Details about James M. Nason

Access statistics for papers by James M. Nason.

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Short-id: pna12

Working Papers

2012

1. Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
   Discussion Papers, Graduate School of Economics, Hitotsubashi University
2. Bayesian Estimation of DSGE Models
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2012)
3. Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
   Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (1)
   Also in CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009)
   Working Paper, Federal Reserve Bank of Atlanta (2009) View citations (1)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2010)
   Working Papers, Federal Reserve Bank of Philadelphia (2012)
4. Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Working Paper, Federal Reserve Bank of Cleveland (2012)
   Working Papers, Federal Reserve Bank of Philadelphia (2012)

2011

5. UK World War I and Interwar Data for Business Cycle and Growth Analysis
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2011)
   Working Paper, Federal Reserve Bank of Atlanta (2009)
   See also Journal Article in Cliometrica, Journal of Historical Economics and Econometric History (2012)

2010

6. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
   Working Papers, Duke University, Department of Economics View citations (2)
   Also in Working Papers, Duke University, Department of Economics (2007) View citations (18)
   Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester (2009) View citations (1)
   Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (28)
   Working Papers, Duke University, Department of Economics (2009) View citations (1)
   See also Journal Article in Journal of Econometrics (2012)
7. The Model Confidence Set
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)
   See also Journal Article in Econometrica (2011)

2008

8. Exchange rates and fundamentals: a generalization
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
   Also in Working Paper, Federal Reserve Bank of Atlanta (2008) View citations (7)
9. Great moderations and U.S. interest rates: unconditional evidence
   Working Paper, Federal Reserve Bank of Atlanta
   Also in Working Papers, Queen's University, Department of Economics (2007) View citations (1)
   See also Journal Article in The B.E. Journal of Macroeconomics (2008)

2007

10. Information Criteria for Impulse Response Function Matching Estimation
    2007 Meeting Papers, Society for Economic Dynamics View citations (9)
11. Simple versus optimal rules as guides to policy
    Working Paper, Federal Reserve Bank of Atlanta View citations (11)
    See also Journal Article in Journal of Monetary Economics (2007)
12. The McKenna Rule and UK World War I Finance
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (1)
    Also in Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (1)
    See also Journal Article in American Economic Review (2007)

2006

13. Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes?
    Working Paper, Federal Reserve Bank of Atlanta View citations (1)

2005

14. Identifying the New Keynesian Phillips Curve
    Working Papers, Queen's University, Department of Economics View citations (18)
    Also in Working Paper, Federal Reserve Bank of Atlanta (2005) View citations (36)
    See also Journal Article in Journal of Applied Econometrics (2008)
15. Model confidence sets for forecasting models
    Working Paper, Federal Reserve Bank of Atlanta View citations (12)
16. Over the Top: U.K. World War I Finance and Its Aftermath
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (1)
17. Testing the significance of calendar effects
    Working Paper, Federal Reserve Bank of Atlanta View citations (3)

2004

18. Along the New Keynesian Phillips curve with nominal and real rigidities
    Working Paper, Federal Reserve Bank of Atlanta View citations (9)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003)
19. Business Cycle Implications of Habit Formation
    Econometric Society 2004 Far Eastern Meetings, Econometric Society
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (1)
20. Common trends and common cycles in Canada: who knew so much has been going on?
    Working Paper, Federal Reserve Bank of Atlanta
    See also Journal Article in Canadian Journal of Economics (2006)

2003

21. Bulk commodities and the Liverpool and London markets of the mid-19th century
    Working Paper, Federal Reserve Bank of Atlanta
22. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics View citations (17)
    Also in Working Paper, Federal Reserve Bank of Atlanta (2003) View citations (17)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
23. The present-value model of the current account has been rejected: Round up the usual suspects
    Working Paper, Federal Reserve Bank of Atlanta View citations (8)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) View citations (28)
    Computing in Economics and Finance 2001, Society for Computational Economics (2001)
    See also Journal Article in Journal of International Economics (2006)

2000

24. Investment and the Current Account in the Short Run and the Long Run
    UBC Departmental Archives, UBC Department of Economics View citations (2)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1999) View citations (3)
    UBC Departmental Archives, UBC Department of Economics (2000) View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (2002)

1994

25. Output Dynamics in Real Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics View citations (3)
    Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (1993) View citations (173)
    See also Journal Article in American Economic Review (1995)
26. Technical Appendix: Output Dynamics in rRal Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics
27. Technical Appendix: Testing the Implications of the Long Run Neutrality for Monetary Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics View citations (1)
28. Testing the Implications of Long Run Neutrality for Monetary Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics View citations (17)
    See also Journal Article in Journal of Applied Econometrics (1994)

1993

29. Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (93)
    See also Journal Article in Journal of Economic Dynamics and Control (1995)
30. Testing the Implications of Long Run Neutrality with Monetary Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics View citations (1)

