Details about Stephen George Hall

E-mail:
Phone:	+44(0)116 252 2827
Postal address:	Dept of Economics, University of Leicester, University Rd. Leicester,LE1 7RH, UK
Workplace:	School of Business, Leicester University, (more information at EDIRC) Bank of Greece, (more information at EDIRC)

Access statistics for papers by Stephen George Hall.

Last updated 2021-01-21. Update your information in the RePEc Author Service.

Short-id: pha110

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Working Papers

2020

1. A Suggestion for a Dynamic Multi Factor Model (DMFM)
   Working Papers, Bank of Greece
2. Did the absence of a central bank backstop in the sovereign bond markets exacerbate spillovers during the euro-area crisis?
   Working Papers, Bank of Greece
3. The effect of Emergency Liquidity Assistance (ELA) on bank lending during the euro area crisis
   Working Papers, Bank of Greece
   Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2019) View citations (2)
   See also Journal Article in Journal of International Money and Finance (2020)

2019

4. On the effects of the ECB’s funding policies on bank lending and the demand for the euro as an international reserve
   Working Papers, Bank of Greece

2016

5. A Method for Measuring Treatment Effects on the Treated without Randomization
   Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (4)
   See also Journal Article in Econometrics (2016)
6. Measuring Systemic Stress in European Banking Systems*
   Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
7. Removing Specification Errors from the Usual Formulation of Binary Choice Models*
   Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
   See also Journal Article in Econometrics (2016)
8. Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis*
   Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
   Also in Working Papers, Bank of Greece (2016) View citations (1)
   See also Journal Article in Journal of International Money and Finance (2017)

2015

9. A New International Database on Financial Fragility
   Working Papers, University of Pretoria, Department of Economics View citations (5)
   Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2015) View citations (5)
   Working Papers, Economic Research Southern Africa (2015) View citations (5)
10. How the Euro-Area Sovereign-Debt Crisis Led to a Collapse in Bank Equity Prices
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2015)
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2014)
    See also Journal Article in Journal of Financial Stability (2016)
11. The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012
    Working Papers, Bank of Greece
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2015)
    See also Journal Article in Journal of Macroeconomics (2016)

2014

12. Are All Sovereigns Equal? A Test of the Common Determination of Sovereign Spreads in the Euro Area
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    See also Journal Article in Empirical Economics (2015)
13. Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
14. Explaining social capital effects on growth and property rights via trust-alternative variables
    MPRA Paper, University Library of Munich, Germany
15. On the Interpretation of Instrumental Variables in the Presence of Specification Errors
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    See also Journal Article in Econometrics (2015)
16. Time Varying Coefficient Models; A Proposal for selecting the Coefficient Driver Sets
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
    See also Journal Article in Macroeconomic Dynamics (2017)

2013

17. Can Trust Explain Social Capital Effect on Property Rights and Growth?
    MPRA Paper, University Library of Munich, Germany View citations (2)
18. FUNDAMENTALLY WRONG: MARKET PRICING OF SOVEREIGNS AND THE GREEK FINANCIAL CRISIS
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (3)
    Also in Special Conference Papers, Bank of Greece (2013) View citations (2)
    See also Journal Article in Journal of Macroeconomics (2014)
19. Is the Relationship Between Prices and Exchange Rates Homogeneous?
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (12)
    See also Journal Article in Journal of International Money and Finance (2013)
20. Measuring Currency Pressures: The Cases of the Japanese Yen, the Chinese Yuan, and the U.K. Pound
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (6)
    See also Journal Article in Journal of the Japanese and International Economies (2013)

2012

21. Consumer credit in an era of financial liberalisation: An overreaction to repressed demand?
    MPRA Paper, University Library of Munich, Germany View citations (2)
    Also in Working Papers, Bank of Greece (2012) View citations (4)
    See also Journal Article in Applied Economics (2014)
22. Do institutions matter for growth? Evidence from East Asian countries
    MPRA Paper, University Library of Munich, Germany View citations (1)
23. Institutions and growth: Testing the spatial effect using weight matrix based on the institutional distance concept
    MPRA Paper, University Library of Munich, Germany View citations (2)
24. Institutions-growth spatial dependence: An empirical test
    MPRA Paper, University Library of Munich, Germany View citations (6)
25. Milton Friedman, the Demand for Money and the ECB’s Monetary-Policy Strategy
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (3)
    See also Journal Article in Review (2012)
26. Spurious Common Factors
    Discussion Paper Series, Department of Economics, Loughborough University
27. The Debate about the Revived Bretton-Woods Regime: A Survey and Extension of the Literature
    School of Economics Working Paper Series, LeBow College of Business, Drexel University
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2011) View citations (2)
    See also Journal Article in Journal of Economic Surveys (2013)

