Stephen Wright

Research interests

• Macroeconomics
• Finance

Selected Publications

• Information, Heterogeneity and Market Incompleteness (with Liam Graham, UCL). forthcoming Journal of Monetary Economics, March 2010
• Miller & Modigliani, Predictive Return Regressions and Cointegration. (with Piergiorgio Alessandri and Donald Robertson), Oxford Bulletin of Economics and Statistics,70, 2 (2008) pp 181-207
• "Nominal debt dynamics, credit constraints and monetary policy" (with Liam Graham), Berkeley Papers in Macroeconomics (Contributions to Macroeconomics) January 2007.
• "Dividends, Total Cashflows to Shareholders and Predictive Return Regressions" (with Donald Robertson) Review of Economics and Statistics February 2006
• "Permanent vs Transitory Components and Economic Fundamentals" (with Tony Garratt and Donald Robertson) Journal of Applied Econometrics May/June 2006
• (Eviews code to create Multivariate Beveridge-Nelson Permanent Components as described in paper above. Instructions on usage are given at the top of the program. Updated to Eviews 6.0.)
• “An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth”. With J. Mitchell, R. Smith, E. Salazar and M.R Weale Economic Journal. Vol. 115.No 501 2005
• "Modelling nominal debt contracts and fixed rate debt" (with Liam Graham) Economics Letters July 2005
• "Measures of Stock Market Value and Returns for the US Nonfinancial Corporate Sector, 1900-2002" Review of Income and Wealth, 50 (4) pp 561-584 December 2004
• (Extended Version)
• (Dataset)
• "Monetary Stabilisation with Nominal Asymmetries" Economic Journal, January 2004
• Valuing Wall Street (with Andrew Smithers) McGraw-Hill, May 2000 ISBN 0-07-135461-1

Working Papers

• Invertible and Non-Invertible Information Sets in Dynamic Stochastic General Equilibrium (with Liam Graham and Brad Baxter), March 2010
• Matlab toolkit, March 2010
• The Limits to Stock Return Predictability  (with Donald Robertson, University of Cambridge, September 2009)
• "Stambaugh Correlations and Redundant Predictors" (with Donald Robertson, University of Cambridge), September 2009)
• "The "V-Factor": Distribution, Timing and Correlates of the Great Indian Turnaround" (with Chetan Ghate, Indian Statistical Institute, Delhi), January 2009
• Predictive Models and Univariate Representations (with Donald Robertson) December 2007
• "Tobin's q and Intangible Assets "
  March 2006
• Dataset
• "Tobin's Q, Asymmetric Information and Aggregate Stock Market Valuations" February 2005 (with Donald Robertson)

Teaching

• Introduction to Finance (MSc Finance/Financial Engineering, Autumn Term)
  Student Material
• Microeconomics (GDE, GDF, BScESP, Autumn Term)
  Student Material
• Introduction to Mathematical Finance (GDF, GDFE, Summer Term)
  Student Material