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James M. Nason

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Cogley, Timothy & Nason, James M, 1995. "Output Dynamics in Real-Business-Cycle Models," American Economic Review, American Economic Association, vol. 85(3), pages 492-511, June.

    Mentioned in:

    1. Real Business Cycles with a Human Capital Investment Sector and Endogenous Growth: Persistence, Volatility and Labor Puzzles
      by Christian Zimmermann in NEP-DGE blog on 2011-04-15 00:22:54
    2. Sobre recesiones, recuperaciones…. y previsiones
      by David López-Salido in Nada Es Gratis on 2009-09-18 08:27:36
    3. Krugman was looking under a lamppost
      by pushmedia1 in The Ambrosini Critique on 2009-09-17 21:42:26
  2. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.

    Mentioned in:

    1. On the Evils of Hodrick-Prescott Detrending
      by Francis Diebold in No Hesitations on 2016-08-17 18:45:00
  3. Timothy Cogley & James M. Nason, 1993. "Output dynamics in real business cycle models," Working Papers in Applied Economic Theory 93-10, Federal Reserve Bank of San Francisco.

    Mentioned in:

    1. Real Business Cycles with a Human Capital Investment Sector and Endogenous Growth: Persistence, Volatility and Labor Puzzles
      by Christian Zimmermann in NEP-DGE blog on 2011-04-15 00:22:54
    2. Sobre recesiones, recuperaciones…. y previsiones
      by David López-Salido in Nada Es Gratis on 2009-09-18 08:27:36
    3. Krugman was looking under a lamppost
      by pushmedia1 in The Ambrosini Critique on 2009-09-17 21:42:26

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Cogley, Timothy & Nason, James M, 1995. "Output Dynamics in Real-Business-Cycle Models," American Economic Review, American Economic Association, vol. 85(3), pages 492-511, June.

    Mentioned in:

    1. > Macroeconomics > Economic Fluctuations > Real Business Cycle Theory

Working papers

  1. Elmar Mertens & James M. Nason, 2018. "Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility," BIS Working Papers 713, Bank for International Settlements.

    Cited by:

    1. Jonas D. M. Fisher & Leonardo Melosi & Sebastian Rast, 2025. "Long-Run Inflation Expectations," Working Papers 829, DNB.
    2. Benjamin K. Johannsen & Elmar Mertens, 2016. "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series 2016-033, Board of Governors of the Federal Reserve System (U.S.).
    3. Bańbura, Marta & Leiva-Leon, Danilo & Menz, Jan-Oliver, 2021. "Do inflation expectations improve model-based inflation forecasts?," Working Paper Series 2604, European Central Bank.
    4. Joshy Easaw & Roberto Golinelli, 2022. "Professionals Inflation Forecasts: The Two Dimensions Of Forecaster Inattentiveness [“Sectoral and aggregate inflation dynamics in the euro area”]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 701-720.
    5. Guido Ascari & Paolo Bonomolo & Qazi Haque, 2023. "The Long-Run Phillips Curve is ... a Curve," CAMA Working Papers 2023-37, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    6. Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
    7. Arnoud Stevens & Joris Wauters, 2018. "Is euro area lowflation here to stay ? Insights from a time-varying parameter model with survey data," Working Paper Research 355, National Bank of Belgium.
    8. Geraldine Dany-Knedlik & Juan Angel Garcia, 2018. "Monetary Policy and Inflation Dynamics in ASEAN Economies," IMF Working Papers 2018/147, International Monetary Fund.
    9. Marcela De Castro-Valderrama & Santiago Forero-Alvarado & Nicolás Moreno-Arias & Sara Naranjo-Saldarriaga, 2021. "Unraveling the Exogenous Forces Behind Analysts’ Macroeconomic Forecasts," Borradores de Economia 1184, Banco de la Republica de Colombia.
    10. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    11. Mengheng Li & Siem Jan Koopman, 2021. "Unobserved components with stochastic volatility: Simulation‐based estimation and signal extraction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 614-627, August.
    12. Hur, Joonyoung, 2018. "Time-varying information rigidities and fluctuations in professional forecasters' disagreement," Economic Modelling, Elsevier, vol. 75(C), pages 117-131.
    13. James M. Nason & Gregor W. Smith, 2013. "Measuring The Slowly Evolving Trend In Us Inflation With Professional Forecasts," Working Paper 1316, Economics Department, Queen's University.
    14. Chen, Ji & Yang, Xinglin & Liu, Xiliang, 2022. "Learning, disagreement and inflation forecasting," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    15. Aristidou, Chrystalleni, 2018. "The meta-Phillips Curve: Modelling U.S. inflation in the presence of regime change," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 367-379.
    16. Barbara Rossi & Atsushi Inoue & Yiru Wang, 2024. "Has the Phillips curve flattened?," French Stata Users' Group Meetings 2024 22, Stata Users Group.
    17. Ricardo Reis, 2020. "The People versus the Markets: A Parsimonious Model of Inflation Expectations," Discussion Papers 2033, Centre for Macroeconomics (CFM).
    18. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    19. Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Papers 733, DNB.
    20. Richard K. Crump & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2021. "The Term Structure of Expectations," Staff Reports 992, Federal Reserve Bank of New York.
    21. Jonas D. M. Fisher, Jonas D. & Melosi, Leonardo & Sebastian Rast, Sebastian, 2025. "Long-Run Inflation Expectations," The Warwick Economics Research Paper Series (TWERPS) 1551, University of Warwick, Department of Economics.
    22. Huw Dixon & Joshy Easaw & Saeed Heravi, 2020. "Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 461-474, July.
    23. Jonas D. M. Fisher & Leonardo Melosi & Sebastian Rast, 2025. "Long-Run Inflation Expectations," Working Paper Series WP 2025-03, Federal Reserve Bank of Chicago.
    24. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2024. "Constructing fan charts from the ragged edge of SPF forecasts," Working Papers 2429, Banco de España.
    25. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
    26. Barrera, Carlos, 2022. "Les Prévisions des Prévisionnistes Professionnels? Perou, 2009-2017 [Professional Forecasters' Expectations? Peru, 2009-2017]," MPRA Paper 114420, University Library of Munich, Germany.
    27. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    28. Juan Angel Garcia & Aubrey Poon, 2022. "Inflation trends in Asia: implications for central banks [Are Phillips curves useful for forecasting inflation?]," Oxford Economic Papers, Oxford University Press, vol. 74(3), pages 671-700.
    29. Diegel, Max, 2022. "Time-varying credibility, anchoring and the Fed's inflation target," Discussion Papers 2022/9, Free University Berlin, School of Business & Economics.
    30. Francesca Rondina, 2018. "Estimating unobservable inflation expectations in the New Keynesian Phillips Curve," Working Papers 1804E, University of Ottawa, Department of Economics.
    31. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    32. Koester, Gerrit & Lis, Eliza & Nickel, Christiane & Osbat, Chiara & Smets, Frank, 2021. "Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers," Occasional Paper Series 280, European Central Bank.
    33. Karlyn Mitchell & Douglas K. Pearce, 2017. "Direct Evidence on Sticky Information from the Revision Behavior of Professional Forecasters," Southern Economic Journal, John Wiley & Sons, vol. 84(2), pages 637-653, October.
    34. Monica Jain, 2018. "Sluggish Forecasts," Staff Working Papers 18-39, Bank of Canada.
    35. Roberto Casarin & Antonio Peruzzi & Davide Raggi, 2025. "Multiple Equilibria and the Phillips Curve: Do Agents Always Underreact?," Working Papers 2025: 10, Department of Economics, University of Venice "Ca' Foscari".
    36. Bowen Fu, Ivan Mendieta-Muñoz, 2023. "Structural shocks and trend inflation," Working Paper Series, Department of Economics, University of Utah 2023_04, University of Utah, Department of Economics.
    37. Aydin Yakut, Dilan, 2025. "Beyond Aggregates: A Dual Lens on Eurozone Trend Inflation," Research Technical Papers 3/RT/25, Central Bank of Ireland.
    38. Fu, Bowen & Mendieta-Munoz, Ivan, 2025. "Trend inflation and structural shocks," EconStor Preprints 308793, ZBW - Leibniz Information Centre for Economics.

  2. James M. Nason & Gregor W. Smith, 2014. "Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts," CAMA Working Papers 2014-07, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Jonas D. M. Fisher & Leonardo Melosi & Sebastian Rast, 2025. "Long-Run Inflation Expectations," Working Papers 829, DNB.
    2. Easaw, Joshy & Heravi, Saeed & Dixon, Huw David, 2015. "Professionals Forecast of the Inflation Gap and its Persistence," Cardiff Economics Working Papers E2015/13, Cardiff University, Cardiff Business School, Economics Section.
    3. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    4. Meyer-Gohde, Alexander & Tzaawa-Krenzler, Mary, 2023. "Sticky information and the Taylor principle," IMFS Working Paper Series 189, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    5. Jonas D. M. Fisher, Jonas D. & Melosi, Leonardo & Sebastian Rast, Sebastian, 2025. "Long-Run Inflation Expectations," The Warwick Economics Research Paper Series (TWERPS) 1551, University of Warwick, Department of Economics.
    6. Huw Dixon & Joshy Easaw & Saeed Heravi, 2020. "Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 461-474, July.
    7. Jonas D. M. Fisher & Leonardo Melosi & Sebastian Rast, 2025. "Long-Run Inflation Expectations," Working Paper Series WP 2025-03, Federal Reserve Bank of Chicago.
    8. Ascari, Guido & Fosso, Luca, 2024. "The international dimension of trend inflation," Journal of International Economics, Elsevier, vol. 148(C).
    9. Easaw, Joshy & Golinelli, Roberto, 2014. "Inflation Expectations and the Two Forms of Inattentiveness," Cardiff Economics Working Papers E2014/21, Cardiff University, Cardiff Business School, Economics Section.
    10. Elmar Mertens & James M. Nason, 2020. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
    11. Joshua C.C. Chan & Yong Song, 2018. "Measuring Inflation Expectations Uncertainty Using High‐Frequency Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1139-1166, September.
    12. Joshua C.C. Chan & Todd E. Clark & Gary Koop, 2018. "A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(1), pages 5-53, February.
    13. Easaw, Joshy, 2015. "Household Forming Inflation Expectations: Why Do They Overreact ?," Cardiff Economics Working Papers E2015/14, Cardiff University, Cardiff Business School, Economics Section.
    14. Bowen Fu, Ivan Mendieta-Muñoz, 2023. "Structural shocks and trend inflation," Working Paper Series, Department of Economics, University of Utah 2023_04, University of Utah, Department of Economics.
    15. Fu, Bowen & Mendieta-Munoz, Ivan, 2025. "Trend inflation and structural shocks," EconStor Preprints 308793, ZBW - Leibniz Information Centre for Economics.
    16. Saeed Zaman, 2021. "A Unified Framework to Estimate Macroeconomic Stars," Working Papers 21-23R2, Federal Reserve Bank of Cleveland, revised 31 May 2024.

  3. Eric M. Leeper & James M. Nason, 2014. "Bringing Financial Stability into Monetary Policy," CAMA Working Papers 2014-72, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Mester, Loretta J., 2017. "The nexus of macroprudential supervision, monetary policy, and financial stability," Journal of Financial Stability, Elsevier, vol. 30(C), pages 177-180.
    2. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95, November.
    3. Donal Smith, 2016. "The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach," Discussion Papers 16/07, Department of Economics, University of York.
    4. Richard T. Froyen & Alfred V Guender, 2016. "The Real Exchange Rate in Open-Economy Taylor Rules: A Re-Assessment," Working Papers in Economics 16/10, University of Canterbury, Department of Economics and Finance.
    5. Campbell Leith & Eric Leeper, 2016. "Understanding Inflation as a Joint Monetary-Fiscal Phenomenon," Working Papers 2016_01, Business School - Economics, University of Glasgow.
    6. Dominguez, Begona & Gomis-Porqueras, Pedro, 2016. "The Effects of Secondary Markets for Government Bonds on Inflation Dynamics," MPRA Paper 82448, University Library of Munich, Germany.
    7. Saroj Dhital & Pedro Gomis-Porqueras & Joseph H. Haslag, 2020. "Monetary and Fiscal Policy Interactions in a Frictional Model of Money, Nominal Public Debt and Banking," Working Papers 2002, Department of Economics, University of Missouri.
    8. Richard T. Froyen & Alfred V. Guender, 2017. "What to Aim for? The Choice of an Inflation Objective when Openness Matters," Open Economies Review, Springer, vol. 28(1), pages 167-190, February.
    9. Vivien Lewis & Stefania Villa, 2016. "The Interdependence of Monetary and Macroprudential Policy under the Zero Lower Bound," Working Paper Research 310, National Bank of Belgium.
    10. Christian Friedrich & Kristina Hess & Rose Cunningham, 2019. "Monetary Policy and Financial Stability: Cross‐Country Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 403-453, March.
    11. Ayesh Ariyasinghe & N. S. Cooray, 2021. "The Nexus Of Foreign Reserves, Exchange Rate And Inflation: Recent Empirical Evidence From Sri Lanka," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 22(1), pages 29-72, March.
    12. Lewis, Vivien & Roth, Markus, 2018. "Interest rate rules under financial dominance," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 70-88.
    13. Leeper, E.M. & Leith, C., 2016. "Understanding Inflation as a Joint Monetary–Fiscal Phenomenon," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 2305-2415, Elsevier.
    14. Diessner, Sebastian & Lisi, Giulio, 2019. "Masters of the ‘masters of the universe’? Monetary, fiscal and financial dominance in the Eurozone," LSE Research Online Documents on Economics 100754, London School of Economics and Political Science, LSE Library.
    15. Gomes, Pedro & Seoane, Hernán D., 2024. "Made in Europe: Monetary–Fiscal policy mix with financial frictions," European Economic Review, Elsevier, vol. 165(C).
    16. Froyen, Richard T. & Guender, Alfred V., 2018. "The real exchange rate in Taylor rules: A Re-Assessment," Economic Modelling, Elsevier, vol. 73(C), pages 140-151.
    17. Dominguez, Begona & Gomis-Porqueras, Pedro, 2016. "The Effects of Secondary Markets and Unsecured Credit on Inflation Dynamics," MPRA Paper 75096, University Library of Munich, Germany.
    18. Oparah Felix Chukwudi & James Tumba Henry, 2020. "Monetary Policy and Financial Stability in the Nigerian Banking Industry," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(1), pages 82-114, January.

  4. James M. Nason & Gregor W. Smith, 2013. "Reverse Kalman filtering U.S. inflation with sticky professional forecasts," Working Papers 13-34, Federal Reserve Bank of Philadelphia.

    Cited by:

    1. Francesca Rondina, 2018. "Estimating unobservable inflation expectations in the New Keynesian Phillips Curve," Working Papers 1804E, University of Ottawa, Department of Economics.

  5. James M. Nason & Ellis W. Tallman, 2012. "Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks," CAMA Working Papers 2012-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Matthew S. Jaremski, 2017. "The (Dis)Advantages of Clearinghouses Before the Fed," NBER Working Papers 23113, National Bureau of Economic Research, Inc.
    2. Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019. "Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 137-173, December.
    3. Rockoff, Hugh, 2015. "O.M.W. Sprague (the man who “wrote the book” on financial crises) and the founding of the Federal Reserve," Journal of Financial Stability, Elsevier, vol. 17(C), pages 35-45.
    4. Margaret M. Jacobson & Ellis W. Tallman, 2013. "Liquidity provision during the crisis of 1914: private and public sources," Working Papers (Old Series) 1304, Federal Reserve Bank of Cleveland.
    5. Felton, Andrew & Reinhart, Carmen M. (ed.), 2009. "The First Global Financial Crisis of the 21st Century Part II: June–December, 2008," Vox eBooks, Centre for Economic Policy Research, number p199.
    6. Dou Jiang & Mark Weder, 2021. "American Business Cycles 1889-1913: An Accounting Approach," Economics Working Papers 2021-02, Department of Economics and Business Economics, Aarhus University.
    7. Hugh Rockoff, 2020. "Milton Friedman on Bailouts," Departmental Working Papers 202101, Rutgers University, Department of Economics.
    8. Hoag, Christopher, 2005. "Deposit drains on "interest-paying" banks before financial crises," Explorations in Economic History, Elsevier, vol. 42(4), pages 567-585, October.
    9. Pooyan Amir-Ahmadi & Christian Matthes & Mu-Chun Wang, 2014. "Drifts, Volatilities, and Impulse Responses Over the Last Century," Working Paper 14-10, Federal Reserve Bank of Richmond.
    10. Jorg Breitung & Sandra Eickmeier, 2014. "Analyzing Business and Financial Cycles Using Multi-Level Factor Models," CAMA Working Papers 2014-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Claudia M. Buch & Sandra Eickmeier & Esteban Prieto, 2014. "Macroeconomic Factors and Microlevel Bank Behavior," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(4), pages 715-751, June.
    12. Daniel R. Sanches, 2013. "On the welfare properties of fractional reserve banking," Working Papers 13-32, Federal Reserve Bank of Philadelphia.
    13. Breitung, Jörg & Eickmeier, Sandra, 2015. "Analyzing business cycle asymmetries in a multi-level factor model," Economics Letters, Elsevier, vol. 127(C), pages 31-34.
    14. Asaf Bernstein & Eric Hughson & Marc D. Weidenmier, 2008. "Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed," NBER Working Papers 14422, National Bureau of Economic Research, Inc.
    15. Gary Gorton & Andrew Winton, 2002. "Financial Intermediation," Center for Financial Institutions Working Papers 02-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
    16. James Morley, 2016. "Macro-Finance Linkages," Journal of Economic Surveys, Wiley Blackwell, vol. 30(4), pages 698-711, September.
    17. Ellis W. Tallman & Jon R. Moen, 2018. "The transmission of the financial crisis in 1907: an empirical investigation," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 12(2), pages 277-312, May.
    18. Matthew S. Jaremski & David C. Wheelock, 2024. "Theodore Roosevelt, the Election of 1912, and the Founding of the Federal Reserve," NBER Working Papers 32987, National Bureau of Economic Research, Inc.
    19. Kim Abildgren, 2016. "A century of macro-financial linkages," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 8(4), pages 458-471, November.
    20. Matthew Jaremski & David C. Wheelock, 2019. "The Founding of the Federal Reserve, the Great Depression and the Evolution of the U.S. Interbank Network," Working Papers 2019-2, Federal Reserve Bank of St. Louis.
    21. Gary Gorton & Ellis W. Tallman, 2016. "How Did Pre-Fed Banking Panics End?," Working Papers (Old Series) 1603, Federal Reserve Bank of Cleveland.
    22. Frederic S. Mishkin & Eugene White, 2014. "Unprecedented actions: the Federal Reserve’s response to the global financial crisis in historical perspective," Globalization Institute Working Papers 209, Federal Reserve Bank of Dallas.
    23. Gary Gorton & Lixin Huang, 2002. "Bank Panics and the Endogeneity of Central Banking," Center for Financial Institutions Working Papers 02-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
    24. Tallman, Ellis W & Wicker, Elmus R., 2009. "Banking and Financial Crises in United States History: What Guidance can History Offer Policymakers?," MPRA Paper 21839, University Library of Munich, Germany.
    25. Prieto, Esteban & Eickmeier, Sandra & Marcellino, Massimiliano, 2013. "Time variation in macro-financial linkages," Discussion Papers 13/2013, Deutsche Bundesbank.
    26. Jaremski, Matthew, 2014. "Clearinghouses as Credit Regulators Before the Fed?," Working Papers 2014-06, Department of Economics, Colgate University, revised 12 Jun 2014.
    27. Eric Monnet & Francois R. Velde, 2020. "Money, Banking, and Old-School Historical Economics," Working Paper Series WP-2020-28, Federal Reserve Bank of Chicago.
    28. Laurent Le Maux & Laurence Scialom, 2013. "Central banks and financial stability: rediscovering the lender-of-last-resort practices in a finance economy," Post-Print hal-01385834, HAL.
    29. Fernando Arias Rodríguez & Celina Gait�n Maldonado & Johanna L�pez Velandia, 2014. "Las entidades financieras a lo largo del ciclo de negocios: ¿está el ciclo financiero sincronizado con el ciclo de negocios?," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(75), pages 28-40.
    30. Ulrichs Magdalena, 2018. "Identification of Financial and Macroeconomic Shocks in a Var Model of the Polish Economy. A Stability Analysis," Economics and Business Review, Sciendo, vol. 4(1), pages 29-43, April.
    31. Balke, Nathan S. & Zeng, Zheng & Zhang, Ren, 2021. "Identifying credit demand, financial intermediation, and supply of funds shocks: A structural VAR approach," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    32. Milan Christian Wet & Ilse Botha, 2022. "Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 37-67, March.
    33. Christopher Hoag, 2019. "Bank Executive Experience in a Financial Crisis," Working Papers 1902, Trinity College, Department of Economics.
    34. Daniel Sanches, 2016. "On The Welfare Properties Of Fractional Reserve Banking," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(3), pages 935-954, August.
    35. Ellis W. Tallman, 2012. "The Panic of 1907," Working Papers (Old Series) 1228, Federal Reserve Bank of Cleveland.
    36. Christopher Hoag, 2019. "Bank Executive Experience with Clearinghouse Loan Certificates," Working Papers 1903, Trinity College, Department of Economics.
    37. Simon Gilchrist & Egon Zakrajsek & Cristina Fuentes Albero & Dario Caldara, 2013. "On the Identification of Financial and Uncertainty Shocks," 2013 Meeting Papers 965, Society for Economic Dynamics.
    38. Jorge Mario Uribe & Inés María Ulloa & Johanna Perea, 2015. "Reference financial cycle in Colombia," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 83, pages 33-62, Julio - D.
    39. Daniel R. Sanches, 2013. "Banking crises and the role of bank coalitions," Working Papers 13-28, Federal Reserve Bank of Philadelphia.
    40. Gerba, Eddie & Leiva-León, Danilo & Rubio, Margarita, 2024. "Inspecting cross-border macro-financial mechanisms," Journal of International Money and Finance, Elsevier, vol. 145(C).
    41. Bernstein, Asaf & Hughson, Eric & Weidenmier, Marc D., 2010. "Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed," Journal of Financial Economics, Elsevier, vol. 98(1), pages 40-53, October.
    42. Owen F. Humpage, 2023. "On the Origins of the Federal Reserve System and Its Structure," Working Papers 23-17, Federal Reserve Bank of Cleveland.
    43. Christopher Hoag, 2015. "Clearinghouse Loan Certificates as Interbank Loans," Working Papers 1504, Trinity College, Department of Economics, revised Jun 2015.
    44. Michael D. Bordo & Angela Redish & Hugh Rockoff, 2015. "Why didn't Canada have a banking crisis in 2008 (or in 1930, or 1907, or …)?," Economic History Review, Economic History Society, vol. 68(1), pages 218-243, February.