2011

28. Generalized Cointegration: A New Concept with an Application to Health Expenditure and Health Outcomes
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (2)
    See also Journal Article in Empirical Economics (2012)
29. The ECB's New Multi-Country Model for the Euro area: NMCM - with Boundedly Rational Learning Expectations*
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (5)
    Also in Working Paper Series, European Central Bank (2011) View citations (12)
30. The Forward Rate Premium Puzzle: A Resolution?
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (6)
31. The Nonexistence of Instrumental Variables
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2009) View citations (3)

2010

32. Bretton-Woods systems, old and new, and the rotation of exchange-rate regimes
    Working Papers, Bank of Greece View citations (2)
    Also in Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester (2009) View citations (1)
    See also Journal Article in Manchester School (2011)
33. Decision-Based Forecast Evaluation of UK Interest Rate Predictability*
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
    See also Journal Article in Journal of Forecasting (2016)
34. Economic Value of Stock and Interest Rate Predictability in the UK
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
35. MEMBER: Multi-Country Euro Area Model with Boundedly Estimated Rationality
    EcoMod2010, EcoMod View citations (1)

2009

36. Assessing the Casual Relationship between Euro-Area Money and Price in Time-Varying Environment
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (4)
37. Effect of oil price changes on the price of Russian and Chinese oil shares
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (1)
    See also Journal Article in Empirical Economics (2017)
38. How Far From the Euro Area? Measuring Convergence of Inflation Rates in Eastern Europe
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (5)
    Also in Discussion Paper Series, Department of Economics, Loughborough University (2009) View citations (9)
    See also Journal Article in Economic Modelling (2009)
39. Measuring Convergence of the New Member Countries’ Exchange Rates to the Euro
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    See also Journal Article in Journal of Financial Transformation (2007)
40. The Behaviour of Dickey Fuller test in the case of noisy data: to what extent we can trust the outcome
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
41. Time-Varying Coefficient Estimation in the Presence of Non-Stationarity
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (2)

2008

42. A Portfolio Balance Approach to Euro-Area Money Demand in a Time-Varying Environment
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (14)
    Also in Working Papers, Bank of Greece (2007) View citations (5)
43. A Test of the Balassa-Samuelson Effect Applied to Chinese Regional Data
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester
    See also Journal Article in Journal for Economic Forecasting (2010)
44. Estimation of Parameters in the Presence of Model misspecification and Measurement Error
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (12)
45. Spatial Interdependencies of FDI Locations: A Lessening of the Tyranny of Distance?
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (14)
    Also in Working Papers, Bank of Greece (2008) View citations (23)
46. The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation?
    Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester View citations (3)
    See also Journal Article in Southern Economic Journal (2009)

2007

47. A New Look at Economic Convergence in Europe: A Common Factor Approach
    Discussion Paper Series, Department of Economics, Loughborough University View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2009)
48. Production Constraints and the NAIRU
    Economics Discussion Papers, Kiel Institute for the World Economy (IfW)
    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2008)
49. Stephen G Hall George Hondroyiannis P A V B Swamy George S Tavlas WP0705 Where Has All the Money Gone Wealth and the Demand for Money in South Africa
    Working Papers, South African Reserve Bank
50. Stephen G Hall George Hondroyiannis PAVB Swamy and George S Tavlas WP0704 The Benefits and Costs of Monetary Union in Southern Africa A Critical Survey of the Literature
    Working Papers, South African Reserve Bank

2006

51. A COMPARISON BETWEEN TESTS FOR CHANGES IN THE ADJUSTMENT COEFFICIENTS IN COINTEGRATED SYSTEMS
    Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University View citations (2)
52. Measuring the Correlation of Shocks betweem the EU15 and the New Member Countries
    Working Papers, Bank of Greece
    See also Journal Article in Economic Change and Restructuring (2006)

2005

53. Non-Linear Properties of Currency Crises in Emerging Markets
    Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group

2004

54. Foreign Direct Investment And Exchange Rate Uncertainty In Imperfectly Competitive Industries
    Royal Economic Society Annual Conference 2004, Royal Economic Society View citations (1)
    Also in Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group (2004) View citations (7)
55. Foreign direct investment in industrial R&D and exchange rate uncertainty in the UK
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group View citations (5)

