M. Wickens
Cardiff University, Economics, Faculty Member
- Professor Emeritus University of York. Macroeconomics, Finance and Econometrics. Published three books and over 100 articles.edit
The immediate background to this paper is the downgrade of the U.K.'s credit rating in February 2013, the market's view that this should have occurred earlier and the emphasis in fiscal policy on reducing debt rather than recovery... more
The immediate background to this paper is the downgrade of the U.K.'s credit rating in February 2013, the market's view that this should have occurred earlier and the emphasis in fiscal policy on reducing debt rather than recovery from recession. We propose a measure of the U.K. sovereign credit rating based on an open economy macroeconomic model that is simple to compute and easily automated. Whether based on an ad hoc debt-GDP limit or a DSGE model of an open economy, our measure downgrades the U.K.'s sovereign credit rating from the middle of 2008. From 2010 the rating improves and is nearly restored to triple-A by 2012.
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Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples, using various models in widespread use. We compare these with tests based on direct inference (using the Likelihood... more
Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE models in small samples, using various models in widespread use. We compare these with tests based on direct inference (using the Likelihood Ratio). We find that both tests have power so that a substantially false model will tend to be rejected by both; but that the power of the indirect inference test is by far the greater, necessitating re-estimation to ensure that the model is tested in its fullest sense. We also find that the small-sample bias with indirect estimation is around half of that with maximum likelihood estimation. JEL Classification: C12, C32, C52, E1
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In 2005 all ECB publications will feature a motif taken from the €50 banknote. This paper can be downloaded without charge from
Many economic theories give rise to restrictions between the future rational expectations of a set of variables. This paper describes how such theories can be tested from vector time series models. Particular attention is given to... more
Many economic theories give rise to restrictions between the future rational expectations of a set of variables. This paper describes how such theories can be tested from vector time series models. Particular attention is given to problems of nonstationarity and the use of the concept of cointegration in the modeling and testing procedure.
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Journal q/ International Money and Finance (1993), 12, 39"12 An international CAPM for bonds and equities SH THOMAS* Universitv of Wales, Sit'ansea, SA2 8PP, UK AND MR WICKENS London Business School, London NWI 4SA, UK Previous... more
Journal q/ International Money and Finance (1993), 12, 39"12 An international CAPM for bonds and equities SH THOMAS* Universitv of Wales, Sit'ansea, SA2 8PP, UK AND MR WICKENS London Business School, London NWI 4SA, UK Previous empirical studies of ...
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... Downloadable!]; 224 The Tobin effect and the Friedman rule by Joydeep Bhattacharya & Joseph Haslag & Antoine Martin [Downloadable!]; 223 Why is the US Treasury contemplating becoming a lender of last resort for Treasury... more
... Downloadable!]; 224 The Tobin effect and the Friedman rule by Joydeep Bhattacharya & Joseph Haslag & Antoine Martin [Downloadable!]; 223 Why is the US Treasury contemplating becoming a lender of last resort for Treasury securities? ...
1. INTRODUCTION It is often a problem to know what functional form to choose when specifying an econometric model since economic theory does not usually provide a very precise guide. The choice of functional form may, however, have... more
1. INTRODUCTION It is often a problem to know what functional form to choose when specifying an econometric model since economic theory does not usually provide a very precise guide. The choice of functional form may, however, have important implications for subsequent ...
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... A(L) zt: ut (1) where zt:( yt, pt), A(L) is a matrix polynomial in the lag operator L with roots outside the unit circle and ut:(u1t, u2t) is iid(0, ). A moving average representation of (1) exists and can be written ... Eqn: y p y p... more
... A(L) zt: ut (1) where zt:( yt, pt), A(L) is a matrix polynomial in the lag operator L with roots outside the unit circle and ut:(u1t, u2t) is iid(0, ). A moving average representation of (1) exists and can be written ... Eqn: y p y p y p y p Lag: 1 0.130 0.083 0.172 0.367 0.180 0.061 0.367 0.781 ...
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... y4t + /2 DUM 1 + Y5 DUM 2 + seasonals ... 337 0-346 0-314 (3 00) (3-11) (2 66) (2.87) ln w(t-1) -3-229 -3 576 -1-474 -3.449 (-2 56) (-2-63) (-0 69) (- 1.92) E(t-1) 0.310 0 344 0-159 0 285 (3-07) (3-19) (1-15) (2 45) t 0-012 0-014... more
... y4t + /2 DUM 1 + Y5 DUM 2 + seasonals ... 337 0-346 0-314 (3 00) (3-11) (2 66) (2.87) ln w(t-1) -3-229 -3 576 -1-474 -3.449 (-2 56) (-2-63) (-0 69) (- 1.92) E(t-1) 0.310 0 344 0-159 0 285 (3-07) (3-19) (1-15) (2 45) t 0-012 0-014 0O0l0 0.014 (2-18) (2-22) (1 10) (1-89) DUMI -0 111 ...
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Page 1. The Economic Journal, 99 (December I989), 962-1025 Printed in Great Britain A SURVEY OF SOME RECENT ECONOMETRIC METHODS* AR Pagan and MR Wickens There is an understandable reluctance by the ...
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ABSTRACT This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general... more
ABSTRACT This paper takes the view that a major contributing factor to the financial crisis of 2008 was a failure to correctly assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to risk by borrowers and lenders. The model can also be used to analyse systemic risk due to macroeconomic shocks which may be reduced by holding collateral.
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We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using... more
We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole is rejected. However it
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This paper considers the estimation of a number of commonly used single-equation linear models, all of which have rationally expected future explanatory variables. Fully efficient and less efficient instrumental variable estimators are... more
This paper considers the estimation of a number of commonly used single-equation linear models, all of which have rationally expected future explanatory variables. Fully efficient and less efficient instrumental variable estimators are proposed in each case. The choice of estimation method is usually represented as a trade-off between efficiency on the one hand and robustness and computational convenience on the other. It is shown in this paper that there is a more fundamental issue which must influence the choice of estimator, namely the type of solution that the model possesses. The construction of an efficient estimation method depends on whether or not the model has a unique solution and often this will not be known a priori. Preliminary estimation by instrumental variable methods can be used to resolve this question. Various tests are proposed in the paper. Whiteman's solution method is used to determine the types of solution that are possible for each model. It is shown how these solutions can be written as both backwards and forwards solutions and the parameter restrictions which are required to obtain unique solutions.
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