Professor Michael Wickens
Professor of Economics
- WickensM1@cardiff.ac.uk
- +44 29208 75722
- Aberconway Building, Room S36, Colum Road, Cathays, Cardiff, CF10 3EU
Publication
2022
- Minford, P., Ou, Z., Wickens, M. and Zhu, Z. 2022. The eurozone: what is to be done to maintain macro and financial stability?. Journal of Financial Stability 63, article number: 101064. (10.1016/j.jfs.2022.101064)
- Meenagh, D., Minford, P. and Wickens, M. R. 2022. The macroeconomic controversy over price rigidity - how to resolve it and how Bayesian estimation has led us astray. Open Economies Review 33, pp. 617-630. (10.1007/s11079-021-09658-y)
2019
- Meenagh, D., Minford, P., Wickens, M. and Xu, Y. 2019. Testing DSGE models by indirect inference: a survey of recent findings. Open Economies Review 30(3), pp. 593-620. (10.1007/s11079-019-09526-w)
- Minford, P., Wickens, M. and Xu, Y. 2019. Testing part of a DSGE model by indirect inference. Oxford Bulletin of Economics and Statistics 81(1), pp. 178-194. (10.1111/obes.12253)
2017
- Le, V. P. M., Meenagh, D., Minford, A. and Wickens, M. 2017. A Monte Carlo procedure for checking identification in DSGE models. Journal of Economic Dynamics and Control 76, pp. 202-210. (10.1016/j.jedc.2017.01.009)
2016
- Minford, A., Wickens, M. and Xu, Y. 2016. Comparing different data descriptors in Indirect Inference tests on DSGE models. Economics Letters 145, pp. 157-161. (10.1016/j.econlet.2016.06.016)
- Le, V. P. M., Meenagh, D., Minford, A. P. L., Wickens, M. and Xu, Y. 2016. Testing macro models by indirect inference: a survey for users. Open Economies Review 27(1), pp. 1-38. (10.1007/s11079-015-9377-5)
2015
- Minford, A. P. L., Ou, Z. and Wickens, M. 2015. Revisiting the Great Moderation: policy or luck?. Open Economies Review 26(2), pp. 197-223. (10.1007/s11079-014-9319-7)
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2015. Small sample performance of indirect inference on DSGE models. Working paper. Cardiff: Cardiff University.
2014
- Polito, V. and Wickens, M. 2014. Modelling the U.S. sovereign credit rating. Journal of Banking and Finance 46, pp. 202-218. (10.1016/j.jbankfin.2014.05.008)
- Wickens, M. 2014. How useful are DSGE macroeconomic models for forecasting?. Open Economies Review 25(1), pp. 171-193. (10.1007/s11079-013-9304-6)
2013
- Abhakorn, P., Smith, P. N. and Wickens, M. 2013. What do the Fama-French factors add to C-CAPM?. Journal of Empirical Finance 22, pp. 113-127. (10.1016/j.jempfin.2013.04.002)
- Minford, P., Ou, Z. and Wickens, M. 2013. Revisiting the Great Moderation using the method of Indirect Inference. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Minford, P. and Wickens, M. 2013. A Monte Carlo procedure for checking identification in DSGE models. Working paper. Cardiff: Cardiff University.
2012
- Meenagh, D., Minford, P. and Wickens, M. 2012. Testing macroeconomic models by indirect inference on unfiltered data. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2012. Testing DSGE models by Indirect Inference and other methods: some Monte Carlo experiments. Working paper. Cardiff: Cardiff University.
- Polito, V. and Wickens, M. 2012. A model-based indicator of the fiscal stance. European Economic Review 56(3), pp. 526-551. (10.1016/j.euroecorev.2011.12.003)
2011
- Le, V. P. M., Meenagh, D., Minford, A. P. L. and Wickens, M. 2011. How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference. Journal of Economic Dynamics and Control 35(12), pp. 2078-2104. (10.1016/j.jedc.2011.08.009)
- Polito, V. and Wickens, M. 2011. Assessing the fiscal stance in the European Union and the United States, 1970-2011. Economic Policy 26(68), pp. 599-647. (10.1111/j.1468-0327.2011.00270.x)
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2011. How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE model using indirect inference. Working paper. Cardiff: Cardiff University.
2010
- Davidson, J., Meenagh, D., Minford, P. and Wickens, M. 2010. Why crises happen: nonstationary macroeconomics. Working paper. Cardiff: Cardiff University.