2003

56. An Indicator Measuring Underlying Economic Activity in Greece
    Working Papers, Bank of Greece View citations (13)

2002

57. Bargaining Models and Identifying the Wage Equation
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (1)

1999

58. Inflation Targeting: The Delegation and Co-Ordination of Monetary Policy
    Computing in Economics and Finance 1999, Society for Computational Economics
59. On the Identification of Cointegrated Systems in Small Samples: Practical Procedures with an Application to UK Wages and Prices
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (28)
60. Testing for Common Cycles in Money, Nominal Income and Prices
    Department of Economics - Working Papers Series, The University of Melbourne View citations (2)
    See also Journal Article in Manchester School (2003)

1997

61. Labour Productivity in Transport and Communications: International Comparisons
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research

1996

62. Wage Determination and Active Labour Market Programme
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research View citations (1)

1993

63. An investigation of the effect of funding on the slope of the yield curve
    Bank of England working papers, Bank of England View citations (1)
64. Rational Bubbles During Poland's Hyperinflation: Implications and Empirical Evidence
    CESifo Working Paper Series, CESifo
    Also in Documentos de Trabajo (working papers), Department of Economics - dECON (1993)
    See also Journal Article in European Economic Review (1994)
65. Structural breaks and GARCH modelling
    Documentos de Trabajo (working papers), Department of Economics - dECON

Undated

66. Evolving Market Efficiency with an Application to Some Bulgarian Shares
    Ace Project Memoranda, Department of Economics, University of Leicester View citations (2)
    See also Journal Article in Economic Change and Restructuring (1997)
67. Modelling Emerging Financial Markets and their Approach to Market Efficiency
    Computing in Economics and Finance 1996, Society for Computational Economics

Journal Articles

2020

1. A Monte Carlo Study of Time Varying Coefficient (TVC) Estimation
   Computational Economics, 2020, 56, (1), 115-130
2. Estimates of the New Keynesian Phillips Curve for Pakistan
   Empirical Economics, 2020, 59, (2), 871-886
3. Nonlinear forecast combinations: An example using euro-area real GDP growth
   Journal of Economic Behavior & Organization, 2020, 180, (C), 579-589
4. On the effects of the ECB’s funding policies on bank lending
   Journal of International Money and Finance, 2020, 102, (C)
5. The effect of emergency liquidity assistance (ELA) on bank lending during the euro area crisis
   Journal of International Money and Finance, 2020, 108, (C)
   See also Working Paper (2020)

2019

6. Does foreign aid play a role in the maintenance of economic growth? A non-linear analysis
   The Quarterly Review of Economics and Finance, 2019, 73, (C), 192-204 View citations (1)

2018

7. Macro Modelling at the NIESR: Its Recent History
   National Institute Economic Review, 2018, 246, (1), R15-R23
8. Measuring systemic vulnerability in European banking systems
   Journal of Financial Stability, 2018, 36, (C), 279-292 View citations (3)
9. The macroeconomic and fiscal implications of inflation forecast errors
   Journal of Economic Dynamics and Control, 2018, 93, (C), 203-217

2017

10. A suggestion for constructing a large time-varying conditional covariance matrix
    Economics Letters, 2017, 156, (C), 110-113 View citations (4)
11. Economic growth and convergence: Do institutional proximity and spillovers matter?
    Journal of Policy Modeling, 2017, 39, (6), 1065-1085 View citations (19)
12. Financial structure and economic development: Evidence on the view of ‘new structuralism’
    International Review of Financial Analysis, 2017, 52, (C), 252-259
13. On the Interpretation of Instrumental Variables in the Presence of Specification Errors: A Reply
    Econometrics, 2017, 5, (3), 1-3 View citations (2)
14. Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis
    Journal of International Money and Finance, 2017, 73, (PB), 371-385 View citations (7)
    See also Working Paper (2016)
15. TIME-VARYING COEFFICIENT MODELS: A PROPOSAL FOR SELECTING THE COEFFICIENT DRIVER SETS
    Macroeconomic Dynamics, 2017, 21, (5), 1158-1174 View citations (2)
    See also Working Paper (2014)
16. The effect of oil price changes on the price of Russian and Chinese oil shares
    Empirical Economics, 2017, 53, (4), 1639-1656
    See also Working Paper (2009)
17. Trust-based social capital, economic growth and property rights: explaining the relationship
    International Journal of Social Economics, 2017, 44, (1), 21-52 View citations (4)

