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Details about Todd Clark

Workplace:Economic Research, Federal Reserve Bank of Cleveland, (more information at EDIRC)

Access statistics for papers by Todd Clark.

Last updated 2014-12-16. Update your information in the RePEc Author Service.

Short-id: pcl55


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Working Papers

2014

  1. Evaluating Conditional Forecasts from Vector Autoregressions
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2014) Downloads View citations (1)
  2. Have Standard VARs Remained Stable since the Crisis?
    Working Paper, Federal Reserve Bank of Cleveland Downloads
    Also in Working Paper, Norges Bank (2014) Downloads View citations (1)
  3. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  4. Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (1)

2013

  1. Evaluating the accuracy of forecasts from vector autoregressions
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  2. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2012) Downloads

2012

  1. Common Drifting Volatility in Large Bayesian VARs
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2012) Downloads View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (2)
  2. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (2)
    Also in Working Paper, Norges Bank (2012) Downloads View citations (6)

2011

  1. A Bayesian evaluation of alternative models of trend inflation
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (4)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2011) Downloads View citations (7)
  2. Advances in forecast evaluation
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2011) Downloads View citations (10)
  3. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (25)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2011) Downloads View citations (2)
  4. Tests of equal forecast accuracy for overlapping models
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2011) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2014)

2010

  1. Reality checks and nested forecast model comparisons
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)
  2. Testing for unconditional predictive ability
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (9)

2009

  1. Decomposing the declining volatility of long-term inflation expectations
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2011)
  2. In-sample tests of predictive ability: a new approach
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)
  3. Nested forecast model comparisons: a new approach to testing equal accuracy
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (4)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) Downloads View citations (19)
  4. Real-time density forecasts from VARs with stochastic volatility
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads
  5. Time variation in the inflation passthrough of energy prices
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2010)

2008

  1. An empirical assessment of the relationships among inflation and short- and long-term expectations
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (9)
  2. Averaging forecasts from VARs with uncertain instabilities
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (6)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads
    Research Working Paper, Federal Reserve Bank of Kansas City (2006) Downloads View citations (8)

    See also Journal Article in Journal of Applied Econometrics (2010)
  3. Combining forecasts from nested models
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2006) Downloads View citations (4)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (4)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2009)
  4. Improving forecast accuracy by combining recursive and rolling forecasts
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2004) Downloads View citations (16)

    See also Journal Article in International Economic Review (2009)
  5. Tests of equal predictive ability with real-time data
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2007) Downloads View citations (14)

    See also Journal Article in Journal of Business & Economic Statistics (2009)

2007

  1. Forecasting with small macroeconomic VARs in the presence of instabilities
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (13)

2006

  1. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2005) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2007)
  2. Forecasting of small macroeconomic VARs in the presence of instabilities
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (4)

2005

  1. Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads

2004

  1. Estimating equilibrium real interest rates in real time
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (11)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2004) Downloads View citations (6)

    See also Journal Article in The North American Journal of Economics and Finance (2005)
  2. Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Disaggregate evidence on the persistence of consumer price inflation
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (14)
    See also Journal Article in Journal of Applied Econometrics (2006)
  2. The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (10)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2003) Downloads View citations (15)

    See also Journal Article in Journal of Money, Credit and Banking (2006)

2002

  1. Forecast-based model selection in the presence of structural breaks
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (9)

2001

  1. Evaluating long-horizon forecasts
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (27)

2000

  1. Can out-of-sample forecast comparisons help prevent overfitting?
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (4)
    See also Journal Article in Journal of Forecasting (2004)
  2. Tests of Equal Forecast Accuracy and Encompassing for Nested Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (8)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads View citations (7)
    Research Working Paper, Federal Reserve Bank of Kansas City (1999) Downloads View citations (7)

    See also Journal Article in Journal of Econometrics (2001)

1999

  1. Borders and business cycles
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (6)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (1999) Downloads View citations (18)

    See also Journal Article in Journal of International Economics (2001)