  6. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

    Cited by:

    1. Zbigniew Kuchta, 2014. "Sztywność płac nominalnych w modelach DSGE małej skali. Analiza empiryczna dla Polski," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 6, pages 31-56.
    2. Byaro, Mwoyo & Kinyondo, Abel, 2020. "Institutional Quality Explains the Difference of Natural Gas Revenues to Contribute in the Economy: Empirical Evidence from Tanzania," African Journal of Economic Review, African Journal of Economic Review, vol. 8(3), November.
    3. Rots, Eyno, 2017. "Imperfect information and the house price in a general-equilibrium model," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 215-231.
    4. Pawel Baranowski & Zbigniew Kuchta, 2015. "Changes in nominal rigidities in Poland – a regime switching DSGE perspective," Lodz Economics Working Papers 6/2015, University of Lodz, Faculty of Economics and Sociology.
    5. Ashwin, Julian & Beaudry, Paul & Ellison, Martin, 2025. "Neural network learning for nonlinear economies," Journal of Monetary Economics, Elsevier, vol. 149(C).
    6. Paul Corrigan & Hélène Desgagnés & José Dorich & Vadym Lepetyuk & Wataru Miyamoto & Yang Zhang, 2021. "ToTEM III: The Bank of Canada’s Main DSGE Model for Projection and Policy Analysis," Technical Reports 119, Bank of Canada.
    7. Nana Kwame Akosah & Imhotep Paul Alagidede & Eric Schaling, 2024. "General Equilibrium Model for Monetary Policy Responses to Macroeconomic Instabilities in Developing Economy: A Ghanaian Perspective," South Asian Journal of Macroeconomics and Public Finance, , vol. 13(2), pages 213-272, December.
    8. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
    9. Xiaoshan Chen & Tatiana Kirsanova & Campbell Leith, 2013. "How Optimal is US Monetary Policy?," Working Papers 2013_08, Business School - Economics, University of Glasgow.
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  8. James M. Nason & Shaun P. Vahey, 2011. "UK World War I and Interwar Data for Business Cycle and Growth Analysis," CAMA Working Papers 2011-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

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  9. Peter R. Hansen & Asger Lunde & James M. Nason, 2010. "The Model Confidence Set," CREATES Research Papers 2010-76, Department of Economics and Business Economics, Aarhus University.

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    8. Sakariyahu, Rilwan & Johan, Sofia & Lawal, Rodiat & Paterson, Audrey & Chatzivgeri, Eleni, 2023. "Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
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    10. Gerlach, Richard & Wang, Chao, 2020. "Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 489-506.
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    1022. Xu, Yanyan & Liu, Jing & Ma, Feng & Chu, Jielei, 2024. "Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 543-560.
    1023. Ioannis D. Vrontos & John Galakis & Ekaterini Panopoulou & Spyridon D. Vrontos, 2024. "Forecasting GDP growth: The economic impact of COVID‐19 pandemic," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(4), pages 1042-1086, July.
    1024. Shen, Lihua & Lu, Xinjie & Luu Duc Huynh, Toan & Liang, Chao, 2023. "Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 224-239.
    1025. Xu, Yongdeng, 2024. "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers E2024/24, Cardiff University, Cardiff Business School, Economics Section.
    1026. Huang, Yirong & Luo, Yi, 2024. "Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    1027. Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.
    1028. Xin Jin & Jia Liu & Qiao Yang, 2021. "Does the Choice of Realized Covariance Measures Empirically Matter? A Bayesian Density Prediction Approach," Econometrics, MDPI, vol. 9(4), pages 1-22, December.
    1029. Ma, Feng & Zhang, Yaojie & Huang, Dengshi & Lai, Xiaodong, 2018. "Forecasting oil futures price volatility: New evidence from realized range-based volatility," Energy Economics, Elsevier, vol. 75(C), pages 400-409.
    1030. Wu, Xinyu & Hou, Xinmeng, 2020. "Forecasting volatility with component conditional autoregressive range model," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    1031. Drachal, Krzysztof, 2021. "Forecasting crude oil real prices with averaging time-varying VAR models," Resources Policy, Elsevier, vol. 74(C).
    1032. Marín Díazaraque, Juan Miguel & Romero, Eva & Lopes Moreira da Veiga, María Helena, 2024. "A stochastic volatility model for volatility asymmetry and propagation," DES - Working Papers. Statistics and Econometrics. WS 43887, Universidad Carlos III de Madrid. Departamento de Estadística.
    1033. Zhao, Yuan & Zhang, Weiguo & Gong, Xue & Wang, Chao, 2021. "A novel method for online real-time forecasting of crude oil price," Applied Energy, Elsevier, vol. 303(C).
    1034. Dimos Kambouroudis & David McMillan & Katerina Tsakou, 2019. "Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility," Working Papers 2019-03, Swansea University, School of Management.
    1035. Han Liu & Yongjing Wang & Haiyan Song & Ying Liu, 2023. "Measuring tourism demand nowcasting performance using a monotonicity test," Tourism Economics, , vol. 29(5), pages 1302-1327, August.
    1036. Ao Yang & Qing Ye & Jia Zhai, 2024. "Volatility forecasting with Hybrid‐long short‐term memory models: Evidence from the COVID‐19 period," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 2766-2786, July.
    1037. Wen Xu & Pakorn Aschakulporn & Jin E. Zhang, 2025. "Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(5), pages 1638-1657, August.
    1038. Tan, Jinghua & Li, Zhixi & Zhang, Chuanhui & Shi, Long & Jiang, Yuansheng, 2024. "A multiscale time-series decomposition learning for crude oil price forecasting," Energy Economics, Elsevier, vol. 136(C).
    1039. Chen, Wang & Chen, Zhu & Luo, Qin, 2025. "Predicting volatility in China's clean energy sector: Advantages of the carbon transition risk," Finance Research Letters, Elsevier, vol. 72(C).
    1040. Markus J. Fülle & Helmut Herwartz, 2024. "Predicting tail risks by a Markov switching MGARCH model with varying copula regimes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2163-2186, September.
    1041. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.
    1042. Ulrich Hounyo & Zhi Liu & Rasmus T. Varneskov, 2023. "Bootstrapping Laplace transforms of volatility," Quantitative Economics, Econometric Society, vol. 14(3), pages 1059-1103, July.
    1043. Pham, Manh Cuong & Anderson, Heather Margot & Duong, Huu Nhan & Lajbcygier, Paul, 2020. "The effects of trade size and market depth on immediate price impact in a limit order book market," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    1044. Lyócsa, Štefan & Halousková, Martina & Haugom, Erik, 2023. "The US banking crisis in 2023: Intraday attention and price variation of banks at risk," Finance Research Letters, Elsevier, vol. 57(C).
    1045. Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.
    1046. Dimitrios P. Louzis, 2015. "The economic value of flexible dynamic correlation models," Economics Bulletin, AccessEcon, vol. 35(1), pages 774-782.
    1047. Leonardo Ieracitano Vieira & Márcio Poletti Laurini, 2023. "Time-varying higher moments in Bitcoin," Digital Finance, Springer, vol. 5(2), pages 231-260, June.
    1048. Lukas Bauer & Ekaterina Kazak, 2025. "Conditional Method Confidence Set," Papers 2505.21278, arXiv.org.
    1049. Angelos T. Vouldis & Dimitrios P. Louzis, 2018. "Leading indicators of non-performing loans in Greece: the information content of macro-, micro- and bank-specific variables," Empirical Economics, Springer, vol. 54(3), pages 1187-1214, May.
    1050. Arturo Leccadito & Alessandro Staino & Pietro Toscano, 2024. "A novel robust method for estimating the covariance matrix of financial returns with applications to risk management," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-28, December.
    1051. Wang, Yudong & Ma, Feng & Wei, Yu & Wu, Chongfeng, 2016. "Forecasting realized volatility in a changing world: A dynamic model averaging approach," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 136-149.
    1052. Li, Tao & Ma, Feng & Zhang, Xuehua & Zhang, Yaojie, 2020. "Economic policy uncertainty and the Chinese stock market volatility: Novel evidence," Economic Modelling, Elsevier, vol. 87(C), pages 24-33.
    1053. Weidong Tian & Junya Jiang & Weidong Tian, 2017. "Model Uncertainty Effect on Asset Prices," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 205-233, June.
    1054. Grønborg, Niels S. & Lunde, Asger & Olesen, Kasper V. & Vander Elst, Harry, 2022. "Realizing correlations across asset classes," Journal of Financial Markets, Elsevier, vol. 59(PA).
    1055. Chen, Wei & Xu, Huilin & Jia, Lifen & Gao, Ying, 2021. "Machine learning model for Bitcoin exchange rate prediction using economic and technology determinants," International Journal of Forecasting, Elsevier, vol. 37(1), pages 28-43.
    1056. Selma Toker & Nimet Özbay & Kristofer Månsson, 2022. "Mixed data sampling regression: Parameter selection of smoothed least squares estimator," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(4), pages 718-751, July.
    1057. Jiazi Chen & Zhiwu Hong & Linlin Niu, 2022. "Forecasting Interest Rates with Shifting Endpoints: The Role of the Demographic Age Structure," Working Papers 2022-06-25, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    1058. Mercedes Ayuso & Jorge M. Bravo & Robert Holzmann & Edward Palmer, 2021. "Automatic Indexation of the Pension Age to Life Expectancy: When Policy Design Matters," Risks, MDPI, vol. 9(5), pages 1-28, May.
    1059. Xiafei Li & Yu Wei & Xiaodan Chen & Feng Ma & Chao Liang & Wang Chen, 2022. "Which uncertainty is powerful to forecast crude oil market volatility? New evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4279-4297, October.
    1060. Li, Zepei & Huang, Haizhen, 2023. "Challenges for volatility forecasts of US fossil energy spot markets during the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 31-45.
    1061. Chen, Hongtao & Liu, Li & Li, Xiaolei, 2018. "The predictive content of CBOE crude oil volatility index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 837-850.
    1062. Chao Liang & Yu Wei & Yaojie Zhang, 2020. "Is implied volatility more informative for forecasting realized volatility: An international perspective," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(8), pages 1253-1276, December.
    1063. Guo, Yangli & Li, Pan & Wu, Hanlin, 2023. "Jumps in the Chinese crude oil futures volatility forecasting: New evidence," Energy Economics, Elsevier, vol. 126(C).
    1064. Lukas Bauer, 2025. "Evaluating financial tail risk forecasts: Testing Equal Predictive Ability," Papers 2505.23333, arXiv.org.
    1065. Fernandes, Marcelo & Vieira, Fausto, 2019. "A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    1066. Dimitris P. Louzis, 2014. "Macroeconomic and credit forecasts in a small economy during crisis: A large Bayesian VAR approach," Working Papers 184, Bank of Greece.
    1067. Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
    1068. Adriano Koshiyama & Nick Firoozye, 2019. "Avoiding Backtesting Overfitting by Covariance-Penalties: an empirical investigation of the ordinary and total least squares cases," Papers 1905.05023, arXiv.org.
    1069. Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.
    1070. Chen, Yixiang & Ma, Feng & Zhang, Yaojie, 2019. "Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets," Energy Economics, Elsevier, vol. 81(C), pages 52-62.
    1071. Loïc Maréchal, 2021. "Do economic variables forecast commodity futures volatility?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1735-1774, November.
    1072. Maki, Daiki, 2024. "Forecasting downside and upside realized volatility: The role of asymmetric information," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    1073. Dark, Jonathan, 2018. "Multivariate models with long memory dependence in conditional correlation and volatility," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 162-180.
    1074. Nikolaos A. Kyriazis, 2021. "The Nexus of Sophisticated Digital Assets with Economic Policy Uncertainty: A Survey of Empirical Findings and an Empirical Investigation," Sustainability, MDPI, vol. 13(10), pages 1-25, May.
    1075. Mawuli Segnon & Bjorn Schulte-Tillmann & Riza Demirer & Rangan Gupta, 2025. "Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures," Working Papers 202506, University of Pretoria, Department of Economics.
    1076. Li, Xiafei & Guo, Qiang & Liang, Chao & Umar, Muhammad, 2023. "Forecasting gold volatility with geopolitical risk indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    1077. Opschoor, Anne & Lucas, André, 2023. "Time-varying variance and skewness in realized volatility measures," International Journal of Forecasting, Elsevier, vol. 39(2), pages 827-840.
    1078. Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
    1079. Simon Fritzsch & Maike Timphus & Gregor Weiss, 2021. "Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?," Papers 2109.10946, arXiv.org.

  10. Takashi Kano & James M. Nason, 2009. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Model," CARF F-Series CARF-F-151, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

    Cited by:

    1. Havranek, Tomas & Rusnak, Marek & Sokolova, Anna, 2017. "Habit formation in consumption: A meta-analysis," European Economic Review, Elsevier, vol. 95(C), pages 142-167.
    2. Yoshiyuki Kurachi & Kazuhiro Hiraki & Shinichi Nishioka, 2016. "Does a Higher Frequency of Micro-level Price Changes Matter for Macro Price Stickiness?: Assessing the Impact of Temporary Price Changes," Bank of Japan Working Paper Series 16-E-9, Bank of Japan.
    3. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Agenor, P.-R., 1997. "Capital-Market Imperfections and the Macroeconomic Dynamics of Small Indebted Economies," Princeton Studies in International Economics 82, International Economics Section, Departement of Economics Princeton University,.
    5. Araujo, Juliana D. & Li, Bin Grace & Poplawski-Ribeiro, Marcos & Zanna, Luis-Felipe, 2016. "Current account norms in natural resource rich and capital scarce economies," Journal of Development Economics, Elsevier, vol. 120(C), pages 144-156.
    6. Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2009. "Government Investment and Fiscal Stimulus in the Short and Long Runs," NBER Working Papers 15153, National Bureau of Economic Research, Inc.
    7. Ma, Li & Li, Danna, 2024. "Would macro policy promote green and low-carbon transformation of energy companies?," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    8. Eric Leeper & Todd Walker, 2011. "Information Flows and News Driven Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 55-71, January.
    9. KANO, Takashi, 2023. "Posterior Inferences on Incomplete Structural Models : The Minimal Econometric Interpretation," Discussion paper series HIAS-E-128, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    10. Fleissig, Adrian R. & Swofford, James L., 2023. "The impact of Brexit on U.K. habits for expenditure on imports and consumption," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 196-203.

  11. James M. Nason & Gregor W. Smith, 2008. "Great moderations and U.S. interest rates: unconditional evidence," FRB Atlanta Working Paper 2008-01, Federal Reserve Bank of Atlanta.

