Details about James Morley

E-mail:
Homepage:	https://sites.google.com/site/jamescmorley/
Postal address:	School of Economics University of Sydney Sydney, NSW 2006 Australia
Workplace:	School of Economics, Faculty of Arts and Social Sciences, University of Sydney, (more information at EDIRC)

Access statistics for papers by James Morley.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pmo629

---

Jump to Journal Articles Chapters

Working Papers

2024

1. A Structural Measure of the Shadow Federal Funds Rate
   Working Papers, University of Sydney, School of Economics
   Also in Working Papers, Red Nacional de Investigadores en Economía (RedNIE) (2022) View citations (2)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2022) View citations (1)
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2021)
2. How Does Tax and Transfer Progressivity Affect Household Consumption Insurance?
   Working Papers, University of Sydney, School of Economics
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2024)
3. Trend-Cycle Decomposition in the Presence of Large Shocks
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   See also Journal Article Trend-cycle decomposition in the presence of large shocks, Journal of Economic Dynamics and Control, Elsevier (2025) (2025)
4. Unemployment in a Commodity-Rich Economy: How Relevant Is Dutch Disease
   Economics Series Working Papers, University of Oxford, Department of Economics
   Also in CIGS Working Paper Series, The Canon Institute for Global Studies (2024)
   Discussion Papers, Centre for Macroeconomics (CFM) (2024)
   Working Papers, University of Sydney, School of Economics (2024)
   Working Papers, Red Nacional de Investigadores en Economía (RedNIE) (2024)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2024)
   CESifo Working Paper Series, CESifo (2024)

2023

5. A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
   See also Journal Article A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)
6. Did Marginal Propensities to Consume Change with the Housing Boom and Bust?
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   See also Journal Article Did marginal propensities to consume change with the housing boom and bust?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) (2024)
7. Does the Survey of Professional Forecasters Help Predict the Shape of Recessions in Real Time? 
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
8. Dutch Disease, Unemployment and Structural Change
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Working Papers, Red Nacional de Investigadores en Economía (RedNIE) (2023)

2022

9. Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
   Working Paper Series, European Central Bank View citations (1)
   See also Journal Article Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic, European Economic Review, Elsevier (2023) View citations (6) (2023)

2021

10. Cyclical signals from the labor market
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
11. Marginal propensities to consume before and after the Great Recession
    Working Papers, University of Sydney, School of Economics View citations (5)

2020

12. Have the driving forces of inflation changed in advanced and emerging market economies?
    BIS Working Papers, Bank for International Settlements View citations (2)
13. Nowcasting the output gap
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (13)
    See also Journal Article Nowcasting the output gap, Journal of Econometrics, Elsevier (2023) View citations (13) (2023)
14. Why has the U.S. economy stagnated since the Great Recession?
    Discussion Paper Series, Institute of Economic Research, Korea University View citations (13)
    Also in Working Papers, University of Sydney, School of Economics (2019) View citations (2)
    See also Journal Article Why Has the U.S. Economy Stagnated since the Great Recession?, The Review of Economics and Statistics, MIT Press (2022) View citations (11) (2022)

2019

15. A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting
    Working Papers, University of Sydney, School of Economics View citations (1)
    See also Journal Article A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting, The Economic Record, The Economic Society of Australia (2020) View citations (6) (2020)
16. Estimating Household Consumption Insurance
    Working Papers, University of Sydney, School of Economics
    See also Journal Article Estimating household consumption insurance, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (6) (2021)
17. Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions
    Working Papers, University of Sydney, School of Economics View citations (5)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (2)
    See also Journal Article Estimating and accounting for the output gap with large Bayesian vector autoregressions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (24) (2020)
18. Full Information Estimation of Household Income Risk and Consumption Insurance
    Discussion Papers, School of Economics, The University of New South Wales
19. Household Balance Sheets and Consumption Responses to Income Shocks
    2019 Meeting Papers, Society for Economic Dynamics View citations (4)
20. Measuring the fiscal multiplier when plans take time to implement
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) (2018) View citations (1)
21. The Australian real-time fiscal database: A overview and an illustration of its use in analysing planned and realised fiscal policies
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) (2018)

