|
Full Publication List |
BOOKS
Applied Econometrics, with Dimitrios Asteriou,
Palgrave, 2007
Macroeconometric Models and European Monetary
Union, edited by S.G.Hall U.Heilerman
and P.Pauly, Dunker & Humblot,
Berlin, 2003
Argument in the Geenhouse;
the economics of international environmental co-ordination, 1997, with N. Mabey, C. Smith and S. Guypta, Routledge, London
Macroeconomic Modelling in a changing world edited
volume, 1997, John Wiley and Sons.
Applied Economic Forecasting Techniques edited volume,
1994, Simon and Schuster.
Applied
Econometric Techniques with M.P. Taylor and K.
Cuthbertson, Simon Schuster, 1992.
Macroeconomic Modelling with S.G.B. Henry, North
Holland, Contributions to Economic Analysis series 1988.
Oil and The British Economy with
Sir Fred Atkinson, Croom Helm, 1983.
PAPERS
2009
“Assessing
the Causal Relationship between Euro-Area Money and Prices in a Time-Varying
Environment” with George Hondroyiannis, P.A.V.B. Swamy and George Tavlas, Economic
Modeling, accepted
"The
New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious
Correlation?" Southern Economic Journal, accepted
‘A New Look at Economic Convergence in Europe: A Common Factor
Approach’ International Journal of Finance and Economics’ vol 14,1, 85-97, doi 10.1002/ijfe.364
“How Far From
the Euro Area? Measuring
Convergence of Inflation Rates in Eastern Europe” with Bettina Becker, Economic Modelling,
Accepted
2008
‘A comparison
between tests for changes in the adjustment coefficients in cointegrated
systems’, Journal of Statistical Computation and Simulation, 78, 1,
1-17. with Barassi, M.R., Caporale, G.M.
‘Recent
Development in Density Forecasting’ with James Mitchel
in Palgrave Handbook of Economics vol II edited T.
Mills and K.D. Patterson
"Foreign
Direct Investment in R&D and Exchange Rate Uncertainty" with Bettina
Becker, accepted in the Open Economies Review
‘Production
Constraints and the NAIRU’ with Ciaran Driver, E-conomics
(E-journal), (accepted)
FDI and exchange rate uncertainty in Southeast Asia, with Sylvia
Gottschalk, International Journal of Finance and Economics DOi: 10.1002/ijfe. Vol 13, 4, 345-355
‘Where Has All the Money Gone? Wealth and the Demand
for Money in South Africa’ with P. A. V. B. Swamy George S. Tavlas and George Hondroyiannis Journal of African studies; doi: 10.1093/jae/ejn008
2007
FDI and exchange
rate uncertainty in Southeast Asia, with Sylvia Gottschalk, International
Journal of Finance and Economics
‘Measuring
the correlation of shocks between the EU15 and the new member countries’ with
George Hondroyiannis, Journal of Economic Change and
restructuring 39,19-34 DOI 10.1007/s10644-007-9018-0
“Foreign direct
investment and exchange rate uncertainty in imperfectly competitive
industries”, with Sylvia Gottschalk, chapter in ‘Regionalisation,
Growth, and Economic Integration, edited by George Korres,
Springer, ISBN: 978-3-7908-1924-3
2006
Optimal Combinations of Density Forecasts, with J. Mitchell, International
Journal of Forecasting
A Comparison between tests for changes in the adjustment coefficient in Cointegrated Systems, with M. Barrassi and G.
Caporale, Journal of Statistical Computation and Simulation.
Density Forecasts, with James Mitchell, forthcoming in the Palgrave
Handbook of Econometrics, volume 2, edited by T.C. Mills and K. Patterson.
Interest Rate Linkages, Identifying Structural Relationships, with M. Barrassi and G. Caporale, Applied Financial Economics
Evaluating Policy Feedback Rules using the Joint Density Function of a
Stochastic Model with R. Barrell and I. Hurst, Economic
Letters 93, 1-5
The New Monetary Regime: Introduction, with S.G.B.Henry,
National Institute Economic Review, April
An Independent Bank of England: Is that Enough? With S.G.B.Henry,
National Institute Economic Review, April
2005
Evaluating, Comparing and Combining density forecasts using the KLIC
with an application to the Bank of England and NIESR “fan” charts of Inflation,
with J. Mitchell, Oxford Bulletin of Economics and Statistics, special
issue, vol 67, 995-1033, 2005.
‘Fiscal Consolidation: An Exercise in the Methodology of Coordination’
with S.G.B. Henry, M. Chui and Guiglermo Caporale,, Journal
of Economic Integration, 20, 1 1-25, awarded the Dae-Yang
prize for the best paper of 2005 ($300).
“A
Sequential test for Structural Breaks in the Causal Linkages between the G7
Short-term Interest Rates” with M. Barrassi and G.