    Cited by:

    1. James M. Nason & Ellis W. Tallman, 2012. "Business cycles and financial crises: the roles of credit supply and demand shocks," Working Papers 12-24, Federal Reserve Bank of Philadelphia.
    2. Keating, John W. & Valcarcel, Victor J., 2017. "What's so great about the Great Moderation?," Journal of Macroeconomics, Elsevier, vol. 51(C), pages 115-142.
    3. Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo & Rubio-Ramírez, Juan F., 2015. "Estimating dynamic equilibrium models with stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 216-229.
    4. Keating, John W. & Valcarcel, Victor J., 2015. "The Time-Varying Effects Of Permanent And Transitory Shocks To Real Output," Macroeconomic Dynamics, Cambridge University Press, vol. 19(3), pages 477-507, April.
    5. John W. Keating & Victor J. Valcarcel, 2012. "What's so Great about the Great Moderation? A Multi-Country Investigation of Time-Varying Volatilities of Output Growth and Inflation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201204, University of Kansas, Department of Economics.
    6. Kurt Graden Lunsford & Kenneth D. West, 2017. "Some Evidence on Secular Drivers of US Safe Real Rates," Working Papers (Old Series) 1723, Federal Reserve Bank of Cleveland.
    7. Moen, Jon R. & Tallman, Ellis W., 2000. "Clearinghouse Membership and Deposit Contraction during the Panic of 1907," The Journal of Economic History, Cambridge University Press, vol. 60(1), pages 145-163, March.
    8. Michelle Alexopoulos, 2010. "Management Matters," 2010 Meeting Papers 332, Society for Economic Dynamics.
    9. Thorsten V. Koeppl, 2009. "How Flexible Can Inflation Targeting Be? Suggestions for the Future of Canada's Targeting Regime," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 293, August.
    10. Semih Emre Çekin & Victor J. Valcarcel, 2020. "Inflation volatility and inflation in the wake of the great recession," Empirical Economics, Springer, vol. 59(4), pages 1997-2015, October.

  12. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," FRB Atlanta Working Paper 2008-16, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
    2. Kano, Takashi & Morita, Hiroshi, 2015. "An equilibrium foundation of the Soros chart," Journal of the Japanese and International Economies, Elsevier, vol. 37(C), pages 21-42.
    3. Anella Munro, 2014. "Exchange Rates, Expected Returns and Risk: UIP Unbound," CAMA Working Papers 2014-73, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.
    5. Pau Rabanal & Juan F. Rubio-Ramirez & Vicente Tuesta, 2009. "Cointegrated TFP processes and international business cycles," FRB Atlanta Working Paper 2009-23, Federal Reserve Bank of Atlanta.
    6. Pau Rabanal & Juan F. Rubio-Ramirez, 2015. "Can international macroeconomic models explain low-frequency movements of real exchange rates?," Working Papers 1508, BBVA Bank, Economic Research Department.
    7. Jian Wang & Jason J. Wu, 2012. "The Taylor Rule and Forecast Intervals for Exchange Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 103-144, February.

  13. William A. Brock & Steven N. Durlauf & James M. Nason & Giacomo Rondina, 2007. "Simple versus optimal rules as guides to policy," FRB Atlanta Working Paper 2007-07, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Argia M. Sbordone, 2007. "Inflation persistence: alternative interpretations and policy implications," Staff Reports 286, Federal Reserve Bank of New York.
    2. Francesca Rondina, 2015. "The role of model uncertainty and learning in the U.S. postwar policy response to oil prices," Working Papers 478, Barcelona School of Economics.
    3. Deak, S. & Levine, P. & Mirza, A. & Pearlman, J., 2019. "Designing Robust Monetary Policy Using Prediction Pools," Working Papers 19/11, Department of Economics, City St George's, University of London.
    4. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
    5. Francesca Rondina, 2015. "Policy Evaluation and Uncertainty About the Effects of Oil Prices on Economic Activity," Working Papers 522, Barcelona School of Economics.
    6. Matthes, Christian & Rondina, Francesca, 2012. "Two-sided Learning in New Keynesian Models: Dynamics, (Lack of) Convergence and the Value of Information," Dynare Working Papers 19, CEPREMAP.
    7. Eric Leeper & James Nason, 2014. "Bringing Financial Stability into Monetary Policy," CAEPR Working Papers 2014-003, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    8. Di Bartolomeo, Giovanni & Di Pietro, Marco & Giannini, Bianca, 2016. "Optimal monetary policy in a New Keynesian model with heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 373-387.
    9. Stephen J. Turnovsky, 2011. "Stabilization Theory and Policy: 50 Years after the Phillips Curve," Economica, London School of Economics and Political Science, vol. 78(309), pages 67-88, January.
    10. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," EconomiX Working Papers 2012-17, University of Paris Nanterre, EconomiX.
    11. Pataracchia, Beatrice, 2011. "The spectral representation of Markov switching ARMA models," Economics Letters, Elsevier, vol. 112(1), pages 11-15, July.
    12. Sargent, Thomas & Ellison, Martin, 2009. "A defence of the FOMC," CEPR Discussion Papers 7510, C.E.P.R. Discussion Papers.
    13. Dück, Alexander & Verona, Fabio, 2023. "Monetary policy rules: model uncertainty meets design limits," Bank of Finland Research Discussion Papers 12/2023, Bank of Finland.
    14. Giovanni Dosi & Andrea Roventini, 2019. "More is different ... and complex! the case for agent-based macroeconomics," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 1-37, March.
    15. Deák, Szabolcs & Levine, Paul & Mirza, Afrasiab & Pearlman, Joseph, 2025. "All models are wrong but all can be useful: Robust policy design using prediction pools," Journal of Economic Dynamics and Control, Elsevier, vol. 176(C).
    16. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
    17. Lubik, Thomas A. & Matthes, Christian & Verona, Fabio, 2019. "Assessing U.S. aggregate fluctuations across time and frequencies," Bank of Finland Research Discussion Papers 5/2019, Bank of Finland.
    18. Yu, Xiangrong, 2013. "Measurement error and policy evaluation in the frequency domain," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 307-329.
    19. Di Bartolomeo, Giovanni & Di Pietro, Marco, 2018. "Optimal Inflation Targeting Rule Under Positive Hazard Functions For Price Changes," Macroeconomic Dynamics, Cambridge University Press, vol. 22(1), pages 135-152, January.
    20. Dück, Alexander & Verona, Fabio, 2023. "Robust frequency-based monetary policy rules," IMFS Working Paper Series 180, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    21. Cohen-Cole,E.B. & Durlauf,S.N. & Rondina,G., 2005. "Nonlinearities in growth : from evidence to policy," Working papers 9, Wisconsin Madison - Social Systems.
    22. G. Fagiolo & A. Roventini, 2009. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
    23. William A. Brock & Steven N. Durlauf & Giacomo Rondina, 2008. "Frequency-Specific Effects of Stabilization Policies," American Economic Review, American Economic Association, vol. 98(2), pages 241-245, May.
    24. Romar Correa, 2008. "Demand deposit banking and open market operations," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 1(1), pages 67-73.
    25. Górajski, Mariusz & Kuchta, Zbigniew, 2023. "Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    26. Górajski, Mariusz & Kuchta, Zbigniew & Leszczyńska-Paczesna, Agnieszka, 2023. "Price-setting heterogeneity and robust monetary policy in a two-sector DSGE model of a small open economy," Economic Modelling, Elsevier, vol. 122(C).

  14. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.

    Cited by:

    1. Müller, Gernot & Wolf, Martin & Hettig, Thomas, 2019. "Exchange Rate Undershooting: Evidence and Theory," CEPR Discussion Papers 13597, C.E.P.R. Discussion Papers.
    2. Ravn, Morten O. & Schmitt-Grohe, Stephanie & Uribe, Martín & Uuskula, Lenno, 2010. "Deep habits and the dynamic effects of monetary policy shocks," Journal of the Japanese and International Economies, Elsevier, vol. 24(2), pages 236-258, June.
    3. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    4. Pablo Guerron-Quintana & Atsushi Inoue & Lutz Kilian, 2016. "Impulse Response Matching Estimators for DSGE Models," CESifo Working Paper Series 5730, CESifo.
    5. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010. "Welfare‐maximizing monetary policy under parameter uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143, January.
    6. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
    7. Karel Mertens & Morten O. Ravn, 2008. "The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence," Economics Working Papers ECO2008/05, European University Institute.
    8. Karel Mertens & Morten Overgaard Ravn, 2010. "Online Appendix to "Understanding the Aggregate Effects of Anticipated and Unanticipated Tax Policy Shocks"," Online Appendices 09-221, Review of Economic Dynamics.
    9. Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
    10. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2021. "Uncertainty and Monetary Policy during the Great Recession," Economics Working Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
    11. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    12. Punnoose Jacob & Lenno Uuskula, 2016. "Deep habits and exchange rate pass-through," Bank of Estonia Working Papers wp2016-4, Bank of Estonia, revised 19 Jul 2016.
    13. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," Melbourne Institute Working Paper Series wp2018n02, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    14. Cloyne, James, 2014. "Government spending shocks, wealth effects and distortionary taxes," LSE Research Online Documents on Economics 58024, London School of Economics and Political Science, LSE Library.
    15. Ruge-Murcia, Francisco, 2020. "Estimating nonlinear dynamic equilibrium models by matching impulse responses," Economics Letters, Elsevier, vol. 197(C).
    16. Ronayne, David, "undated". "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
    17. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand.
    18. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "Testing DSGE Models by indirect inference: a survey of recent findings," Cardiff Economics Working Papers E2018/14, Cardiff University, Cardiff Business School, Economics Section.
    19. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.
    20. Minford, Patrick & Wickens, Michael R. & Davidson, James & Meenagh, David, 2010. "Why crises happen - nonstationary macroeconomics," CEPR Discussion Papers 8157, C.E.P.R. Discussion Papers.
    21. Luca Brugnolini, 2018. "About Local Projection Impulse Response Function Reliability," CEIS Research Paper 440, Tor Vergata University, CEIS, revised 09 Jun 2018.
    22. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
    23. Mario Martinoli & Raffaello Seri & Fulvio Corsi, 2024. "Generalized Optimization Algorithms for Complex Objective Functions," LEM Papers Series 2024/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    24. Anna Mikusheva, 2014. "Estimation of dynamic stochastic general equilibrium models (in Russian)," Quantile, Quantile, issue 12, pages 1-21, February.
    25. Danthine, Jean-Pierre & Kurmann, André, 2010. "The business cycle implications of reciprocity in labor relations," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 837-850, October.
    26. Poghosyan, K. & Boldea, O., 2011. "Structural versus Matching Estimation : Transmission Mechanisms in Armenia," Discussion Paper 2011-104, Tilburg University, Center for Economic Research.
    27. Pablo A Guerron-Quintana & James M Nason, 2012. "Bayesian Estimation of DSGE Models," CAMA Working Papers 2012-10, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    28. Anna Kormilitsina, 2011. "Oil Price Shocks and the Optimality of Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 199-223, January.
    29. Meenagh, David & Minford, Patrick & Wickens, Michael, 2012. "Testing macroeconomic models by indirect inference on unfiltered data," Cardiff Economics Working Papers E2012/17, Cardiff University, Cardiff Business School, Economics Section.
    30. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.
    31. Niko Hauzenberger & Florian Huber & Luca Onorante, 2021. "Combining shrinkage and sparsity in conjugate vector autoregressive models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
    32. Michael Creel & Dennis Kristensen, 2015. "On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments," UFAE and IAE Working Papers 950.15, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 27 Feb 2015.
    33. Martinoli, Mario & Moneta, Alessio & Pallante, Gianluca, 2024. "Calibration and validation of macroeconomic simulation models by statistical causal search," Journal of Economic Behavior & Organization, Elsevier, vol. 228(C).
    34. Giovanni Pellegrino & Efrem Castelnuovo & Giovanni Caggiano, 2020. "Uncertainty and Monetary Policy during Extreme Events," Economics Working Papers 2020-11, Department of Economics and Business Economics, Aarhus University.
    35. Minford, Patrick & Wickens, Michael R. & Le, Vo Phuong Mai, 2009. "How much nominal rigidity is there in the US Economy? Testing a New Keynesian DSGE model using indirect inference," CEPR Discussion Papers 7537, C.E.P.R. Discussion Papers.
    36. Cheng, Xu & Liao, Zhipeng, 2015. "Select the valid and relevant moments: An information-based LASSO for GMM with many moments," Journal of Econometrics, Elsevier, vol. 186(2), pages 443-464.
    37. Meenagh, David & Minford, Patrick & Wickens, Michael & Xu, Yongdeng, 2018. "The small sample properties of Indirect Inference in testing and estimating DSGE models," Cardiff Economics Working Papers E2018/7, Cardiff University, Cardiff Business School, Economics Section.
    38. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
    39. Konstantinos Theodoridis, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
    40. Liudas Giraitis & George Kapetanios & Konstantinos Theodoridis & Tony Yates, 2014. "Estimating time-varying DSGE models using minimum distance methods," Bank of England working papers 507, Bank of England.
    41. Michiru Sakane, 2010. "News-Driven International Business Cycles: Effects of the US News Shock on the Canadian Economy," Global COE Hi-Stat Discussion Paper Series gd09-129, Institute of Economic Research, Hitotsubashi University.
    42. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
    43. Cengiz Tunc & Denis Pelletier, 2013. "Endogenous Life-Cycle Housing Investment and Portfolio Allocation," Working Papers 1345, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    44. Morten O. Ravn & Karel Mertens, 2009. "Understanding the Aggregate Effects of Anticipated and Unanticipated Tax Policy shocks," 2009 Meeting Papers 480, Society for Economic Dynamics.
    45. Lucy Minford & David Meenagh, 2020. "Supply-Side Policy and Economic Growth: A Case Study of the UK," Open Economies Review, Springer, vol. 31(1), pages 159-193, February.
    46. Òscar Jordà & Alan M. Taylor, 2024. "Local Projections," NBER Working Papers 32822, National Bureau of Economic Research, Inc.
    47. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2007. "Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle," IDEI Working Papers 484, Institut d'Économie Industrielle (IDEI), Toulouse.
    48. Daniil Lomonosov, 2023. "Shocks of Business Activity and Specific Shocks to Oil Market in DSGE Model of Russian Economy and Their Influence Under Different Monetary Policy Regimes," Russian Journal of Money and Finance, Bank of Russia, vol. 82(4), pages 44-79, December.
    49. Rui Faustino, 2019. "Endogenous Quality and Firm Entry," Working Papers REM 2019/0107, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    50. Francisco RUGE-MURCIA, 2014. "Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk," Cahiers de recherche 15-2014, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    51. Tayebeh Sadat Tabatabaei & Pedram Asef, 2021. "Evaluation of Energy Price Liberalization in Electricity Industry: A Data-Driven Study on Energy Economics," Energies, MDPI, vol. 14(22), pages 1-19, November.
    52. Xu Cheng & Zhipeng Liao, 2012. "Select the Valid and Relevant Moments: A One-Step Procedure for GMM with Many Moments," PIER Working Paper Archive 12-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    53. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
    54. Giovanni Angelini & Giuseppe Cavaliere & Luca Fanelli, 2022. "Bootstrap inference and diagnostics in state space models: With applications to dynamic macro models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 3-22, January.
    55. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
    56. Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).

  15. Jim Nason & Barbara Rossi & Atsushi Inoue & Alastair Hall, 2007. "Information Criteria for Impulse Response Function Matching Estimation," 2007 Meeting Papers 293, Society for Economic Dynamics.

    Cited by:

    1. Ravn, Morten O. & Schmitt-Grohe, Stephanie & Uribe, Martín & Uuskula, Lenno, 2010. "Deep habits and the dynamic effects of monetary policy shocks," Journal of the Japanese and International Economies, Elsevier, vol. 24(2), pages 236-258, June.
    2. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    3. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2010. "Welfare‐maximizing monetary policy under parameter uncertainty," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 129-143, January.
    4. Karel Mertens & Morten O. Ravn, 2008. "The Aggregate Effects of Anticipated and Unanticipated U.S. Tax Policy Shocks: Theory and Empirical Evidence," Economics Working Papers ECO2008/05, European University Institute.
    5. Ronayne, David, "undated". "Which Impulse Response Function?," Economic Research Papers 270753, University of Warwick - Department of Economics.
    6. Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007. "RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence," Reserve Bank of New Zealand Discussion Paper Series DP2007/15, Reserve Bank of New Zealand.
    7. Hall, Alastair & Inoue, Atsushi & Nason M, James & Rossi, Barbara, 2007. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Working Papers 07-04, Duke University, Department of Economics.
    8. Riccardo DiCecio & Edward Nelson, 2007. "An estimated DSGE model for the United Kingdom," Review, Federal Reserve Bank of St. Louis, vol. 89(Jul), pages 215-232.
    9. Danthine, Jean-Pierre & Kurmann, André, 2010. "The business cycle implications of reciprocity in labor relations," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 837-850, October.
    10. Anna Kormilitsina, 2011. "Oil Price Shocks and the Optimality of Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 199-223, January.
    11. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.
    12. Konstantinos Theodoridis, 2011. "An efficient minimum distance estimator for DSGE models," Bank of England working papers 439, Bank of England.
    13. Morten O. Ravn & Karel Mertens, 2009. "Understanding the Aggregate Effects of Anticipated and Unanticipated Tax Policy shocks," 2009 Meeting Papers 480, Society for Economic Dynamics.
    14. Fève, Patrick & Matheron, Julien & Sahuc, Jean-Guillaume, 2007. "Optimal Monetary Policy and Technological Shocks in the Post-War US Business Cycle," IDEI Working Papers 484, Institut d'Économie Industrielle (IDEI), Toulouse.
    15. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.

  16. James M. Nason & Shaun P. Vahey, 2007. "The McKenna rule and U.K. World War I finance," FRB Atlanta Working Paper 2007-03, Federal Reserve Bank of Atlanta.

    Cited by:

    1. James M. Nason & Shaun P. Vahey, 2009. "U.K. World War I and interwar data for business cycle and growth analysis," FRB Atlanta Working Paper 2009-18, Federal Reserve Bank of Atlanta.
    2. Teupe, Sebastian, 2020. "Keynes, Inflation, and the Public Debt: "How to Pay for the War" as a Policy Prescription for Financial Repression?," Working Papers 16, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.

  17. James M. Nason & Shaun P. Vahey, 2006. "Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes?," FRB Atlanta Working Paper 2006-04, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Zinzhu Chen & Prakash Kannan & Prakash Loungani & Bharat Trehan, 2011. "New evidence on cyclical and structural sources of unemployment," Working Paper Series 2011-17, Federal Reserve Bank of San Francisco.

  18. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips curve," FRB Atlanta Working Paper 2005-01, Federal Reserve Bank of Atlanta.

