E2008/11, Cardiff University, Cardiff Business School, Economics Section, revised Dec 2008. [Downloadable!]
    Other versions:
    Published as:

  6. Peter N Smith & Steffen Sorensen & Mike Wickens, 2007. "The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)," Discussion Papers 07/11, Department of Economics, University of York. [Downloadable!]

  7. Vito Polito & Mike Wickens, 2007. "Measuring the Fiscal Stance," Discussion Papers 07/14, Department of Economics, University of York. [Downloadable!]

  8. Mike Wickens, 2007. "Is the Euro Sustainable?," Discussion Papers 07/18, Department of Economics, University of York. [Downloadable!]
    Other versions:

  9. Peter N. Smith & Mike Wickens, 2006. " The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting?," CDMA Conference Paper Series 0610, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]

  10. Chiona Balfoussia & Mike Wickens, 2005. "Inflation prediction from the term structure: the Fisher equation in a multivariate SDF framework," Money Macro and Finance (MMF) Research Group Conference 2005 16, Money Macro and Finance Research Group. [Downloadable!]

  11. Vito Polito & Mike Wickens, 2005. " Measuring Fiscal Sustainability," CDMA Conference Paper Series 0503, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
    Other versions:

  12. Peter N Smith & S Sorensen & M R Wickens, 2005. "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005 47, Money Macro and Finance Research Group. [Downloadable!]
    Other versions:

  13. Chiona Balfoussia & Michael Wickens, 2004. "Macroeconomic Sources of Risk in the Term Structure," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    Other versions:
    Published as:

  14. Peter Smith & Steffen Sorensen & Michael R. Wickens, 2004. "Business Cycle Variability, Stock Market Variability, Asymmetries and the Risk Premium," Money Macro and Finance (MMF) Research Group Conference 2004 76, Money Macro and Finance Research Group. [Downloadable!]

  15. Flavin, Thomas & Wickens, Michael R, 2002. "Macroeconomic Influences on Optimal Asset Allocation," CEPR Discussion Papers 3144, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  16. Thomas J. Flavin & Michael R. Wickens, 2001. "A Risk Management Approach to Optimal Asset Allocation," Economics, Finance and Accounting Department Working Paper Series n1080301, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
    Other versions:

  17. Thomas J. Flavin & Michael R. Wickens, 2000. "Global Asset Allocation with Time-varying Risk," Economics, Finance and Accounting Department Working Paper Series n1020800, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]

  18. Jacobs, Mike & Remolona, Eli & Wickens, Michael R, 1998. "What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds," CEPR Discussion Papers 2022, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

  19. Thomas J. Flavin & Michael R. Wickens, 1998. "Optimal International Asset Allocation and Home Bias," Economics, Finance and Accounting Department Working Paper Series n841298, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]

  20. Merih Uctum & Michael Wickens, 1996. "Debt and deficit ceilings, and sustainability of fiscal policies: an intertemporal analysis," Research Paper 9615, Federal Reserve Bank of New York. [Downloadable!]
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    Published as:

  21. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 95/19, University of Exeter, School of Business and Economics.
    Published as:

  22. Tzavalis, E. & Wickens, M.R., 1994. "The Persistence in Volatility of the US Term Premium 1970-1986," Discussion Papers 94-09, University of Exeter, School of Business and Economics.
    Published as:

  23. Thomas, Stephen H & Wickens, Michael R, 1991. "Currency Substitution and Vehicle Currencies: Tests of Alternative Hypotheses for the Dollar, DM and Yen," CEPR Discussion Papers 507, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  24. Uctum, Merih & Wickens, Michael R, 1990. "National Insolvency: A Test of the US Intertemporal Budget Constraint," CEPR Discussion Papers 437, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  25. Thomas, Stephen H & Wickens, Michael R, 1989. "International CAPM: Why Has it Failed?," CEPR Discussion Papers 354, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  26. Thomas, Stephen H & Wickens, Michael R, 1989. "Non-Parametric Estimates of the Foreign Exchange and Equity Risk Premia and Tests of Market Efficiency," CEPR Discussion Papers 356, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  27. Uctum, Merih & Wickens, Michael R, 1989. "Exchange Rate Determination with Bank-Financed Investment," CEPR Discussion Papers 355, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