2017

22. Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (6)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (4)
    BIS Working Papers, Bank for International Settlements (2016) View citations (9)
    Discussion Papers, School of Economics, The University of New South Wales (2017) View citations (11)
    Discussion Papers, School of Economics, The University of New South Wales (2016) View citations (10)
    See also Journal Article Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter, The Review of Economics and Statistics, MIT Press (2018) View citations (79) (2018)
23. Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?
    Discussion Papers, School of Economics, The University of New South Wales View citations (2)
    Also in Discussion Papers, School of Economics, The University of New South Wales (2016) View citations (2)
    See also Journal Article IS BUSINESS CYCLE ASYMMETRY INTRINSIC IN INDUSTRIALIZED ECONOMIES?, Macroeconomic Dynamics, Cambridge University Press (2020) View citations (10) (2020)
24. When Do Discretionary Changes in Government Spending or Taxes Have Larger Effects?
    Discussion Papers, School of Economics, The University of New South Wales

2016

25. Estimating DSGE models with Zero Interest Rate Policy
    Discussion Papers, School of Economics, The University of New South Wales View citations (1)
    See also Journal Article Estimating DSGE models with zero interest rate policy, Journal of Monetary Economics, Elsevier (2017) View citations (86) (2017)

2015

26. Debt and Financial Market Contagion
    Discussion Papers, School of Economics, The University of New South Wales View citations (2)
    See also Journal Article Debt and financial market contagion, Empirical Economics, Springer (2022) View citations (7) (2022)
27. Inventory Mistakes and the Great Moderation
    Working Papers, University of Sydney, School of Economics View citations (2)
28. Inventory Shocks and the Great Moderation
    Discussion Papers, School of Economics, The University of New South Wales View citations (2)
    See also Journal Article Inventory Shocks and the Great Moderation, Journal of Money, Credit and Banking, Blackwell Publishing (2016) View citations (7) (2016)
29. The Changing Transmission Mechanism of U.S. Monetary Policy
    Discussion Papers, School of Economics, The University of New South Wales View citations (6)
    See also Journal Article The changing transmission mechanism of US monetary policy, Empirical Economics, Springer (2018) View citations (5) (2018)

2014

30. Estimating DSGE models with forward guidance
    Discussion Papers, School of Economics, The University of New South Wales View citations (7)
31. Estimating the Expected Duration of the Zero Lower Bound in DSGE Models with Forward Guidance
    Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (3)
    Also in Discussion Papers, School of Economics, The University of New South Wales (2014) View citations (5)
32. Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples
    Working Papers, University of Sydney, School of Economics
    See also Journal Article Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2018) View citations (3) (2018)
33. Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks
    Working Papers, University of Sydney, School of Economics View citations (1)
    See also Journal Article Likelihood‐ratio‐based confidence sets for the timing of structural breaks, Quantitative Economics, Econometric Society (2015) View citations (24) (2015)
34. Measuring Economic Slack: A Forecast-Based Approach with Applications to Economies in Asia and the Pacific
    BIS Working Papers, Bank for International Settlements View citations (5)
35. State-Dependent Effects of Fiscal Policy
    Discussion Papers, School of Economics, The University of New South Wales View citations (12)
    See also Journal Article State-dependent effects of fiscal policy, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015) View citations (100) (2015)
36. Testing Stationarity for Unobserved Components Models
    Discussion Papers, School of Economics, The University of New South Wales View citations (3)
37. What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Approach
    Discussion Papers, School of Economics, The University of New South Wales

2013

38. Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle
    Discussion Papers, School of Economics, The University of New South Wales View citations (5)
    See also Journal Article Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle, Journal of International Money and Finance, Elsevier (2015) View citations (11) (2015)
39. Likelihood-Based Confidence Sets for the Timing of Structural Breaks
    Discussion Papers, School of Economics, The University of New South Wales View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (3)
40. Structural Evolution of the Postwar U.S. Economy
    Discussion Papers, School of Economics, The University of New South Wales View citations (1)
    See also Journal Article Structural evolution of the postwar U.S. economy, Journal of Economic Dynamics and Control, Elsevier (2014) View citations (9) (2014)

2012

41. Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?
    Discussion Papers, School of Economics, The University of New South Wales View citations (2)
    See also Journal Article Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information?, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2013) View citations (9) (2013)

2011

42. Inflation in the G7: mind the gap(s)?
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article INFLATION IN THE G7: MIND THE GAP(S)?, Macroeconomic Dynamics, Cambridge University Press (2015) View citations (5) (2015)
43. The Meta Taylor Rule
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) View citations (1)
    Also in Department of Economics - Working Papers Series, The University of Melbourne (2011) View citations (3)
    See also Journal Article The Meta Taylor Rule, Journal of Money, Credit and Banking, Blackwell Publishing (2015) View citations (9) (2015)

2009

44. Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?
    Wesleyan Economics Working Papers, Wesleyan University, Department of Economics View citations (2)