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    1. Yasufumi Gemma & Takushi Kurozumi & Mototsugu Shintani, 2023. "Trend Inflation and Evolving Inflation Dynamics:A Bayesian GMM Analysis," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 506-520, December.
    2. Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "A Model of the Fed's View on Inflation," The Review of Economics and Statistics, MIT Press, vol. 104(4), pages 686-704, October.
    3. Andrzej Torój, 2010. "Adjustment capacity in a monetary union: a DSGE evaluation of Poland and Slovakia," MF Working Papers 4, Ministry of Finance in Poland.
    4. Khalaf, Lynda & Lin, Zhenjiang, 2021. "Projection-based inference with particle swarm optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
    5. Hecq, Alain & Issler, João Victor & Voisin, Elisa, 2024. "A short term credibility index for central banks under inflation targeting: An application to Brazil," Journal of International Money and Finance, Elsevier, vol. 143(C).
    6. Alexander Doser & Ricardo Nunes & Nikhil Rao & Viacheslav Sheremirov, 2023. "Inflation expectations and nonlinearities in the Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 453-471, June.
    7. Beyer, Andreas & Farmer, Roger E. A., 2004. "On the indeterminacy of new-Keynesian economics," Working Paper Series 323, European Central Bank.
    8. Byrne, Joseph P. & Kontonikas, Alexandros & Montagnoliz, Alberto, 2010. "International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data," SIRE Discussion Papers 2010-57, Scottish Institute for Research in Economics (SIRE).
    9. Pål Boug & Ådne Cappelen & Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers 500, Statistics Norway, Research Department.
    10. Rumler, Fabio & Valderrama, Maria Teresa, 2010. "Comparing the New Keynesian Phillips Curve with time series models to forecast inflation," The North American Journal of Economics and Finance, Elsevier, vol. 21(2), pages 126-144, August.
    11. Orland, Andreas & Roos, Michael W.M., 2013. "The New Keynesian Phillips curve with myopic agents," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2270-2286.
    12. Stephane Dees & M. Hashem Pesaran & L. Vanessa Smith & Ron P. Smith, 2009. "Identification of New Keynesian Phillips Curves from a Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(7), pages 1481-1502, October.
    13. Bayar, Omer, 2018. "Weak instruments and estimated monetary policy rules," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 308-317.
    14. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2005. "Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis," CIRANO Working Papers 2005s-30, CIRANO.
    15. Thomas Lubik & Frank Schorfheide, 2003. "Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation," Economics Working Paper Archive 505, The Johns Hopkins University,Department of Economics.
    16. Zongwu Cai & Ying Fang & Henong Li, 2012. "Weak Instrumental Variables Models for Longitudinal Data," Econometric Reviews, Taylor & Francis Journals, vol. 31(4), pages 361-389.
    17. Panovska, Irina & Ramamurthy, Srikanth, 2022. "Decomposing the output gap with inflation learning," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
    18. Martin Fukac & Adrian Pagan, 2009. "Structural Macro-Econometric Modelling in a Policy Environment," NCER Working Paper Series 50, National Centre for Econometric Research.
    19. Medel, Carlos A., 2017. "Forecasting Chilean Inflation with the Hybrid New Keynesian Phillips Curve: Globalisation, Combination, and Accuracy," MPRA Paper 78439, University Library of Munich, Germany.
    20. Koop, Gary & Pesaran, M. Hashem & Smith, Ron P., 2011. "On Identification of Bayesian DSGE Models," SIRE Discussion Papers 2011-18, Scottish Institute for Research in Economics (SIRE).
    21. Carlos Medel, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," Working Papers Central Bank of Chile 769, Central Bank of Chile.
    22. Lily Y. Liu, 2017. "Estimating Loss Given Default from CDS under Weak Identification," Supervisory Research and Analysis Working Papers RPA 17-1, Federal Reserve Bank of Boston.
    23. Thorvardur Tjörvi Ólafsson, 2006. "The New Keynesian Phillips Curve: In Search of Improvements and Adaptation to the Open Economy," Economics wp31_tjorvi, Department of Economics, Central bank of Iceland.
    24. Abbas, Syed K. & Bhattacharya, Prasad Sankar & Sgro, Pasquale, 2016. "The new Keynesian Phillips curve: An update on recent empirical advances," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 378-403.
    25. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
    26. Carrillo, Julio A. & Fève, Patrick, 2004. "Some Perils of Policy Rule Regression," IDEI Working Papers 301, Institut d'Économie Industrielle (IDEI), Toulouse.
    27. Agénor, Pierre-Richard & Bayraktar, Nihal, 2010. "Contracting models of the Phillips curve empirical estimates for middle-income countries," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 555-570, June.
    28. Hülya Saygılı, 2020. "The nature of trade, global production fragmentation and inflationary dynamics: Cross‐country evidence," The World Economy, Wiley Blackwell, vol. 43(7), pages 2007-2031, July.
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    30. Vijay Victor & Joshy Joseph Karakunnel & Swetha Loganathan & Daniel Francois Meyer, 2021. "From a Recession to the COVID-19 Pandemic: Inflation–Unemployment Comparison between the UK and India," Economies, MDPI, vol. 9(2), pages 1-19, May.
    31. Fabio Canova & Luca Sala, 2006. "Back to square one: identification issues in DSGE models," Computing in Economics and Finance 2006 196, Society for Computational Economics.
    32. Samir Ben Ali, 2013. "Estimating the New Keynesian Phillips Curve for Tunisia: Empirical Issues," Middle East Development Journal, Taylor & Francis Journals, vol. 5(3), pages 1350016-131, January.
    33. Milda Norkute & Joakim Westerlund, 2023. "A factor-augmented new Keynesian Phillips curve for the European Union countries," Bank of Lithuania Working Paper Series 111, Bank of Lithuania.
    34. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "On the precision of Calvo parameter estimates in structural NKPC models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1582-1595, September.
    35. Nyberg, Henri & Saikkonen, Pentti, 2012. "Forecasting with a noncausal VAR model," Bank of Finland Research Discussion Papers 33/2012, Bank of Finland.
    36. Aristidou, Chrystalleni, 2018. "The meta-Phillips Curve: Modelling U.S. inflation in the presence of regime change," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 367-379.
    37. Tae-Seok Jang, 2012. "Structural Estimation of the New-Keynesian Model: A Formal Test of Backward- and Forward-Looking Behavior," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 421-467, Emerald Group Publishing Limited.
    38. Jondeau, Eric & Le Bihan, Hervé, 2008. "Examining bias in estimators of linear rational expectations models under misspecification," Journal of Econometrics, Elsevier, vol. 143(2), pages 375-395, April.
    39. Martin Fukac & Adrian Pagan, 2006. "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers 2006/6, Czech National Bank, Research and Statistics Department.
    40. Andrew Harvey, 2011. "Modelling the Phillips curve with unobserved components," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 7-17.
    41. Orland, Andreas & Roos, Michael W.M., 2019. "Price-setting with quadratic adjustment costs: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 88-116.
    42. Jinho Choi & Juan Carlos Escanciano & Junjie Guo, 2022. "Generalized band spectrum estimation with an application to the New Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1055-1078, August.
    43. Scheufele, Rolf, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10/2008, Halle Institute for Economic Research (IWH).
    44. Bertille Antoine & Otilia, 2015. "Inference in linear models with structural changes and mixed identification strength," Discussion Papers dp15-05, Department of Economics, Simon Fraser University.
    45. Mavroeidis, Sophocles & Plagborg-Moller, Mikkel & Stock, James H., 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Scholarly Articles 22795845, Harvard University Department of Economics.
    46. Alain Guay & Florian Pelgrin, 2016. "Using Implied Probabilities to Improve the Estimation of Unconditional Moment Restrictions for Weakly Dependent Data," Econometric Reviews, Taylor & Francis Journals, vol. 35(3), pages 344-372, March.
    47. Lanne, Markku & Luoto, Jani, 2011. "Autoregression-Based Estimation of the New Keynesian Phillips Curve," MPRA Paper 29801, University Library of Munich, Germany.
    48. Michael McLeay & Silvana Tenreyro, 2018. "Optimal Inflation and the Identification of the Phillips Curve," Discussion Papers 1815, Centre for Macroeconomics (CFM).
    49. Johannes Fedderke & Yang Liu, 2016. "Inflation in South Africa An Assessment of Alternative Inflation Models," Working Papers 7275, South African Reserve Bank.
    50. Kushal Banik Chowdhury & Nityananda Sarkar, 2017. "Is the Hybrid New Keynesian Phillips Curve Stable? Evidence from Some Emerging Economies," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(3), pages 427-449, September.
    51. Gomes, Orlando, 2012. "Thought experimentation and the Phillips curve," Research in Economics, Elsevier, vol. 66(1), pages 45-64.
    52. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
    53. FAME,Eric Jondeau, University of Lausanne-HEC & Jean Imbs & Eric Jondeau & Florian Pelgrin, 2006. "Aggregating Phillips Curves," Computing in Economics and Finance 2006 314, Society for Computational Economics.
    54. Konstantin Styrin & Oleg Zamulin, 2012. "A Real Exchange Rate Based Phillips Curve," Working Papers w0179, New Economic School (NES).
    55. Ricardo Nunes, 2010. "Inflation Dynamics: The Role of Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1161-1172, September.
    56. Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino, 2007. "Factor Analysis in a Model with Rational Expectations," NBER Working Papers 13404, National Bureau of Economic Research, Inc.
    57. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2010. "Estimation uncertainty in structural inflation models with real wage rigidities," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2554-2561, November.
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    59. Luger, Richard, 2006. "Exact permutation tests for non-nested non-linear regression models," Journal of Econometrics, Elsevier, vol. 133(2), pages 513-529, August.
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    61. André Kurmann, 2004. "Maximum Likelihood Estimation of Dynamic Stochastic Theories with an Application to New Keynesian Pricing," Macroeconomics 0409028, University Library of Munich, Germany.
    62. Eva M. Koeberl & Sarah M. Lein, 2008. "The ICU and the Phillips Curve - An Approach Based on Micro Data," KOF Working papers 08-211, KOF Swiss Economic Institute, ETH Zurich.
    63. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
    64. Gregor W. Smith, 2007. "Pooling Forecasts In Linear Rational Expectations Models," Working Paper 1129, Economics Department, Queen's University.
    65. Ida Wolden Bache & Bjørn E. Naug, 2008. "Estimating New Keynesian import price models," Working Paper 2007/15, Norges Bank.
    66. Lena Vogel, 2008. "The Relationship between the Hybrid New Keynesian Phillips Curve and the NAIRU over Time," Macroeconomics and Finance Series 200803, University of Hamburg, Department of Socioeconomics.
    67. Dufour, Jean-Marie & Khalaf, Lynda & Kichian, Maral, 2013. "Identification-robust analysis of DSGE and structural macroeconomic models," Journal of Monetary Economics, Elsevier, vol. 60(3), pages 340-350.
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    74. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
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    80. Taremi, Mohammad & Esksndari, Farzad & Bameni Moghadam, Mohammad, 2016. "Identifiability of Dynamic Stochastic General Equilibrium Models with Covariance Restrictions," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 11(3), pages 225-243, July.
    81. Frank Schorfheide, 2008. "DSGE model-based estimation of the New Keynesian Phillips curve," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 397-433.
    82. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics.
    83. Bertille Antoine & Otilia Boldea & Niccolo Zaccaria, 2024. "Efficient two-sample instrumental variable estimators with change points and near-weak identification," Papers 2406.17056, arXiv.org.
    84. Fabio Canova, 2007. "How much structure in empirical models?," Economics Working Papers 1054, Department of Economics and Business, Universitat Pompeu Fabra.
    85. Carlos Medel, 2021. "Forecasting Brazilian Inflation with the Hybrid New Keynesian Phillips Curve: Assessing the Predictive Role of Trading Partners," Working Papers Central Bank of Chile 900, Central Bank of Chile.
    86. Khnd. Md. Mostafa Kamal, 2014. "Impact of Imported Intermediate Goods on Inflation Dynamics: Evidence from India," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 37(04), pages 53-63.
    87. Dladla, Pholile & Malikane, Christopher, 2022. "Inflation dynamics in an emerging market: The case of South Africa," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 262-271.
    88. Fanelli, Luca, 2008. "Evaluating the New Keynesian Phillips Curve under VAR-Based Learning," Economics Discussion Papers 2008-15, Kiel Institute for the World Economy (IfW Kiel).
    89. Inoue, Atsushi & Rossi, Barbara, 2011. "Testing for weak identification in possibly nonlinear models," Journal of Econometrics, Elsevier, vol. 161(2), pages 246-261, April.
    90. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Structural Inflation Models with Real Wage Rigidities: The Case of Canada," Staff Working Papers 09-21, Bank of Canada.
    91. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
    92. Eijffinger, Sylvester C.W. & Qian, Zongxin, 2016. "Trade openness and the Phillips curve: The neglected heterogeneity and robustness of empirical evidence," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 13-18.
    93. Frode Brevik & Manfred Gärtner, 2005. "Partisan Theory and the New Keynesian and Sticky-Information Phillips Curves," University of St. Gallen Department of Economics working paper series 2005 2005-25, Department of Economics, University of St. Gallen.
    94. Murray, James, 2011. "Learning and judgment shocks in U.S. business cycles," MPRA Paper 29257, University Library of Munich, Germany.
    95. Aragón, Edilean Kleber da Silva Bejarano & Galvão, Ana Beatriz, 2023. "Shock-based inference on the Phillips curve with the cost channel," Economic Modelling, Elsevier, vol. 126(C).
    96. A. Nazif Çatik & Christopher Martin & A. Özlem Onder, 2011. "Relative price variability and the Phillips Curve: evidence from Turkey," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 38(5), pages 546-561, September.
    97. Malikane, Christopher, 2013. "A New Keynesian Triangle Phillips Curve," MPRA Paper 43548, University Library of Munich, Germany.
    98. Francisco Blasques & Artem Duplinskiy, 2015. "Penalized Indirect Inference," Tinbergen Institute Discussion Papers 15-009/III, Tinbergen Institute.
    99. Michael B. Devereux & Gregor W. Smith, 2018. "Commodity Currencies and Monetary Policy," NBER Working Papers 25076, National Bureau of Economic Research, Inc.
    100. James Murray, 2008. "Initial Expectations in New Keynesian Models with Learning," CAEPR Working Papers 2008-017, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    101. Krogh, Tord S., 2015. "Macro frictions and theoretical identification of the New Keynesian Phillips curve," Journal of Macroeconomics, Elsevier, vol. 43(C), pages 191-204.
    102. Bertille Antoine & Otilia Boldea, 2015. "Efficient Inference with Time-Varying Information and the New Keynesian Phillips Curve," Discussion Papers dp15-04, Department of Economics, Simon Fraser University, revised 25 Aug 2016.
    103. Ben Ali, Samir, 2010. "A New Keynesian Phillips curve for Tunisia : Estimation and analysis of sensitivity," MPRA Paper 29624, University Library of Munich, Germany.
    104. Monica Jain, 2018. "Sluggish Forecasts," Staff Working Papers 18-39, Bank of Canada.
    105. Hae-shin Hwang & Woong Kim, 2012. "Estimation of Hybrid Phillips Curve: A Source of Conflicting Empirical Results," Southern Economic Journal, John Wiley & Sons, vol. 78(4), pages 1265-1288, April.
    106. Fabio Canova, 2009. "Comment to "Weak instruments robust tests in GMM and the New Keynesian Phillips curve" by Frank Kleibergen and Sophocles Mavroeidis," Economics Working Papers 1159, Department of Economics and Business, Universitat Pompeu Fabra.
    107. Carlos Medel, 2021. "Searching for the Best Inflation Forecasters within a Consumer Perceptions Survey: Microdata Evidence from Chile," Working Papers Central Bank of Chile 899, Central Bank of Chile.
    108. Bec, Frédérique & Kanda, Patrick, 2020. "Is inflation driven by survey-based, VAR-based or myopic expectations? An empirical assessment from US real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    109. Christopher Malikane & Tshepo Mokoka, 2014. "The new Keynesian Phillips curve: endogeneity and misspecification," Applied Economics, Taylor & Francis Journals, vol. 46(25), pages 3082-3089, September.
    110. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
    111. Abbas, Syed Kanwar & Sgro, Pasquale M., 2011. "New Keynesian Phillips Curve and inflation dynamics in Australia," Economic Modelling, Elsevier, vol. 28(4), pages 2022-2033, July.
    112. Omer Bayar, 2022. "Reducing large datasets to improve the identification of estimated policy rules," Empirical Economics, Springer, vol. 63(1), pages 113-140, July.
    113. Antoine, Bertille & Boldea, Otilia, 2018. "Efficient estimation with time-varying information and the New Keynesian Phillips Curve," Journal of Econometrics, Elsevier, vol. 204(2), pages 268-300.
    114. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE.
    115. Maral Kichian & Milana Mihic, 2018. "How important are wealth effects on consumption in Canada?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 784-798, August.
    116. Derek Stimel, 2010. "Choice of Aggregate Demand Proxy and its Affect on Phillips Curve Nonlinearity: U.S. Evidence," Economics Bulletin, AccessEcon, vol. 30(1), pages 543-557.
    117. Bertille Antoine & Otilia Boldea, 2014. "Efficient Inference with Time-Varying Identification Strength," Discussion Papers dp14-03, Department of Economics, Simon Fraser University.
    118. Zongwu Cai & Henong Li, 2013. "Convergency and Divergency of Functional Coefficient Weak Instrumental Variables Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

  19. Shaun P. Vahey & James M. Nason, 2005. "Over the Top: U.K. World War I Finance and Its Aftermath," Computing in Economics and Finance 2005 22, Society for Computational Economics.

    Cited by:

    1. James M Nason & Shaun P Vahey, 2007. "The McKenna Rule and UK World War I Finance," Reserve Bank of New Zealand Discussion Paper Series DP2007/08, Reserve Bank of New Zealand.

  20. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," FRB Atlanta Working Paper 2005-07, Federal Reserve Bank of Atlanta.

    Cited by:

    1. McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," Econometric Institute Research Papers EI 2010-59, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research.
    3. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
    4. Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(2), pages 404-447, April.
    5. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics.
    6. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    7. Jörg Döpke & Ulrich Fritsche, 2006. "Growth and inflation forecasts for Germany a panel-based assessment of accuracy and efficiency," Empirical Economics, Springer, vol. 31(3), pages 777-798, September.
    8. Massimiliano Caporin & Michael McAleer, 2010. "Ranking Multivariate GARCH Models by Problem Dimension," CIRJE F-Series CIRJE-F-742, CIRJE, Faculty of Economics, University of Tokyo.
    9. Michiel De Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," International Finance Discussion Papers 993, Board of Governors of the Federal Reserve System (U.S.).
    10. James M. Nason & Gregor W. Smith, 2005. "Identifying The New Keynesian Phillips Curve," Working Paper 1026, Economics Department, Queen's University.
    11. Christian Dreger & Konstantin Arkadievich Kholodilin, 2013. "Forecasting Private Consumption by Consumer Surveys," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(1), pages 10-18, January.
    12. Stéphane Goutte & Klemens Klotzner & Hoang Viet Le & Hans Jörg von Mettenheim, 2024. "Forecasting photovoltaic production with neural networks and weather features," Post-Print hal-04779953, HAL.
    13. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
    14. Kevin Sheppard & Andrew J. Patton, 2008. "Evaluating Volatility and Correlation Forecasts," Economics Series Working Papers 2008fe22, University of Oxford, Department of Economics.
    15. Afanasyev, Dmitriy O. & Fedorova, Elena A., 2019. "On the impact of outlier filtering on the electricity price forecasting accuracy," Applied Energy, Elsevier, vol. 236(C), pages 196-210.
    16. Davide De Gaetano, 2016. "Forecast Combinations For Realized Volatility In Presence Of Structural Breaks," Departmental Working Papers of Economics - University 'Roma Tre' 0208, Department of Economics - University Roma Tre.
    17. Bordignon, Silvano & Bunn, Derek W. & Lisi, Francesco & Nan, Fany, 2013. "Combining day-ahead forecasts for British electricity prices," Energy Economics, Elsevier, vol. 35(C), pages 88-103.
    18. He, Xiangyi & Li, Yiwei & Li, Houjian, 2024. "Revolutionizing Bitcoin price forecasts: A comparative study of advanced hybrid deep learning architectures," Finance Research Letters, Elsevier, vol. 69(PA).
    19. Patton, Andrew J. & Sheppard, Kevin, 2009. "Optimal combinations of realised volatility estimators," International Journal of Forecasting, Elsevier, vol. 25(2), pages 218-238.
    20. Massimiliano Caporin & Michael McAleer, 2010. "Model Selection and Testing of Conditional and Stochastic Volatility Models," KIER Working Papers 724, Kyoto University, Institute of Economic Research.

