M
Michael R. Wickens
Researcher at University of York
Publications - 132
Citations - 2789
Michael R. Wickens is an academic researcher from University of York. The author has contributed to research in topics: Capital asset pricing model & Monetary policy. The author has an hindex of 26, co-authored 128 publications receiving 2671 citations. Previous affiliations of Michael R. Wickens include University of Bath & Center for Economic Studies.
Papers
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Dynamic Specification, the Long-Run and The Estimation of Transformed Regression Models
TL;DR: In this paper, the authors discuss the best way to formulate and estimate a dynamic econometric model when interest focuses mainly upon its long-run properties, using results derived for the more general context of transformed regression models, and show how point estimates and the standard errors of long run multipliers and long run structural coefficients can be obtained using standard estimation methods.
Book
Macroeconomic Theory: A Dynamic General Equilibrium Approach
TL;DR: Wickens as discussed by the authors presents a simple general equilibrium macroeconomic model for a closed economy, and then gradually develops a comprehensive model of the open economy, including growth, business cycles, fiscal policy, taxation and debt finance, current account sustainability, and exchange rate determination.
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Interpreting cointegrating vectors and common stochastic trends
TL;DR: The authors showed that the common stochastic trends derived using VAR analysis in the presence of cointegration are not identified, nor can they be obtained uniquely from the estimated cointegrating vectors.
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Debt and Deficit Ceilings, and Sustainability of Fiscal Policies: an Intertemporal Analysis
Merih Uctum,Michael R. Wickens +1 more
TL;DR: In this article, a formal theoretical framework for analyzing the sustainability of fiscal policy based on the government intertemporal budget constraint and derive conditions that determine whether a given fiscal stance is sustainable.
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Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure
TL;DR: In this paper, the authors show that the term spread between long and short rates fails to forecast future movements of long-term rates although its forecasts of future shortterm rates are in the correct direction.