Details about Alexander Michaelides

E-mail:
Homepage:	https://sites.google.com/site/alexmichaelidesucy/
Workplace:	Centre for Economic Policy Research (CEPR), (more information at EDIRC) Business School, Imperial College, (more information at EDIRC)

Access statistics for papers by Alexander Michaelides.

Last updated 2024-11-09. Update your information in the RePEc Author Service.

Short-id: pmi112

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Working Papers

2024

1. Asset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2023

2. (In)dependent Central Banks
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2020

3. Housing, Distribution and Welfare
   Working Papers, Princeton University. Economics Department.
   See also Journal Article Housing, Distribution, and Welfare, Journal of Money, Credit and Banking, Blackwell Publishing (2024) (2024)

2019

4. Corporate Pension Plan Funding Levels and Pension Assumptions
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2018

5. Bank capital buffers in a dynamic model
   Discussion Papers, Deutsche Bundesbank View citations (13)
   See also Journal Article Bank capital buffers in a dynamic model, Financial Management, Financial Management Association International (2020) View citations (21) (2020)
6. Credit Market Spillovers: Evidence from a Syndicated Loan Market Network
   2018 Meeting Papers, Society for Economic Dynamics View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (3)
7. Tactical Target Date Funds
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Tactical Target Date Funds, Management Science, INFORMS (2022) View citations (1) (2022)

2016

8. Household Portfolios in a Secular Stagnation World: Evidence from Japan
   Bank of Japan Working Paper Series, Bank of Japan View citations (6)

2014

9. A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
10. What Happened in Cyprus?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)

2013

11. Limiting Fiscal Procyclicality: Evidence from Resource-Rich Countries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)

2012

12. Sovereign Debt Rating Changes and the Stock Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (10)

2011

13. Can the Life Insurance Market Provide Evidence for a Bequest Motive?
    2011 Meeting Papers, Society for Economic Dynamics View citations (1)
    See also Journal Article Can the Life Insurance Market Provide Evidence for a Bequest Motive?, Journal of Risk & Insurance, The American Risk and Insurance Association (2012) View citations (36) (2012)

2010

14. How Deep is the Annuity Market Participation Puzzle?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (5)
    Working Papers, Central Bank of Cyprus (2009) View citations (5)
    2009 Meeting Papers, Society for Economic Dynamics (2009) View citations (3)
    See also Journal Article How Deep Is the Annuity Market Participation Puzzle?, The Review of Financial Studies, Society for Financial Studies (2011) View citations (97) (2011)
15. Quantifying the Distortionary Fiscal Cost of ?The Bailout?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
    Also in Working Papers, Central Bank of Cyprus (2009)
16. Winners and Losers in House Markets
    Working Papers, Central Bank of Cyprus View citations (18)
17. Winners and Losers in Housing Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (66)
    Also in CDMA Conference Paper Series, Centre for Dynamic Macroeconomic Analysis (2007) View citations (34)
    See also Journal Article Winners and Losers in Housing Markets, Journal of Money, Credit and Banking, Blackwell Publishing (2011) View citations (252) (2011)

2009

18. Evidence on the Insurance Effect of Redistributive Taxation
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM)
    Also in Discussion Papers, University of Exeter, Department of Economics (2008)
    Vienna Economics Papers, University of Vienna, Department of Economics (2006)
    See also Journal Article Evidence on the Insurance Effect of Redistributive Taxation, The Review of Economics and Statistics, MIT Press (2010) View citations (9) (2010)

2008

19. Evidence on the Insurance Effect of Marginal Income Taxes
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2008) View citations (1)

2007

20. (UBS Paper 044) How Deep is the Annuity Market Participation Puzzle?
    FMG Discussion Papers, Financial Markets Group View citations (2)
21. Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) View citations (1)
    See also Journal Article Asset Pricing with Limited Risk Sharing and Heterogeneous Agents, The Review of Financial Studies, Society for Financial Studies (2008) View citations (131) (2008)
22. Fiscal Policy, Asset Pricing and Economic Activity in a Savers-Spenders Economy
    2007 Meeting Papers, Society for Economic Dynamics
23. From Shirtsleeves to Shirtsleeves in a Long Lifetime
    2007 Meeting Papers, Society for Economic Dynamics View citations (2)

2006

24. Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (2)

2005

25. (UBS Pensions Series 035) Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
    FMG Discussion Papers, Financial Markets Group
26. (UBS Pensions Series 039) Rare Events and Annuity Market Participation
    FMG Discussion Papers, Financial Markets Group
27. Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (324)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2005) View citations (301)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (3)
    See also Journal Article Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence, Journal of Finance, American Finance Association (2005) View citations (311) (2005)
28. Rare events and annuity market participation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    See also Journal Article Rare events and annuity market participation, Finance Research Letters, Elsevier (2007) View citations (14) (2007)