  28. Breusch, Trevor S & Wickens, Michael R, 1987. "Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models," CEPR Discussion Papers 154, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  29. Thomas, Stephen H & Wickens, Michael R, 1987. "Vehicle Currencies, Bank Debt and the Asset Market Approach to Exchange Rate Determination: The US Dollar, 1980-1985," CEPR Discussion Papers 180, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  30. Wickens, Michael R, 1986. "The Estimation of Linear Models with Future Rational Expectations by Efficient and Instrumental Variable Methods," CEPR Discussion Papers 111, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  31. Smith, Peter N & Wickens, Michael R, 1984. "An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate," CEPR Discussion Papers 7, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  32. Wickens, Michael R, 1984. "Rational Expectations and Exchange Rate Dynamics," CEPR Discussion Papers 20, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  33. P N Smith & S Sorensen & M R Wickens, . "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York. [Downloadable!]
    Other versions:

  34. Elias Tzavalis & Michael Wickens, . "Reconciling the Evidence on the Alternative Versions of the Rational Expectations Hypothesis of the Term Structure," Discussion Papers 94/11, Department of Economics, University of York.

  35. Andrew Clare & Raymond O'Brien & Stephen Thomas & Michael Wickens, . "Macroeconomic Shocks and the Domestic CAPM: Evidence from the UK Stock Market," Discussion Papers 94/10, Department of Economics, University of York.

  36. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York. [Downloadable!]
    Published as:

  37. Donald Robertson & Michael Wickens, . "Measuring the Real and Nominal Macroeconomic Shocks and their International Transmission under Different Monetary Systems," Discussion Papers 95/34, Department of Economics, University of York.

  38. Elias Tzavalis & Michael Wickens, . "The Rational Expectations Hypothesis of the Term Structure: reconciling the evidence," Discussion Papers 95/33, Department of Economics, University of York.

  39. Mike R Wickens & Peter N Smith, . "Macroeconmic Sources of FOREX Risk," Discussion Papers 01/13, Department of Economics, University of York. [Downloadable!]
    Other versions:

  40. P N Smith & S Sorensen & M R Wickens, . "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York. [Downloadable!]

Articles

  1. Hiona Balfoussia & Mike Wickens, 2007. "Macroeconomic Sources of Risk in the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 205-236, 02. [Downloadable!] (restricted)
    Other versions:

  2. Thomas J. Flavin & Michael R. Wickens, 2006. "Optimal International Asset Allocation With Time-Varying Risk," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(5), pages 543-564, November. [Downloadable!] (restricted)

  3. Hiona Balfoussia & Mike Wickens, 2006. "Extracting inflation expectations from the term structure: the Fisher equation in a multivariate SDF framework," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(3), pages 261-277. [Downloadable!]

  4. Flavin, T. J. & Wickens, M. R., 2003. "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, Elsevier, vol. 12(2), pages 207-231. [Downloadable!] (restricted)
    Other versions:

  5. Smith, Peter & Wickens, Michael, 2002. " Asset Pricing with Observable Stochastic Discount Factors," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 397-446, July. [Downloadable!] (restricted)
    Other versions:

  6. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387. [Downloadable!]

  7. Uctum, Merih & Wickens, Michael, 2000. " Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: An Intertemporal Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(2), pages 197-222, May. [Downloadable!] (restricted)
    Other versions:

  8. Tzavalis, Elias & Wickens, Michael, 1998. "A Re-examination of the Rational Expectations Hypothesis of the Term Structure: Reconciling the Evidence from Long-Run and Short-Run Tests," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 229-39, July. [Downloadable!] (restricted)

  9. Robertson, Donald & Wickens, M R, 1997. "Measuring Real and Nominal Macroeconomic Shocks and Their International Transmission under Different Monetary Systems," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(1), pages 5-27, February.

  10. Wickens, Michael R, 1997. "A Comparative Study of Modelling the Demand for Food in the United States and the Netherlands: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 608-10, Sept.-Oct. [Downloadable!]