  21. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
    2. Shynkevich, Andrei, 2012. "Performance of technical analysis in growth and small cap segments of the US equity market," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 193-208.
    3. Guglielmo Maria Caporale & Alex Plastun, 2016. "Calendar Anomalies in the Ukrainian Stock Market," CESifo Working Paper Series 5877, CESifo.
    4. Atanasova, Christina V. & Hudson, Robert S., 2010. "Technical trading rules and calendar anomalies -- Are they the same phenomena?," Economics Letters, Elsevier, vol. 106(2), pages 128-130, February.
    5. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
    6. Chatzitzisi, Evanthia & Fountas, Stilianos & Panagiotidis, Theodore, 2021. "Another look at calendar anomalies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 823-840.
    7. Ayman Abdalmajeed Ahmad Al-Smadi & Mahmoud Khalid Almsafir & Nur Hanis Hazwani Binti Husni, 2018. "Trends And Calendar Effects In Malaysia’S Stock Market," Romanian Economic Business Review, Romanian-American University, vol. 13(2), pages 15-22, June.
    8. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Holiday effects during quiet and turbulent times," MPRA Paper 41625, University Library of Munich, Germany, revised 07 Mar 2012.
    9. John C. Frain, 2008. "Maximum Likelihood Estimates of Regression Coefficients with alpha-stable residuals and Day of Week effects in Total Returns on Equity Indices," Trinity Economics Papers tep0108, Trinity College Dublin, Department of Economics, revised May 2008.
    10. Li, Kun & Cursio, Joseph D. & Jiang, Mengfei & Liang, Xi, 2019. "The significance of calendar effects in the electricity market," Applied Energy, Elsevier, vol. 235(C), pages 487-494.
    11. Yoon-Jae Whang & Young-Hyun Cho & Oliver Linton, 2006. "Are there Monday effects in Stock Returns: A Stochastic Dominance Approach," FMG Discussion Papers dp568, Financial Markets Group.
    12. Apergis, Nicholas & Gupta, Rangan, 2017. "Can (unusual) weather conditions in New York predict South African stock returns?," Research in International Business and Finance, Elsevier, vol. 41(C), pages 377-386.
    13. Chowdhury, Anup & Uddin, Moshfique & Anderson, Keith, 2022. "Trading behaviour and market sentiment: Firm-level evidence from an emerging Islamic market," Global Finance Journal, Elsevier, vol. 53(C).
    14. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "The Halloween effect during quiet and turbulent times," MPRA Paper 41539, University Library of Munich, Germany, revised 25 Sep 2012.
    15. Boubaker, Sabri & Essaddam, Naceur & Nguyen, Duc Khuong & Saadi, Samir, 2017. "On the robustness of week-day effect to error distributional assumption: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 114-130.
    16. Dichtl, Hubert & Drobetz, Wolfgang, 2014. "Are stock markets really so inefficient? The case of the “Halloween Indicator”," Finance Research Letters, Elsevier, vol. 11(2), pages 112-121.
    17. Alt, Raimund & Fortin, Ines & Weinberger, Simon, 2011. "The Monday effect revisited: An alternative testing approach," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 447-460, June.

  22. James M. Nason & Byron G. Scott & Elizabeth C. Wakerly, 2004. "Common trends and common cycles in Canada: who knew so much has been going on?," FRB Atlanta Working Paper 2004-5, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009. "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 42(3), pages 1132-1149, August.
    2. Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2011. "Channels of risk-sharing among Canadian provinces: 1961--2006," MPRA Paper 30876, University Library of Munich, Germany.
    3. Basher, Syed A. & Fachin, Stefano, 2008. "The long-term decline of internal migration in Canada – Ontario as a case study," MPRA Paper 6685, University Library of Munich, Germany.
    4. Charles R. Nelson, 2006. "The Beveridge-Nelson Decomposition in Retrospect and Prospect," Working Papers UWEC-2007-30, University of Washington, Department of Economics.
    5. Maxym Chaban & Graham M. Voss, 2016. "Is Canada an optimal currency area? An inflation targeting perspective," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(2), pages 738-771, May.
    6. N. Kundan Kishor & Nam Nguyen, 2025. "Measuring the credit gap: a forecast combination approach," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 161(1), pages 1-12, December.
    7. Dalibor Stevanovic & Stéphane Surprenant & Rachidi Kotchoni, 2019. "Identification des points de retournement du cycle économique au Canada," CIRANO Project Reports 2019rp-05, CIRANO.
    8. Rosés, Joan R. & Minns, Chris, 2018. "Power to the Periphery? The failure of Regional Convergence in Canada, 1890-2006," CEPR Discussion Papers 12803, C.E.P.R. Discussion Papers.

  23. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Econometric Society 2004 Far Eastern Meetings 619, Econometric Society.

    Cited by:

    1. Michał Gradzewicz, 2009. "Endogenous growth mechanism as a source of medium term fluctuations in the labor market. Application to the US economy," NBP Working Papers 57, Narodowy Bank Polski.
    2. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect (Revised as CARF-F-124 (2008) )," CARF F-Series CARF-F-101, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

  24. James M. Nason & George A. Slotsve, 2004. "Along the New Keynesian Phillips curve with nominal and real rigidities," FRB Atlanta Working Paper 2004-9, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
    2. Helge Braun, 2006. "(Un)Employment Dynamics: The Case of Monetary Policy Shocks," 2006 Meeting Papers 87, Society for Economic Dynamics.
    3. Thomas Lubik & Michael Krause, 2003. "The (Ir)relevance of Real Wage Rigidity in the New Keynesian Model with Search Frictions," Economics Working Paper Archive 504, The Johns Hopkins University,Department of Economics.
    4. Shigeru Fujita & Garey Ramey, 2012. "Exogenous vs. endogenous separation," Working Papers 12-2, Federal Reserve Bank of Philadelphia.
    5. Robert R. Reed & Stacey L. Schreft, 2007. "Phillips curves, monetary policy, and a labor market transmission mechanism," Research Working Paper RWP 07-12, Federal Reserve Bank of Kansas City.
    6. James M. Nason & Gregor W. Smith, 2005. "Identifying The New Keynesian Phillips Curve," Working Paper 1026, Economics Department, Queen's University.
    7. Antonella Trigari, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 304, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Kuester, Keith, 2010. "Real price and wage rigidities with matching frictions," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 466-477, May.
    9. Thomas B. King, 2005. "Labor productivity and job-market flows: trends, cycles, and correlations," Supervisory Policy Analysis Working Papers 2005-04, Federal Reserve Bank of St. Louis.
    10. James M. Nason & Gregor W. Smith, 2008. "The New Keynesian Phillips curve : lessons from single-equation econometric estimation," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 361-395.

  25. Peter Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models:The Model Confidence Set Approach," Working Papers 2003-05, Brown University, Department of Economics.

    Cited by:

    1. Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2010. "On the Forecasting Accuracy of Multivariate GARCH Models," Cahiers de recherche 1021, CIRPEE.
    2. Caporin, M. & McAleer, M.J., 2011. "Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation," Econometric Institute Research Papers EI 2011-18, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    3. Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
    4. Mauro Bernardi & Leopoldo Catania, 2014. "The Model Confidence Set package for R," Papers 1410.8504, arXiv.org.
    5. Ralf Becker & Adam Clements, 2007. "Are combination forecasts of S&P 500 volatility statistically superior?," NCER Working Paper Series 17, National Centre for Econometric Research.
    6. A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.
    7. R Herrera & Adam Clements, 2015. "Point process models for extreme returns: Harnessing implied volatility," NCER Working Paper Series 104, National Centre for Econometric Research.
    8. Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
    9. Mtiraoui, Amine & Boubaker, Heni & BelKacem, Lotfi, 2023. "A hybrid approach for forecasting bitcoin series," Research in International Business and Finance, Elsevier, vol. 66(C).
    10. Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," LIDAM Reprints CORE 3128, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Martens, Martin & van Dijk, Dick & de Pooter, Michiel, 2009. "Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements," International Journal of Forecasting, Elsevier, vol. 25(2), pages 282-303.
    12. Ke Yang & Langnan Chen & Fengping Tian, 2015. "Realized Volatility Forecast of Stock Index Under Structural Breaks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(1), pages 57-82, January.
    13. Louzis Dimitrios P., 2016. "Steady-state priors and Bayesian variable selection in VAR forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 495-527, December.
    14. Ali Taiebnia & Shapour Mohammadi, 2023. "Forecast accuracy of the linear and nonlinear autoregressive models in macroeconomic modeling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2045-2062, December.
    15. Francesco Audrino & Peter Bühlmann, 2007. "Splines for Financial Volatility," University of St. Gallen Department of Economics working paper series 2007 2007-11, Department of Economics, University of St. Gallen.
    16. Daniela Osterrieder, 2013. "Interest Rates with Long Memory: A Generalized Affine Term-Structure Model," CREATES Research Papers 2013-17, Department of Economics and Business Economics, Aarhus University.
    17. Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(2), pages 404-447, April.
    18. Małgorzata Doman & Ryszard Doman, 2013. "Dynamic linkages between stock markets: the effects of crises and globalization," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(2), pages 87-112, August.
    19. Sicheng Fu & Fangfang Zhu & Xiangdong Liu, 2025. "A Predictive Framework Integrating Multi-Scale Volatility Components and Time-Varying Quantile Spillovers: Evidence from the Cryptocurrency Market," Papers 2507.22409, arXiv.org.
    20. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    21. Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen.
    22. Luigi Grossi & Fany Nan, 2018. "The influence of renewables on electricity price forecasting: a robust approach," Working Papers 2018/10, Institut d'Economia de Barcelona (IEB).
    23. Adam E Clements & Mark Doolan & Stan Hurn & Ralf Becker, 2012. "Selecting forecasting models for portfolio allocation," NCER Working Paper Series 85, National Centre for Econometric Research.
    24. Fabrizio Cipollini & Giampiero M. Gallo & Edoardo Otranto, 2019. "Realized Volatility Forecasting: Robustness to Measurement Errors," Econometrics Working Papers Archive 2019_04, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    25. Bauwens, Luc & Otranto, Edoardo, 2020. "Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models," LIDAM Discussion Papers CORE 2020034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    26. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
    27. Michiel De Pooter & Francesco Ravazzolo & Dick van Dijk, 2010. "Term structure forecasting using macro factors and forecast combination," International Finance Discussion Papers 993, Board of Governors of the Federal Reserve System (U.S.).
    28. Wang, Lu & Wu, Jiangbin & Cao, Yang & Hong, Yanran, 2022. "Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?," Energy Economics, Elsevier, vol. 111(C).
    29. Wookjae Heo & Eunchan Kim, 2025. "Smoothing the Subjective Financial Risk Tolerance: Volatility and Market Implications," Mathematics, MDPI, vol. 13(4), pages 1-34, February.
    30. Li Zhang & Lu Wang & Yu Ji & Zhigang Pan, 2025. "Forecasting Gold Volatility in an Uncertain Environment: The Roles of Large and Small Shock Sizes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1478-1500, July.
    31. Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian, 2024. "Asymmetric Models for Realized Covariances," LIDAM Discussion Papers ISBA 2024022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    32. Małgorzata Doman & Ryszard Doman, 2014. "Dynamic Linkages in the Pairs (GBP/EUR, USD/EUR) and (GBP/USD, EUR/USD): How Do They Change During a Day?," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(1), pages 33-56, March.
    33. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2013. "Risk spillovers in international equity portfolios," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 121-137.
    34. Fulvio Corsi & Stefano Peluso & Francesco Audrino, 2015. "Missing in Asynchronicity: A Kalman‐em Approach for Multivariate Realized Covariance Estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(3), pages 377-397, April.
    35. Degiannakis, Stavros & Xekalaki, Evdokia, 2007. "Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models," MPRA Paper 96324, University Library of Munich, Germany.
    36. Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
    37. Heni Boubaker & Bassem Saidane & Mouna Ben Saad Zorgati, 2022. "Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.
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    2. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect," CIRJE F-Series CIRJE-F-505, CIRJE, Faculty of Economics, University of Tokyo.
    3. Akihisa Shibata & Mototsugu Shintani & Takayuki Tsuruga, 2018. "Current Account Dynamics under Information Rigidity and Imperfect Capital Mobility," Globalization Institute Working Papers 335, Federal Reserve Bank of Dallas.
    4. Sebastián Edwards, 2008. "On Current Account Surpluses and the Correction of Global Imbalances," Central Banking, Analysis, and Economic Policies Book Series, in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmidt- (ed.),Current Account and External Financing, edition 1, volume 12, chapter 2, pages 025-083, Central Bank of Chile.
    5. Hoffmann, Mathias, 2004. "International capital mobility in the long run and the short run: can we still learn from saving-investment data?," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 113-131, February.
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    10. Josep Lluís CARRION-I-SILVESTRE & Mariam CAMARERO & Josep LLUÍS CARRION-I-SILVESTRE & Cecilio TAMARIT, 2010. "External Imbalances in a Monetary Union. Does the Lawson Doctrine Apply to Europe?," EcoMod2010 259600036, EcoMod.
    11. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect (Revised as CARF-F-124 (2008) )," CARF F-Series CARF-F-101, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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    37. Kano, Takashi & 加納, 隆, 2014. "Exchange Rates and Fundamentals: Closing a Two-country Model," Discussion Papers 2013-07, Graduate School of Economics, Hitotsubashi University.
    38. Braeu, Rebecca, 2010. "Consumption tilting and the current account: Evidence from Canada," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 304-312, April.
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    40. Ca' Zorzi, Michele & Dieppe, Alistair & Chudik, Alexander, 2009. "Current account benchmarks for central and eastern Europe: a desperate search?," Working Paper Series 995, European Central Bank.
    41. Ibhagui, Oyakhilome, 2015. "Understanding the Sources of High Current Account Fluctuations in 5 Developed Economies," MPRA Paper 75881, University Library of Munich, Germany.
    42. Milan Nedeljkovic & Branko Uroševic & Emir Zildžovic, 2012. "Jackknife Model Averaging of the Current Account Determinants," Working papers 23, National Bank of Serbia.
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    48. Huseyin Murat Ozbilgin, 2009. "Financial Market Participation and the Developing Country Business Cycle," Working Papers 0904, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
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    51. Christophe Andre & Mehmet Balcilar & Tsangyao Chang & Luis Alberiko Gil-Alana & Rangan Gupta, 2018. "Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 27(6), pages 638-654, August.
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    54. John C. Bluedorn, 2005. "Hurricanes: Intertemporal Trade and Capital Shocks," Economics Papers 2005-W22, Economics Group, Nuffield College, University of Oxford.
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    61. Simeon Coleman & Juan Carlos Cuestas, 2023. "Has the current account broken up with its fundamentals in Central and Eastern Europe?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 962-980, January.
    62. Hamizun Ismail & Ahmad Baharumshah, 2008. "Malaysia’s current account deficits: an intertemporal optimization perspective," Empirical Economics, Springer, vol. 35(3), pages 569-590, November.
    63. Sebastián Edwards, 2007. "On Current Account Surpluses and the Correction of Global Imbalances," Working Papers Central Bank of Chile 440, Central Bank of Chile.
    64. Matthieu Bussiere & Aikaterini Karadimitropoulou & Miguel A. Leon-Ledesma, 2017. "Current account dynamics and the real exchange rate: disentangling the evidence," Working Papers 239, Bank of Greece.
    65. Choi, Horag & Mark, Nelson C. & Sul, Donggyu, 2008. "Endogenous discounting, the world saving glut and the U.S. current account," Journal of International Economics, Elsevier, vol. 75(1), pages 30-53, May.
    66. Jerry Coakley & Ana-Maria Fuertes & Fabio Spagnolo, 2004. "The Feldstein-Horioka puzzle is not as bad as you think," Money Macro and Finance (MMF) Research Group Conference 2003 17, Money Macro and Finance Research Group.
    67. Grey Gordon & Pablo Guerrón-Quintana, 2013. "Dynamics of investment, debt, and default," Working Papers 13-18, Federal Reserve Bank of Philadelphia.
    68. Rihab Bousnina & Foued Badr Gabsi, 2022. "Current Account Balance and Financial Development in MENA Countries: The Role of Institutions," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 64(1), pages 109-142, March.
    69. Pablo Guerrón-Quintana, 2013. "The economics of small open economies," Business Review, Federal Reserve Bank of Philadelphia, issue Q4, pages 9-18.
    70. Bergin, Paul R., 2006. "How well can the New Open Economy Macroeconomics explain the exchange rate and current account?," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 675-701, August.
    71. Huiran Pan, 2013. "Asset Revaluation And Trade Balance Under Liability Dollarization: The Case Of South Korea," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 1-32, September.
    72. Erdal Özmen, 2004. "Current Account Deficits, Macroeconomic Policy Stance and Governance: An Empirical Investigation," ERC Working Papers 0414, ERC - Economic Research Center, Middle East Technical University, revised Oct 2004.
    73. Anella Munro & Rishab Sethi, 2006. "The Present Value Model and New Zealand’s Current Account," Reserve Bank of New Zealand Discussion Paper Series DP2006/12, Reserve Bank of New Zealand.
    74. Tarlok Singh, 2007. "Intertemporal Optimizing Models Of Trade And Current Account Balance: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 25-64, February.
    75. Menzie D. Chinn, 2012. "Imbalances, Overheating and the Prospects for Global Recovery," Chapters, in: Maurice Obstfeld & Dongchul Cho & Andrew Mason (ed.), Global Economic Crisis, chapter 6, Edward Elgar Publishing.
    76. Marc‐André Letendre & Daqing Luo, 2007. "Investment‐specific shocks and external balances in a small open economy model," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 650-678, May.
    77. Aleksander Aristovnik, 2006. "The Determinants & Excessiveness of Current Account Deficits in Eastern Europe & the Former Soviet Union," William Davidson Institute Working Papers Series wp827, William Davidson Institute at the University of Michigan.
    78. Mauro Ferreira, 2007. "Debt Maturity in a Small Open Economy Under Inflation Target," EcoMod2007 23900024, EcoMod.
    79. Yabin Wang, 2017. "How Do Emerging Markets Respond to Macroeconomic Shocks? - Dynamic Panel Evidence on the Effects of Disasters," Open Economies Review, Springer, vol. 28(4), pages 731-760, September.
    80. Bajo-Rubio, Oscar & Esteve, Vicente, 2021. "The Current Account Of The Spanish Economy, 1850-2016: Was It Optimal?," Revista de Historia Económica / Journal of Iberian and Latin American Economic History, Cambridge University Press, vol. 39(2), pages 329-354, September.
    81. Aleksander Aristovnik & Stanka Setnikar-Cankar, 2006. "How Excessive are External Imbalances in Selected Transition Countries?," Prague Economic Papers, Prague University of Economics and Business, vol. 2006(3), pages 243-267.
    82. Takashi Kano, 2021. "Exchange Rates and Fundamentals: A General Equilibrium Exploration," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 95-117, February.
    83. KANO, Takashi, 2023. "Posterior Inferences on Incomplete Structural Models : The Minimal Econometric Interpretation," Discussion paper series HIAS-E-128, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    84. Tahir Mukhtar & Aliya H. Khan, 2011. "The Current Account Dynamics in Pakistan: An Intertemporal Optimisation Perspective," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 401-421.
    85. Mr. Enrique G. Mendoza & Mr. Marco Terrones & Ceyhun Bora Durdu, 2010. "On the Solvency of Nations: Are Global Imbalances Consistent with Intertemporal Budget Constraints?," IMF Working Papers 2010/050, International Monetary Fund.
    86. Dibooglu, Sel & Kapounek, Svatopluk, 2021. "The US current account, sustainability, and the international monetary system," Economic Systems, Elsevier, vol. 45(4).
    87. Michel Normandin & Bruno Powo Fosso, 2005. "Global versus Country-Specific Shocks and International Business Cycles," Cahiers de recherche 05-07, HEC Montréal, Institut d'économie appliquée.
    88. Joseph W. Gruber, 2002. "Productivity shocks, habits, and the current account," International Finance Discussion Papers 733, Board of Governors of the Federal Reserve System (U.S.).
    89. Mario J. Crucini, 2006. "International Real Business Cycles," Vanderbilt University Department of Economics Working Papers 0617, Vanderbilt University Department of Economics.
    90. Takashi Kano, 2008. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect ( Revised version of CARF-F-101(2007); Revised version subsequently published in "Journal of International ," CARF F-Series CARF-F-124, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    91. Tselmuun Tserenkhuu & Stephen Kosempel, 2024. "Life expectancy and business cycles in a small open economy," ISER Discussion Paper 1263, Institute of Social and Economic Research, The University of Osaka.
    92. Mathias Hoffmann, 2003. "International macroeconomic fluctuations and the current account," Canadian Journal of Economics, Canadian Economics Association, vol. 36(2), pages 401-420, May.
    93. Mamadou Bah & Henri Ondoa Atangana & Koffi Delali Kpognon & Souleymane Ouattara, 2023. "Current Account and Institutional Quality in Sub-Saharan Africa: an Empirical Investigation," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(4), pages 4466-4488, December.
    94. Pierre-Olivier Gourinchas, 2008. "Valuation Effects and External Adjustment: A Review," Central Banking, Analysis, and Economic Policies Book Series, in: Kevin Cowan & Sebastián Edwards & Rodrigo O. Valdés & Norman Loayza (Series Editor) & Klaus Schmidt- (ed.),Current Account and External Financing, edition 1, volume 12, chapter 6, pages 195-236, Central Bank of Chile.
    95. Mathias Hoffmann & Ulrich Woitek, 2011. "Emerging from the war: Gold Standard mentality, current accounts and the international business cycle 1885-1939," ECON - Working Papers 057, Department of Economics - University of Zurich.
    96. Yu-Hsi Chou & Chun-Yen Tsai, 2021. "Sources of current account fluctuations in Taiwan: 1989–2015," Empirical Economics, Springer, vol. 60(4), pages 2125-2151, April.
    97. Patrik RYFF, 2010. "Friedman Meets the Joneses: A Model of Essential Money with Consumption Externalities," EcoMod2010 259600146, EcoMod.
    98. Sebastian Edwards, 2006. "External Imbalances in an Advanced, Commodity-Exporting Country: The Case of New Zealand," NBER Working Papers 12620, National Bureau of Economic Research, Inc.
    99. Mr. Tomasz Wieladek & Mr. Sergi Lanau, 2012. "Financial Regulation and the Current Account," IMF Working Papers 2012/098, International Monetary Fund.
    100. Bussière, Matthieu & Ca' Zorzi, Michele & Chudik, Alexander & Dieppe, Alistair, 2010. "Methodological advances in the assessment of equilibrium exchange rates," Working Paper Series 1151, European Central Bank.