Caporale Open Economies Review, 16,107-133
“Interest
Rate Linkages: A Kalman Filter Approach to Detecting Structural Change” with M.
Barrassi and G. Caporale, Economic Modelling vol 22, no 2 pg 253-284.,
‘Expectations and the 1990 ERM crises’ Beeby M, Hall S.Henry S.G.B. and Marcet A. Estudios
Economia Applicada
Identifying The Wage Bargaining Process in
Germany by Stephen G. Hall, Volume edited by Olivier Basedevant,
IMF.
“Interes Rate Linkages; Identifying Structural
Relations” Applied Financial Economics with
M. Barrassi and G. Caporale.
Modelling Volatility and its
implications for European Economic Integration, Stephen G. Hall, in New Directions
in macroeconomics, edited by A. Welfe, North Holand
Contributions in Economics Analysis series
2004
“Foreign
Direct Investment and Exchange Rate Uncertainty in Imperfectly Competitive
Industries” with R. Barrell and S.D. Gottschalk, in Reginal Growth and Economic Integration edited by G.M.Kores
“Modelling
Volatility and its implications for European Integration”
in New Directions in Macromodelling edited by
A, Welfe, Contributions to economic analysis, Elsevier
2003
“Measuring the capital
stock in Russia: An unobserved component model” Economics
of Planning, with O. Basdevant
“Modelling
Economic Policy Responses with an application to the G3” with G.M. Caporale, M.
Chui and S.G.B. Henry, Annales D’Economie et de Statistique,
“Analysing
Exchange Rate Volatility around the August 1998 Russian Crisis” with O. Basedevant, Journal
of Policy Modelling
“SGB Henry: A Memoir
and a Fesrschrift Essay” with Meghnad
Desai, Economic Modelling., 20, 2,227-237.
‘Modelling the
Euro-11 Economy: A Supply-Side approach’ with M. Beeby
and S.G.B.Henry, in Macroeconometric
Models and European Monetary Union, edited by Hall S. Heilerman
U. and Pauly P.
2002
On
the Identification of Cointegrated Systems in Small
Samples: Practical Procedures with an Application to UK wages and Prices.’ With
J. Greenslade and S.G.B.Henry, Forthcomming,
Journal of Economic Dynamics and Control, Volume 26, Issue
9, August
‘Foreign
exchange market efficiency and cointegration’ with M.Ferre,
Applied Financial Economics, 12, 2, feb, 131-141
“Testing
Causality Between Team Performance and Payroll:The Case of Major League Baseball and English
Soccer” with S. Symanski and A. Zimbalist, Journal
of Sports Economics, May 2002, vol 3 No
2,134-149.
“Testing
for Common Features in the European Union” with David Shepherd and Hong Bai, in Economic Integration: Limits and Prospects, (ed)George Bitros
and George Korres, Macmillan.
"The Determination of Wage and Price Inflation in
Greece: An Application of Modern Cointegration Techniques" with N.
Zonzilos edit by R.C.Bryant, N.C.Garganas
and G. Tavlas, ‘Greece’s Economic Performance and Prospects’from
the Bank of Greece and the Brooking Institute
2001
“Coordination
and price shocks: An empirical analysis” with G.Caporale,
M.Chui and S.G.B.Henry, Economic
Modelling, 18, 4, 569-585
“Prospects for the Euro: why has it been so weak”, with
S.G.B. Henry, Economic Outlook, 26, 1, 11-16.
“Creating High frequency national Accounts: A Monte
Carlo Study” with Harry Liu, Journal of Forecasting 20 pg 441-449.
‘A
Non-Parametric Approach to Pricing and Hedging Derivative Securities with an
Application to LIFFE Data’ with J.A. Barria, Computational Economics,
"Irreducibility and Structural Cointegrating
Relations: An application to the G7 Long Term interest rates" with M.R.Barrassi G.Maria Caporale International
Journal of Finance and Economics vol 6, pp
127-138
“Why has the Euro Been so
Low”, with S.G.B.Henry, Economic Outlook.
2000
`
`Unemployement and the Capital Stock: A
dynamic structural model of the UK supply sidePRIVATE
’, with James Nixon, Economic Modelling, 17 (2000) 415-437.
`Modelling
Economies in Transition: An Introduction’ with G. Mizon and A. Welfe, Economic
Modelling , 17 (2000) 339-357.
`The
Independence of the Bank of England: An Update’ with S.G.B. Henry, Economic
Outlook, 24, 2, 5-12.
“Tax is the Key to a Lower Pound” with S.G.B.Henry, Financial Times, 18.5.2000.
