Publications

Selected publications

Fat Tails, Serial Dependence, and Implied Volatility Index Connections (Journal article - 2022)
The Empirical Relevance of the Shadow Rate and the Zero Lower Bound (Journal article - 2021)
Revisiting Real Wage Rigidity (Journal article - 2024)
Persistence in financial connectedness and systemic risk (Journal article - 2024)

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2024

Persistence in financial connectedness and systemic risk

Baruník, J., & Ellington, M. (2024). Persistence in financial connectedness and systemic risk. European Journal of Operational Research, 314(1), 393-407. doi:10.1016/j.ejor.2023.11.023

DOI: 10.1016/j.ejor.2023.11.023
: Journal article

Revisiting Real Wage Rigidity

ELLINGTON, M., MARTIN, C., & WANG, B. (2024). Revisiting Real Wage Rigidity. Journal of Money, Credit and Banking, 56(2-3), 613-626. doi:10.1111/jmcb.13056

DOI: 10.1111/jmcb.13056
: Journal article

The Common Factor in Volatility Risk Premia

DOI: 10.2139/ssrn.4618943
: Preprint

2022

A study of cross-industry return predictability in the Chinese stock market

Ellington, M., Stamatogiannis, M. P., & Zheng, Y. (2022). A study of cross-industry return predictability in the Chinese stock market. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 83. doi:10.1016/j.irfa.2022.102249

DOI: 10.1016/j.irfa.2022.102249
: Journal article

Fat Tails, Serial Dependence, and Implied Volatility Index Connections

Ellington, M. (2022). Fat Tails, Serial Dependence, and Implied Volatility Index Connections. European Journal of Operational Research. doi:10.1016/j.ejor.2021.09.038

DOI: 10.1016/j.ejor.2021.09.038
: Journal article

2021

The Empirical Relevance of the Shadow Rate and the Zero Lower Bound

Ellington, M. (2021). The Empirical Relevance of the Shadow Rate and the Zero Lower Bound. Journal of Money, Credit and Banking. doi:10.1111/jmcb.12881

DOI: 10.1111/jmcb.12881
: Journal article

Real Estate Illiquidity and Returns: A Time-varying Regional Perspective

Ellington, M., Fu, X., & Zhu, Y. (2023). Real estate illiquidity and returns: A time-varying regional perspective. INTERNATIONAL JOURNAL OF FORECASTING, 39(1), 58-72. doi:10.1016/j.ijforecast.2021.08.005

DOI: 10.1016/j.ijforecast.2021.08.005
: Journal article

On the economic impact of aggregate liquidity shocks: The case of the UK

Ellington, M., & Milas, C. (2021). On the economic impact of aggregate liquidity shocks: The case of the UK. The Quarterly Review of Economics and Finance, 80, 737-752. doi:10.1016/j.qref.2018.09.008

DOI: 10.1016/j.qref.2018.09.008
: Journal article

Search Frictions and Evolving Labour Market Dynamics

Ellington, M., Martin, C., & Wang, B. (2021). Search Frictions and Evolving Labour Market Dynamics. Journal of Economic Dynamics and Control. doi:10.1016/j.jedc.2021.104104

DOI: 10.1016/j.jedc.2021.104104
: Journal article

2020

Persistence in Financial Connectedness and Systemic Risk

DOI: 10.48550/arxiv.2007.07842
: Preprint

Dynamic Network Risk

DOI: 10.48550/arxiv.2006.04639
: Preprint

2019

Global Liquidity, Money Growth and UK Inflation

Ellington, M., & Milas, K. (2019). Global Liquidity, Money Growth and UK Inflation. Journal of Financial Stability, 42, 67-74. doi:10.1016/j.jfs.2019.05.012

DOI: 10.1016/j.jfs.2019.05.012
: Journal article

Global liquidity, money growth and UK inflation

Ellington, M., & Milas, C. (2019). Global liquidity, money growth and UK inflation. Journal of Financial Stability, 42, 67-74. doi:10.1016/j.jfs.2019.05.012

DOI: 10.1016/j.jfs.2019.05.012
: Journal article

2018

On what grounds would we be able to achieve a better withdrawal deal?

Milas, K. C., & Ellington, M. T. (2018). On what grounds would we be able to achieve a better withdrawal deal?. Retrieved from https://www.ft.com/content/a9e3cb10-e99f-11e8-a34c-663b3f553b35

: Media

The case for Divisia monetary statistics: A Bayesian time-varying approach

Ellington, M. (2018). The case for Divisia monetary statistics: A Bayesian time-varying approach. Journal of Economic Dynamics and Control, 96, 26-41. doi:10.1016/j.jedc.2018.10.001

DOI: 10.1016/j.jedc.2018.10.001
: Journal article

Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK

Ellington, M. T. (2018). Financial Market Illiquidity Shocks and Macroeconomic Dynamics: Evidence from the UK. Journal of Banking and Finance, 89, 225-236. doi:10.1016/j.jbankfin.2018.02.013

DOI: 10.1016/j.jbankfin.2018.02.013
: Journal article

Grant us full access now to the Whitehall results

Ellington, M. T. (2018). Grant us full access now to the Whitehall results. [Financial Times Letter].

: Media

2017

Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-varying Parameter VAR

Ellington, M. T., Milas., & Florakis. (2017). Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-varying Parameter VAR. Journal of International Money and Finance, 72, 93-117. doi:10.1016/j.jimonfin.2016.12.002

DOI: 10.1016/j.jimonfin.2016.12.002
: Journal article

2016

Uncertainty Shocks and the UK Economy from 1762 to 2015

Ellington, M. (2016). Uncertainty Shocks and the UK Economy from 1762 to 2015.

: Journal article

Undated

Is Broader Better? A Monetary Approach to Forecasting Economic Activity

Ellington, M., & Michalski, M. (n.d.). Is Broader Better? A Monetary Approach to Forecasting Economic Activity.

: Journal article