The immediate background to this paper is the downgrade of the U.K.'s credit rating in Februa... 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.
Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE mod... 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
In 2005 all ECB publications will feature a motif taken from the €50 banknote. This paper can be ... more 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 se... 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.
Journal q/ International Money and Finance (1993), 12, 39"12 An international CAPM for bonds... 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 ...
... Downloadable!]; 224 The Tobin effect and the Friedman rule by Joydeep Bhattacharya & Jose... 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 e... 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 ...
... A(L) zt: ut (1) where zt:( yt, pt), A(L) is a matrix polynomial in the lag operator L with ro... 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 ...
The immediate background to this paper is the downgrade of the U.K.'s credit rating in Februa... 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.
Using Monte Carlo experiments, we examine the performance of indirect inference tests of DSGE mod... 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
In 2005 all ECB publications will feature a motif taken from the €50 banknote. This paper can be ... more 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 se... 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.
Journal q/ International Money and Finance (1993), 12, 39"12 An international CAPM for bonds... 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 ...
... Downloadable!]; 224 The Tobin effect and the Friedman rule by Joydeep Bhattacharya & Jose... 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 e... 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 ...
... A(L) zt: ut (1) where zt:( yt, pt), A(L) is a matrix polynomial in the lag operator L with ro... 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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Papers by M. Wickens