1992

31. Do Real Business Cycles Models Pass the Nelson-Plosser Test?
    UBC Departmental Archives, UBC Department of Economics View citations (5)
32. Effects of Hodrick-Prescott Filter on Trend and Difference Stationary Time Series: Implications for Business Cycle Research
    UBC Departmental Archives, UBC Department of Economics View citations (6)

1991

33. Testing for Structural Breaks
    Working Papers, Queen's University, Department of Economics View citations (11)
34. Testing for Structural Breaks in Cointegrated Relationaships
    UBC Departmental Archives, UBC Department of Economics View citations (1)
    See also Journal Article in Journal of Econometrics (1996)
35. The Permanent Income Hypothesis when the Bliss Point is Stochastic
    UBC Departmental Archives, UBC Department of Economics View citations (2)
    Also in Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis (1991) View citations (2)

1989

36. Nonparametric exchange rate prediction?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article in Journal of International Economics (1990)

1988

37. The equity premium and time-varying risk behavior
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (13)

Journal Articles

2012

1. Information criteria for impulse response function matching estimation of DSGE models
   Journal of Econometrics, 2012, 170, (2), 499-518 View citations (1)
   See also Working Paper (2010)
2. Time-consistency and credible monetary policy after the crisis
   Business Review, 2012, (Q2), 19-26
3. UK World War I and interwar data for business cycle and growth analysis
   Cliometrica, Journal of Historical Economics and Econometric History, 2012, 6, (2), 115-142
   See also Working Paper (2011)

2011

4. The Model Confidence Set
   Econometrica, 2011, 79, (2), 453-497 View citations (11)
   See also Working Paper (2010)

2008

5. Great Moderation(s) and US Interest Rates: Unconditional Evidence
   The B.E. Journal of Macroeconomics, 2008, 8, (1), 30 View citations (3)
   See also Working Paper (2008)
6. Identifying the new Keynesian Phillips curve
   Journal of Applied Econometrics, 2008, 23, (5), 525-551 View citations (23)
   See also Working Paper (2005)
7. Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson
   Journal of Econometrics, 2008, 146, (2), 199-201
8. The New Keynesian Phillips curve: lessons from single-equation econometric estimation
   Economic Quarterly, 2008, (Fall), 361-395 View citations (9)

2007

9. Simple versus optimal rules as guides to policy
   Journal of Monetary Economics, 2007, 54, (5), 1372-1396 View citations (14)
   See also Working Paper (2007)
10. The McKenna Rule and UK World War I Finance
    American Economic Review, 2007, 97, (2), 290-294 View citations (1)
    See also Working Paper (2007)

2006

11. Common trends and common cycles in Canada: who knew so much has been going on?
    Canadian Journal of Economics, 2006, 39, (1), 320-347 View citations (5)
    See also Working Paper (2004)
12. Instability in U.S. inflation: 1967-2005
    Economic Review, 2006, (Q 2), 39-59 View citations (5)
13. The present-value model of the current account has been rejected: Round up the usual suspects
    Journal of International Economics, 2006, 68, (1), 159-187 View citations (35)
    See also Working Paper (2003)

2004

14. Long-run monetary neutrality and long-horizon regressions
    Journal of Applied Econometrics, 2004, 19, (3), 355-373 View citations (12)

2003

15. Choosing the Best Volatility Models: The Model Confidence Set Approach
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 View citations (18)
    See also Working Paper (2003)
16. The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted?
    Economics Letters, 2003, 78, (3), 351-356 View citations (13)

2002

17. Investment and the Current Account in the Short Run and the Long Run
    Journal of Money, Credit and Banking, 2002, 34, (4), 967-86 View citations (37)
    See also Working Paper (2000)

1996

18. Testing for structural breaks in cointegrated relationships
    Journal of Econometrics, 1996, 71, (1-2), 321-341 View citations (47)
    See also Working Paper (1991)

1995

19. Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research
    Journal of Economic Dynamics and Control, 1995, 19, (1-2), 253-278 View citations (185)
    See also Working Paper (1993)
20. Output Dynamics in Real-Business-Cycle Models
    American Economic Review, 1995, 85, (3), 492-511 View citations (147)
    See also Working Paper (1994)

1994

21. Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models
    Journal of Applied Econometrics, 1994, 9, (S), S37-70 View citations (26)
    See also Working Paper (1994)

1993

22. Impulse dynamics and propagation mechanisms in a real business cycle model
    Economics Letters, 1993, 43, (1), 77-81 View citations (18)

1991

23. Effects of the Hodrick-Prescott filter on integrated time series
    Proceedings, 1991, (Nov) View citations (15)

1990

24. Nonparametric exchange rate prediction?
    Journal of International Economics, 1990, 28, (3-4), 315-332 View citations (150)
    See also Working Paper (1989)