  27. James M. Nason & John H. Rogers, 1999. "Investment and the current account in the short run and the long run," International Finance Discussion Papers 647, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect," CIRJE F-Series CIRJE-F-505, CIRJE, Faculty of Economics, University of Tokyo.
    2. Asdrubali, Pierfederico & Kim, Soyoung, 2009. "Consumption smoothing channels in open economies," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2293-2300, December.
    3. M-A. Letendre, 2002. "Semi-Parametric Predictions of the Intertemporal Approach to the Current Account," Department of Economics Working Papers 2002-01, McMaster University.
    4. Dilem Yıldırım & Onur A. Koska, 2018. "Puzzling out the Feldstein-Horioka Paradox for Turkey by a Time-Varying Parameter Approach," ERC Working Papers 1808, ERC - Economic Research Center, Middle East Technical University, revised Apr 2018.
    5. Takashi Kano, 2007. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect (Revised as CARF-F-124 (2008) )," CARF F-Series CARF-F-101, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    6. Takashi Kano, 2003. "A Structural VAR Approach to the Intertemporal Model of the Current Account," Staff Working Papers 03-42, Bank of Canada.
    7. Fernando Pérez de Gracia & Juncal Cuñado, "undated". "Intertemporal Current Account and Productivity Shocks: Evidence for Some European Countries," Working Papers on International Economics and Finance 01-05, FEDEA.
    8. Souki, Kaouthar & Enders, Walter, 2008. "Assessing the importance of global shocks versus country-specific shocks," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1420-1429, December.
    9. Apergis, Nicholas & Tsoumas, Chris, 2009. "A survey of the Feldstein-Horioka puzzle: What has been done and where we stand," Research in Economics, Elsevier, vol. 63(2), pages 64-76, June.
    10. Brzoza-Brzezina, Michał, 2002. "Wpływ polityki pieniężnej na oszczędności i inwestycje w gospodarce," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2002(9), September.
    11. Nason, James M. & Rogers, John H., 2006. "The present-value model of the current account has been rejected: Round up the usual suspects," Journal of International Economics, Elsevier, vol. 68(1), pages 159-187, January.
    12. Michał Brzozowski & Sadananda Prusty, 2011. "Impact of GDP volatility on current account balances," Working Papers 2011-02, Faculty of Economic Sciences, University of Warsaw.
    13. Mathias Hoffmann, 2010. "What Drives China's Current Account?," Working Papers 112010, Hong Kong Institute for Monetary Research.
    14. Chinn, Menzie D. & Lee, Jaewoo, 2009. "Three current account balances: A "Semi-Structuralist" interpretation," Japan and the World Economy, Elsevier, vol. 21(2), pages 202-212, March.
    15. Ibhagui, Oyakhilome, 2015. "Understanding the Sources of High Current Account Fluctuations in 5 Developed Economies," MPRA Paper 75881, University Library of Munich, Germany.
    16. Ghironi, Fabio & Iscan, Talan B. & Rebucci, Alessandro, 2008. "Net foreign asset positions and consumption dynamics in the international economy," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1337-1359, December.
    17. Yoichi Matsubayashi, 2009. "Structural and Cyclical Movements of the Current Account in the U.S. 1976-2007," Discussion Papers 0829, Graduate School of Economics, Kobe University.
    18. Klára Plecitá & Ladislava Grochová & Luboš Střelec, 2013. "Current account imbalances in the euro area," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2631-2638.
    19. Menzie David Chinn & Mr. Eswar S Prasad, 2000. "Medium-Term Determinants of Current Accounts in Industrial and Developing Countries: An Empirical Exploration," IMF Working Papers 2000/046, International Monetary Fund.
    20. Cunado, Juncal & Gracia, Fernando Perez de, 2005. "Current account and productivity: evidence for some European countries," Journal of Policy Modeling, Elsevier, vol. 27(1), pages 75-89, February.
    21. Matsubayashi, Yoichi, 2006. "Structural and cyclical movements of the current account in Japan: An alternative measure," Japan and the World Economy, Elsevier, vol. 18(4), pages 545-567, December.
    22. Basher, Syed Abul & Fachin, Stefano, 2011. "The long-run relationship between savings and investment in oil-exporting developing countries: A case study of the Gulf Arab States," MPRA Paper 29077, University Library of Munich, Germany.
    23. Matthieu Bussiere & Aikaterini Karadimitropoulou & Miguel A. Leon-Ledesma, 2017. "Current account dynamics and the real exchange rate: disentangling the evidence," Working Papers 239, Bank of Greece.
    24. Harrison, Andre & Reed, Robert R., 2023. "Gross capital inflows, the U.S. economy, and the response of the Federal Reserve," Journal of International Money and Finance, Elsevier, vol. 139(C).
    25. International Monetary Fund, 2005. "Net Foreign Asset Positions and Consumption Dynamics in the International Economy," IMF Working Papers 2005/082, International Monetary Fund.
    26. Tarlok Singh, 2007. "Intertemporal Optimizing Models Of Trade And Current Account Balance: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 25-64, February.
    27. Mirela MATEI & Jean ANDREI, 2011. "Considerations Regarding the Social Responsible Investments on Capital Market," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 12(6), pages 429-434, December.
    28. Makin, Anthony J. & Narayan, Paresh Kumar & Narayan, Seema, 2014. "What expenditure does Anglosphere foreign borrowing fund?," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 63-78.
    29. Mr. Paul Cashin & Samya Beidas-Strom, 2011. "Are Middle Eastern Current Account Imbalances Excessive?," IMF Working Papers 2011/195, International Monetary Fund.
    30. Michel Normandin & Bruno Powo Fosso, 2005. "Global versus Country-Specific Shocks and International Business Cycles," Cahiers de recherche 05-07, HEC Montréal, Institut d'économie appliquée.
    31. Narayan, Seema, 2014. "Integration of current account imbalances in the OECD," Economic Modelling, Elsevier, vol. 38(C), pages 288-295.
    32. Takashi Kano, 2008. "Habit Formation and the Present-Value Model of the Current Account: Yet Another Suspect ( Revised version of CARF-F-101(2007); Revised version subsequently published in "Journal of International ," CARF F-Series CARF-F-124, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    33. Aikaterini Karadimitropoulou & Miguel A. León-Ledesma, 2009. "Sources of Current Account Fluctuations in Industrialized Countries," Studies in Economics 0910, School of Economics, University of Kent.
    34. Richard Clarida & Joe Prendergast, 1999. "Recent G3 Current Account Imbalances: How Important are Structural Factors?," NBER Working Papers 6935, National Bureau of Economic Research, Inc.
    35. Mathias Hoffmann, 2003. "International macroeconomic fluctuations and the current account," Canadian Journal of Economics, Canadian Economics Association, vol. 36(2), pages 401-420, May.
    36. Rungrudee Suetorsak, 2006. "Banking crisis in east asia: A micro/macro perspective," Review of Quantitative Finance and Accounting, Springer, vol. 26(3), pages 219-248, May.
    37. Mathias Hoffmann & Ulrich Woitek, 2011. "Emerging from the war: Gold Standard mentality, current accounts and the international business cycle 1885-1939," ECON - Working Papers 057, Department of Economics - University of Zurich.
    38. Helmut Herwartz & Florian Siedenburg, 2007. "Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 143(2), pages 349-374, July.
    39. Ali, Amjad & Audi, Marc, 2023. "Analyzing the Impact of Foreign Capital Inflows on the Current Account Balance in Developing Economies: A Panel Data Approach," MPRA Paper 118173, University Library of Munich, Germany.
    40. Anthony Makin & Paresh Narayan, 2013. "Re-examining the “twin deficits” hypothesis: evidence from Australia," Empirical Economics, Springer, vol. 45(2), pages 817-829, October.
    41. Ghassan, Hassan B. & Al-Jefri, Essam H., 2016. "الحساب الجاري للاقتصاد السعودي عبر نموذج داخلي الزمن دلائل من منهجية نموذج التقهقر الذاتي البنيوي [The Current Account of Saudi Economy through Intertemporal Model: Evidence from SVAR]," MPRA Paper 80302, University Library of Munich, Germany, revised Jun 2017.
    42. Gil Kim & Lian An & Yoonbai Kim, 2012. "The behaviour of the real exchange rate and current account," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 5(2), pages 139-160, December.
    43. Sheng Zhang & Guoxiang Han & Ran Yu & Zuhui Wen & Meng Xu & Yifu Yang, 2021. "The Sustainable Development Path of the Gold Exploration and Mining of the Sanshan Island-Jiaojia Belt in Laizhou Bay: A DID-SVAR Approach," Sustainability, MDPI, vol. 13(21), pages 1-12, October.
    44. Herrmann, Sabine & Jochem, Axel, 2005. "Determinants of current account developments in the central and east European EU member states - consequences for the enlargement of the euro area," Discussion Paper Series 1: Economic Studies 2005,32, Deutsche Bundesbank.
    45. César R. Sobrino & Ellis Heath, 2024. "Current account dynamics: A SVAR analysis when the country‐specific shocks are correlated at leads," Manchester School, University of Manchester, vol. 92(2), pages 171-190, March.
    46. Seema Wati Narayan, 2020. "Asian Current Account Balances And Spillovers From A Foreign Country, A Region And The United States," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 23(1), pages 1-24, April.

  28. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.