“Unemployment,
The Natural Rate and Structural Change” with J.F.Greenslade,
S.g.B. Henry and J. Nixon, in Holly S. and Weale M. (eds), Econometric
Modelling, Techniques and Applications, Cambridge University Press, Cambridge
“What
convergence Really Means” Financial Times 5/7/2000.
1999
Detecting Periodically Collapsing Bubbles: A
Markov-Switching Unit Root Test’ with Z. Psaradakis
and M. Sola, Journal of Applied Econometrics, 14, 143-154.
`A
Principal Components Analysis of Common Stochastic Trends in Heterogeneous
Panel Data: Some Monte Carlo Evidence’ with S. Lazarova
and G. Urga, Oxford Bulletin of Economics and Statistics, 61, 1, 1999,
751-769.
“Stylised
Facts of the Business Cycle Revisited: A Structural Modelling Approach.” With Laurence Boone, International Journal of Finance and
Economics, Vol. 14 No 3.
`Signal
Extraction and Estimation of a Trend: A Monte Carlo Study’ with Laurence Boone,
Journal of Forecasting, 18, 129-137.
`Examining the first stages of Market Performance: A
test for evolving market efficiency’ with Anna Zalewska-Mitura, Economics
Letters 64 (1999), 1-12.
`Shock
Hunting: The relative importance of industry-specific, Region Specific and Aggregate
Shocks in the OECD Countries’ with M. Funke and R Ruhwedel,
The Manchester School, 67 (supplement),49-65.
`Central
Bank Independence and Co-ordinating Monetary and Fiscal Policy’ with SGB Henry
and James Nixon, Economic Outlook 23,2, 7-14.
`New
Developments in the Analysis of Panel Data sets’ with Giovani
Urga, in the Current state of Business Disciplines, Vol. 2, section 28 editor Shri Bhagwan Dahiya,
isbn 81-7600-051-5, spellbound publications.
`Modifying
the Rational Expectations Assumption in a large World Model’ with Steven Symanski, in Hughes-Hallett A. and McAdam
P. (eds) `Analysis in Macroeconomic Modelling’ Kluwer Academic Publishers, Massachusetts, 1999.
1998
`Modelling
and Forecasting UK Public Finances’, with A Sentence and J O’Sullivan Fiscal
Studies 19,1, February, p63-81.
`The
Value of International Cooperation: Optimising behaviour in Climate Change
Negotiations’ with Clare Smith, International Journal of Global Energy
Issues, vol 10, Nos
2-4, pp 238-253.
`Aggregate
Demand and Aggregate Supply in the UK regions’ with Michael Funke, Journal
of Economic Studies, 25, 4, 260-276.
`A
Dynamic Approach to Structural Modelling; A Comment on
Tiao et al.’ Statistica
Sinica vol 8 No 4, 1998
“The
Relationship Between Money and Prices: An Econometric Appraisal Based on
Cointegration and Caysality’ with M.Funke
and M.Beeby, in Heji C.,
Hans S., Hanzon B. and Praagman
K. (eds) System Dynamics in Economic and Financial
Models, John Wiley Series in Financial Economics and Quantitative analysis,
Chichester.
`Modelling
Economic Policy Responses’, in Macromodels97 eds, Gajda J B and Welfe A, ISBN 83-86840-55-2, Absolwent, Lodz
`Is
The Bundesbank different
from other central Banks?’ with Michael Funke, in Hickman and Klein (eds) Link Proceedings 1991-1992
`The
Degree of Convergence in the EMS’ with Robertson D and Wickens M R., Hickman
and Klein (eds) Link Proceedings 1991-1992
`Modelling
Wages and the Supply side of the UK Economy’ with James Nixon, , in
Macromodels97 eds, Gajda J
B and Welfe A, ISBN 83-86840-55-2, Absolwent, Lodz
`The
treatment of expectations effects in large Scale Models’, Hickman and Klein (eds) Link Proceedings 1991-1992
1997
`Cointegration
and Changes in Regime: The Japanese Consumption Function’ with Sola M and Psaradakis Z., Forthcomming Journal
of Applied Econometrics., 12, 151-168.
`Stabilizing
Energy Related CO2 Emissions for India’ with Sujata
Gupta, Energy Economics, 19, 125-150.
`E- Equilibria and Adaptive Expectations:
Output and Inflation in the LBS Model’ with Garratt A. Journal of Economic Dynamics and Control, vol 21, no 7, pg 1149-1173 1997.
`Switching
Error Correction Models of House Prices in the UK’ with Sola M. and Psaradakis Z. forthcomming Economic
Modelling
`Empirical
Properties of the Black Market Zloty/Dollar Exchange rate, 1955-1990' International
Journal of Finance and Economics, with M. Funke and M. Sola.Vol 2 No.1, p29-38.