2016

18. A Method for Measuring Treatment Effects on the Treated without Randomization
    Econometrics, 2016, 4, (2), 1-23 View citations (4)
    See also Working Paper (2016)
19. Decision‐Based Forecast Evaluation of UK Interest Rate Predictability
    Journal of Forecasting, 2016, 35, (2), 93-112
    See also Working Paper (2010)
20. How the euro-area sovereign-debt crisis led to a collapse in bank equity prices
    Journal of Financial Stability, 2016, 26, (C), 266-275 View citations (11)
    See also Working Paper (2015)
21. Removing Specification Errors from the Usual Formulation of Binary Choice Models
    Econometrics, 2016, 4, (2), 1-21 View citations (1)
    See also Working Paper (2016)
22. The effectiveness of the ECB's asset purchase programs of 2009 to 2012
    Journal of Macroeconomics, 2016, 47, (PA), 45-57 View citations (24)
    See also Working Paper (2015)

2015

23. A NOTE ON GENERALIZING THE CONCEPT OF COINTEGRATION
    Macroeconomic Dynamics, 2015, 19, (7), 1633-1646 View citations (1)
24. Are all sovereigns equal? A test of the common determination of sovereign spreads in the euro area
    Empirical Economics, 2015, 48, (3), 939-949 View citations (7)
    See also Working Paper (2014)
25. MICROPRODUCTION FUNCTIONS WITH UNIQUE COEFFICIENTS AND ERRORS: A RECONSIDERATION AND RESPECIFICATION
    Macroeconomic Dynamics, 2015, 19, (2), 311-333
26. On the Interpretation of Instrumental Variables in the Presence of Specification Errors
    Econometrics, 2015, 3, (1), 1-10 View citations (10)
    See also Working Paper (2014)
27. Two applications of the random coefficient procedure: Correcting for misspecifications in a small area level model and resolving Simpson's paradox
    Economic Modelling, 2015, 45, (C), 93-98 View citations (3)

2014

28. Consumer credit in an era of financial liberalization: an overreaction to repressed demand?
    Applied Economics, 2014, 46, (2), 139-152 View citations (9)
    See also Working Paper (2012)
29. Fundamentally Wrong: Market Pricing of Sovereigns and the Greek Financial Crisis
    Journal of Macroeconomics, 2014, 39, (PB), 405-419 View citations (25)
    See also Working Paper (2013)
30. Inflation and Business Cycle Convergence in the Euro Area: Empirical Analysis Using an Unobserved Component Model
    Open Economies Review, 2014, 25, (5), 885-908 View citations (2)
31. Lawrence R. Klein and the Economic Forecasting – A Survey
    Journal for Economic Forecasting, 2014, (1), 5-14
32. Revisiting the institutions-growth nexus in developing countries: The new evidence
    New Zealand Economic Papers, 2014, 48, (3), 301-312 View citations (3)

2013

33. Do R&D strategies in high-tech sectors differ from those in low-tech sectors? An alternative approach to testing the pooling assumption
    Economic Change and Restructuring, 2013, 46, (2), 183-202 View citations (11)
34. Is the relationship between prices and exchange rates homogeneous?
    Journal of International Money and Finance, 2013, 37, (C), 411-438 View citations (12)
    See also Working Paper (2013)
35. Limited information minimal state variable learning in a medium-scale multi-country model
    Economic Modelling, 2013, 33, (C), 808-825 View citations (11)
36. Measuring currency pressures: The cases of the Japanese yen, the Chinese yuan, and the UK pound
    Journal of the Japanese and International Economies, 2013, 29, (C), 1-20 View citations (10)
    See also Working Paper (2013)
37. THE DEBATE ABOUT THE REVIVED BRETTON-WOODS REGIME: A SURVEY AND EXTENSION OF THE LITERATURE
    Journal of Economic Surveys, 2013, 27, (2), 340-363 View citations (6)
    See also Working Paper (2012)
38. The forward rate premium puzzle: a case of misspecification?
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 265-279 View citations (4)

2012

39. Financial crisis, effective policy rules and bounded rationality in a New Keynesian framework
    Economic Change and Restructuring, 2012, 45, (1), 25-44
40. Generalized cointegration: a new concept with an application to health expenditure and health outcomes
    Empirical Economics, 2012, 42, (2), 603-618 View citations (7)
    See also Working Paper (2011)
41. Introduction to the special issue in honour of Wojciech Charemza
    Economic Change and Restructuring, 2012, 45, (1), 1-2
42. Measurement of causal effects
    Economic Change and Restructuring, 2012, 45, (1), 3-23 View citations (2)
43. Milton Friedman, the demand for money, and the ECB’s monetary policy strategy
    Review, 2012, 94, (May), 153-186 View citations (2)
    See also Working Paper (2012)
44. Spatial panel data analysis with feasible GLS techniques: An application to the Chinese real exchange rate
    Economic Modelling, 2012, 29, (1), 41-47 View citations (1)
45. The Greek financial crisis: Growing imbalances and sovereign spreads
    Journal of International Money and Finance, 2012, 31, (3), 498-516 View citations (59)