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    1. Robert A. Blecker, 2015. "Wage-led Versus Profit-led Demand Regimes: The Long and Short of It," Working Papers 2015-05, American University, Department of Economics.
    2. J. J. Reeves & C. A. Blyth & C. M. Triggs & J. P. Small, "undated". "The Hodrick-Prescott Filter, a Generalisation, and a New Procedure for Extracting an Empirical Cycle from a Series," Reports 9602, University of Auckland, Department of Economics.
    3. Chistiano, Lawrence J & den Haan, Wouter J, 1996. "Small-Sample Properties of GMM for Business-Cycle Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 309-327, July.
    4. Xiao, Zhongyi & Chen, Haitao & Chen, Kang, 2023. "How does institutional investors' information acquisition inhibit share pledging? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 89(C).
    5. Guisinger, Amy Y., 2020. "Gender differences in the volatility of work hours and labor demand," Journal of Macroeconomics, Elsevier, vol. 66(C).
    6. Kuzman, Tanja & Lazarevic, Jelisaveta & Nedeljkovic, Milan, 2022. "Capital flows liberalisation and macroprudential policies: The effects on credit cycles in emerging economies," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 602-619.
    7. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
    8. Lars-H. R. Siemers, 2024. "On the Hamilton-HP Filter Controversy: Evidence from German Business Cycles," MAGKS Papers on Economics 202421, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    9. Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.).
    10. Sharon McCaw, 2007. "Stylised facts about New Zealand business cycles," Reserve Bank of New Zealand Discussion Paper Series DP2007/04, Reserve Bank of New Zealand.
    11. Lokman Gunduz, 2001. "Monetary Transmission and Bank Lending in Turkey," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 5(18), pages 13-32.
    12. Wakerly, Elizabeth C & Elena Loukoianova & Shaun P. Vahey, 2003. "A Real Time Tax Smoothing Based Fiscal Policy Rule," Royal Economic Society Annual Conference 2003 215, Royal Economic Society.
    13. Joseph G. Haubrich, 2015. "How Cyclical Is Bank Capital?," Working Papers 15-04R, Federal Reserve Bank of Cleveland.
    14. Martha Misas & Enrique López, 2000. "La Utilización de la Capacidad Instalada de la Industria en Colombia: Un Nuevo Enfoque," Borradores de Economia 153, Banco de la Republica de Colombia.
    15. Cendejas Bueno, José Luis & Muñoz, Félix & Fernández-de-Pinedo, Nadia, 2015. "A contribution to the analysis of historical economic fluctuations (1870-2010): filtering, spurious cycles and unobserved component modelling," Working Papers in Economic Theory 2015/04, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
    16. António Rua & Nuno Lourenço, 2022. "Business cycle clocks: Time to get circular," Working Papers w202201, Banco de Portugal, Economics and Research Department.
    17. Gwin, Carl R. & VanHoose, David D., 2008. "Alternative measures of marginal cost and inflation in estimations of new Keynesian inflation dynamics," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 928-940, September.
    18. Michaelides, Panayotis G. & Papageorgiou, Theofanis & Vouldis, Angelos T., 2013. "Business cycles and economic crisis in Greece (1960–2011): A long run equilibrium analysis in the Eurozone," Economic Modelling, Elsevier, vol. 31(C), pages 804-816.
    19. Petre Caraiani, 2009. "An Estimation of Output Gap in Romanian Economy Using the DSGE Approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2009(4), pages 366-379.
    20. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2004. "Characterising the Business Cycle for Accession Countries," Econometrics 0403006, University Library of Munich, Germany.
    21. Güneş Kamber & James Morley & Benjamin Wong, 2017. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," Reserve Bank of New Zealand Discussion Paper Series DP2017/01, Reserve Bank of New Zealand.
    22. Ravn, Morten & Uhlig, Harald, 2001. "On Adjusting the HP-Filter for the Frequency of Observations," CEPR Discussion Papers 2858, C.E.P.R. Discussion Papers.
    23. Dupasquier, Chantal & Guay, Alain & St-Amant, Pierre, 1999. "A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 577-595, July.
    24. Zsolt Darvas & György Szapáry, 2008. "Business Cycle Synchronization in the Enlarged EU," Open Economies Review, Springer, vol. 19(1), pages 1-19, February.
    25. Omoshoro-Jones, Oyeyinka Sunday, 2021. "Asymmetry in Okun’s Law Revisited: New evidence on cyclical unemployment–cyclical output trade-off in the Free State Province using NARDL model," MPRA Paper 107126, University Library of Munich, Germany.
    26. Ibrahim Ahamada & Philippe Jolivaldt, 2010. "Filtres usuels et filtre fondé sur les ondelettes : étude comparative et application au cycle économique," Economie & Prévision, La Documentation Française, vol. 0(4), pages 149-161.
    27. Florian Eckert & Nina Mühlebach, 2021. "Global and Local Components of Output Gaps," KOF Working papers 21-497, KOF Swiss Economic Institute, ETH Zurich.
    28. Patricia Aranda-Cuéllar & José María López-Morales & María Jesús Such-Devesa, 2021. "Winter tourism dependence: A cyclical and cointegration analysis. Case study for the Alps," Tourism Economics, , vol. 27(7), pages 1540-1560, November.
    29. Bharat Barot, 2004. "Growth and Business Cycles for the Swedish Economy 1963-1999," Macroeconomics 0409017, University Library of Munich, Germany.
    30. Zsolt Darvas & György Szapáry, 2004. "Business Cycle Synchronisation in the Enlarged EU: Comovements in the New and Old Members," MNB Working Papers 2004/1, Magyar Nemzeti Bank (Central Bank of Hungary).
    31. Viv B. Hall & Peter Thomson, 2024. "Selecting a Boosted HP Filter for Growth Cycle Analysis Based on Maximising Sharpness," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(2), pages 193-217, July.
    32. Charles Ka Yui Leung & Joe Cho Yiu Ng, 2018. "Macro Aspects of Housing," Globalization Institute Working Papers 340, Federal Reserve Bank of Dallas.
    33. Uebele, Martin & Ritschl, Albrecht, 2009. "Stock markets and business cycle comovement in Germany before World War I: Evidence from spectral analysis," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 35-57, March.
    34. Dong He & Wei Liao & Tommy Wu, 2014. "Hong Kong's Growth Synchronisation with China and the U.S.: A Trend and Cycle Analysis," Working Papers 152014, Hong Kong Institute for Monetary Research.
    35. Francis X. Diebold & Lutz Kilian, "undated". "Measuring Predictability: Theory and Macroeconomic Applications," CARESS Working Papres 97-19, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
    36. Christos Chrysanthakopoulos & Athanasios Tagkalakis, 2024. "The medium-term effects of fiscal policy rules," Working Papers 325, Bank of Greece.
    37. Giovanni Razzu & Carl Singleton, 2014. "Gender and the Business Cycle: A Stocks and Flows Analysis of US and UK Labour Market States," Economics Discussion Papers em-dp2014-10, Department of Economics, University of Reading.
    38. Nicolas Petrosky-Nadeau & Etienne Wasmer, 2015. "Macroeconomic Dynamics in a Model of Goods, Labor and Credit Market Frictions," SciencePo Working papers Main hal-03392977, HAL.
    39. Schenk-Hoppé Klaus Reiner, 2001. "Economic Growth and Business Cycles: A Critical Comment on Detrending Time Series," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-13, April.
    40. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
    41. Martha Misas Arango & Enrique L�pez Enciso, 1998. "El Producto Potencial En Colombia: Una Estimaci�N Bajo Var Estructural," Borradores de Economia 2538, Banco de la Republica.
    42. Javier Andrés & Rafael Doménech, 2003. "Automatic stabilizers, fiscal rules and macroeconomic stability," Working Papers 0314, Banco de España.
    43. Antonio Carneiro de Almeida Júnior, 2023. "Currency Crisis or Overproduction? A Marxian Analysis of the Exchange Rate Peg Collapse in Brazil," Review of Radical Political Economics, Union for Radical Political Economics, vol. 55(3), pages 466-489, September.
    44. Hildegart Ahumada & María Lorena Garegnani, 2000. "Assesing HP Filter Performance for Argentina and U.S. Macro Aggregates," Journal of Applied Economics, Universidad del CEMA, vol. 3, pages 257-284, November.
    45. Thomas M. Trimbur, 2006. "Detrending economic time series: a Bayesian generalization of the Hodrick-Prescott filter," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(4), pages 247-273.
    46. Selin Ozyurt, 2009. "Total Factor Productivity Growth in Chinese Industry: 1952-2005," Oxford Development Studies, Taylor & Francis Journals, vol. 37(1), pages 1-17.
    47. Leo Butler, 1996. "The Bank of Canada's New Quarterly Porjection Model Part 4 : A Semi-Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter," Technical Reports 77, Bank of Canada.
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    170. Beran, Jan & Ocker, Dirk, 1999. "SEMIFAR Forecasts, with Applications to Foreign Exchange Rates," CoFE Discussion Papers 99/13, University of Konstanz, Center of Finance and Econometrics (CoFE).
    171. Baillie, Richard T. & Cecen, Aydin A. & Erkal, Cahit & Han, Young-Wook, 2004. "Measuring non-linearity, long memory and self-similarity in high-frequency European exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 401-418, December.
    172. Arora Siddharth & Little Max A. & McSharry Patrick E., 2013. "Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(4), pages 395-420, September.
    173. Zhang, Gioqinang & Hu, Michael Y., 1998. "Neural network forecasting of the British Pound/US Dollar exchange rate," Omega, Elsevier, vol. 26(4), pages 495-506, August.
    174. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
    175. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
    176. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2010. "Exchange Rate Target Zones: A Survey of the Literature," GEMF Working Papers 2010-14, GEMF, Faculty of Economics, University of Coimbra.
    177. Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16, June.
    178. Jaditz Ted & Riddick Leigh A., 2000. "Time-Series Near-Neighbor Regression," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 4(1), pages 1-11, April.
    179. Heather L. R. Tierney, 2019. "Forecasting with the Nonparametric Exclusion-from-Core Inflation Persistence Model Using Real-Time Data," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(1), pages 39-63, February.
    180. Marcos Álvarez-Díaz & Shawkat Hammoudeh & Rangan Gupta, 2013. "Detecting Predictable Non-linear Dynamics in Dow Jones Industrial Average and Dow Jones Islamic Market Indices using Nonparametric Regressions," Working Papers 201385, University of Pretoria, Department of Economics.
    181. John T. Barkoulas & Christopher F. Baum & Mustafa Caglayan & Atreya Chakraborty, 1998. "Persistent Dependence in Foreign Exchange Rates? A Reexamination," Boston College Working Papers in Economics 377, Boston College Department of Economics, revised 21 Apr 2000.
    182. G. Boero & E. Marrocu, 1999. "Modelli non lineari per i tassi di cambio: un confronto previsivo," Working Paper CRENoS 199914, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    183. Kian Teng Kwek & Kuan Nee Koay, 2006. "Exchange rate volatility and volatility asymmetries: an application to finding a natural dollar currency," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 307-323.
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    191. Yang, Jian & Su, Xiaojing & Kolari, James W., 2008. "Do Euro exchange rates follow a martingale? Some out-of-sample evidence," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 729-740, May.
    192. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
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    195. Xiru Zhang, 1994. "Non‐Linear Predictive Models for Intra‐Day Foreign Exchange Trading," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 3(4), pages 293-302, December.
    196. Barkoulas, John T. & Baum, Christopher F. & Onochie, Joseph, 1997. "A nonparametric investigation of the 90-day t-bill rate," Review of Financial Economics, Elsevier, vol. 6(2), pages 187-198.
    197. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.
    198. Marcos Álvarez-Díaz & Alberto Álvarez, 2003. "Predicción No-Lineal De Tipos De Cambio: Algoritmos Genéticos, Redes Neuronales Y Fusión De Datos," Working Papers 0301, Universidade de Vigo, Departamento de Economía Aplicada.
    199. Robert Gramacy & Samuel W. Malone & Enrique Ter Horst, 2014. "Exchange Rate Fundamentals, Forecasting, And Speculation: Bayesian Models In Black Markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(1), pages 22-41, January.

  33. James M. Nason, 1988. "The equity premium and time-varying risk behavior," Finance and Economics Discussion Series 11, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
    2. S.G. Cecchetti & P. Lam & N.C. Mark, 2010. "The equity premium and the risk-free rate: matching the moments," Levine's Working Paper Archive 1396, David K. Levine.
    3. Abel, A.B., 1990. "Asset Prices Under Habit Formation And Catching Up With The Joneses," Weiss Center Working Papers 1-90, Wharton School - Weiss Center for International Financial Research.
    4. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
    5. Danthine, J.P. & Donaldson, J.B. & Mehra, R., 1992. "The Equity Premium and the Allocation of Income Risk," Papers 92-09, Columbia - Graduate School of Business.
    6. Boldrin, M. & Christiano, L.J. & Fischer, J.D.M., 1996. "Asset Pricing Lessons for Modeling Business Cycles," Papers 268, Banca Italia - Servizio di Studi.
    7. Aiyagari, S. Rao & Gertler, Mark, 1990. "Asset Returns With Transactions Costs And Uninsured Individual Risk: A Stage Iii Exercise," Working Papers 90-43, C.V. Starr Center for Applied Economics, New York University.
    8. John Barkoulas & Christopher F. Baum & Joseph Onochie, 1996. "Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate," Boston College Working Papers in Economics 320., Boston College Department of Economics.
    9. Michele Boldrin & Lawrence J. Christiano & Jonas D. M. Fisher, 1999. "Habit persistence, asset returns and the business cycles," Working Paper Series WP-99-14, Federal Reserve Bank of Chicago.
    10. Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
    11. Lawrence J. Christiano, 1989. "Understanding Japan's saving rate: the reconstruction hypothesis," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 13(Spr), pages 10-25.
    12. S. Rao Aiyagari, 1993. "Explaining financial market facts: the importance of incomplete markets and transaction costs," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 17(Win), pages 17-31.
    13. Tsvetanka Karagyozova, 2007. "Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints," Working papers 2007-46, University of Connecticut, Department of Economics, revised Sep 2008.
    14. Barkoulas, John T. & Baum, Christopher F. & Onochie, Joseph, 1997. "A nonparametric investigation of the 90-day t-bill rate," Review of Financial Economics, Elsevier, vol. 6(2), pages 187-198.

  34. Patrick J. Coe & James M. Nason, "undated". "Long Run Monetary Neutrality in Three Samples: The United Kingdom, the United States, and the Small," Working Papers 1999-06, Department of Economics, University of Calgary, revised 01 Nov 1999.

    Cited by:

    1. James B. Bullard, 1999. "Testing long-run monetary neutrality propositions: lessons from the recent research," Review, Federal Reserve Bank of St. Louis, vol. 81(Nov), pages 57-77.
    2. Váry, Miklós, 2021. "The long-run real effects of monetary shocks: Lessons from a hybrid post-Keynesian-DSGE-agent-based menu cost model," Economic Modelling, Elsevier, vol. 105(C).

Articles

  1. James M. Nason & Gregor W. Smith, 2021. "Measuring the slowly evolving trend in US inflation with professional forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 1-17, January.
    See citations under working paper version above.
  2. Elmar Mertens & James M. Nason, 2020. "Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility," Quantitative Economics, Econometric Society, vol. 11(4), pages 1485-1520, November.
    See citations under working paper version above.
  3. Nason, James M. & Tallman, Ellis W., 2015. "Business Cycles And Financial Crises: The Roles Of Credit Supply And Demand Shocks," Macroeconomic Dynamics, Cambridge University Press, vol. 19(4), pages 836-882, June.
    See citations under working paper version above.
  4. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
    See citations under working paper version above.
  5. James M. Nason & Shaun P. Vahey, 2012. "UK World War I and interwar data for business cycle and growth analysis," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 6(2), pages 115-142, May.
    See citations under working paper version above.
  6. Hall, Alastair R. & Inoue, Atsushi & Nason, James M. & Rossi, Barbara, 2012. "Information criteria for impulse response function matching estimation of DSGE models," Journal of Econometrics, Elsevier, vol. 170(2), pages 499-518.
    See citations under working paper version above.
  7. Peter R. Hansen & Asger Lunde & James M. Nason, 2011. "The Model Confidence Set," Econometrica, Econometric Society, vol. 79(2), pages 453-497, March.
    See citations under working paper version above.
  8. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551.
    See citations under working paper version above.
  9. James M. Nason & Gregor W. Smith, 2008. "The New Keynesian Phillips curve : lessons from single-equation econometric estimation," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 361-395.

    Cited by:

    1. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
    2. Thomas A. Lubik & Wing Leong Teo, 2011. "Deep habits in the New Keynesian Phillips curve," Working Paper 11-08, Federal Reserve Bank of Richmond.
    3. Leyla BAŞTAV, 2019. "ABD İşgücü Piyasasında Histeresi Etkisi Üzerine Ampirik Bir Çalışma: Yeni Keynesyen Ücret Phillips Eğrisi (1990-2014)," Sosyoekonomi Journal, Sosyoekonomi Society.
    4. Choi, Yoonseok, 2021. "Inflation dynamics, the role of inflation at different horizons and inflation uncertainty," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 649-662.
    5. Somayeh Mardaneh, 2012. "How Do Oil Shocks A¤ect the Structural Stability of Hybrid New Keynesian Phillips Curve?," Discussion Papers in Economics 12/20, Division of Economics, School of Business, University of Leicester.
    6. Portier, Franck & Beaudry, Paul & Hou, Chenyu, 2020. "Monetary Policy when the Phillips Curve is Locally Quite Flat," CEPR Discussion Papers 15184, C.E.P.R. Discussion Papers.
    7. Grabia, Tomasz, . "Kontrowersje wokół koncepcji krzywej Phillipsa," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2014(5).
    8. Temitope Leshoro & Umakrishnan Kollamparambil, 2016. "Inflation Or Output Targeting? Monetary Policy Appropriateness In South Africa," PSL Quarterly Review, Economia civile, vol. 69(276), pages 77-104.
    9. Dandan Liu, 2011. "Learning and Estimation of the New Keynesian Phillips Curve Models," Southern Economic Journal, John Wiley & Sons, vol. 78(2), pages 382-396, October.
    10. Sohei Kaihatsu & Jouchi Nakajima, 2015. "Has Trend Inflation Shifted?: An Empirical Analysis with a Regime-Switching Model," Bank of Japan Working Paper Series 15-E-3, Bank of Japan.
    11. Markku Lanne & Jani Luoto, 2014. "Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 715-726, October.
    12. Rareș-Petru MIHALACHE & Dumitru Alexandru BODISLAV, 2019. "The new Keynesian Phillips Curve. Implications. Strengths and weaknesses," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(621), W), pages 85-92, Winter.
    13. Seth Pruitt, 2012. "Uncertainty Over Models and Data: The Rise and Fall of American Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(2‐3), pages 341-365, March.
    14. Thomas A. Lubik & Wing Leong Teo, 2010. "Inventories, inflation dynamics, and the New Keynesian Phillips curve," Working Paper 10-01, Federal Reserve Bank of Richmond.
    15. Backus, David & Zin, Stanley E. & Chernov, Mikhail & Zviadadze, Irina, 2013. "Monetary policy risk: Rules vs. discretion," CEPR Discussion Papers 9611, C.E.P.R. Discussion Papers.
    16. Vít Pošta, 2015. "Semi-structural estimates of time-varying NAIRU based on the new Keynesian Phillips curve: evidence from Eastern European economies," Empirical Economics, Springer, vol. 49(4), pages 1217-1243, December.
    17. Andres Sanchez-Jabba & Erick Villabon-Hinestroz & Bernardo Romero-Torres, 2023. "Inflation Expectations Measurement and its Effect on Inflation Dynamics in Colombia," Borradores de Economia 1257, Banco de la Republica de Colombia.
    18. Kukacka, Jiri & Sacht, Stephen, 2023. "Estimation of heuristic switching in behavioral macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    19. Mavroeidis, Sophocles & Plagborg-Moller, Mikkel & Stock, James H., 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Scholarly Articles 22795845, Harvard University Department of Economics.
    20. Lanne, Markku & Luoto, Jani, 2011. "Autoregression-Based Estimation of the New Keynesian Phillips Curve," MPRA Paper 29801, University Library of Munich, Germany.
    21. Jagadish Prasad Sahu, 2013. "Inflation dynamics in India: A hybrid New Keynesian Phillips Curve approach," Economics Bulletin, AccessEcon, vol. 33(4), pages 2634-2647.
    22. Alovokpinhou, Sedjro Aaron & Malikane, Christopher, 2024. "The effect of output and the real exchange rate on equity price dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    23. Jeremy Kronick & Farah Omran, 2019. "Inflation after the Crisis: What’s the Story?," e-briefs 293, C.D. Howe Institute.
    24. Ricardo Nunes, 2010. "Inflation Dynamics: The Role of Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1161-1172, September.
    25. Steffen Ahrens & Stephen Sacht, 2014. "Estimating a high-frequency New-Keynesian Phillips curve," Empirical Economics, Springer, vol. 46(2), pages 607-628, March.
    26. Kenneth Carlaw & Richard Lipsey, 2012. "Does history matter?: Empirical analysis of evolutionary versus stationary equilibrium views of the economy," Journal of Evolutionary Economics, Springer, vol. 22(4), pages 735-766, September.
    27. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended Phillips Curve Models with non-filtered Data," Koç University-TUSIAD Economic Research Forum Working Papers 1321, Koc University-TUSIAD Economic Research Forum.
    28. Gregor W. Smith, 2007. "Pooling Forecasts In Linear Rational Expectations Models," Working Paper 1129, Economics Department, Queen's University.
    29. Jean-Baptiste, Frédo, 2012. "Forecasting with the New Keynesian Phillips curve: Evidence from survey data," Economics Letters, Elsevier, vol. 117(3), pages 811-813.
    30. Karol Szafranek, 2016. "Linking excessive disinflation and output movements in an emerging, small open economy A hybrid New Keynesian Phillips Curve perspective," NBP Working Papers 239, Narodowy Bank Polski.
    31. Alexis Maka & Fernando De Holanda Barbosa, 2014. "Phillips Curves: An Encompassing Test," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 061, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    32. NAKAJIMA, Jouchi, 2023. "Estimating trend inflation in a regime-switching Phillips curve," Discussion Paper Series 750, Institute of Economic Research, Hitotsubashi University.
    33. Havva Koç, 2023. "The Hybrid New Keynesian Phillips Curve: An Application For Türkiye," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 129-146, December.
    34. Claudio Borio & Piti Disyatat & Mikael Juselius, 2014. "A parsimonious approach to incorporating economic information in measures of potential output," BIS Working Papers 442, Bank for International Settlements.
    35. Behera, Harendra Kumar & Patra, Michael Debabrata, 2022. "Measuring trend inflation in India," Journal of Asian Economics, Elsevier, vol. 80(C).
    36. Michael F. Bryan & Brent Meyer & Nicholas B. Parker, 2014. "The inflation expectations of firms: what do they look like, are they accurate, and do they matter?," FRB Atlanta Working Paper 2014-27, Federal Reserve Bank of Atlanta.
    37. Robert L. Hetzel, 2013. "The Monetarist-Keynesian Debate and the Phillips Curve: Lessons from the Great Inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue 2Q, pages 83-116.
    38. Tomasz Grabia, 2014. "Kontrowersje wokół koncepcji krzywej Phillipsa," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5, pages 5-28.
    39. Nalan Basturk & Cem Cakmakli & Pinar Ceyhan & Herman K. van Dijk, 2013. "Posterior-Predictive Evidence on US Inflation using Extended New Keynesian Phillips Curve Models with Non-filtered Data," Tinbergen Institute Discussion Papers 13-090/III, Tinbergen Institute.
    40. Michael Bleaney & Manuela Francisco, 2018. "Is The Phillips Curve Different In Poor Countries?," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 17-28, January.
    41. Bec, Frédérique & Kanda, Patrick, 2020. "Is inflation driven by survey-based, VAR-based or myopic expectations? An empirical assessment from US real-time data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    42. Abbas, Syed Kanwar & Sgro, Pasquale M., 2011. "New Keynesian Phillips Curve and inflation dynamics in Australia," Economic Modelling, Elsevier, vol. 28(4), pages 2022-2033, July.
    43. José Francisco Bellod Redondo, 2013. "La NAIRU y la pseudociencia neoliberal," Revista de Economia Critica, Universidad Pablo de Olavide y Asociacion de Economia Critica, vol. 16, pages 18-43.
    44. Ahrens, Steffen & Hartmann, Matthias, 2014. "State-dependence vs. timedependence: An empirical multi-country investigation of price sluggishness," Kiel Working Papers 1907, Kiel Institute for the World Economy (IfW Kiel).
    45. Kaihatsu, Sohei & Nakajima, Jouchi, 2018. "Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model," Economic Analysis and Policy, Elsevier, vol. 59(C), pages 69-83.