Macroeconomic
Modelling: A Perspective, in Allen C and Hall
S.(eds) Macroeconomic Modelling in a changing World;
Towards a common approach, John Wiley, Chichester
`The
Output Gap and Inflation in Greece’, with N. Zonzolus,
Bank of Greece Quarterly Bulletin, 3, 97, p 51-63, March
`Learning
About Monetary Union: An analysis of Boundedly
Rational Learning in European Labor Markets’ with R. Barrell, G. Caporale and A.Garratt,
in Journal of Policy Modelling, 19, 5, 469-489.
`Measuring
Economic Convergence’ with D. Robertson and M.R.Wickens,,
International Journal of Finance and Economics, vol
2, No 2, 131-143, May, 1997
`Convergence
and Common Cycles in the European Union’ Economic Issues, 2,2,59-72,
with Hong Bai and D. Sheperd.
Stockbuilding Risk and Forward Lookiong Behaviour of the Firm, with Bai
H. and Whitley J., in Allen C and Hall S.(eds)
Macroeconomic Modelling in a changing World; Towards a common approach, John
Wiley, Chichester
`The
Relationship Between Money and Prices: An Econometric Appraisal Based on
Cointegration and Causality’ with M. Funke and M.Beeby,
in `System Dynamics in Economic and Financial Models, eds
Heij C, Schumacher J, Hanzon
B and Praagman C, John Wiley.
`Modelling exchange rates in a transition economy:
Empirical evidence for efficient markets’ with Malinka
Koparanova. in Koparanova (ed) Emerging capital
markets in a transitional environment, Commercial and advertising publishing
house, Sofia
UK
Fiscal Policy in the Medium Term, with O’Sullivan J and Sentance
A., in Allen C and Hall S.(eds)
Macroeconomic Modelling in a changing World; Towards a common approach, John
Wiley, Chichester
`Modelling
Emerging Financial Markets and their approach to market efficiency’ with
Rebecca Emerson and Anna Zalewska-Mitura,. in Koparanova (ed)
Emerging capital markets in a transitional environment, Commercial and
advertising publishing house, Sofia
‘Is
the Bundesbank Different from other Central Banks; A
study Based on P-Star’ with Michael Funke, in Klein and Hickman(eds)... Forthcomming
‘The
Treatment of Expectations in Large-Scale Models’ with A. Garratt, in Klein and Hickman(eds)... Forthcomming
‘The
degree of Convergence within the EMS’ with M. Wickens and D. Robertson, in
Klein and Hickman(eds)... Forthcomming.
Controlling
Inflation: Modelling Monetary Policy in the 1990s, with Nixon J., in Allen C
and Hall S.(eds)
Macroeconomic Modelling in a changing World; Towards a common approach, John
Wiley, Chichester
Modelling
Economies in Transition, with O’Sullivan J. in Allen C and
Hall S.(eds) Macroeconomic Modelling in a
changing World; Towards a common approach, John Wiley, Chichester
1996
Modelling
Economies Subject to Structural Change: The case of Germany’ with J.V.
Greenslade, Economic Modelling, 13, 4
,545-560, 1996,
`Endogenous
Technical Progress in Fossil Fuel Demand: The Case of France’ with L Boone and
D Kemball-Cook, Journal of Policy Modelling
18(2), 141-155, 1996
`Carbon
Abatement Costs: An Integrated Approach for India’ with S. Gupta,
Environmental and Development Economics, 1996,
1, 1. 41-63.
`Structural
Change and Economic Behaviour; The Case of UK Exports’ with G. Urga and J.
Whitley, Economic Issues, 1, 1, 1-12, 1996
`Measuring Underlying Economic Activity' Journal of
Applied Econometrics, vol. II p 135-151. with A
Garratt
`The
Macroeconomics of the Peace Dividend in the UK’, with Hong Bai,
James Nixon and Ron Smith, in Gleditsch N.P., Bjerkholt O., Cappelen A., Smith
R.P. and Dunne J.P. `The Peace Dividend, North Holland, Amsterdam, 1996.
`Structural
breaks and GARCH Modelling’ with M.Sola,
in M. Gilli(ed)
Computational Economic Systems; Models, Methods and Econometrics, Kluwer, 1996, The Netherlands.
1995
`Macroeconomics
and a bit more Reality' Economic Journal
`The
Interface between policy Makers, Markets and Modellers in the Design of
Economic Policy: an Intermodel Comparison' Economic
Journal with J Bray, A Kuleshov, J nixon and P Westaway.
`Endogenous
Technical Progress in Fossil Fuel Demand: The Case of France', The Journal of Policy Modelling with Laurence
Boone
`Model
Consistent Learning and Regime Switching in the London Business School Model' Economic
Modelling, vol 12, no.2 , p87-97,
1995.
`Price
and quantity Responses to Cost and Demand Shocks' with Paul Geroski,
Oxford Bulletin of Economics and Statistics, 57, 2, May.