2011

46. BRETTON‐WOODS SYSTEMS, OLD AND NEW, AND THE ROTATION OF EXCHANGE‐RATE REGIMES
    Manchester School, 2011, 79, (2), 293-317 View citations (2)
    See also Working Paper (2010)
47. The small sample properties of tests of the expectations hypothesis: a Monte Carlo investigation
    International Journal of Finance & Economics, 2011, 16, (2), 152-171 View citations (1)

2010

48. A Test of the Balassa-Samuelson Effect Applied to Chinese Regional Data
    Journal for Economic Forecasting, 2010, (2), 57-78 View citations (3)
    See also Working Paper (2008)
49. Arnold Zellner: January 2nd 1927-August 11th 2010
    Economic Modelling, 2010, 27, (6), 1337-1337
50. Exchange-rate volatility and export performance: Do emerging market economies resemble industrial countries or other developing countries?
    Economic Modelling, 2010, 27, (6), 1514-1521 View citations (26)
51. Introduction: P.A.V.B. Swamy's contribution to Econometrics
    Economic Modelling, 2010, 27, (6), 1338-1344
52. The Fisher Effect Puzzle: A Case of Non-Linear Relationship?
    Open Economies Review, 2010, 21, (1), 91-103 View citations (9)

2009

53. A new look at economic convergence in Europe: a common factor approach
    International Journal of Finance & Economics, 2009, 14, (1), 85-97 View citations (7)
    See also Working Paper (2007)
54. Assessing the causal relationship between euro-area money and prices in a time-varying environment
    Economic Modelling, 2009, 26, (4), 760-766 View citations (11)
55. Foreign Direct Investment in R&D and Exchange Rate Uncertainty
    Open Economies Review, 2009, 20, (2), 207-223 View citations (10)
56. How far from the Euro Area? Measuring convergence of inflation rates in Eastern Europe
    Economic Modelling, 2009, 26, (4), 788-798 View citations (6)
    See also Working Paper (2009)
57. The New Keynesian Phillips Curve and Lagged Inflation: A Case of Spurious Correlation?
    Southern Economic Journal, 2009, 76, (2), 467-481 View citations (13)
    See also Working Paper (2008)
58. Where Has All the Money Gone? Wealth and the Demand for Money in South Africa †
    Journal of African Economies, 2009, 18, (1), 84-112 View citations (4)

2008

59. Foreign direct investment and exchange rate uncertainty in South-East Asia
    International Journal of Finance & Economics, 2008, 13, (4), 349-359 View citations (7)
60. Measuring the Correlation of Shocks Between the UK and the Core of Europe
    Journal for Economic Forecasting, 2008, 5, (1), 17-26 View citations (1)
61. Production Constraints and the NAIRU
    Economics - The Open-Access, Open-Assessment E-Journal, 2008, 2, 1-15 View citations (1)
    See also Working Paper (2007)

2007

62. Combining density forecasts
    International Journal of Forecasting, 2007, 23, (1), 1-13 View citations (164)
63. Measuring convergence of the new member countries’ exchange rates to the euro
    Journal of Financial Transformation, 2007, 19, 20-25 View citations (4)
    See also Working Paper (2009)

2006

64. An Independent Bank of England
    National Institute Economic Review, 2006, 196, (1), 120-127
65. Evaluating policy feedback rules using the joint density function of a stochastic model
    Economics Letters, 2006, 93, (1), 1-5 View citations (13)
66. Measuring the correlation of shocks between the EU15 and the new member countries
    Economic Change and Restructuring, 2006, 39, (1), 19-34 View citations (7)
    See also Working Paper (2006)
67. The New Monetary Regime
    National Institute Economic Review, 2006, 196, (1), 63-65

2005

68. A Sequential Test for Structural Breaks in the Causal Linkages Between the G7 Short-Term Interest Rates
    Open Economies Review, 2005, 16, (2), 107-133
69. Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR ‘Fan’ Charts of Inflation*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 995-1033 View citations (101)
70. Interest rate linkages: a Kalman filter approach to detecting structural change
    Economic Modelling, 2005, 22, (2), 253-284 View citations (24)
71. Interest rate linkages: identifying structural relations
    Applied Financial Economics, 2005, 15, (14), 977-986 View citations (9)

2004

72. Expectations Formation and the 1990s ERM Crisis/Formación de expectativas y crisis del S.M.E en la década de los noventa
    Estudios de Economia Aplicada, 2004, 22, 161-174
73. Would adopting the Australian dollar provide superior monetary policy in New Zealand?
    Economic Modelling, 2004, 21, (6), 949-964 View citations (8)