  11. Hall, Stephen G & Robertson D & Wickens, M R, 1997. "Measuring Economic Convergence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(2), pages 131-43, April. [Downloadable!] (restricted)

  12. Wickens, Michael R, 1997. "The Demand for Food in the United States and the Netherlands: A Systems Approach with the CBS Model: Comments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(5), pages 523-27, Sept.-Oct. [Downloadable!]

  13. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.

  14. Wickens, Michael R., 1996. "Interpreting cointegrating vectors and common stochastic trends," Journal of Econometrics, Elsevier, vol. 74(2), pages 255-271, October. [Downloadable!] (restricted)

  15. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May. [Downloadable!] (restricted)
    Other versions:

  16. Wickens, Michael, 1995. "Real Business Cycle Analysis: A Needed Revolution in Macroeconometrics," Economic Journal, Royal Economic Society, vol. 105(433), pages 1637-48, November. [Downloadable!] (restricted)

  17. Tzavalis, Elias & Wickens, M. R., 1995. "The persistence in volatility of the US term premium 1970-1986," Economics Letters, Elsevier, vol. 49(4), pages 381-389, October. [Downloadable!] (restricted)
    Other versions:

  18. Clare, A D & Thomas, S H & Wickens, M R, 1994. "Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns?," Economic Journal, Royal Economic Society, vol. 104(423), pages 303-15, March. [Downloadable!] (restricted)

  19. Wickens, M. R. & Uctum, Merih, 1993. "The sustainability of current account deficits : A test of the US intertemporal budget constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 17(3), pages 423-441, May. [Downloadable!] (restricted)

  20. Hall, S G & Robertson, D & Wickens, M R, 1992. "Measuring Convergence of the EC Economies," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 60(0), pages 99-111, Supplemen.

  21. Wickens, M.R., 1990. "The Limits to Rational Expectations by M. Hashem Pesaran Basil Blackwell, 1987," Econometric Theory, Cambridge University Press, vol. 6(01), pages 103-106, March. [Downloadable!]

  22. M. R. Wickens, 1989. "Econometric tests of rationality and market efficiency," Econometric Reviews, Taylor and Francis Journals, vol. 8(2), pages 207-212. [Downloadable!] (restricted)

  23. Pagan, Adrian R & Wickens, M R, 1989. "A Survey of Some Recent Econometric Methods," Economic Journal, Royal Economic Society, vol. 99(398), pages 962-1025, December. [Downloadable!] (restricted)

  24. M. R. Wickens, 1989. "Intertemporal consumer behaviour under structural changes in income," Econometric Reviews, Taylor and Francis Journals, vol. 8(1), pages 133-141. [Downloadable!] (restricted)

  25. Wickens, M R & Breusch, T S, 1987. "Dynamic Specification, the Long-run and the Estimation of Transformed," Economic Journal, Royal Economic Society, vol. 98(390), pages 189-205, Supplemen.

  26. Smith, P N & Wickens, M R, 1986. "An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 143-62, April. [Downloadable!] (restricted)

  27. Wickens, M R & Molana, H, 1984. "Stochastic Life Cycle Theory with Varying Interest Rates and Prices," Economic Journal, Royal Economic Society, vol. 94(376a), pages 133-47, Supplemen. [Downloadable!] (restricted)

  28. Chatterji, Monojit & Wickens, Michael R, 1982. "Productivity, Factor Transfers and Economic Growth in the UK," Economica, London School of Economics and Political Science, vol. 49(193), pages 21-38, February. [Downloadable!] (restricted)

  29. Godfrey, L. G. & Wickens, M. R., 1982. "A simple derivation of the limited information maximum likelihood estimator," Economics Letters, Elsevier, vol. 10(3-4), pages 277-283. [Downloadable!] (restricted)

  30. Wickens, Michael R, 1982. "The Efficient Estimation of Econometric Models with Rational Expectations," Review of Economic Studies, Blackwell Publishing, vol. 49(1), pages 55-67, January. [Downloadable!] (restricted)

  31. Godfrey, Lesley G & Wickens, Michael R, 1981. "Testing Linear and Log-Linear Regressions for Functional Form," Review of Economic Studies, Blackwell Publishing, vol. 48(3), pages 487-96, July. [Downloadable!] (restricted)