`Econometric
Modelling of International Carbon Tax Regimes' with C. Smith and N. Mabey, Energy Economics, forthcoming
‘A
proposed framework for Monetary Policy’ with A. Garratt, Applied Economic
Letters vol 2 p
135-138.
`Modelling
Economies in Transition' in proceedings of Macromodels
94, Committee of Statistics and Econometrics, Polish Academy of Science.
`Endogenous
technological progress in Fossil Fuel Demand' with L. Boone, C. Smith and D. Kemball-Cook, in T. Barker, P. Ekins
and N. Johnstone (eds)
Global Warming and Energy Demand, Routledge, London,
1995 .
`Modelling
and Forecasting Structural Change; The Case of
Romania' with John O'Sullivan, Proceedngs of the UN
LINK meeting in Salamanca, ed P Pauly.
`Model
Consistent Learning: Some Recent Developments' with A Garratt, in Schoonbeek L., Sterken E. and Kuipers S.K. (eds) Methods and Applications
of Economic Dynamics, North Holland, Elsevier, Amsterdam
1994
`Forecasting
Economies in Transition; The Case of Romania' with John O'Sullivan, Forthcoming
in The Journal of Economic Planning 1994, 27, 175-184
.
`Robust
Optimal Decisions With Stochastic Nonlinear Economic
Systems' with R Becker and B Rustem, Journal of
Economic Dynamics and Control, 1994. 18, 1, 125-148.
`Rational
Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence'
with M. Funke and M. Sola, European Economic Review,.1994,38,5,may,1257-1276
`Is
The Bundesbank different
from other Central Banks: An Econometric Appraisal' with M Funke, Empirical
Economics, 1994, 19, 691-707 reprinted in Klein L and Guvenen
O.,
`The
Relevance of P-Star Analysis to UK Monetary Policy' with A. Milne, The Economic Journal, May 1994, 424, 104,
597-605.
`A
Comparison of Forecasts' with A. Burrell, in Economic Outlook, February 1994.
`A
Survey of Univariate Forecasting Techniques' in Hall,
S.G.(ed) Applied Economic
Forecasting Techniques, forthcoming 1993, Simon and Schuster.
`A
survey of the treatment of expectations in Forecasting Models' with David
Currie, in Hall, S.G. (ed) Applied Economic
Forecasting Techniques. Forthcoming 1993, Simon and Schuster.
`Measuring
and Forecasting Underlying Economic Activity' with A Garratt, in Hall, S.G.(ed) Applied Economic Forecasting
Techniques, forthcoming 1993, Simon and Schuster.
`Expectations
Learning and Empirical Macroeconomic Models' with David Currie,
International Journal of Systems Science, 25,2.
`The
New London Business School Model of the UK Economy' with Chris Allen and James
Nixon, Economic Outlook, 18,9,244-32.
`Learning
About Monetary Union: An Analysis of Boundedly
Rational Learning in European Labour Markets' with Barrell
R., Caporale G.M., and Garratt A. in Hall, S.G. (ed)
Applied Economic Forecasting Techniques, forthcoming 1993, Simon and Schuster.
`Measuring
Economic Convergence' with Robertson D. and Wickens M.R., in Klein L. and Guvenen O. (eds),
forthcoming.
1993
`News
Effects in a High Frequency Model of the Sterling Effective Exchange Rate' with
C A E Goodhart, S G B Henry and B Pesaran, Journal
of Applied Econometrics 1993,8,1-13 reprinted in Nonlinear Dynamics and
Chaos in Econometrics, ed Pesaran and Potter, John
Wiley.
`Modelling
the Sterling Effective Exchange Rate using Expectations and Learning', Bank of
England Discussion paper No.33. 1990. The Manchester School 1993.
`The
UK Macromodelling Tradition: Expectations and
Learning' in S Holly (ed)
Money Inflation and Employment: Essays in Honour of James Ball, Edward Elgar. with D. Currie.
`A
Note on the Estimation of GARCH-M Models Using The Kalman Filter', Bank of
England Discussion Paper No 32, 1990.
`An
Investigation of the Effects of Funding on the Slope of the Yield Curve' with
Don Egginton, in Jurgen Kaehler (ed)
Financial Market Econometrics 1993.
`Modelling
Structural Change Using The Kalman Filter', CEF Discussion Paper No 9-92, Economics
Of Planning No 26, pp 1-13, 1993.
`Consistent
Expectations and Learning in Large Scale Macroeconometric
Models' with A Garratt and D Currie, in S. Honkapohja
and M Ingberg (ed) Macroeconometric Modelling and Policy Implications, Volume
in honour of Pertti Kukkonen,
North Holland, 1993.
