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Jonathan H. Wright

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Personal Details

First Name: Jonathan
Middle Name: H.
Last Name: Wright
Suffix:

RePEc Short-ID: pwr25

Email: [This author has chosen not to make the email address public]
Homepage: http://econ.jhu.edu/People/Wright/index.html
Postal Address:
Phone:

Affiliation

Department of Economics
Johns Hopkins University
Location: Baltimore, Maryland (United States)
Homepage: http://www.econ.jhu.edu/
Email:
Phone: (410)516-7601
Fax: (410)516-7600
Postal: Mergenthaler Hall, 3400 North Charles Street, Baltimore, MD 21218
Handle: RePEc:edi:dejhuus (more details at EDIRC)

Works

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Working papers

  1. Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
  2. Yuriy Kitsul & Jonathan H. Wright, 2012. "The Economics of Options-Implied Inflation Probability Density Functions," NBER Working Papers 18195, National Bureau of Economic Research, Inc.
  3. Jon Faust & Simon Gilchrist & Jonathan H. Wright & Egon Zakrajsek, 2011. "Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach," NBER Working Papers 16725, National Bureau of Economic Research, Inc.
  4. Jonathan H. Wright, 2011. "What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?," NBER Working Papers 17154, National Bureau of Economic Research, Inc.
  5. Meredith J. Beechey & Jonathan H. Wright, 2008. "The high-frequency impact of news on long-term yields and forward rates: Is it real?," Finance and Economics Discussion Series 2008-39, Board of Governors of the Federal Reserve System (U.S.).
  6. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.).
  7. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
  8. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2008. "The TIPS yield curve and inflation compensation," Finance and Economics Discussion Series 2008-05, Board of Governors of the Federal Reserve System (U.S.).
  9. Meredith Beechey & Jonathan H. Wright, 2007. "Rounding and the impact of news: a simple test of market rationality," Finance and Economics Discussion Series 2007-05, Board of Governors of the Federal Reserve System (U.S.).
  10. David Backus & Jonathan H. Wright, 2007. "Cracking the conundrum," Finance and Economics Discussion Series 2007-46, Board of Governors of the Federal Reserve System (U.S.).
  11. Alain P. Chaboud & Sergey V. Chernenko & Jonathan H. Wright, 2007. "Trading activity and exchange rates in high-frequency EBS data," International Finance Discussion Papers 903, Board of Governors of the Federal Reserve System (U.S.).
  12. Jonathan Wright & Hao Zhou, 2007. "Bond risk premia and realized jump volatility," Finance and Economics Discussion Series 2007-22, Board of Governors of the Federal Reserve System (U.S.).
  13. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Working Papers 07-22, New York University, Leonard N. Stern School of Business, Department of Economics.
  14. Jon Faust & Jonathan H. Wright, 2007. "Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset," NBER Working Papers 13397, National Bureau of Economic Research, Inc.
  15. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2006. "The U.S. Treasury yield curve: 1961 to the present," Finance and Economics Discussion Series 2006-28, Board of Governors of the Federal Reserve System (U.S.).
  16. Jonathan H. Wright, 2006. "The yield curve and predicting recessions," Finance and Economics Discussion Series 2006-07, Board of Governors of the Federal Reserve System (U.S.).
  17. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order flow and exchange rate dynamics in electronic brokerage system data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
  18. Eric Ghysels & Jonathan H. Wright, 2006. "Forecasting professional forecasters," Finance and Economics Discussion Series 2006-10, Board of Governors of the Federal Reserve System (U.S.).
  19. Jonathan H. Wright & Joseph E. Gagnon, 2006. "Predicting sharp depreciations in industrial country exchange rates," International Finance Discussion Papers 881, Board of Governors of the Federal Reserve System (U.S.).
  20. Don H. Kim & Jonathan H. Wright, 2005. "An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates," Finance and Economics Discussion Series 2005-33, Board of Governors of the Federal Reserve System (U.S.).
  21. Alain P. Chaboud & Sergey Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers 823, Board of Governors of the Federal Reserve System (U.S.).
  22. Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers 784, Board of Governors of the Federal Reserve System (U.S.).
  23. Jonathan H. Wright, 2003. "Bayesian Model Averaging and exchange rate forecasts," International Finance Discussion Papers 779, Board of Governors of the Federal Reserve System (U.S.).
  24. Jonathan H. Wright, 2003. "Forecasting U.S. inflation by Bayesian Model Averaging," International Finance Discussion Papers 780, Board of Governors of the Federal Reserve System (U.S.).
  25. Alain P. Chaboud & Jonathan H. Wright, 2003. "Uncovered interest parity: it works, but not for long," International Finance Discussion Papers 752, Board of Governors of the Federal Reserve System (U.S.).
  26. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2002. "Identifying the effects of monetary policy shocks on exchange rates using high frequency data," International Finance Discussion Papers 739, Board of Governors of the Federal Reserve System (U.S.).
  27. C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
  28. Jon Faust & Eric Swanson & and Jonathan H. Wright, 2002. "Identifying vars based on high frequency futures data," International Finance Discussion Papers 720, Board of Governors of the Federal Reserve System (U.S.).
  29. Jonathan H. Wright, 2002. "Testing the null of identification in GMM," International Finance Discussion Papers 732, Board of Governors of the Federal Reserve System (U.S.).
  30. Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.).
  31. Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "An empirical comparison of Bundesbank and ECB monetary policy rules," International Finance Discussion Papers 705, Board of Governors of the Federal Reserve System (U.S.).
  32. Jonathan H. Wright, 2000. "Detecting lack of identification in GMM," International Finance Discussion Papers 674, Board of Governors of the Federal Reserve System (U.S.).
  33. Jonathan H. Wright, 2000. "Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns," International Finance Discussion Papers 685, Board of Governors of the Federal Reserve System (U.S.).
  34. Jon Faust & John H. Rogers & Jonathan H. Wright, 2000. "News and noise in G-7 GDP announcements," International Finance Discussion Papers 690, Board of Governors of the Federal Reserve System (U.S.).
  35. Jonathan H. Wright, 2000. "Exact confidence intervals for impulse responses in a Gaussian vector autoregression," International Finance Discussion Papers 682, Board of Governors of the Federal Reserve System (U.S.).
  36. Jonathan H. Wright, 1999. "Long memory in emerging market stock returns," International Finance Discussion Papers 650, Board of Governors of the Federal Reserve System (U.S.).
  37. Jonathan H. Wright & Tim Bollerslev, 1999. "High frequency data, frequency domain inference and volatility forecasting," International Finance Discussion Papers 649, Board of Governors of the Federal Reserve System (U.S.).
  38. Jonathan H. Wright, 1999. "A simple approach to robust inference in a cointegrating system," International Finance Discussion Papers 654, Board of Governors of the Federal Reserve System (U.S.).
  39. James H. Stock & Jonathan Wright, 1996. "Asymptotics for GMM Estimators with Weak Instruments," NBER Technical Working Papers 0198, National Bureau of Economic Research, Inc.
  40. Forsythe, R. & Nelson, F. & Neumann, G.R. & Wright, J., 1991. "Anatomy of a Market," Working Papers 91-13, University of Iowa, Department of Economics.