2006

45. A Bayesian Approach to Counterfactual Analysis of Structural Change
    Computing in Economics and Finance 2006, Society for Computational Economics
    Also in Working Papers, Federal Reserve Bank of St. Louis (2006) View citations (2)

2005

46. A steady-state approach to trend/cycle decomposition of regime-switching processes
    Working Papers, Federal Reserve Bank of St. Louis
47. In search of the natural rate of unemployment
    Supervisory Policy Analysis Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (5)
    See also Journal Article In search of the natural rate of unemployment, Journal of Monetary Economics, Elsevier (2007) View citations (41) (2007)
48. Testing for Stationarity and Cointegration in an Unobserved Components Framework
    Computing in Economics and Finance 2005, Society for Computational Economics
49. The importance of nonlinearity in reproducing business cycle features
    Working Papers, Federal Reserve Bank of St. Louis View citations (15)
    See also Chapter The Importance of Nonlinearity in Reproducing Business Cycle Features, Contributions to Economic Analysis, Emerald Group Publishing Limited (2006) (2006)

2004

50. A Steady State Approach to Trend / Cycle Decomposition
    Computing in Economics and Finance 2004, Society for Computational Economics

2003

51. Nonlinearity and the permanent effects of recessions
    Working Papers, Federal Reserve Bank of St. Louis View citations (29)
    See also Journal Article Nonlinearity and the permanent effects of recessions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (22) (2005)
52. Shift Contagion in Asset Markets
    Staff Working Papers, Bank of Canada View citations (3)
53. Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?
    Working Papers, University of Washington, Department of Economics View citations (275)
    Also in Working Papers, University of Washington, Department of Economics (2002) View citations (9)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (39)
    Working Papers, University of Washington, Department of Economics (2000)
    See also Journal Article Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?, The Review of Economics and Statistics, MIT Press (2003) View citations (305) (2003)

2002

54. Detecting shift-contagion in currency and bond markets
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (4)
    See also Journal Article Detecting shift-contagion in currency and bond markets, Journal of International Economics, Elsevier (2006) View citations (80) (2006)

2001

55. The Adjustment of Prices and the Adjustment of the Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
    Also in Working Papers, University of Washington, Department of Economics (2000) View citations (9)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (1)

2000

56. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
    Working Papers, University of Washington, Department of Economics View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations (2)
    Working Papers, University of Washington, Department of Economics (1999) View citations (2)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (1)
    See also Journal Article Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?, Journal of Empirical Finance, Elsevier (2001) View citations (13) (2001)
57. Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
58. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations (8)
    Also in Working Papers, University of Washington, Department of Economics (2000) View citations (4)
    See also Journal Article Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?, Journal of Money, Credit and Banking, Blackwell Publishing (2004) View citations (55) (2004)
59. Is There a Structural Break in the Equity Premium?
    Working Papers, University of Washington, Department of Economics View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (1)

Journal Articles

2025

1. Trend-cycle decomposition in the presence of large shocks
   Journal of Economic Dynamics and Control, 2025, 173, (C)
   See also Working Paper Trend-Cycle Decomposition in the Presence of Large Shocks, CAMA Working Papers (2024) (2024)

2024

2. A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*
   Journal of Business & Economic Statistics, 2024, 42, (2), 665-680
   See also Working Paper A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*, CAMA Working Papers (2023) View citations (2) (2023)
3. Did marginal propensities to consume change with the housing boom and bust?
   Journal of Applied Econometrics, 2024, 39, (1), 174-199
   See also Working Paper Did Marginal Propensities to Consume Change with the Housing Boom and Bust?, CAMA Working Papers (2023) (2023)
4. Zero Interest Policy & the New Abnormal: A Critique
   The Economic Record, 2024, 100, (329), 261-266

2023

5. Does the Survey of Professional Forecasters help predict the shape of recessions in real time?
   Economics Letters, 2023, 233, (C) View citations (1)
6. Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic
   European Economic Review, 2023, 153, (C) View citations (6)
   See also Working Paper Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic, Working Paper Series (2022) View citations (1) (2022)
7. Nowcasting the output gap
   Journal of Econometrics, 2023, 232, (1), 18-34 View citations (13)
   See also Working Paper Nowcasting the output gap, CAMA Working Papers (2020) View citations (13) (2020)

2022

8. Debt and financial market contagion
   Empirical Economics, 2022, 62, (4), 1599-1648 View citations (7)
   See also Working Paper Debt and Financial Market Contagion, Discussion Papers (2015) View citations (2) (2015)
9. Why Has the U.S. Economy Stagnated since the Great Recession?
   The Review of Economics and Statistics, 2022, 104, (2), 246-258 View citations (11)
   See also Working Paper Why has the U.S. economy stagnated since the Great Recession?, Discussion Paper Series (2020) View citations (13) (2020)