  32. Wickens, M R, 1978. "An Econometric Model of Labour Turnover in U.K. Manufacturing Industries, 1956-73," Review of Economic Studies, Blackwell Publishing, vol. 45(3), pages 469-77, October. [Downloadable!] (restricted)

  33. Wickens, M R, 1974. "Towards a Theory of the Labour Market," Economica, London School of Economics and Political Science, vol. 41(163), pages 278-94, August. [Downloadable!] (restricted)

  34. Wickens, M R & Greenfield, J N, 1973. "The Econometrics of Agricultural Supply: An Application to the World Coffee Market," The Review of Economics and Statistics, MIT Press, vol. 55(4), pages 433-40, November. [Downloadable!] (restricted)

  35. Wickens, Michael R, 1972. "A Note on the Use of Proxy Variables," Econometrica, Econometric Society, vol. 40(4), pages 759-61, July. [Downloadable!] (restricted)

  36. Wickens, Michael R, 1970. "Estimation of the Vintage Cobb-Douglas Production Function for the United States 1900-1960," The Review of Economics and Statistics, MIT Press, vol. 52(2), pages 187-93, May. [Downloadable!] (restricted)

  37. Wickens, M R, 1969. "The Consistency and Efficiency of Generalized Least Squares in Simultaneous Equation Systems with Autocorrelated Errors," Econometrica, Econometric Society, vol. 37(4), pages 651-59, October. [Downloadable!] (restricted)

Chapters

  1. Michael Wickens, 2008. "Asset Pricing and Macroeconomics, from Macroeconomic Theory: A Dynamic General Equilibrium Approach," Introductory Chapters, in: Macroeconomic Theory: A Dynamic General Equilibrium Approach Princeton University Press. [Downloadable!]

  2. Michael Wickens, 2008. "The Centralized Economy, from Macroeconomic Theory: A Dynamic General Equilibrium Approach," Introductory Chapters, in: Macroeconomic Theory: A Dynamic General Equilibrium Approach Princeton University Press. [Downloadable!]
    Published as:

  3. Michael Wickens, 2008. "Imperfectly Flexible Prices, from Macroeconomic Theory: A Dynamic General Equilibrium Approach," Introductory Chapters, in: Macroeconomic Theory: A Dynamic General Equilibrium Approach Princeton University Press. [Downloadable!]

NEP Fields

28 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (13) 2001-10-22 2006-03-05 2006-10-14 2007-06-23 2007-06-30 2007-06-30 2008-05-17 2008-09-20 2009-01-03 2009-02-28 2009-02-28 2009-03-14 2009-03-28 Author is listed
  2. NEP-CFN: Corporate Finance (4) 2003-03-14 2003-03-14 2003-10-28 2004-02-29
  3. NEP-CMP: Computational Economics (1) 2004-09-30
  4. NEP-DGE: Dynamic General Equilibrium (3) 2008-05-17 2008-09-20 2009-02-28
  5. NEP-ECM: Econometrics (2) 2008-09-20 2009-02-28
  6. NEP-EEC: European Economics (2) 2007-06-23 2008-09-20
  7. NEP-FIN: Finance (7) 2003-10-28 2004-02-29 2004-09-30 2004-12-12 2004-12-15 2005-11-19 2006-01-29 Author is listed
  8. NEP-FMK: Financial Markets (4) 2001-10-01 2004-02-29 2006-01-29 2006-03-05
  9. NEP-IFN: International Finance (2) 2001-10-22 2003-03-14
  10. NEP-MAC: Macroeconomics (19) 2003-03-14 2003-03-14 2003-10-28 2003-10-28 2004-12-12 2005-11-19 2005-12-01 2005-12-09 2006-01-29 2006-03-05 2006-03-05 2006-10-14 2007-06-23 2007-06-30 2007-06-30 2008-05-17 2009-01-03 2009-02-28 2009-03-28 Author is listed
  11. NEP-MON: Monetary Economics (6) 1999-01-25 2006-03-05 2006-10-14 2007-06-23 2007-06-30 2009-02-28 Author is listed
  12. NEP-PBE: Public Economics (1) 2005-12-01
  13. NEP-RMG: Risk Management (5) 2003-03-14 2003-10-28 2004-02-29 2004-12-12 2006-01-29 Author is listed
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This page was last updated on 2009-11-11.

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