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Journals
“Saving to Decumulate: a Lifetime Journey based on the Perfect Contribution Rate”, Journal of Retirement, Summer 2025, 13 (1), 28 - 45, (with A. Clare, J. Seaton and S. Thomas).
“The Science of Flexible Retirement Choices: Switching Retirement Savings into an Annuity”, Journal of Retirement, Fall 2024, 12 (2), 59-75, (with A. Clare, J. Seaton and S. Thomas).
“Using the Minimum Acceptable Annual Withdrawal with the Perfect Withdrawal Rate rule” Journal of Retirement, Summer 2023, 11 (1), 34-55, (with A. Clare, J. Seaton and S. Thomas),
“Perfect Withdrawal in a Noisy World: Investing Lessons with and without Annuities while in Drawdown between 2000 and 2019”, Journal of Retirement, 2021, 9, 1, (with A. Clare, J. Seaton and S. Thomas), see also “Practical Applications of Perfect Withdrawal in a Noisy World: Investing Lessons with and without Annuities while in Drawdown between 2000 and 2019”, Practical Applications, 2021, 9.
“Can Sustainable Withdrawal Rates Be Enhanced by Trend Following?”, International Journal of Finance and Economics, 2021, 26, pp 27-41, (with A. Clare, J. Seaton and S. Thomas).
“Measuring Sequence of Returns Risk”, Journal of Retirement, 2020, 8, 1, pp 65-79, (with A. Clare, S. Glover, J. Seaton and S. Thomas), see also “Practical Applications of Measuring Sequence of Returns Risk”, Practical Applications, 2020, 8, 2.
“When growth beats value: applying momentum filters to growth and value portfolios”, Journal of Investing, 2019, 28, 5, pp 69-84, (with A. Clare, J. Seaton and S. Thomas), see also “Practical Applications of When Growth Beats Value: Applying Momentum Filters to Growth and Value Portfolios”, Practical Applications, 2020, 8 2.
“Reducing sequence risk using trend following investment strategies and the CAPE”, Financial Analysts Journal , 2017, 73, 4, pp 91-103, (with A. Clare, J. Seaton and S. Thomas), see also https://blogs.cfainstitute.org/investor/2017/11/13/in-practice-summary-managing-sequence-risk-to-optimize-retirement-income/ and https://www.cfainstitute.org/en/research/multimedia/2019/wealth-management-in-practice.
"Size matters: tail risk, momentum and trend following in international equity portfolios”, Journal of Investing, 2017, 26, 3, pp 53-64, (with A. Clare, J. Seaton and S. Thomas).
“The Trend is Our Friend: Global Asset Allocation using Trend Following", Journal of Behavioral and Experimental Finance, 2016,9, pp 63-80 (with A. Clare, J. Seaton and S. Thomas).
“Can stochastic discount factor models explain the cross section of equity returns?”, Review of Financial Economics, 2016, 28, pp 56-68 (with P. Abhakorn and M.R. Wickens).
“Peer salaries and employee satisfaction in the workplace”, Manchester School, 2015, 83, pp 307-311. (with K.A. Mumford).
"Trend following, risk parity and momentum in commodity futures", International Review of Financial Analysis, 2014, 31, pp 1-12 (with A. Clare, J. Seaton and S. Thomas).
“Breaking into the blackbox: trend following, stop losses and the frequency of trading: the case of the S&P 500”, Journal of Asset Management, 2013,14, 3, pp 182–194 (with A. Clare, J. Seaton and S. Thomas).
“What do Fama-French factors add to C-CAPM?”, Journal of Empirical Finance, 2013, 22, pp 113-127, (with P. Abhakorn and M.R. Wickens).
“Expected returns and the business cycle: the role of supply and demand shocks”, Manchester School, 2013, 81, pp 100-124. (with Alfonso Mendoza Velázquez).
“The public-private sector gender wage differential in Britain: evidence from matched employee-workplace data”, Applied Economics, 2011, pp 1-15, (with M. Chatterji and K.A. Mumford).
“The equity premium and the business cycle: the role of demand and supply shocks”, International Journal of Finance and Economics, 2010, 15, pp134-152. (with S. Sorensen and M.R. Wickens).
"What determines the part-time and gender earnings gaps in Britain: evidence from the workplace ", Oxford Economic Papers, 2009, 61, pp i56-i75, (with K.A. Mumford)
"General equilibrium theories of the equity risk premium: estimates and tests", Quantitative and Qualitative Analysis in Social Sciences, 2008, 2, 3 (with S. Sorensen and M.R. Wickens).