2021

10. Estimating household consumption insurance
    Journal of Applied Econometrics, 2021, 36, (5), 628-635 View citations (6)
    See also Working Paper Estimating Household Consumption Insurance, Working Papers (2019) (2019)
11. When is discretionary fiscal policy effective?
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (4), 229-254 View citations (4)

2020

12. A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting
    The Economic Record, 2020, 96, (314), 271-293 View citations (6)
    See also Working Paper A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting, Working Papers (2019) View citations (1) (2019)
13. Estimating and accounting for the output gap with large Bayesian vector autoregressions
    Journal of Applied Econometrics, 2020, 35, (1), 1-18 View citations (24)
    See also Working Paper Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions, Working Papers (2019) View citations (5) (2019)
14. IS BUSINESS CYCLE ASYMMETRY INTRINSIC IN INDUSTRIALIZED ECONOMIES?
    Macroeconomic Dynamics, 2020, 24, (6), 1403-1436 View citations (10)
    See also Working Paper Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?, Discussion Papers (2017) View citations (2) (2017)
15. The Australian Real‐Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy
    The Economic Record, 2020, 96, (312), 87-106

2019

16. The business cycle: periodic pandemic or rollercoaster ride?
    International Journal of Economic Policy Studies, 2019, 13, (2), 425-431 View citations (4)

2018

17. Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 11 View citations (3)
    See also Working Paper Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples, Working Papers (2014) (2014)
18. Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
    The Review of Economics and Statistics, 2018, 100, (3), 550-566 View citations (79)
    See also Working Paper Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter, Reserve Bank of New Zealand Discussion Paper Series (2017) View citations (6) (2017)
19. The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
    The Economic Record, 2018, 94, (306), 338-340
20. The changing transmission mechanism of US monetary policy
    Empirical Economics, 2018, 54, (3), 959-987 View citations (5)
    See also Working Paper The Changing Transmission Mechanism of U.S. Monetary Policy, Discussion Papers (2015) View citations (6) (2015)

2017

21. Estimating DSGE models with zero interest rate policy
    Journal of Monetary Economics, 2017, 88, (C), 35-49 View citations (86)
    See also Working Paper Estimating DSGE models with Zero Interest Rate Policy, Discussion Papers (2016) View citations (1) (2016)
22. TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS
    Macroeconomic Dynamics, 2017, 21, (1), 160-182 View citations (2)

2016

23. Inventory Shocks and the Great Moderation
    Journal of Money, Credit and Banking, 2016, 48, (4), 699-728 View citations (7)
    See also Working Paper Inventory Shocks and the Great Moderation, Discussion Papers (2015) View citations (2) (2015)
24. MACRO-FINANCE LINKAGES
    Journal of Economic Surveys, 2016, 30, (4), 698-711 View citations (15)

2015

25. Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle
    Journal of International Money and Finance, 2015, 51, (C), 285-302 View citations (11)
    See also Working Paper Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle, Discussion Papers (2013) View citations (5) (2013)
26. INFLATION IN THE G7: MIND THE GAP(S)?
    Macroeconomic Dynamics, 2015, 19, (4), 883-912 View citations (5)
    See also Working Paper Inflation in the G7: mind the gap(s)?, Working Papers (2011) View citations (2) (2011)
27. INTRODUCTION TO “SPECIAL ISSUE ON THE EMPIRICAL ANALYSIS OF BUSINESS CYCLES, FINANCIAL MARKETS, AND INFLATION: ESSAYS IN HONOR OF CHARLES NELSON”
    Macroeconomic Dynamics, 2015, 19, (4), 723-727 View citations (2)
28. Likelihood‐ratio‐based confidence sets for the timing of structural breaks
    Quantitative Economics, 2015, 6, (2), 463-497 View citations (24)
    See also Working Paper Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks, Working Papers (2014) View citations (1) (2014)
29. State-dependent effects of fiscal policy
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 285-315 View citations (100)
    See also Working Paper State-Dependent Effects of Fiscal Policy, Discussion Papers (2014) View citations (12) (2014)
30. The Meta Taylor Rule
    Journal of Money, Credit and Banking, 2015, 47, (1), 73-98 View citations (9)
    See also Working Paper The Meta Taylor Rule, Discussion Papers (2011) View citations (1) (2011)
31. What factors drive the price–rent ratio for the housing market? A modified present-value analysis
    Journal of Economic Dynamics and Control, 2015, 58, (C), 235-249 View citations (22)