`UK
Policies, Non-Price Competitiveness, and Convergence to an EMU - An Inter-Model Comparison' with J D Whitley, J Bray, P Westaway and G Meen, ESRC Macro
modelling Bureau Discussion Paper No.28.
`A
comparison of UK forecasts of GDP growth' Economic Forecasts, North Holland.
1992
`Testing
a Discreet Switching Disequilibrium Model of the UK Labour Market' with S.G.B.
Henry and M. Pemberton, Bank of England Discussion Paper No. 28, Journal of Applied Econometrics 1992 vol
7, pp 83-91.
`An
Empirical Study of Recent Trends in World Bond Markets' with David Miles, CEF
discussion paper No. 12-91, forthcoming in Oxford Economic Papers, 1992,
44, 599-625.
`A
System Approach to the Relationship Between
Consumption and Wealth' with K D Patterson, University of Reading Discussion
Paper in Quantitative Economics and Computing, No. 1, Applied Economics
1992, 24, 1165-1171.
`Expectations
and Learning in Economic Models' with A Garratt, Economic Outlook,
October 1992.
`A
Proposed Framework for Monetary Policy' with A
Garratt, Economic Outlook October 1992.
`Measuring
European Convergence' with M. Wickens and, D. Robertson, The
Manchester School, 1992.
1991
`Sterlings Relationship with the Dollar and The Deutschemark
1976-1989' with A G Haldane, Bank of England Discussion Paper No.36, 1990 Economic
Journal vol. 101, no. 406 May 1991.
`Monitoring
Bank Risk: A Market Based Approach' with D. Miles, in M.P.Taylor
(ed) Money and Financial
Markets, Basil Blakwell, Oxford, 1991.
`The
Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of
Cointegrating Vectors', Scottish Journal of Political Economy, August
1991.
`Cointegration
in Recursive Systems' with James Davidson, Economic Journal, Vol. 101,
No.405, March 1991.
`An
Application of The Stochastic GARCH in Mean Model to
Risk Premia in The London Metal Exchange', The Manchester School, vol.
LIX, 1991.
`Modelling
Broad and narrow money: A Study Using Cointegration' with M Brookes, S G B
Henry and G Hoggarth, in M P T
Taylor (ed) Money and Financial Markets, Basil
Blackwell, Oxford, 1991.
`Money as a potential Anchor for the Price Level: A
critique of the P-star Approach' with C Allen, Economic Outlook, vol 15 no. 5, Feb 1991.
`Optimal
Control of Stochastic Non-Linear Models' with M J Stephenson, in N. Christodoulakis (ed) Dynamic
Modelling and Control of National Economies, Pergamon
Press, Oxford 1991.
`Economic
Convergence in Europe' with M. Wickens, International Economic Outlook,
vol. 1,no. 2, 1991.
1990
`Manufacturing Stocks; Expectations, Risk and
Cointegration' with T.S. Callen and S.G.B. Henry Bank
of England Discussion Paper No.42. Presented at the
European Meeting of the Econometric Society 1989, Munich. Economic Journal, vol. 100, no. 402, 1990.
`Modelling
Risk Premia in Commodity Forward Prices: Some Evidence from the London Metal Exchange.' with M.P. Taylor. Presented at the Second European Futures Research Symposium, Paris.
The Review of Futures Markets, 1990.
`An
Algorithm for the Solution of Stochastic Optimal Control Problems for Large
Non-Linear Econometric Models' with M.J. Stephenson, Journal of Applied Econometrics, 1990.
`Measuring
The Risk of Financial Institutions' Portfolios: Some Suggestions for Alternative Techniques Using Stock Prices' with D.K.
Miles L.S.E. Financial Markets Group Working Paper and Bank of England
Discussion Paper No 33, in Issues in Economic and Financial Modelling ed K. Patterson and S G B Henry, Chapman and Hall, 1990.
`Cointegration
in Recursive Systems: The Structure of Wage and Price Determination in the
United Kingdom' with James Davidson, presented at the Federal Reserve Board,
California STICERD discussion paper no EM/89/191 LSE.
`Optimal
Control of Stochastic Non-linear Models' with M. J. Stephenson, presented
at the E.S.R.C. Macro-modelling Bureau summer meeting 1988, Bank of England
Discussion Paper No.18, in Issues in Economic and Financial Modelling ed K. Patterson and S G B Henry Chapman and Hall, 1990.
`A Multivariate
GARCH in Mean Estimation of The Capital Asset Pricing Model' with D.K. Miles
and M.P. Taylor, presented at the meeting of the Money Study Group, Oxford
1988, LSE Financial Markets Group Discussion Paper No. Bank of England
discussion paper No 19, in Issues in Economic and Financial Modelling'
ed K. Patterson and S G B Henry, Chapman and
Hall, 1990.