"The gender earnings gap in Britain : including the workplace", Manchester School, 2007, 75, 6, pp 653-672, (with K.A. Mumford).
"Job tenure in Britain: individual versus workplace effects ", Economica, 2004, 71, pp 275-298, (with K.A. Mumford).
"Job reallocation and average job tenure: theory and workplace evidence from Australia", Scottish Journal of Political Economy, 2004, 51, 3, pp 402-421, (with K.A.Mumford)
"Determinants of current job tenure: a cross-country comparison", Australian Journal of Labour Economics, September 2003, (with K.A.Mumford).
"Asset pricing with observable stochastic discount factors", Journal of Economic Surveys, 2002 and M.McAleer and L.Oxley (eds) The Econometrics of Financial Time Series, Blackwell, Oxford, 2002, (with M.R. Wickens).
"Men, women and the hiring function", Economic Record, 2000, 76, 235, pp 380-391, (with K.A.Mumford).
"Output price determination and the business cycle", Economic Modelling, 2000, 17, 1, pp 49-69.
"The hiring function reconsidered : on closing the circle", Oxford Bulletin of Economics and Statistics, 1999, 61, 2, pp 343-364, (with K.A.Mumford).
"Comparing global economic models", Economic Modelling, 1998, 15, pp 1-48, (with P.R. Mitchell, J. Sault and K.F. Wallis).
"Predicting UK stock returns and robust tests of mean variance efficiency ", Journal of Banking and Finance, 1997, 21, 5, pp 641-660, (with A.Clare and S.Thomas).
"Targeting inflation: comparative optimal control exercises on models of the UK economy", Economic Modelling, 1996, 13, pp 169-184, (with K.B. Church, P.R. Mitchell and K.F. Wallis).
"Global macroeconomic shocks, time-varying covariances and tests of the ICAPM", Applied Economics Letters, 1996, 3, pp 99-113, (with A. Clare, R.J. O'Brien and S.H.Thomas).
"Comparative properties of models of the UK economy", National Institute Economic Review, 153, 1995, pp 59-72, (with K.B.Church, P.R. Mitchell and K.F. Wallis).
"An econometric evaluation of consumers' expenditure equations", Oxford Review of Economic Policy, Summer, 1994, pp 71-85. (with K.B. Church and K.F. Wallis).
"Comparative properties of models of the UK economy", National Institute Economic Review, 145, 1993, pp 87-107, (with K.B. Church, P.R. Mitchell and K.F. Wallis).
"Modelling risk premia in international asset markets", European Economic Review, 37, 1, 1993, pp 159-176.
"Wage dispersion and inflation : Evidence from U.K. manufacturing industry", Economics Letters, 37, 1991, pp 357-362, (with S.Thomas).
"The London Business School econometric model: recent developments", Economic Modelling, 6, 1989, pp 243-351, (with E.Dinenis, S.Holly and P.Levine).
"Assessing monetary shocks and exchange rate variability with a stylised econometric model of the UK", Greek Economic Review, 11, (1), 1989, pp 76-94, (with M.R.Wickens).
"Interrelated factor demands for manufacturing: a dynamic translog cost function approach", European Economic Review, 33, (1), 1989, pp 111-126, (with S.Holly).
"Unemployment, vacancies and the long-term unemployed", Economic Journal, 98, 393, 1988, pp 1071-1091, (with A.Budd and P.Levine).
The gains from optimal control in a small econometric model of the U.K.", Journal of Economic Dynamics and Control, 12, (1), 1988, pp 13-18, (with P.Levine).
"Current account movements, wealth effects and the determination of the real exchange rate", Manchester School, 55, (4), 1987, pp 353-377.
"Long-term unemployment and the shifting U-V curve: a multi-country study", European Economic Review, 31, (1), 1987, pp 96-305, (with A.Budd and P.Levine).
"A two-sector model of the U.K. labour market", Oxford Bulletin of Economics and Statistics, 49, (1), 1987, pp 79-102, (with S.Holly).
"An empirical investigation into the causes of the failure of the monetary model of the exchange rate", Journal of Applied Econometrics, 1, (2), 1986, pp 143-162, (with M.R.Wickens).
Contributed Papers
"Choques transitorios y de largo plazo en el PIB mexicano: un modelo de vectores autorregresivos estructurales con Stata" in: Aplicaciones en Economía y Ciencias Sociales con Stata, Alfonso Mendoza V (ed), Stata Press, (with Alfonso Mendoza Velázquez), 2013.