1998

  1. The sources of fluctuations within and across countries
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (44)

1997

  1. Do producer prices help predict consumer prices?
    Research Working Paper, Federal Reserve Bank of Kansas City

1996

  1. Finite-sample properties of tests for forecast equivalence
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (7)
  2. The responses of prices at different stages of production to monetary policy shocks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)
    See also Journal Article in The Review of Economics and Statistics (1999)

1995

  1. Forecasting an aggregate of cointegrated disaggregates
    Research Working Paper, Federal Reserve Bank of Kansas City
  2. Small sample properties of estimators of non-linear models of covariance structure
    Research Working Paper, Federal Reserve Bank of Kansas City
    See also Journal Article in Journal of Business & Economic Statistics (1996)

1994

  1. A comparison of two approaches to measuring common and idiosyncratic components in sets of time series variables
    Research Working Paper, Federal Reserve Bank of Kansas City

1993

  1. Cross-country evidence on long run growth and inflation
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (12)
    See also Journal Article in Economic Inquiry (1997)
  2. Rents and prices of housing across areas of the U.S.: a cross-section examination of the present value model
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)

1992

  1. Business cycle fluctuations in U.S. regions and industries: the roles of national, region-specific, and industry-specific shocks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (3)

Journal Articles

2014

  1. 2013 Annual Report Why Inflation Is Very Low, and Why It Matters
    Annual Report, 2014, 1-42 Downloads
  2. Evaluating alternative models of trend inflation
    International Journal of Forecasting, 2014, 30, (3), 426-448 Downloads View citations (3)
  3. TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
    Journal of Applied Econometrics, 2014, 29, (3), 415-430 Downloads
    See also Working Paper (2011)
  4. The Importance of Trend Inflation in the Search for Missing Disinflation
    Economic Commentary, 2014, (Aug) Downloads

2013

  1. Forecasting implications of the recent decline in inflation
    Economic Commentary, 2013, (Nov) Downloads View citations (1)

2012

  1. In-sample tests of predictive ability: A new approach
    Journal of Econometrics, 2012, 170, (1), 1-14 Downloads View citations (3)
    See also Working Paper (2009)
  2. Policy rules in macroeconomic forecasting models
    Economic Commentary, 2012, (Oct) Downloads

2011

  1. Decomposing the declining volatility of long-term inflation expectations
    Journal of Economic Dynamics and Control, 2011, 35, (7), 981-999 Downloads View citations (18)
    See also Working Paper (2009)
  2. Food and energy price shocks: what other prices are affected?
    Economic Commentary, 2011, (Aug) Downloads
  3. Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
    Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 Downloads View citations (21)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 (2011) Downloads View citations (7)
  4. Reality Checks and Comparisons of Nested Predictive Models
    Journal of Business & Economic Statistics, 2011, 30, (1), 53-66 Downloads

2010

  1. Averaging forecasts from VARs with uncertain instabilities
    Journal of Applied Econometrics, 2010, 25, (1), 5-29 Downloads View citations (38)
    See also Working Paper (2008)
  2. Time Variation in the Inflation Passthrough of Energy Prices
    Journal of Money, Credit and Banking, 2010, 42, (7), 1419-1433 Downloads View citations (8)
    See also Working Paper (2009)

2009

  1. Combining Forecasts from Nested Models
    Oxford Bulletin of Economics and Statistics, 2009, 71, (3), 303-329 Downloads View citations (4)
    See also Working Paper (2008)
  2. IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS
    International Economic Review, 2009, 50, (2), 363-395 Downloads View citations (21)
    See also Working Paper (2008)
  3. Is the Great Moderation over? an empirical analysis
    Economic Review, 2009, (Q IV), 5-42 Downloads View citations (7)
  4. Tests of Equal Predictive Ability With Real-Time Data
    Journal of Business & Economic Statistics, 2009, 27, (4), 441-454 Downloads View citations (27)
    See also Working Paper (2008)

