Working papers

The dynamics of trading duration, volume and price volatility – a vector MEM model

Paper Number: E2013/7
Authors (Not staff): Yongdeng Xu
JEL Classification: C15, C32, C52
Keywords: ACD, Duration, Economics, GARCH, intraday trading process, Vector MEM, Volatility, Volume

Weak exogeneity in the financial point processes

Paper Number: E2013/6
Authors (Not staff): Dr Yongdeng Xu
Keywords: ACD model, Economics, LM test, market microstructure, point process, Weak exogeneity

What causes banking crises? An empirical investigation for the world economy (updated May 2013)

Paper Number: E2013/3
Author(s): Dr David Meenagh
Authors (Not staff):
Dr Zhirong Ou
Dr. Vo Phuong Mai Le
JEL Classification: E3; E44; E52; C1
Keywords: DSGE model; Financial Frictions; China; Crises; Indirect Inference, Economics
Paper Number: E2013/3
Author(s): Professor Patrick Minford
Authors (Not staff):
Dr Zhirong Ou
Dr. Vo Phuong Mai Le
JEL Classification: E3; E44; E52; C1
Keywords: DSGE model; Financial Frictions; China; Crises; Indirect Inference, Economics

Arrow's paradox and markets for nonproprietary information

Paper Number: E2013/2
Author(s): Dr Samuli Leppälä
JEL Classification: D83, L15, O31, O34
Keywords: appropriability, Arrow’s information paradox, Economics, knowledge, markets for information, reliability

What we can learn about the behavior of firms from the average monthly frequency of price-changes: an application to the UK CPI data

Paper Number: E2013/1
Author(s): Professor Huw Dixon
Authors (Not staff): Kun Tian
JEL Classification: E50
Keywords: Duration, Economics, Price-spell, steady state

The evolution of mixed conjectures in the rent-extraction game

Paper Number: E2012/23
Author(s): Professor Huw Dixon
Authors (Not staff):
Paulo Brito
Bipasa Datta
JEL Classification: D03, L15, H0
Keywords: consistent conjectures, Economics, evolutionary dynamics, global dynamics, mixed-strategy, Rent-extraction

Banking and the Macroeconomy in China: A Banking Crisis Deferred?

Paper Number: E2013/5
Author(s): Professor Kent Matthews
Authors (Not staff):
Dr. Vo Phuong Mai Le
Dr Zhigui Xiao
JEL Classification: E3; E44; E52; C1
Keywords: China, Crises, DSGE Model, Economics, financial frictions, Indirect Inference
Paper Number: E2013/5
Author(s): Dr David Meenagh
Authors (Not staff):
Dr. Vo Phuong Mai Le
Dr Zhigui Xiao
JEL Classification: E3; E44; E52; C1
Keywords: China, Crises, DSGE Model, Economics, financial frictions, Indirect Inference
Paper Number: E2013/5
Author(s): Professor Patrick Minford
Authors (Not staff):
Dr. Vo Phuong Mai Le
Dr Zhigui Xiao
JEL Classification: E3; E44; E52; C1
Keywords: China, Crises, DSGE Model, Economics, financial frictions, Indirect Inference

A Monte Carlo procedure for checking identification in DSGE models

Paper Number: E2013/4
Author(s): Professor Patrick Minford
Authors (Not staff): Dr. Vo Phuong Mai Le
JEL Classification: C13, C51, C52, E32
Keywords: DSGE Model, Economics, Identification, Indirect Inference, Monte Carlo
Paper Number: E2013/4
Author(s): Professor Mike Wickens
Authors (Not staff): Dr. Vo Phuong Mai Le
JEL Classification: C13, C51, C52, E32
Keywords: DSGE Model, Economics, Identification, Indirect Inference, Monte Carlo

How important is the credit channel? An empirical study of the US banking crisis

Paper Number: E2012/22
Author(s): Professor Patrick Minford
Authors (Not staff): Chunping Liu
JEL Classification: C12, C52, E12, G01, G1
Keywords: bank crisis, credit channel, Economics, financial frictions, Indirect Inference

Comparing behavioural and rational expectations for the US post-war economy

Paper Number: E2012/21
Author(s): Professor Patrick Minford
Authors (Not staff): Chunping Liu
Keywords: bank crisis, behavioural expectation, Economics, rational expectation, sustainable economic growth; business cycle; real exchange rates; small open economy; indirect inference; ARIMA

Deriving the Taylor Principle when the Central Bank Supplies Money

Paper Number: E2012/20
Author(s): Professor Max Gillman
Authors (Not staff):
Ceri Davies
Michal Kejak
JEL Classification: E13, E31, E43, E52
Keywords: Economics, forward-looking, misspecification bias, Taylor Rule, Velocity

The Simar and Wilson’s Bootstrap DEA approach: a critique

Paper Number: E2012/19
Authors (Not staff): Panagiotis Tziogkidis
JEL Classification: C14, C15, C61, C67
Keywords: bootstrap, Bootstrap DEA, Data Envelopment Analysis, Economics, Efficiency, Monte Carlo

Bootstrap DEA and Hypothesis Testing

Paper Number: E2012/18
JEL Classification: C12, C14, C15, C61, C67
Keywords: Economics

Testing macroeconomic models by indirect inference on unfi…ltered data

Paper Number: E2012/17
Author(s): Dr David Meenagh
JEL Classification: C12, C32, C52, E1
Keywords: bootstrap, DSGE, Economics, Indirect Inference, Monte Carlo, VECM
Paper Number: E2012/17
Author(s): Professor Patrick Minford
JEL Classification: C12, C32, C52, E1
Keywords: bootstrap, DSGE, Economics, Indirect Inference, Monte Carlo, VECM
Paper Number: E2012/17
Author(s): Professor Mike Wickens
JEL Classification: C12, C32, C52, E1
Keywords: bootstrap, DSGE, Economics, Indirect Inference, Monte Carlo, VECM

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