“Discussion of The Fisher Effect Puzzle: A Case of Non-Linear Relationship”, Open Economies Review, 2010 Volume 21, Issue 1, Page 105.
"The new consensus in monetary policy: is the NKM fit for the purpose of inflation targeting?" in P. Arestis (ed), Is There a New Consensus in Macroeconomics, Macmillan, 2007, (with M. R. Wickens).
"An asset market integration test based on observable macroeconomic stochastic discount factors", in R. Driver, P.Sinclair and C. Thoenissen (eds), Exchange Rates, Capital Flows and Policy, Routledge, 2004, (with S. Sorensen and M.R. Wickens).
"Policy simulations and long-run sustainability in forward-looking macroeconometric models", in S. Kuipers, L. Schoonbeek and E.Sterken (eds) Methods and Applications of Economic Dynamics, North-Holland, 1995, (with K.F. Wallis).
"Predicting the long-term unemployed : a primer for the Commonwealth Employment Service", in R. Gregory and T. Karmel (eds) Youth in the Eighties, Canberra, 1992, (with B.Chapman).
"The evaluation of the effects of monetary and real shocks in an econometricmodel of an open economy", in P.Artus and G.McKenzie (eds) Studies in Applied Econometrics, 1992, (with M.R.Wickens).
"The consumption ratio: theory and Australian evidence", in P.Stemp (ed) Saving and Policy, Canberra, 1991.
"Compositional effects and unemployment in the United States and Europe", in H.Giersch (ed), Macro and Micro Policies for More Growth and Employment, Mohr, Tubingen, 1988, pp 152-165. (with S.Holly).
"Real wage adjustment and the long-term unemployed" in R.Cross (ed) Unemployment Hysteresis and the Natural Rate Hypothesis, Blackwell, Oxford, 1988, pp 41-64. (with A.Budd and P.Levine).
"The effects of fiscal reflation upon employment" in W.Eltis and P.Sinclair (eds) Keynes and Economic Policy, Macmillan, London, 1988, pp 79-101. (with A.Budd, P.Levine and F.Breedon).
"Comments on currency substitution, rational expectations and the demand for money" in O. Anderson (ed) Time Series Analysis: Theory and Practice, North-Holland, 1984.
Other Publications
"Is the investor sentiment approach the solution to IPO underpricing?", CAPCO - Journal of Financial Transformation, 13, April, 2005, (with A.Oehler and M. Rummer).
"Gauss 3.2 and Coint 2.0", Journal of Economic Surveys, 9, 1, 1995, 89-101, (with J.P. Smith).
Review of Testing Macroeconometric Models, Economic Journal, 1995.
"Wealth, financial deregulation, expectations and consumer behaviour", Government Economic Service Working Paper No. 122, 1994. (with K.B. Church, P.R. Mitchell and K.F. Wallis).
Female Unemployment and Unemployment Experience from the 1980's and Prospects for the 1990's, Report prepared for the Department of Education, Employment and Training, Australia, AGPS, Canberra, 1994, (with K.A Mumford).
"Changes in VAT and the prospects for inflation", Parliamentary Brief, November 1993.
"UK balance of payments: more deficits in the recovery?", Parliamentary Brief, May 1993.
Dynamic Forecasting of Overseas Visitors to Australia, Bureau of Tourism Research Report, Report prepared for the Bureau of Tourism, Australia, AGPS, Canberra, August 1992.
Review of Investment and Factor Demand, Econometric Reviews, 1992.
Review of Consumption : New Developments, Economic Record, 1989.
"Trends and cycles in GDP", Economic Outlook, 13, (9), 1989, (with A.Scott).
"The election manifestos compared", Economic Outlook, 12, (7), 1987, (with F.Breedon and P.Levine).
"Long-term unemployment and the labour market: some further results", Economic Outlook, 12, (4), 1987 (with A.Budd and P.Levine).
"The problem of long-term unemployment", Economic Outlook, 11, (1), 1986 (with A.Budd and P.Levine).
"Employment, pay and part-time working", Economic Outlook, 10, (4), 1985 (with A.Budd).
Editorial Publications
The UK Economy in the Long Expansion and its Aftermath, A. Chrystal, J. Pearlman, P.N. Smith and S. Wright, Cambridge University Press, Cambridge, 2016, (and Editors Introduction).
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