`Stockbuilding and liquidity' with T.S. Callen
and S.G.B. Henry in Issues in Economic and
Financial Modelling ed K.Patterson
and S G B Henry, Chapman and Hall, 1990.
`The
Long Run Determination of The U.K. Monetary Aggregates' with
S.G.B. Henry and J.B. Wilcox. Bank of England discussion paper No 41, in
Issues in Economics and Financial Modelling ed
K. Patterson and S G B Henry, Chapman and Hall, 1990.
`Robust
Optimal Control of Stochastic Nonlinear Economic Systems' with R Becker and B Rustem, PROPE Discussion paper No 115, 1990.
1989
`The
UK Labour Market; Expectations and Disequilibrium' with S G B Henry, A Markandya and M
Pemberton, Applied Economics vol 21 no.11,
1989.
`An
Investigation of the Long Run Properties of Aggregate Non-Durable Consumers
Expenditure in the UK' with A. Drobny presented at
the conference on `Cointegration and
Seasonality' 1987 Manchester University. NIESR
Discussion Paper No.113, The Economic Journal, 1989, June,
vol.99, no. 396.
`Modelling
Asset Prices With Time Varying Betas: Some Evidence From The London Stock
Exchange' with D.K. Miles and M.P.Taylor CUBS Centre
for Banking and International Finance Discussion Paper No.64 1988, The
Manchester School, 1989, vol LVII No.4, December.
`Comment
On' Wealth Targets, Exchange Rate Targets and Macroeconomic
Policy' by Blake, Vines and Weale in Britton (ed) Policy Making with Macroeconomic Models, Gower, 1989.
`Maximum Likelihood Estimation of Cointegrating Vectors:
An Example of the Johansen Procedure', Oxford Bulletin of Economics and
Statistics, 1989.
1988
`Rationality
and Siegels' Paradox, The Importance of Coherency in
Expectations', Applied Economics, 1988, vol
20 No.11 pp. 1533-1541.
`Analysing
Unstable Policy Prescriptions in Linear Difference Models with Rational
Expectations' with G.F. Kennally, Bulletin of
Economic Research, No. 40/3, 1988, pp 217-225.
`The
UK Labour Market: A Disequilibrium Approach' with S.G.B Henry in Modelling the UK Labour Market ed
M. Beenstock, Chapman & Hall, 1988.
1987
`Wage
Models' with S.G.B. Henry, National Institute Economic Review, no. 119
Feb., 1987.
`The UK Labour Market: Equilibrium or Disequilibrium'
with S.G.B. Henry A Markandya and M Pemberton, Lloyds
Bank Review, 1987, no.2.
`Analysing
Economic Behaviour with a Model Containing Consistent Expectations', National
Institute Review, 1987, January.
`Some
Long-Run Features of Dynamic Time Series Models: The Implications of
Cointegration' with A. Drobny presented at the
European Meeting of the Econometric Society 1987 at Copenhagen, NIESR
Discussion Paper No. 111.
`Forecasting
with A Large Macro Model Incorporating Pervasive Consistent Expectations: NIESR
Model 8' Large Scale Systems Theory and Applications,
vol. 13, p 145-155, 1987.
`An
Investigation of Time inconsistency and Optimal Policy Formulation in the
Presence of Rational Expectations using The National
Institute Model 7' NIESR discussion paper No.71. Applied
Economics, vol 19 no 9, 1987 pp 1175-1186.
`A
Forward Looking Model of The Exchange Rate' NIESR
discussion paper No. 91, Journal of Applied Econometrics, vol 2 no.1, 1987.
`Employment
and Stockbuilding: some empirical results of a joint
model' with S.G.B. Henry and S. Wren-Lewis, NIESR
discussion paper No. 99.
`An
Empirical Model of the Exchange Rate Incorporating Rational Expectations'
in Exchange Rates and the Open Economy (ed) K.A.Chrystal and R.Sedgwick,
Wheatsheaf-St. Martin's Press, 1987.
1986
`Forecasting Employment, The Role of Forward-Looking
Behaviour' with S.G.B. Henry, S. Wren Lewis and J. Payne, International
Journal of Forecasting, No.2, 1986, 435-445.
`A
Stock/Flow Model of the Determination of the UK Effective Exchange Rate' with
D. Currie, Presented at the CEPR conference on Exchange Rate Modelling 1986. In Taylor and Mcdonald
(ed) Exchange Rates.
`Disequilibrium
Models with Rational Expectations: an Application to the UK Labour Market' with S.G.B. Henry, A. Markandya
and M. Pemberton. Economics Letters, 1986.
`Model
Solution Techniques and the Non-Existence of a well defined Equilibrium
Solution' with G.F. Kennally NIESR discussion paper No.110.
`An
application of the Granger and Engle Two-Step Estimation Technique to UK
Aggregate Wage Data', NIESR discussion paper No.109, Oxford Bulletin of
Economics and Statistics, 1986, Vol. 48 No. 3.