Articles

  1. Jonathan H. Wright, 2009. "Forecasting US inflation by Bayesian model averaging," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 131-144.
  2. Wright, Jonathan H., 2008. "Bayesian Model Averaging and exchange rate forecasts," Journal of Econometrics, Elsevier, vol. 146(2), pages 329-341, October.
  3. Alain P. Chaboud & Sergey V. Chernenko & Jonathan H. Wright, 2008. "Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 589-596, 04-05.
  4. Faust, Jon & Wright, Jonathan H., 2008. "Efficient forecast tests for conditional policy forecasts," Journal of Econometrics, Elsevier, vol. 146(2), pages 293-303, October.
  5. Berger, David W. & Chaboud, Alain P. & Chernenko, Sergey V. & Howorka, Edward & Wright, Jonathan H., 2008. "Order flow and exchange rate dynamics in electronic brokerage system data," Journal of International Economics, Elsevier, vol. 75(1), pages 93-109, May.
  6. Gurkaynak, Refet S. & Sack, Brian & Wright, Jonathan H., 2007. "The U.S. Treasury yield curve: 1961 to the present," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2291-2304, November.
  7. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
  8. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 293-329.
  9. Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005. "News and Noise in G-7 GDP Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 403-19, June.
  10. Chaboud, Alain P. & Wright, Jonathan H., 2005. "Uncovered interest parity: it works, but not for long," Journal of International Economics, Elsevier, vol. 66(2), pages 349-362, July.
  11. Faust, Jon & Swanson, Eric T. & Wright, Jonathan H., 2004. "Identifying VARS based on high frequency futures data," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1107-1131, September.
  12. Wright, Jonathan H., 2003. "Detecting Lack Of Identification In Gmm," Econometric Theory, Cambridge University Press, vol. 19(02), pages 322-330, April.
  13. Faust, Jon & Rogers, John H. & H. Wright, Jonathan, 2003. "Exchange rate forecasting: the errors we've really made," Journal of International Economics, Elsevier, vol. 60(1), pages 35-59, May.
  14. Jon Faust & John H. Rogers & Eric Swanson & Jonathan H. Wright, 2003. "Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1031-1057, 09.
  15. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 397-417.
  16. Stock, James H & Wright, Jonathan H & Yogo, Motohiro, 2002. "A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 518-29, October.
  17. Tim Bollerslev & Jonathan H. Wright, 2001. "High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 596-602, November.
  18. Wright, Jonathan H, 2000. "Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 211-22, April.
  19. Wright, Jonathan H, 2000. "Confidence Intervals for Univariate Impulse Responses with a Near Unit Root," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(3), pages 368-73, July.
  20. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.
  21. Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
  22. Wright, Jonathan H, 2000. "Alternative Variance-Ratio Tests Using Ranks and Signs," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 1-9, January.
  23. Wright, Jonathan H, 1999. "Testing for a Unit Root in the Volatility of Asset Returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(3), pages 309-18, May-June.
  24. Wright, Jonathan H., 1999. "A new estimator of the fractionally integrated stochastic volatility model," Economics Letters, Elsevier, vol. 63(3), pages 295-303, June.
  25. Wright, Jonathan H., 1999. "Frequency domain inference for univariate impulse responses," Economics Letters, Elsevier, vol. 63(3), pages 269-277, June.
  26. Wright, Jonathan H, 1999. " A New Test for Structural Stability Based on Recursive Residual," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(1), pages 109-19, February.
  27. Wright, Jonathan H., 1999. "The Local Asymptotic Power Of Certain Tests For Fractional Integration," Econometric Theory, Cambridge University Press, vol. 15(05), pages 704-709, October.
  28. Wright, Jonathan H, 1997. "The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(2), pages 299-303, May.
  29. Wright, Jonathan, 1996. "Local-to-Spurious Regression," Econometric Theory, Cambridge University Press, vol. 12(03), pages 585-586, August.
  30. Wright, Jonathan H., 1996. "Structural stability tests in the linear regression model when the regressors have roots local to unity," Economics Letters, Elsevier, vol. 52(3), pages 257-262, September.
  31. Bradley, John & Whelan, Karl & Wright, Jonathan, 1995. "HERMIN Ireland," Economic Modelling, Elsevier, vol. 12(3), pages 249-274, July.
  32. Wright, J. H., 1993. "The CUSUM test based on least squares residuals in regressions with integrated variables," Economics Letters, Elsevier, vol. 41(4), pages 353-358.

