Research outputs
Selected research outputs
- Predictive distributions and the market return: The role of market illiquidity (Journal article - 2025)
- Persistence in financial connectedness and systemic risk (Journal article - 2024)
- Revisiting Real Wage Rigidity (Journal article - 2024)
- 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)
2025
Predictive distributions and the market return: The role of market illiquidity
Ellington, M., & Kalli, M. (2025). Predictive distributions and the market return: The role of market illiquidity. European Journal of Operational Research, 323(1), 309-322. doi:10.1016/j.ejor.2025.01.006
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
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
2022
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
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
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
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
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
2019
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
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
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
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
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].
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
2016
Uncertainty Shocks and the UK Economy from 1762 to 2015
Ellington, M. (2016). Uncertainty Shocks and the UK Economy from 1762 to 2015.