2014

32. Structural evolution of the postwar U.S. economy
    Journal of Economic Dynamics and Control, 2014, 42, (C), 50-68 View citations (9)
    See also Working Paper Structural Evolution of the Postwar U.S. Economy, Discussion Papers (2013) View citations (1) (2013)

2013

33. Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information?
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (5), 483-498 View citations (9)
    See also Working Paper Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?, Discussion Papers (2012) View citations (2) (2012)

2012

34. The Asymmetric Business Cycle
    The Review of Economics and Statistics, 2012, 94, (1), 208-221 View citations (155)

2011

35. THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION
    Macroeconomic Dynamics, 2011, 15, (3), 419-439 View citations (23)
36. Time variation of CAPM betas across market volatility regimes
    Applied Financial Economics, 2011, 21, (19), 1463-1478 View citations (15)

2009

37. Changes in U.S. Inflation Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (4), 23 View citations (41)
38. The Effects of Oil Price Shocks on Output
    Business Economics, 2009, 44, (4), 220-228 View citations (1)

2008

39. Bayesian counterfactual analysis of the sources of the great moderation
    Journal of Applied Econometrics, 2008, 23, (2), 173-191 View citations (14)
40. Trend/cycle decomposition of regime-switching processes
    Journal of Econometrics, 2008, 146, (2), 220-226 View citations (19)

2007

41. In search of the natural rate of unemployment
    Journal of Monetary Economics, 2007, 54, (2), 550-564 View citations (41)
    See also Working Paper In search of the natural rate of unemployment, Supervisory Policy Analysis Working Papers (2005) View citations (1) (2005)
42. The Slow Adjustment of Aggregate Consumption to Permanent Income
    Journal of Money, Credit and Banking, 2007, 39, (2‐3), 615-638 View citations (6)
    Also in Journal of Money, Credit and Banking, 2007, 39, (2-3), 615-638 (2007) View citations (56)

2006

43. Detecting shift-contagion in currency and bond markets
    Journal of International Economics, 2006, 68, (2), 409-423 View citations (80)
    See also Working Paper Detecting shift-contagion in currency and bond markets, Computing in Economics and Finance 2002 (2002) View citations (4) (2002)

2005

44. A Kalman filter approach to characterizing the Canadian term structure of interest rates
    Applied Financial Economics, 2005, 15, (10), 691-705 View citations (14)
45. Nonlinearity and the permanent effects of recessions
    Journal of Applied Econometrics, 2005, 20, (2), 291-309 View citations (22)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 291-309 (2005) View citations (101)
    See also Working Paper Nonlinearity and the permanent effects of recessions, Working Papers (2003) View citations (29) (2003)
46. The Structural Break in the Equity Premium
    Journal of Business & Economic Statistics, 2005, 23, 181-191 View citations (38)

2004

47. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
    Journal of Money, Credit and Banking, 2004, 36, (3), 339-60 View citations (55)
    See also Working Paper Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?, Discussion Papers in Economics at the University of Washington (2000) View citations (8) (2000)

2003

48. Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?
    The Review of Economics and Statistics, 2003, 85, (2), 235-243 View citations (305)
    See also Working Paper Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?, Working Papers (2003) View citations (275) (2003)

2002

49. A state-space approach to calculating the Beveridge-Nelson decomposition
    Economics Letters, 2002, 75, (1), 123-127 View citations (73)

2001

50. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
    Journal of Empirical Finance, 2001, 8, (4), 403-426 View citations (13)
    See also Working Paper Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?, Working Papers (2000) View citations (1) (2000)

Chapters

2020

1. What drives inflation in advanced and emerging market economies?
   A chapter in Inflation dynamics in Asia and the Pacific, 2020, vol. 111, pp 21-36 View citations (3)

2018

2. A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy
   A chapter in Central Bank Frameworks: Evolution or Revolution?, 2018 View citations (1)

2014

3. Discussion of Capital Flow Policies, Monetary Policy and Coordination
   A chapter in Financial Flows and Infrastructure Financing, 2014
4. Measuring economic slack in Asia and the Pacific
   A chapter in Globalisation, inflation and monetary policy in Asia and the Pacific, 2014, vol. 77, pp 35-50

2006

5. The Importance of Nonlinearity in Reproducing Business Cycle Features
   A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 75-95
   See also Working Paper The importance of nonlinearity in reproducing business cycle features, Federal Reserve Bank of St. Louis (2005) View citations (15) (2005)