Books

  1. Bradley, John & Wright, Jonathan, 1993. "Growth and Development in the Two Economies of Ireland: An Overview (Proceedings of NIERC/ESRI Conference)," Research Series, Economic and Social Research Institute (ESRI), number BMI81, September.

NEP Fields

37 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (3) 2006-04-29 2007-09-16 2007-10-27
  2. NEP-CBA: Central Banking (15) 2002-03-14 2002-11-04 2003-11-30 2003-11-30 2006-04-29 2006-04-29 2006-08-12 2007-03-31 2007-09-16 2007-09-24 2007-10-27 2008-02-16 2008-07-14 2008-09-05 2011-06-25. Author is listed
  3. NEP-DCM: Discrete Choice Models (1) 2000-08-07
  4. NEP-ECM: Econometrics (9) 2000-04-17 2000-08-07 2000-10-31 2001-02-08 2002-04-25 2003-11-30 2003-11-30 2006-04-29 2008-07-14. Author is listed
  5. NEP-EEC: European Economics (1) 2001-09-10
  6. NEP-ETS: Econometric Time Series (10) 2000-04-17 2000-10-31 2001-02-08 2001-02-08 2002-03-14 2002-04-25 2002-04-25 2003-11-30 2003-11-30 2007-09-16. Author is listed
  7. NEP-FMK: Financial Markets (8) 2001-02-08 2002-04-25 2003-03-03 2005-10-04 2006-08-12 2007-09-24 2008-02-16 2008-09-05. Author is listed
  8. NEP-FOR: Forecasting (6) 2006-04-29 2006-04-29 2007-03-31 2007-09-16 2008-07-14 2013-10-02. Author is listed
  9. NEP-IFN: International Finance (9) 2002-03-14 2002-11-04 2003-03-03 2003-11-30 2003-11-30 2004-07-18 2005-05-23 2005-05-23 2007-10-06. Author is listed
  10. NEP-MAC: Macroeconomics (16) 2003-04-27 2003-11-30 2005-05-23 2005-10-04 2006-04-29 2006-04-29 2006-08-12 2007-03-31 2007-09-16 2007-09-24 2007-10-27 2008-02-16 2008-07-14 2008-09-05 2011-06-25 2013-10-02. Author is listed
  11. NEP-MON: Monetary Economics (14) 2001-09-10 2002-10-27 2003-11-30 2004-07-18 2005-05-23 2005-10-04 2006-04-29 2006-08-12 2007-09-24 2007-10-27 2008-02-16 2008-07-14 2008-09-05 2011-06-25. Author is listed
  12. NEP-MST: Market Microstructure (4) 2007-03-31 2007-06-23 2007-10-06 2008-09-05
  13. NEP-RMG: Risk Management (6) 2002-11-04 2003-03-03 2003-04-27 2003-11-30 2007-03-31 2007-06-23. Author is listed
  14. NEP-UPT: Utility Models & Prospect Theory (1) 2012-07-08

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages, Weighted by Simple Impact Factor
  22. Number of Journal Pages, Weighted by Recursive Impact Factor
  23. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  24. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  25. Number of Abstract Views in RePEc Services over the past 12 months
  26. Number of Downloads through RePEc Services over the past 12 months
  27. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  28. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  29. Closeness measure in co-authorship network
  30. Breadth of citations across fields
  31. Wu-Index

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