2003

74. Evaluating the Gains to Cooperation in the G-3
    Empirica, 2003, 30, (4), 337-356 View citations (2)
75. S.G.B. Henry: a memoir and a festschrift essay
    Economic Modelling, 2003, 20, (2), 227-236
76. Testing for Common Cycles in Money, Nominal Income and Prices
    Manchester School, 2003, 71, (s1), 68-84 View citations (1)
    See also Working Paper (1999)

2002

77. A Non-parametric Approach to Pricing and Hedging Derivative Securities: With an Application to LIFFE Data
    Computational Economics, 2002, 19, (3), 303-22 View citations (1)
78. Foreign exchange market efficiency and cointegration
    Applied Financial Economics, 2002, 12, (2), 131-139 View citations (6)
79. Measuring the Capital Stock in Russia: An Unobserved Component Model
    Economic Change and Restructuring, 2002, 35, (4), 365-70 View citations (5)
80. Modelling Economic Policy Responses with an Application to the G3
    Annals of Economics and Statistics, 2002, (67-68), 415-433
81. On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices
    Journal of Economic Dynamics and Control, 2002, 26, (9-10), 1517-1537 View citations (41)
82. The 1998 Russian crisis: could the exchange rate volatility have predicted it?
    Journal of Policy Modeling, 2002, 24, (2), 151-168 View citations (4)

2001

83. Coordination and price shocks: an empirical analysis
    Economic Modelling, 2001, 18, (4), 569-584 View citations (1)
84. Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment
    Journal of Forecasting, 2001, 20, (6), 441-49 View citations (25)
85. Irreducibility and Structural Cointegrating Relations: An Application to the G-7 Long-Term Interest Rates
    International Journal of Finance & Economics, 2001, 6, (2), 127-38 View citations (17)

2000

86. Do Market Participants Learn? The Case of the Budapest Stock Exchange
    Economic Change and Restructuring, 2000, 33, (1-2), 3-18 View citations (5)
87. Modelling economies in transition: an introduction
    Economic Modelling, 2000, 17, (3), 339-357 View citations (13)
88. Unemployment and the capital stock: a dynamic structural model of the UK supply side
    Economic Modelling, 2000, 17, (3), 415-437 View citations (8)

1999

89. A Principal Components Analysis of Common Stochastic Trends in Heterogeneous Panel Data: Some Monte Carlo Evidence
    Oxford Bulletin of Economics and Statistics, 1999, 61, (S1), 749-767
90. Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test
    Journal of Applied Econometrics, 1999, 14, (2), 143-54 View citations (134)
91. Examining the first stages of market performance: a test for evolving market efficiency
    Economics Letters, 1999, 64, (1), 1-12 View citations (41)
92. Shock Hunting: The Relative Importance of Industry‐Specific, Region‐specific and Aggregate shocks in the OECD Countries
    Manchester School, 1999, 67, (s1), 49-65
93. Stylized Facts of the Business Cycle Revisited: A Structural Modelling Approach
    International Journal of Finance & Economics, 1999, 4, (3), 253-68 View citations (2)

1998

94. Modelling and forecasting UK public finances
    Fiscal Studies, 1998, 19, (1), 63-81 View citations (4)
95. Using Models to Analyse Economic Policy Responses; The Case of Environmental Co-Operation
    Energy & Environment, 1998, 9, (5), 481-497

1997

96. Cointegration and Changes in Regime: The Japanese Consumption Function
    Journal of Applied Econometrics, 1997, 12, (2), 151-68 View citations (49)
97. E-equilibria and adaptive expectations: Output and inflation in the LBS model
    Journal of Economic Dynamics and Control, 1997, 21, (7), 1149-1171 View citations (14)
98. Empirical Properties of the Black Market Zloty-Dollar Exchange Rate, 1955-1990
    International Journal of Finance & Economics, 1997, 2, (1), 29-37
99. Evolving Market Efficiency with an Application to Some Bulgarian Shares
    Economic Change and Restructuring, 1997, 30, (2), 75-90 View citations (24)
    Also in Economic Change and Restructuring, 1997, 30, (2-3), 75-90 (1997) View citations (25)
    See also Working Paper
100. Learning about monetary union: An analysis of bounded rational learning in European labor markets
     Journal of Policy Modeling, 1997, 19, (5), 469-489
101. Measuring Economic Convergence
     International Journal of Finance & Economics, 1997, 2, (2), 131-43 View citations (18)
102. Stabilizing energy related CO2 emissions for India
     Energy Economics, 1997, 19, (1), 125-150 View citations (1)
103. Switching error-correction models of house prices in the United Kingdom
     Economic Modelling, 1997, 14, (4), 517-527 View citations (49)