- Polito, V. and Wickens, M. 2010. Optimal monetary policy using an unrestricted VAR. Journal of Applied Econometrics 27(4), pp. 525-553. (10.1002/jae.1219)
- Le, V. P. M., Minford, A. P. L. and Wickens, M. 2010. The 'Puzzles' methodology: En route to Indirect Inference?. Economic Modelling 27(6), pp. 1417-1428. (10.1016/j.econmod.2010.07.016)
2009
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2009. Two orthogonal continents: testing a two-country DSGE model of the US and EU using indirect inference. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Minford, P. and Wickens, M. 2009. Some problems in the testing of DSGE models. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Minford, P. and Wickens, M. 2009. The ‘Puzzles’ methodology: en route to Indirect Inference?. Working paper. Cardiff: Cardiff University.
- Meenagh, D., Minford, A. P. L. and Wickens, M. 2009. Testing a DSGE Model of the EU Using Indirect Inference. Open Economies Review 20(4), pp. 435-471. (10.1007/s11079-009-9107-y)
- Smith, P. N., Sorensen, S. and Wickens, M. 2009. The equity premium and the business cycle: the role of demand and supply shocks. International Journal of Finance & Economics 15(2), pp. 134-152. (10.1002/ijfe.395)
- Le, V. P. M., Meenagh, D., Minford, A. P. L. and Wickens, M. 2009. Two orthogonal continents? Testing a two-country DSGE model of the US and the EU using indirect inference. Open Economies Review 21(1), pp. 23-44. (10.1007/s11079-009-9141-9)
2008
- Meenagh, D., Minford, P. and Wickens, M. 2008. Testing a DSGE model of the EU using indirect inference. Working paper. Cardiff: Cardiff University.
2007
- Wickens, M. and Polito, V. 2007. Measuring the fiscal stance. Discussion Paper. York: University of York. Available at: http://ideas.repec.org/p/yor/yorken/07-14.html
2005
- Polito, V. and Wickens, M. 2005. Measuring fiscal sustainability. Discussion Paper. CEPR.
Articles
- Minford, P., Ou, Z., Wickens, M. and Zhu, Z. 2022. The eurozone: what is to be done to maintain macro and financial stability?. Journal of Financial Stability 63, article number: 101064. (10.1016/j.jfs.2022.101064)
- Meenagh, D., Minford, P. and Wickens, M. R. 2022. The macroeconomic controversy over price rigidity - how to resolve it and how Bayesian estimation has led us astray. Open Economies Review 33, pp. 617-630. (10.1007/s11079-021-09658-y)
- Meenagh, D., Minford, P., Wickens, M. and Xu, Y. 2019. Testing DSGE models by indirect inference: a survey of recent findings. Open Economies Review 30(3), pp. 593-620. (10.1007/s11079-019-09526-w)
- Minford, P., Wickens, M. and Xu, Y. 2019. Testing part of a DSGE model by indirect inference. Oxford Bulletin of Economics and Statistics 81(1), pp. 178-194. (10.1111/obes.12253)
- Le, V. P. M., Meenagh, D., Minford, A. and Wickens, M. 2017. A Monte Carlo procedure for checking identification in DSGE models. Journal of Economic Dynamics and Control 76, pp. 202-210. (10.1016/j.jedc.2017.01.009)
- Minford, A., Wickens, M. and Xu, Y. 2016. Comparing different data descriptors in Indirect Inference tests on DSGE models. Economics Letters 145, pp. 157-161. (10.1016/j.econlet.2016.06.016)
- Le, V. P. M., Meenagh, D., Minford, A. P. L., Wickens, M. and Xu, Y. 2016. Testing macro models by indirect inference: a survey for users. Open Economies Review 27(1), pp. 1-38. (10.1007/s11079-015-9377-5)
- Minford, A. P. L., Ou, Z. and Wickens, M. 2015. Revisiting the Great Moderation: policy or luck?. Open Economies Review 26(2), pp. 197-223. (10.1007/s11079-014-9319-7)
- Polito, V. and Wickens, M. 2014. Modelling the U.S. sovereign credit rating. Journal of Banking and Finance 46, pp. 202-218. (10.1016/j.jbankfin.2014.05.008)
- Wickens, M. 2014. How useful are DSGE macroeconomic models for forecasting?. Open Economies Review 25(1), pp. 171-193. (10.1007/s11079-013-9304-6)
- Abhakorn, P., Smith, P. N. and Wickens, M. 2013. What do the Fama-French factors add to C-CAPM?. Journal of Empirical Finance 22, pp. 113-127. (10.1016/j.jempfin.2013.04.002)
- Polito, V. and Wickens, M. 2012. A model-based indicator of the fiscal stance. European Economic Review 56(3), pp. 526-551. (10.1016/j.euroecorev.2011.12.003)
- Le, V. P. M., Meenagh, D., Minford, A. P. L. and Wickens, M. 2011. How much nominal rigidity is there in the US economy? Testing a new Keynesian DSGE model using indirect inference. Journal of Economic Dynamics and Control 35(12), pp. 2078-2104. (10.1016/j.jedc.2011.08.009)