2004

29. (UBS Pensions series 24) A Human Capital Explanation for an Asset Allocation Puzzle
    FMG Discussion Papers, Financial Markets Group View citations (2)
30. (UBS Pensions series 28) Portfolio Choice and Wealth Accumulation with Taxable and Tax-Deferred Accounts
    FMG Discussion Papers, Financial Markets Group
31. A human capital explanation for an asset allocation puzzle?
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
32. Aggregate Implications of Defined Benefit and Defined Contribution Systems
    2004 Meeting Papers, Society for Economic Dynamics View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (3)

2003

33. (UBS Pensions series 18) Aggregate Implications of Defined Benefit and Defined Contribution Systems
    FMG Discussion Papers, Financial Markets Group
34. (UBS Pensions series 20) Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence
    FMG Discussion Papers, Financial Markets Group
35. A reconciliation of two alternative approaches towards buffer stock saving
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (3)
    See also Journal Article A reconciliation of two alternative approaches towards buffer stock saving, Economics Letters, Elsevier (2003) View citations (5) (2003)
36. International portfolio choice, liquidity constraints and the home equity bias puzzle
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (23)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (1)
    See also Journal Article International portfolio choice, liquidity constraints and the home equity bias puzzle, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (30) (2003)
37. Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (80)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (80)
    See also Journal Article Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2003) View citations (81) (2003)
38. Redistributive Policies through Taxation: Theory and Evidence
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy View citations (2)
    Also in Economics Working Papers, European University Institute (2003) View citations (2)

2001

39. Calibration and Computation of Household Portfolio Models
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (38)
40. International Portfolio Choice and Liquidity Constraints: Can Small Information Costs Explain the Home Equity Bias Puzzle?
    Computing in Economics and Finance 2001, Society for Computational Economics
41. New evidence on the effects of US monetary policy on exchange rates
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (18)
    See also Journal Article New evidence on the effects of US monetary policy on exchange rates, Economics Letters, Elsevier (2001) View citations (21) (2001)
42. Parallelization and Performance of Portfolio Choice Models
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (8)
43. Portfolio Choice and Liquidity Constraints
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Computing in Economics and Finance 2000, Society for Computational Economics (2000) View citations (8)
    University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics (1999) View citations (11)
    See also Journal Article Portfolio Choice and Liquidity Constraints, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2003) View citations (148) (2003)
44. Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (2)

2000

45. Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (70)
    Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) View citations (14)
    See also Journal Article Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators, Journal of Econometrics, Elsevier (2000) View citations (72) (2000)

Journal Articles

2024

1. Housing, Distribution, and Welfare
   Journal of Money, Credit and Banking, 2024, 56, (5), 981-1020
   See also Working Paper Housing, Distribution and Welfare, Working Papers (2020) (2020)

2022

2. Life-cycle portfolio choice with imperfect predictors
   Journal of Banking & Finance, 2022, 135, (C)
3. Limiting fiscal procyclicality: Evidence from resource-dependent countries
   Economic Modelling, 2022, 106, (C) View citations (7)
4. Tactical Target Date Funds
   Management Science, 2022, 68, (4), 3047-3070 View citations (1)
   See also Working Paper Tactical Target Date Funds, CEPR Discussion Papers (2018) (2018)

2020

5. Bank capital buffers in a dynamic model
   Financial Management, 2020, 49, (2), 473-502 View citations (21)
   See also Working Paper Bank capital buffers in a dynamic model, Discussion Papers (2018) View citations (13) (2018)

2019

6. Private information in currency markets
   Journal of Financial Economics, 2019, 131, (3), 643-665 View citations (17)

2017

7. Stock Market Mean Reversion and Portfolio Choice over the Life Cycle
   Journal of Financial and Quantitative Analysis, 2017, 52, (3), 1183-1209 View citations (16)

2015

8. The adverse effects of systematic leakage ahead of official sovereign debt rating announcements
   Journal of Financial Economics, 2015, 116, (3), 526-547 View citations (33)

2014

9. Cyprus: from boom to bail-in
   (The “greatest” carry trade ever? Understanding eurozone bank risks)
   Economic Policy, 2014, 29, (80), 639-689 View citations (12)
   See also Chapter Cyprus: From Boom to Bail-In, World Scientific Book Chapters, 2016, 103-162 (2016) View citations (2) (2016)

2013

10. Fiscal Policy and Asset Prices with Incomplete Markets
    The Review of Financial Studies, 2013, 26, (2), 531-566 View citations (37)

2012

11. Banking Crisis in Cyprus and in the Eurozone
    Cyprus Economic Policy Review, 2012, 6, (2), 41-47 View citations (1)
12. Can the Life Insurance Market Provide Evidence for a Bequest Motive?
    Journal of Risk & Insurance, 2012, 79, (3), 671-695 View citations (36)
    See also Working Paper Can the Life Insurance Market Provide Evidence for a Bequest Motive?, 2011 Meeting Papers (2011) View citations (1) (2011)