1996

104. Carbon abatement costs: an integrated approach for India*
     Environment and Development Economics, 1996, 1, (1), 41-63 View citations (2)
105. Endogenous technical progress in fossil fuel demand: The case of France
     Journal of Policy Modeling, 1996, 18, (2), 141-155 View citations (2)
106. Measuring Underlying Economic Activity
     Journal of Applied Econometrics, 1996, 11, (2), 135-51 View citations (4)
107. Modelling economies subject to structural change: The case of Germany
     Economic Modelling, 1996, 13, (4), 545-559 View citations (9)

1995

108. A proposed framework for monetary policy
     Applied Economics Letters, 1995, 2, (5), 135-138
109. Macroeconomics and a Bit More Reality
     Economic Journal, 1995, 105, (431), 974-88 View citations (21)
110. Model consistent learning and regime switching in the London Business School model
     Economic Modelling, 1995, 12, (2), 87-95 View citations (2)
111. Price and Quantity Responses to Cost and Demand Shocks
     Oxford Bulletin of Economics and Statistics, 1995, 57, (2), 185-204 View citations (1)

1994

112. Forecasting Economies in Transition: The Case of Romania
     Economic Change and Restructuring, 1994, 27, (3), 175-84 View citations (2)
113. Is the Bundesbank Different from Other Central Banks: A Study Based on P
     Empirical Economics, 1994, 19, (4), 691-707 View citations (3)
114. Rational bubbles during Poland's hyperinflation: Implications and empirical evidence
     European Economic Review, 1994, 38, (6), 1257-1276 View citations (34)
     See also Working Paper (1993)
115. Robust optimal decisions with stochastic nonlinear economic systems
     Journal of Economic Dynamics and Control, 1994, 18, (1), 125-147 View citations (7)
116. The Relevance of P-Star Analysis to UK Monetary Policy
     Economic Journal, 1994, 104, (424), 597-604 View citations (74)
117. Transportation and energy in Santiago, Chile
     Transport Policy, 1994, 1, (4), 233-243

1993

118. Modelling Structural Change Using the Kalman Filter
     Economic Change and Restructuring, 1993, 26, (1), 1-13 View citations (11)
119. Modelling the Sterling Effective Exchange Rate Using Expectations and Learning
     The Manchester School of Economic & Social Studies, 1993, 61, (3), 270-86 View citations (3)

1992

120. Measuring Convergence of the EC Economies
     The Manchester School of Economic & Social Studies, 1992, 60, 99-111 View citations (41)
121. Measuring Efficiency and Risk in the Major Bond Markets
     Oxford Economic Papers, 1992, 44, (4), 599-625 View citations (6)
122. Testing a Discrete Switching Disequilibrium Model of the UK Labour Market
     Journal of Applied Econometrics, 1992, 7, (1), 83-91 View citations (3)

1991

123. An Application of the Stochastic GARCH-in-Mean Model to Risk Premia in the London Metal Exchange
     The Manchester School of Economic & Social Studies, 1991, 59, 57-71 View citations (7)
124. Cointegration in Recursive Systems
     Economic Journal, 1991, 101, (405), 239-51 View citations (23)
125. Sterling's Relationship with the Dollar and the Deutschemark: 1976-89
     Economic Journal, 1991, 101, (406), 436-43 View citations (45)
126. The Effect of Varying Length VAR Models on the Maximum Likelihood Estimates of Cointegrating Vectors
     Scottish Journal of Political Economy, 1991, 38, (4), 317-23 View citations (35)

1990

127. An Algorithm for the Solution of Stochastic Optimal Control Problems for Large Nonlinear Econometric Models
     Journal of Applied Econometrics, 1990, 5, (4), 393-99 View citations (2)
128. Manufacturing Stocks: Expectations, Risk and Co-integration
     Economic Journal, 1990, 100, (402), 756-72 View citations (17)

1989

129. An Investigation of the Long-run Properties of Aggregate Non-durable Consumers' Expenditure in the United Kingdom
     Economic Journal, 1989, 99, (396), 454-60 View citations (11)
130. Maximum Likelihood Estimation of Cointegration Vectors: An Example of the Johansen Procedure
     Oxford Bulletin of Economics and Statistics, 1989, 51, (2), 213-18 View citations (34)
131. Modelling Asset Prices with Time-Varying Betas
     The Manchester School of Economic & Social Studies, 1989, 57, (4), 340-56 View citations (6)