`The
Exchange Rate and The Balance of Payments' with D. Currie, National Institute Economic Review, Feb., 1986.
`Consistent
Simulations and The National Institute Model 8' with R. Herbert
National Institute Economic Review, Feb., 1986.
`Oil
Prices and The Economy' with S.G.B. Henry and R. Herbert National Institute Economic Review, May, 1986.
`A
Disequilibrium Model of the UK labour Market Incorporating Rational Expectations' with S.G.B Henry, A Markandya
and M. Pemberton NIESR discussion paper No.102.
`Time
Inconsistency and Optimal Policy Formulation in the Presence of Rational Expectations', Journal of Economic Dynamics and
Control, 1986.
`Forecasting
with an Econometric Model: Some recent Results Using the National
Institute Model' with S.G.B Henry and C.B. Johns , Journal of Applied
Econometrics, vol.1, 1986.
`Output
Expectations and Disequilibrium Adjustment in the company Sector: A short
summary of some recent research at the National Institute' with S. Wren-Lewis
NIESR discussion paper No.97.
`The
Importance of Non-Linearities in Large Forecasting
Models with Stochastic Error Processes', NIESR discussion paper No. 74, Journal
of Forecasting, vol 5 no 4, 1986.
`Manufacturing
Stocks and Forward Looking Expectations in the U.K.' with S.G.B Henry and S.
Wren-Lewis, NIESR discussion paper No. 64, Economica, Nov 1986.
`The
Application of Stochastic Simulation Techniques to the National Institute Model 7' NIESR discussion paper No.65, The
Manchester School, 1986.
`The Use of Prior Regressions in Error Correction
Models' with S.J. Brookes, Economic Letters, vol. 20, 1986.
`Estimating
The Uncertainty of the Simulation Properties of Large Non-linear Econometric
Models' NIESR discussion paper No. 95, Applied Economics, vol. 18 No. 9,
1986.
`A
dynamic Econometric Model of the UK with Rational Expectations' with S.G.B.
Henry, Journal of Economic Dynamics and Control, 1986.
1985
`Rational
Expectations in an Econometric Model: NIESR Model 8' with S.G.B. Henry, National
Institute Economic Review, November, 1985.
`Forecasting
with a Rational Expectations Model of the UK: A Comment on the Mathews Paper'
with S.G.B. Henry and C.B. Johns, Oxford Bulletin of
Economics and Statistics, vol. 47, No.4, 1985.
`Nimodel: a users guide', with S.J. Brookes, H. Feisal and C. Johns,
NIESR 1985.
`Employment
and Average Hours in Manufacturing'with S.G.B. Henry,
J. Payne and S. Wren-Lewis NIESR discussion paper No. 80, The British Review
of Economic Issues, 1985.
`An
Improved Solution Technique for Large Economic Models with Consistent
Expectations', System and Control Letters, 1985, May vol
5.
`On
the Solution of Large Economic Models with Consistent Expectations' Bulletin
of Economic Research, May 1985.
`The
Use of Stochastic Simulation in Assessing the Uncertainty of Model Simulation
Properties', Report Commissioned by HM Treasury.
1984
`Calculating the Confidence Intervals of the National
Institutes Model 7', National Institute Economic Revue, No. 109, 1984.
`Model
Ordering and The Problem Of Multiple Solutions', NIESR
discussion paper No. 68.
`On
the Solution of High Order Symmetric Difference Equations', Oxford Bulletin Of Economics and Statistics, February 1984.
1983
`The
Economic Effects Of North Sea Oil' with Sir Fred Atkinson and S.J. Brooks, National Institute Economic Review,
No.104, 1983.
`Money and the Walrasian
Utility Function' Oxford Economic Papers, No. 2, 1983.
`The
Exchange Rate' NIESR discussion paper No. 57, 1983. Subsequently in A.J.C Britton (ed)
Employment, Output and Inflation, The National Institute Model of the
British Economy, Heineman, 1983.
`Wages
and Prices' with S.G.B Henry and C. Trinder in
Britton (ed) Employment
Output and Inflation, Heineman, 1983.
`North
Sea Oil' in Britton (ed)
Employment Output and Inflation, Heineman, 1983.
1982
`Money
And The Economics of Leon Walras',
Scottish Journal of Political Economy, vol.29 No.3, 1982.
1980
`Energy
Crisis: Fact or Fiction ?' Management
Today, 1980.
`The fundamental cause of non-Walrasian
equilibria' Imperial College discussion paper no.2,
1980.
`Injecting
North Sea Oil revenues into the UK macroeconomic system' with H. Motamen, Imperial College discussion paper, No.3, 1980.
Subsequently published in Energy Economics,
1981.