2008

  1. Has the behavior of inflation and long-term inflation expectations changed?
    Economic Review, 2008, (Q I), 17-50 Downloads View citations (9)

2007

  1. Approximately normal tests for equal predictive accuracy in nested models
    Journal of Econometrics, 2007, 138, (1), 291-311 Downloads View citations (251)
    See also Working Paper (2006)

2006

  1. Disaggregate evidence on the persistence of consumer price inflation
    Journal of Applied Econometrics, 2006, 21, (5), 563-587 Downloads View citations (29)
    See also Working Paper (2003)
  2. The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
    Journal of Money, Credit and Banking, 2006, 38, (5), 1127-1148 Downloads View citations (39)
    See also Working Paper (2003)
  3. The trend growth rate of employment: past, present, and future
    Economic Review, 2006, (Q I), 43-85 Downloads View citations (2)
  4. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
    Journal of Econometrics, 2006, 135, (1-2), 155-186 Downloads View citations (128)
    See also Working Paper (2004)

2005

  1. Estimating equilibrium real interest rates in real time
    The North American Journal of Economics and Finance, 2005, 16, (3), 395-413 Downloads View citations (35)
    See also Working Paper (2004)
  2. Evaluating Direct Multistep Forecasts
    Econometric Reviews, 2005, 24, (4), 369-404 Downloads View citations (84)
  3. The power of tests of predictive ability in the presence of structural breaks
    Journal of Econometrics, 2005, 124, (1), 1-31 Downloads View citations (31)

2004

  1. An evaluation of the decline in goods inflation
    Economic Review, 2004, (Q II), 19-51 Downloads View citations (3)
  2. Can out-of-sample forecast comparisons help prevent overfitting?
    Journal of Forecasting, 2004, 23, (2), 115-139 Downloads View citations (21)
    See also Working Paper (2000)

2001

  1. Borders and business cycles
    Journal of International Economics, 2001, 55, (1), 59-85 Downloads View citations (155)
    See also Working Paper (1999)
  2. Comparing measures of core inflation
    Economic Review, 2001, (Q II), 5-31 Downloads View citations (28)
  3. Tests of equal forecast accuracy and encompassing for nested models
    Journal of Econometrics, 2001, 105, (1), 85-110 Downloads View citations (339)
    See also Working Paper (2000)

1999

  1. A comparison of the CPI and the PCE price index
    Economic Review, 1999, (Q III), 15-29 Downloads View citations (17)
  2. The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks
    The Review of Economics and Statistics, 1999, 81, (3), 420-433 Downloads View citations (38)
    See also Working Paper (1996)

1998

  1. Employment Fluctuations in U.S. Regions and Industries: The Roles of National, Region-Specific, and Industry-Specific Shocks
    Journal of Labor Economics, 1998, 16, (1), 202-29 Downloads View citations (41)
  2. Progress toward price stability: a 1997 inflation report
    Economic Review, 1998, (Q I), 5-21 Downloads

1997

  1. Cross-country Evidence on Long-Run Growth and Inflation
    Economic Inquiry, 1997, 35, (1), 70-81 View citations (23)
    See also Working Paper (1993)
  2. U.S. inflation developments in 1996
    Economic Review, 1997, (Q I), 11-30 Downloads

1996

  1. Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure
    Journal of Business & Economic Statistics, 1996, 14, (3), 367-73 View citations (30)
    See also Working Paper (1995)
  2. U.S. inflation developments in 1995
    Economic Review, 1996, (Q I), 27-42 Downloads

1995

  1. Do producer prices lead consumer prices?
    Economic Review, 1995, (Q III), 25-39 Downloads View citations (11)
  2. Rents and prices of housing across areas of the United States. A cross-section examination of the present value model
    Regional Science and Urban Economics, 1995, 25, (2), 237-247 Downloads View citations (7)

1994

  1. Nominal GDP targeting rules: can they stabilize the economy?
    Economic Review, 1994, (Q III), 11-25 Downloads View citations (8)
 
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