1988

132. Analysing Unstable Policy Prescriptions in Linear Difference Models with Rational Expectations
     Bulletin of Economic Research, 1988, 40, (3), 217-25

1987

133. A Forward Looking Model of the Exchange Rate
     Journal of Applied Econometrics, 1987, 2, (1), 47-60 View citations (8)
134. Analysing Economic Behaviour 1975-85 with a Model Incorporating Consistent Expectations
     National Institute Economic Review, 1987, 120, (1), 75-80
135. Wage Models
     National Institute Economic Review, 1987, 119, (1), 70-75 View citations (10)

1986

136. A dynamic econometric model of the UK with rational expectations
     Journal of Economic Dynamics and Control, 1986, 10, (1-2), 219-223 View citations (1)
137. An Application of the Granger & Engle Two-Step Estimation Procedure to United Kingdom Aggregate Wage Data
     Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 229-39 View citations (42)
138. Consistent Simulations and the National Institute Model 8
     National Institute Economic Review, 1986, 115, (1), 64-73
139. Disequilibrium models with rational expectations: An application to the UK labour market
     Economics Letters, 1986, 21, (3), 215-220
140. Forecasting employment: The role of forward-looking behaviour
     International Journal of Forecasting, 1986, 2, (4), 435-445
141. Forecasting with an Econometric Model: Some Recent Results Using the National Institute Model
     Journal of Applied Econometrics, 1986, 1, (2), 163-83
142. Oil Prices and the Economy
     National Institute Economic Review, 1986, 116, (1), 38-44
143. The Application of Stochastic Simulation Techniques to the National Institute's Model 7
     The Manchester School of Economic & Social Studies, 1986, 54, (2), 180-201 View citations (5)
144. The Exchange Rate and the Balance of Payments
     National Institute Economic Review, 1986, 115, (1), 74-82
145. The use of prior regressions in the estimation of error correction models
     Economics Letters, 1986, 20, (1), 33-37 View citations (1)
146. Time inconsistency and optimal policy formulation in the presence of rational expectations
     Journal of Economic Dynamics and Control, 1986, 10, (1-2), 323-326

1985

147. Forecasting with a Rational Expectations Model of the UK: A Comment
     Oxford Bulletin of Economics and Statistics, 1985, 47, (4), 337-45
148. On the Solution of Large Economic Models with Consistent Expectations
     Bulletin of Economic Research, 1985, 37, (2), 157-61 View citations (8)
149. Rational Expectations in an Econometric Model: Niesr Model 8
     National Institute Economic Review, 1985, 114, (1), 58-68 View citations (1)

1984

150. On the Solution of High Order, Symmetric, Difference Equations
     Oxford Bulletin of Economics and Statistics, 1984, 46, (1), 85-88

1983

151. Money and the Walrasian Utility Function
     Oxford Economic Papers, 1983, 35, (2), 247-53 View citations (1)
152. The Economic Effects of North Sea Oil
     National Institute Economic Review, 1983, 104, (1), 38-44 View citations (1)

1982

153. Money and the Economics of Leon Walras
     Scottish Journal of Political Economy, 1982, 29, (3), 246-55 View citations (1)

1980

154. Scarcity, energy and economic progress: by Ferdinand E. Banks 200 pp, [UK pound]10.50, Lexington books, Lexington, MA, 1978
     Energy Economics, 1980, 2, (1), 60-61

Edited books

2004

1. Macroeconometric Models and European Monetary Union, vol 73
   RWI Schriften, RWI - Leibniz-Institut für Wirtschaftsforschung

Chapters

2018

1. Spreads and bank ratings in the Euro area sovereign debt crises
   Chapter 6 in Global Economic Modeling A Volume in Honor of Lawrence R. Klein, 2018, pp 112-145

1998

2. IS THE BUNDESBANK DIFFERENT FROM OTHER CENTRAL BANKS?
   Chapter 3 in Link Proceedings 1991, 1992 Selected Papers from Meetings in Moscow, 1991, and Ankara, 1992, 1998, pp 45-59
3. THE DEGREE OF CONVERGENCE WITHIN THE EMS
   Chapter 2 in Link Proceedings 1991, 1992 Selected Papers from Meetings in Moscow, 1991, and Ankara, 1992, 1998, pp 34-44
4. THE TREATMENT OF EXPECTATIONS EFFECTS IN LARGE-SCALE MODELS
   Chapter 13 in Link Proceedings 1991, 1992 Selected Papers from Meetings in Moscow, 1991, and Ankara, 1992, 1998, pp 247-275

Editor

1. Economic Modelling
   Elsevier