Details about Gregor W. Smith

Homepage:	http://www.econ.queensu.ca/faculty/smith
Workplace:	Economics Department, Queen's University, (more information at EDIRC)

Access statistics for papers by Gregor W. Smith.

Last updated 2024-09-05. Update your information in the RePEc Author Service.

Short-id: psm60

---

Jump to Journal Articles

Working Papers

2022

1. The All-Gap Phillips Curve
   Working Paper, Economics Department, Queen's University
   See also Journal Article The All‐Gap Phillips Curve, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2023) (2023)
2. US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM
   Working Paper, Economics Department, Queen's University
   See also Journal Article US fiscal policy shocks: Proxy‐SVAR overidentification via GMM, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) View citations (2) (2024)

2021

3. UK Inflation Forecasts since the Thirteenth Century
   Working Paper, Economics Department, Queen's University
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2021)

2018

4. Commodity Currencies And Monetary Policy
   Working Paper, Economics Department, Queen's University View citations (1)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (1)

2017

5. Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards
   Staff Working Papers, Bank of Canada

2016

6. Distance And Time Effects In Swedish Commodity Prices, 1732-1914
   Working Paper, Economics Department, Queen's University
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016)

2014

7. Geographic Barriers to Commodity Price Integration: Evidence from US Cities and Swedish Towns, 1732 - 1860
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (3)
   Globalization Institute Working Papers, Federal Reserve Bank of Dallas (2014)
8. Identifying Fiscal Policy (in)effectiveness From The Differential Counter-cyclicality Of Government Spending In The Interwar Period
   Working Paper, Economics Department, Queen's University View citations (1)
   See also Journal Article Identifying fiscal policy (in)effectiveness from the differential counter-cyclicality of government spending in the interwar period, Canadian Journal of Economics, Canadian Economics Association (2015) View citations (1) (2015)
9. Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (4)
   Also in Working Paper, Economics Department, Queen's University (2013) View citations (5)
   See also Journal Article Measuring the slowly evolving trend in US inflation with professional forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (6) (2021)

2013

10. Interwar Inflation, Unexpected Inflation, And Output Growth
    Working Paper, Economics Department, Queen's University
    See also Journal Article Interwar Inflation, Unexpected Inflation, and Output Growth, Journal of Money, Credit and Banking, Blackwell Publishing (2015) View citations (3) (2015)
11. Reverse Kalman filtering U.S. inflation with sticky professional forecasts
    Working Papers, Federal Reserve Bank of Philadelphia View citations (2)

2009

12. Consumption And Real Exchange Rates In Professional Forecasts
    Working Paper, Economics Department, Queen's University View citations (16)
    Also in BIS Working Papers, Bank for International Settlements (2009) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (16)
    See also Journal Article Consumption and real exchange rates in professional forecasts, Journal of International Economics, Elsevier (2012) View citations (22) (2012)

2008

13. Great moderations and U.S. interest rates: unconditional evidence
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
    Also in Working Paper, Economics Department, Queen's University (2007) View citations (1)
    See also Journal Article Great Moderation(s) and US Interest Rates: Unconditional Evidence, The B.E. Journal of Macroeconomics, De Gruyter (2008) View citations (12) (2008)
14. Us Inflation Dynamics 1981-2007: 13,193 Quarterly Observations
    Working Paper, Economics Department, Queen's University

2007

15. Pooling Forecasts In Linear Rational Expectations Models
    Working Paper, Economics Department, Queen's University View citations (2)
    See also Journal Article Pooling forecasts in linear rational expectations models, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (12) (2009)
16. The Curse Of Irving Fisher (professional Forecasters' Version)
    Working Paper, Economics Department, Queen's University View citations (3)

2006

17. Japan's Phillips Curve Looks Like Japan
    Working Paper, Economics Department, Queen's University View citations (3)
    See also Journal Article Japan's Phillips Curve Looks Like Japan, Journal of Money, Credit and Banking, Blackwell Publishing (2008) (2008)
18. The Spectre Of Deflation: A Review Of Empirical Evidence
    Working Paper, Economics Department, Queen's University View citations (11)
    See also Journal Article The spectre of deflation: a review of empirical evidence, Canadian Journal of Economics, Canadian Economics Association (2006) View citations (11) (2006)

2005

19. Identifying The New Keynesian Phillips Curve
    Working Paper, Economics Department, Queen's University View citations (36)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2005) View citations (62)
    See also Journal Article Identifying the new Keynesian Phillips curve, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) View citations (103) (2008)
20. Transfer Problem Dynamics: Macroeconomics Of The Franco-prussian War Indemnity
    Working Paper, Economics Department, Queen's University View citations (13)
    Also in Working Papers, Hong Kong Institute for Monetary Research (2004) View citations (1)
    See also Journal Article Transfer problem dynamics: Macroeconomics of the Franco-Prussian war indemnity, Journal of Monetary Economics, Elsevier (2007) View citations (23) (2007)

2004

21. Real Exchange Rates, Preferences, And Incomplete Markets: Evidence, 1961-2001
    Working Paper, Economics Department, Queen's University View citations (9)
    See also Journal Article Real exchange rates, preferences, and incomplete markets: evidence, 1961-2001, Canadian Journal of Economics, Canadian Economics Association (2004) View citations (11) (2004)