- Polito, V. and Wickens, M. 2011. Assessing the fiscal stance in the European Union and the United States, 1970-2011. Economic Policy 26(68), pp. 599-647. (10.1111/j.1468-0327.2011.00270.x)
- Polito, V. and Wickens, M. 2010. Optimal monetary policy using an unrestricted VAR. Journal of Applied Econometrics 27(4), pp. 525-553. (10.1002/jae.1219)
- Le, V. P. M., Minford, A. P. L. and Wickens, M. 2010. The 'Puzzles' methodology: En route to Indirect Inference?. Economic Modelling 27(6), pp. 1417-1428. (10.1016/j.econmod.2010.07.016)
- Meenagh, D., Minford, A. P. L. and Wickens, M. 2009. Testing a DSGE Model of the EU Using Indirect Inference. Open Economies Review 20(4), pp. 435-471. (10.1007/s11079-009-9107-y)
- Smith, P. N., Sorensen, S. and Wickens, M. 2009. The equity premium and the business cycle: the role of demand and supply shocks. International Journal of Finance & Economics 15(2), pp. 134-152. (10.1002/ijfe.395)
- Le, V. P. M., Meenagh, D., Minford, A. P. L. and Wickens, M. 2009. Two orthogonal continents? Testing a two-country DSGE model of the US and the EU using indirect inference. Open Economies Review 21(1), pp. 23-44. (10.1007/s11079-009-9141-9)
Monographs
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2015. Small sample performance of indirect inference on DSGE models. Working paper. Cardiff: Cardiff University.
- Minford, P., Ou, Z. and Wickens, M. 2013. Revisiting the Great Moderation using the method of Indirect Inference. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Minford, P. and Wickens, M. 2013. A Monte Carlo procedure for checking identification in DSGE models. Working paper. Cardiff: Cardiff University.
- Meenagh, D., Minford, P. and Wickens, M. 2012. Testing macroeconomic models by indirect inference on unfiltered data. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2012. Testing DSGE models by Indirect Inference and other methods: some Monte Carlo experiments. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2011. How much nominal rigidity is there in the US economy? Testing a New Keynesian DSGE model using indirect inference. Working paper. Cardiff: Cardiff University.
- Davidson, J., Meenagh, D., Minford, P. and Wickens, M. 2010. Why crises happen: nonstationary macroeconomics. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Meenagh, D., Minford, P. and Wickens, M. 2009. Two orthogonal continents: testing a two-country DSGE model of the US and EU using indirect inference. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Minford, P. and Wickens, M. 2009. Some problems in the testing of DSGE models. Working paper. Cardiff: Cardiff University.
- Le, V. P. M., Minford, P. and Wickens, M. 2009. The ‘Puzzles’ methodology: en route to Indirect Inference?. Working paper. Cardiff: Cardiff University.
- Meenagh, D., Minford, P. and Wickens, M. 2008. Testing a DSGE model of the EU using indirect inference. Working paper. Cardiff: Cardiff University.
- Wickens, M. and Polito, V. 2007. Measuring the fiscal stance. Discussion Paper. York: University of York. Available at: http://ideas.repec.org/p/yor/yorken/07-14.html
- Polito, V. and Wickens, M. 2005. Measuring fiscal sustainability. Discussion Paper. CEPR.
Research
Research interests
My general research interests are in macroeconomics and finance, the connections between the two, and in developing new analytical and empirical tools.
I have published papers in the following areas:
- Macroeconomics: intertemporal macro models, real business cycle theory, the sustainability of fiscal policy, monetary policy, exchange rate models, the consumption function.
- Finance: Bond, equity and FOREX asset pricing; strategic asset allocation, the term structure of interest rates, the behaviour of the stock market, foreign exchange markets, international CAPM, mortgage-backed securities, commodity models.
- Econometrics : cointegration, VAR analysis, economic convergence, rational expectations, learning, estimation theory and inference. I have advised the House of Lords Economic Affairs Committee in all of their investigations since their inception: on monetary policy and globalisation.
PhD supervision research interests
Macroeconomics and finance, the connections between the two, and developing new analytical and empirical tools
Biography
Qualifications
- MSc(London)
- BSc(Econ)
Additional activities
- Former Managing Editor, The Economic Journal
- Specialist Advisor, House of Lords Economic Affairs Committee Fellow of the CEPR Fellow of CESifo
- Consultant to the International Monetary Fund and the UN Food and Agriculture Organisation Education