2011

13. How Deep Is the Annuity Market Participation Puzzle?
    The Review of Financial Studies, 2011, 24, (1), 279-319 View citations (97)
    See also Working Paper How Deep is the Annuity Market Participation Puzzle?, CEPR Discussion Papers (2010) View citations (14) (2010)
14. Introductory Remarks to First Annual Symposium on the Cypriot Economy
    Cyprus Economic Policy Review, 2011, 5, (2), 87-90
15. Winners and Losers in Housing Markets
    Journal of Money, Credit and Banking, 2011, 43, 255-296 View citations (252)
    Also in Journal of Money, Credit and Banking, 2011, 43, (2‐3), 255-296 (2011) View citations (59)
    See also Working Paper Winners and Losers in Housing Markets, CEPR Discussion Papers (2010) View citations (66) (2010)

2010

16. Evidence on the Insurance Effect of Redistributive Taxation
    The Review of Economics and Statistics, 2010, 92, (4), 965-973 View citations (9)
    See also Working Paper Evidence on the Insurance Effect of Redistributive Taxation, Discussion Papers (2009) (2009)

2009

17. A Comment on Diagnostic Tools for Counterfactual Inference
    Political Analysis, 2009, 17, (1), 89-106 View citations (1)
18. Optimal Savings with Taxable and Tax-Deferred Accounts
    Review of Economic Dynamics, 2009, 12, (4), 718-735 View citations (45)
    See also Software Item Code and data files for "Optimal Savings with Taxable and Tax-deferred Accounts", Computer Codes (2009) (2009)

2008

19. Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
    The Review of Financial Studies, 2008, 21, (1), 415-448 View citations (131)
    See also Working Paper Asset Pricing with Limited Risk Sharing and Heterogeneous Agents, CEPR Discussion Papers (2007) View citations (22) (2007)

2007

20. Rare events and annuity market participation
    Finance Research Letters, 2007, 4, (2), 82-91 View citations (14)
    See also Working Paper Rare events and annuity market participation, LSE Research Online Documents on Economics (2005) (2005)

2005

21. Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence
    Journal of Finance, 2005, 60, (2), 869-904 View citations (311)
    See also Working Paper Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence, CEPR Discussion Papers (2005) View citations (324) (2005)

2003

22. A reconciliation of two alternative approaches towards buffer stock saving
    Economics Letters, 2003, 79, (1), 137-143 View citations (5)
    See also Working Paper A reconciliation of two alternative approaches towards buffer stock saving, LSE Research Online Documents on Economics (2003) View citations (3) (2003)
23. International portfolio choice, liquidity constraints and the home equity bias puzzle
    Journal of Economic Dynamics and Control, 2003, 28, (3), 555-594 View citations (30)
    See also Working Paper International portfolio choice, liquidity constraints and the home equity bias puzzle, LSE Research Online Documents on Economics (2003) View citations (23) (2003)
24. Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk
    Review of Economic Dynamics, 2003, 6, (4), 729-766 View citations (81)
    See also Working Paper Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk, CEPR Discussion Papers (2003) View citations (80) (2003)
25. Portfolio Choice and Liquidity Constraints
    International Economic Review, 2003, 44, (1), 143-177 View citations (148)
    See also Working Paper Portfolio Choice and Liquidity Constraints, CEPR Discussion Papers (2001) View citations (4) (2001)

2001

26. Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?
    American Economic Review, 2001, 91, (3), 631-647 View citations (61)
27. New evidence on the effects of US monetary policy on exchange rates
    Economics Letters, 2001, 71, (2), 255-263 View citations (21)
    See also Working Paper New evidence on the effects of US monetary policy on exchange rates, LSE Research Online Documents on Economics (2001) View citations (18) (2001)

2000

28. Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators
    Journal of Econometrics, 2000, 96, (2), 231-266 View citations (72)
    See also Working Paper Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators, LSE Research Online Documents on Economics (2000) View citations (70) (2000)

Edited books

2016

1. The Cyprus Bail-in:Policy Lessons from the Cyprus Economic Crisis
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd. View citations (1)

Chapters

2016

1. Cyprus: From Boom to Bail-In
   Chapter 4 in THE CYPRUS BAIL-IN POLICY LESSONS FROM THE CYPRUS ECONOMIC CRISIS, 2016, pp 103-162 View citations (2)
   See also Journal Article Cyprus: from boom to bail-in, CEPR, CESifo, Sciences Po (2014) View citations (12) (2014)

Software Items

2009

1. Code and data files for "Optimal Savings with Taxable and Tax-deferred Accounts"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Optimal Savings with Taxable and Tax-Deferred Accounts, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2009) View citations (45) (2009)