  10. Nason James M. & Smith Gregor W, 2008. "Great Moderation(s) and US Interest Rates: Unconditional Evidence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-33, November.
    See citations under working paper version above.
  11. Shaun P. Vahey & James M. Nason, 2007. "The McKenna Rule and UK World War I Finance," American Economic Review, American Economic Association, vol. 97(2), pages 290-294, May.
    See citations under working paper version above.
  12. Brock, William A. & Durlauf, Steven N. & Nason, James M. & Rondina, Giacomo, 2007. "Simple versus optimal rules as guides to policy," Journal of Monetary Economics, Elsevier, vol. 54(5), pages 1372-1396, July.
    See citations under working paper version above.
  13. James M. Nason, 2006. "Instability in U.S. inflation: 1967-2005," Economic Review, Federal Reserve Bank of Atlanta, vol. 91(Q 2), pages 39-59.

    Cited by:

    1. Gbaguidi, David Sedo, 2011. "Expectations Impact on the Effectiveness of the Inflation-Real Activity Trade-Off," MPRA Paper 35482, University Library of Munich, Germany.
    2. Mark Bils & Peter J. Klenow & Benjamin A. Malin, 2012. "Reset Price Inflation and the Impact of Monetary Policy Shocks," American Economic Review, American Economic Association, vol. 102(6), pages 2798-2825, October.
    3. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
    4. Duc Do, Nguyen, 2024. "Money/asset ratio as a predictor of inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
    5. C.S. Bos & S.J. Koopman & M. Ooms, 2007. "Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks," Tinbergen Institute Discussion Papers 07-099/4, Tinbergen Institute.
    6. James M. Nason & Gregor W. Smith, 2013. "Reverse Kalman filtering U.S. inflation with sticky professional forecasts," Working Papers 13-34, Federal Reserve Bank of Philadelphia.
    7. Altansukh, Gantungalag & Becker, Ralf & Bratsiotis, George J. & Osborn, Denise R., 2017. "What is the Globalisation of Inflation?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 74, pages 1-27.

  14. Nason, James M. & Rogers, John H., 2006. "The present-value model of the current account has been rejected: Round up the usual suspects," Journal of International Economics, Elsevier, vol. 68(1), pages 159-187, January.
    See citations under working paper version above.
  15. Elizabeth Wakerly & Byron Scott & James Nason, 2006. "Common trends and common cycles in Canada: who knew so much has been going on?," Canadian Journal of Economics, Canadian Economics Association, vol. 39(1), pages 320-347, February.
    See citations under working paper version above.
  16. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.

    Cited by:

    1. Frederick H. Wallace & Gary L. Shelley, 2005. "An Alternative Test of Purchasing Power Parity," International Finance 0502009, University Library of Munich, Germany.
    2. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
    3. Westerlund, Joakim & Costantini, Mauro, 2006. "Panel Cointegration and the Neutrality of Money," Working Papers 2006:18, Lund University, Department of Economics.
    4. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
    5. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
    6. Gary L. Shelley & Frederick H. Wallace, 2004. "Long Run Effects of Money on Real Consumption and Investment in the U.S," Macroeconomics 0404007, University Library of Munich, Germany, revised 06 Apr 2004.
    7. Becker, Sascha O. & Hoffmann, Mathias, 2006. "Intra- and international risk-sharing in the short run and the long run," European Economic Review, Elsevier, vol. 50(3), pages 777-806, April.
    8. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1961-1985, August.
    9. Lastrapes, William D. & Potts, Todd B., 2006. "Durable goods and the forward-looking theory of consumption: Estimates implied by the dynamic effects of money," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1409-1430, August.
    10. Shyh-Wei Chen, 2007. "Evidence of the Long-Run Neutrality of Money: The Case of South Korea and Taiwan," Economics Bulletin, AccessEcon, vol. 3(64), pages 1-18.
    11. Ventosa-Santaulària, Daniel & Noriega, Antonio E., 2015. "Long-run monetary neutrality under stochastic and deterministic trends," Economic Modelling, Elsevier, vol. 47(C), pages 372-382.
    12. Shiu‐Sheng Chen & Yu‐Hsi Chou, 2010. "Exchange Rates and Fundamentals: Evidence from Long‐Horizon Regression Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 63-88, February.
    13. Frederick H. Wallace & Gary L. Shelley, 2004. "Long Run Neutrality and Superneutrality of Money: Aggregate and Sectoral Tests for Nicaragua," Macroeconomics 0402004, University Library of Munich, Germany.

  17. Coe, Patrick J. & Nason, James M., 2003. "The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted?," Economics Letters, Elsevier, vol. 78(3), pages 351-356, March.

    Cited by:

    1. Frederick H. Wallace & Gary L. Shelley, 2005. "An Alternative Test of Purchasing Power Parity," International Finance 0502009, University Library of Munich, Germany.
    2. Noriega Antonio E. & Ventosa-Santaulària Daniel, 2010. "Spurious Long-Horizon Regression in Econometrics," Working Papers 2010-06, Banco de México.
    3. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
    4. Gary L. Shelley & Frederick H. Wallace, 2004. "Long Run Effects of Money on Real Consumption and Investment in the U.S," Macroeconomics 0404007, University Library of Munich, Germany, revised 06 Apr 2004.
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    117. Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany.
    118. Syed Zwick, Hélène & Syed, Sarfaraz Ali Shah & Liddle, Brantley & Lung, Sidney, 2017. "Disaggregated relationship between economic growth and energy use in OECD countries: Time-series and cross-country evidence," MPRA Paper 93271, University Library of Munich, Germany.
    119. Vasco J. Gabriel & Martin Sola & Zacharias Psaradakis, 2002. "Residual-based tests for cointegration and multiple regime shifts," NIPE Working Papers 7/2002, NIPE - Universidade do Minho.

  21. Cogley, Timothy & Nason, James M, 1995. "Output Dynamics in Real-Business-Cycle Models," American Economic Review, American Economic Association, vol. 85(3), pages 492-511, June.
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  22. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
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  23. Nason, James M & Cogley, Timothy, 1994. "Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages 37-70, Suppl. De.

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    1. Atsushi Inoue & Mototsugu Shintani, 2018. "Quasi‐Bayesian model selection," Quantitative Economics, Econometric Society, vol. 9(3), pages 1265-1297, November.
    2. Takashi Kano & James M. Nason, 2014. "Business Cycle Implications of Internal Consumption Habit for New Keynesian Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 519-544, March.
    3. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
    4. Smets, Frank & Del Negro, Marco & Wouters, Rafael & Schorfheide, Frank, 2005. "On the Fit and Forecasting Performance of New Keynesian Models," CEPR Discussion Papers 4848, C.E.P.R. Discussion Papers.
    5. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    6. Christian Calmes & Frederic Dufourt, 2000. "Nominal Dynamics in Expected Market-Clearing Models," Cahiers de recherche CREFE / CREFE Working Papers 126, CREFE, Université du Québec à Montréal.
    7. James M. Nason & George A. Slotsve, 2004. "Along the New Keynesian Phillips curve with nominal and real rigidities," FRB Atlanta Working Paper 2004-9, Federal Reserve Bank of Atlanta.
    8. Paccagnini, Alessia, 2017. "Dealing with Misspecification in DSGE Models: A Survey," MPRA Paper 82914, University Library of Munich, Germany.
    9. Martin Menner, 2009. "The role for search frictions for output and inflation dynamics: A Bayesian assessment," Working Papers. Serie AD 2009-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    10. S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
    11. Danthine, Jean-Pierre & Kurmann, André, 2010. "The business cycle implications of reciprocity in labor relations," Journal of Monetary Economics, Elsevier, vol. 57(7), pages 837-850, October.
    12. Alfonso Novales, 2002. "The Role of Simulation Methods in Macroeconomics," Documentos de Trabajo del ICAE 0227, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    13. Dupor, Bill & Han, Jing & Tsai, Yi-Chan, 2009. "What do technology shocks tell us about the New Keynesian paradigm?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 560-569, May.
    14. Díaz-Giménez, Javier & Kirkby, Robert, 2016. "Inflation and the growth rate of money in the long run and the short run," Working Paper Series 19418, Victoria University of Wellington, School of Economics and Finance.
    15. Paccagnini, Alessia, 2010. "DSGE Model Validation in a Bayesian Framework: an Assessment," MPRA Paper 24509, University Library of Munich, Germany.
    16. Alessia Paccagnini, 2012. "Comparing Hybrid DSGE Models," Working Papers 228, University of Milano-Bicocca, Department of Economics, revised Dec 2012.
    17. Rochelle M. Edge, 2000. "The effect of monetary policy on residential and structures investment under differential project planning and completion times," International Finance Discussion Papers 671, Board of Governors of the Federal Reserve System (U.S.).
    18. James M. Nason & Takashi Kano, 2004. "Business Cycle Implications of Habit Formation," Computing in Economics and Finance 2004 175, Society for Computational Economics.
    19. Menner, Martin, 2005. "A search-theoretic monetary business cycle model with capital formation," UC3M Working papers. Economics we056634, Universidad Carlos III de Madrid. Departamento de Economía.
    20. Hnatkovska, Viktoria & Marmer, Vadim & Tang, Yao, 2012. "Comparison of misspecified calibrated models: The minimum distance approach," Journal of Econometrics, Elsevier, vol. 169(1), pages 131-138.
    21. Shawn A Osell, 2018. "Comparative Monetary Tools: Open Market Operations and Interest on Reserves," Economics Bulletin, AccessEcon, vol. 38(1), pages 459-471.
    22. Frédéric Karamé, 2015. "Asymmetries and Markov-switching structural VAR," Post-Print hal-02296101, HAL.
    23. Minford, Patrick & Meenagh, David & Theodoridis, Konstantinos, 2008. "Testing a Model of the UK by the Method of Indirect Inference," CEPR Discussion Papers 6849, C.E.P.R. Discussion Papers.
    24. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    25. Fabio Canova & Eva Ortega, 1996. "Testing calibrated general equilibrium models," Economics Working Papers 166, Department of Economics and Business, Universitat Pompeu Fabra.
    26. Daniel F. Waggoner & Tao Zha, 2000. "Likelihood-preserving normalization in multiple equation models," FRB Atlanta Working Paper 2000-8, Federal Reserve Bank of Atlanta.
    27. S. Meral Cakici, 2011. "Default Risk Premium and Aggregate Fluctuations in a Small Open Economy," Koç University-TUSIAD Economic Research Forum Working Papers 1131, Koc University-TUSIAD Economic Research Forum.
    28. Hyeon-Seung Huh, 2013. "A Monte Carlo test for the identifying assumptions of the Blanchard and Quah (1989) model," Applied Economics Letters, Taylor & Francis Journals, vol. 20(6), pages 601-605, April.
    29. Menner, Martin, 2006. "Monetary propagation in search-theoretic monetary models," UC3M Working papers. Economics we066426, Universidad Carlos III de Madrid. Departamento de Economía.
    30. Huh, Hyeon-seung & Kim, David, 2013. "An empirical test of exogenous versus endogenous growth models for the G-7 countries," Economic Modelling, Elsevier, vol. 32(C), pages 262-272.
    31. Oladunni, Sunday, 2019. "External Shocks and Business Cycle Fluctuations in Oil-exporting Small Open Economies: The Case of Nigeria," MPRA Paper 98639, University Library of Munich, Germany.
    32. Bamadev Paudel, 2017. "Alleviating Poverty through Job Creation: Quantity Equation of Money may Come into Play," Journal of Development Innovations, KarmaQuest International, vol. 1(1), pages 84-113, February.
    33. Cakici, S. Meral, 2011. "Financial integration and business cycles in a small open economy," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1280-1302.

  24. Cogley, Timothy & Nason, James M., 1993. "Impulse dynamics and propagation mechanisms in a real business cycle model," Economics Letters, Elsevier, vol. 43(1), pages 77-81.

    Cited by:

    1. Stefano Eusepi & Bruce Preston, 2008. "Expectations, Learning And Business Cycle Fluctuations," CAMA Working Papers 2008-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    2. Jean-Pascal Bénassy, 2006. "Dynamic models with non clearing markets," PSE Working Papers halshs-00590433, HAL.
    3. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2017. "On weak identification in structural VARMA models," Economics Letters, Elsevier, vol. 156(C), pages 1-6.
    4. Kato, Ryo, 2006. "Liquidity, infinite horizons and macroeconomic fluctuations," European Economic Review, Elsevier, vol. 50(5), pages 1105-1130, July.
    5. Garey Ramey & Wouter J. den Haan & Joel Watson, 2000. "Job Destruction and Propagation of Shocks," American Economic Review, American Economic Association, vol. 90(3), pages 482-498, June.
    6. Zhang, Haiping, 2005. "Limited Pledgeability, Asset Prices, and Macroeconomic Fluctuations," Bonn Econ Discussion Papers 11/2005, University of Bonn, Bonn Graduate School of Economics (BGSE).
    7. Martin Fukac & Adrian Pagan, 2009. "Structural Macro-Econometric Modelling in a Policy Environment," NCER Working Paper Series 50, National Centre for Econometric Research.
    8. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
    9. von Hagen, Jürgen & Zhang, Haiping, 2008. "Financial frictions, capital reallocation, and aggregate fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 32(3), pages 978-999, March.
    10. Martin Fukac & Adrian Pagan, 2006. "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers 2006/6, Czech National Bank, Research and Statistics Department.
    11. Nigar Hashimzade & Salvador Ortigueira, 2004. "Endogenous Business Cycle With Search In The Labour Market," Royal Economic Society Annual Conference 2004 161, Royal Economic Society.
    12. Oleg Korenok & Norman R. Swanson, 2007. "How Sticky Is Sticky Enough? A Distributional and Impulse Response Analysis of New Keynesian DSGE Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(6), pages 1481-1508, September.
    13. Jean-Pascal Bénassy, 2002. "Conférence François-Albert Angers (2002)," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(4), pages 423-457.
    14. Luo Yulei & Young Eric R, 2009. "Rational Inattention and Aggregate Fluctuations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-43, April.
    15. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," EconomiX Working Papers 2012-17, University of Paris Nanterre, EconomiX.
    16. Yao, Wenying & Kam, Timothy & Vahid, Farshid, 2014. "VAR(MA), what is it good for? more bad news for reduced-form estimation and inference," Working Papers 2014-14, University of Tasmania, Tasmanian School of Business and Economics.
    17. Giovanni Dosi & Andrea Roventini, 2019. "More is different ... and complex! the case for agent-based macroeconomics," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 1-37, March.
    18. Gáti, Laura, 2023. "Monetary policy & anchored expectations—An endogenous gain learning model," Journal of Monetary Economics, Elsevier, vol. 140(S), pages 37-47.
    19. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
    20. David R.F. Love & Jean-Francois Lamarche, 2004. "Anticipation and Real Business Cycles," Working Papers 0703, Brock University, Department of Economics, revised Sep 2007.
    21. David R.F. Love, 2007. "Aggregate Comovements, Anticipation, and Business Cycles," Working Papers 0704, Brock University, Department of Economics, revised Jun 2007.
    22. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
    23. Cook, David, 2001. "Time to enter and business cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 25(8), pages 1241-1261, August.
    24. G. Fagiolo & A. Roventini, 2009. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
    25. Benassy, Jean-Pascal, 1996. "Monopolistic competition, increasing returns to specialization and output persistence," Economics Letters, Elsevier, vol. 52(2), pages 187-191, August.

  25. Timothy Cogley & James M. Nason, 1991. "Effects of the Hodrick-Prescott filter on integrated time series," Proceedings, Federal Reserve Bank of San Francisco, issue nov.

    Cited by:

    1. Kennedy, James E., 1998. "An Analysis of Time-Series Estimates of Capacity Utilization," Journal of Macroeconomics, Elsevier, vol. 20(1), pages 169-187, January.
    2. R. Anton Braun & Charles L. Evans, 1991. "Seasonality and equilibrium business cycle theories," Working Paper Series, Macroeconomic Issues 91-23, Federal Reserve Bank of Chicago.
    3. Andrés, Javier & Fatás, Antonio & Domenech, Rafael, 2004. "The Stabilizing Role of Government Size," CEPR Discussion Papers 4384, C.E.P.R. Discussion Papers.
    4. ramona Jimborean, 2011. "The Exchange Rate Pass-Through in the New EU Member States," Working papers 341, Banque de France.
    5. Emilian Dobrescu, 2006. "Integration of Macroeconomic Behavioural Relationships and the Input-output Block (Romanian Modelling Experience)," EcoMod2006 272100018, EcoMod.
    6. Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany.
    7. Dobrescu, Emilian, 2006. "Macromodel of the Romanian market economy (version 2005)," MPRA Paper 35749, University Library of Munich, Germany.
    8. Semmler, Will & Gong, Gang, 1996. "Estimating parameters of real business cycle models," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 301-325, September.
    9. Nicholas APERGIS, 1996. "The Cyclical Behavior Of Prices: Evidence From Seven Developing Countries," The Developing Economies, Institute of Developing Economies, vol. 34(2), pages 204-211, June.
    10. Andrle, Michal, 2008. "The Role of Trends and Detrending in DSGE Models," MPRA Paper 13289, University Library of Munich, Germany.
    11. João Valle e Azevedo, 2002. "Business Cycles: Cyclical Comovement Within the European Union in the Period 1960-1999. A Frequency Domain Approach," Working Papers w200205, Banco de Portugal, Economics and Research Department.
    12. Lindsay Tedds, 1998. "What goes up must come down (but not necessarily at the same rate): Testing for asymmetry in New Zealand time series," New Zealand Economic Papers, Taylor & Francis Journals, vol. 32(1), pages 41-55.
    13. Karras, Georgios & Song, Frank, 1996. "Sources of business-cycle volatility: An exploratory study on a sample of OECD countries," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 621-637.
    14. David E. A. Giles, 1997. "Testing for Asymmetry in the Measured and Underground Business Cycles in New Zealand," The Economic Record, The Economic Society of Australia, vol. 73(222), pages 225-232, September.

  26. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
    See citations under working paper version above.

Chapters

  1. Pablo A. Guerrón-Quintana & James M. Nason, 2013. "Bayesian estimation of DSGE models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 21, pages 486-512, Edward Elgar Publishing.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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