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Information about:
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
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Lists

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
  5. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  7. Number of Citations
  8. Number of Citations, Discounted by Citation Age
  9. Number of Citations, Weighted by Simple Impact Factor
  10. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Recursive Impact Factor
  12. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Number of Authors
  14. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h, where author has written h papers that have each been cited at least h times.
  20. Number of Registered Citing Authors
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  22. Number of Journal Pages, Weighted by Simple Impact Factor
  23. Number of Journal Pages, Weighted by Recursive Impact Factor
  24. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  25. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  26. Number of Abstract Views in RePEc Services over the past 12 months
  27. Number of Downloads through RePEc Services over the past 12 months
  28. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  29. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  30. Wu-Index

Works

| Working papers | Articles | Books | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. 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.). [Downloadable!]

  3. 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.). [Downloadable!]

  4. 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.). [Downloadable!]

  5. 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.). [Downloadable!]

  6. 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.). [Downloadable!]

  7. 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. [Downloadable!]
    Other versions:
    Published as:

  8. 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. [Downloadable!] (restricted)

  9. 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.). [Downloadable!]

  10. 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.). [Downloadable!]

  11. 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.). [Downloadable!]

  12. 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.). [Downloadable!]

  13. 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.). [Downloadable!]
    Published as:

  14. 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.). [Downloadable!]
    Published as:

  15. 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.). [Downloadable!]

  16. 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.). [Downloadable!]

  17. 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.). [Downloadable!]
    Published as:

  18. 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.). [Downloadable!]
    Published as:

  19. 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.). [Downloadable!]
    Published as:

  20. 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.). [Downloadable!]
    Published as:

  21. 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. [Downloadable!]

  22. 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.). [Downloadable!]

  23. 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.). [Downloadable!]
    Published as:

  24. 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.). [Downloadable!]
    Other versions:
    Published as:

  25. 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.). [Downloadable!]
    Published as:

  26. 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.). [Downloadable!]

  27. 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.). [Downloadable!]
    Published as:

  28. 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.). [Downloadable!]
    Published as:

  29. 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.). [Downloadable!]
    Published as:

  30. 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.). [Downloadable!]

  31. 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.). [Downloadable!]

  32. 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.). [Downloadable!]
    Published as:

  33. 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.). [Downloadable!]

  34. James H. Stock & Jonathan Wright, 1996. "Asymptotics for GMM Estimators with Weak Instruments," NBER Technical Working Papers 0198, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  35. 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. [Downloadable!]
    Other versions:

  2. Faust, Jon & Wright, Jonathan H., 2008. "Efficient forecast tests for conditional policy forecasts," Journal of Econometrics, Elsevier, vol. 146(2), pages 293-303, October. [Downloadable!] (restricted)

  3. Wright, Jonathan H., 2008. "Bayesian Model Averaging and exchange rate forecasts," Journal of Econometrics, Elsevier, vol. 146(2), pages 329-341, October. [Downloadable!] (restricted)
    Other versions:

  4. 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. [Downloadable!] (restricted)

  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. [Downloadable!] (restricted)
    Other versions:

  6. David K. Backus & Jonathan H. Wright, 2007. "Cracking the Conundrum," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(2007-1), pages 293-329. [Downloadable!]
    Other versions:

  7. 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. [Downloadable!] (restricted)
    Other versions:

  8. 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. [Downloadable!] (restricted)
    Other versions:

  9. 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. [Downloadable!] (restricted)
    Other versions:

  10. 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.
    Other versions:

  11. Jon Faust & Eric Swanson & Jonathan Wright, 2004. "Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?," Contributions to Macroeconomics, Berkeley Electronic Press, vol. 4(1), pages 1246-1246. [Downloadable!] (restricted)

  12. 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. [Downloadable!] (restricted)
    Other versions:

  13. 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. [Downloadable!] (restricted)
    Other versions:

  14. Wright, Jonathan H., 2003. "Detecting Lack Of Identification In Gmm," Econometric Theory, Cambridge University Press, vol. 19(02), pages 322-330, April. [Downloadable!]
    Other versions:

  15. 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. [Downloadable!] (restricted)
    Other versions:

  16. Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 397-417. [Downloadable!] (restricted)
    Other versions:

  17. 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.

  18. 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. [Downloadable!] (restricted)
    Other versions:

  19. 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.

  20. James H. Stock & Jonathan Wright, 2000. "GMM with Weak Identification," Econometrica, Econometric Society, vol. 68(5), pages 1055-1096, September.

  21. 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.

  22. 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. [Downloadable!] (restricted)

  23. 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.

  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. [Downloadable!] (restricted)

  25. 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. [Downloadable!]

  26. Wright, Jonathan H., 1999. "Frequency domain inference for univariate impulse responses," Economics Letters, Elsevier, vol. 63(3), pages 269-277, June. [Downloadable!] (restricted)

  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. [Downloadable!]

  28. 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. [Downloadable!] (restricted)

  29. 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.

  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. [Downloadable!] (restricted)

  31. Wright, Jonathan, 1996. "Local-to-Spurious Regression," Econometric Theory, Cambridge University Press, vol. 12(03), pages 585-586, August. [Downloadable!]

  32. Bradley, John & Whelan, Karl & Wright, Jonathan, 1995. "HERMIN Ireland," Economic Modelling, Elsevier, vol. 12(3), pages 249-274, July. [Downloadable!] (restricted)

  33. 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. [Downloadable!] (restricted)

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.

NEP Fields

34 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 (14) 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 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-FIN: Finance (3) 2001-02-08 2003-04-27 2005-05-23
  8. 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
  9. NEP-FOR: Forecasting (5) 2006-04-29 2006-04-29 2007-03-31 2007-09-16 2008-07-14 Author is listed
  10. 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
  11. NEP-MAC: Macroeconomics (14) 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 Author is listed
  12. NEP-MON: Monetary Economics (13) 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 Author is listed
  13. NEP-MST: Market Microstructure (4) 2007-03-31 2007-06-23 2007-10-06 2008-09-05
  14. 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
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This page was last updated on 2009-10-29.

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