2002

22. The Ccapm Meets Euro-interest Rate Persistence, 1960-2000
    Working Paper, Economics Department, Queen's University
    See also Journal Article The CCAPM meets Euro-interest rate persistence, 1960-2000, Journal of International Economics, Elsevier (2003) View citations (1) (2003)

2001

23. Information-theoretic Estimation Of Preference Parameters: Macroeconomic Applications And Simulation Evidence
    Working Paper, Economics Department, Queen's University
    See also Journal Article Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence, Journal of Econometrics, Elsevier (2002) View citations (11) (2002)

2000

24. Precautionary Saving And Portfolio Allocation: Dp By Gmm
    Working Paper, Economics Department, Queen's University
    See also Journal Article Precautionary saving and portfolio allocation: DP by GMM, Journal of Monetary Economics, Elsevier (2001) View citations (11) (2001)

1999

25. Suez And Sterling, 1956
    Working Paper, Economics Department, Queen's University View citations (1)
    See also Journal Article Suez and Sterling, 1956, Explorations in Economic History, Elsevier (1999) View citations (1) (1999)

1997

26. Real Business Cycle Realizations
    Working Paper, Economics Department, Queen's University View citations (8)
    See also Journal Article Real business-cycle realizations, Carnegie-Rochester Conference Series on Public Policy, Elsevier (1997) View citations (9) (1997)

1996

27. Greenback-gold Returns And Expectations Of Resumption, 1862-1879
    Working Paper, Economics Department, Queen's University
    See also Journal Article Greenback-Gold Returns and Expectations of Resumption, 1862–1879, The Journal of Economic History, Cambridge University Press (1997) View citations (10) (1997)

1995

28. Business Cycle Theory And Econometrics
    Working Paper, Economics Department, Queen's University View citations (7)
    See also Journal Article Business Cycle Theory and Econometrics, Economic Journal, Royal Economic Society (1995) View citations (10) (1995)
29. Exchange-rate Discounting
    Working Paper, Economics Department, Queen's University View citations (1)
    See also Journal Article Exchange-rate discounting, Journal of International Money and Finance, Elsevier (1995) View citations (1) (1995)

1994

30. Measuring Business Cycles With Business-cycle Models
    Working Paper, Economics Department, Queen's University View citations (1)
    See also Journal Article Measuring business cycles with business-cycle models, Journal of Economic Dynamics and Control, Elsevier (1996) View citations (7) (1996)
31. Reading A Target Zone In Keynes
    Working Paper, Economics Department, Queen's University

1993

32. Consumption And Real Exchange Rates In Dynamic Economies With Non-traded Goods
    Working Paper, Economics Department, Queen's University View citations (612)
    See also Journal Article Consumption and real exchange rates in dynamic economies with non-traded goods, Journal of International Economics, Elsevier (1993) View citations (598) (1993)

1992

33. Consumption and Real Exchange Rates in Dynamic Exchange Economies with Nontraded Goods
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (18)

1991

34. Calibration in Macroeconomics
    Working Paper, Economics Department, Queen's University View citations (17)
35. International Risk Sharing and Economic Growth
    Working Paper, Economics Department, Queen's University View citations (4)
    See also Journal Article International Risk Sharing and Economic Growth, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1994) View citations (190) (1994)

1990

36. ESTIMATING LINEAR QUADRATIC MODELS WITH INTEGRATED PROCESSES
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (28)
37. Realistic Cross-Country Consumption Correlations in a Two-Country, Equilibrium, Business Cycle Model
    Working Paper, Economics Department, Queen's University View citations (5)
    See also Journal Article Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model, Journal of International Money and Finance, Elsevier (1992) View citations (117) (1992)

1988

38. Calibration as Testing, Type I Error in the Equity Premium Puzzle
    Working Paper, Economics Department, Queen's University View citations (2)
39. Estimates of Canadian GDP, Monthly, 1962 to 1985
    Working Paper, Economics Department, Queen's University
40. How Informative are Preliminary Announcements of the Money Stock in Canada?
    Working Paper, Economics Department, Queen's University
    See also Journal Article How Informative Are Preliminary Announcements of the Money Stock in Canada?, Canadian Journal of Economics, Canadian Economics Association (1989) View citations (3) (1989)
41. Stochastic Process Switching and the Return to Gold, 1925
    Working Paper, Economics Department, Queen's University View citations (5)
    See also Journal Article Stochastic Process Switching and the Return to Gold, 1925, Economic Journal, Royal Economic Society (1990) View citations (16) (1990)

1987

42. Apparent Bubbles and Misspecified Fundamentals
    Working Paper, Economics Department, Queen's University View citations (2)
43. Calibration as Estimation
    Queen's Institute for Economic Research Discussion Papers, Queen's University - Department of Economics View citations (5)
    Also in Working Paper, Economics Department, Queen's University (1987) View citations (17)
44. Menu Costs Pricing Theory and Endogenous Conditional Heteroskedasticity
    Working Paper, Economics Department, Queen's University
45. Testing a Government's Present-Value Borrowing Constraint
    Working Paper, Economics Department, Queen's University

1986

46. Forward-Looking, Stochastic Cash Management and the Demand for Money
    Working Paper, Economics Department, Queen's University

Journal Articles

2024

1. US fiscal policy shocks: Proxy‐SVAR overidentification via GMM
   Journal of Applied Econometrics, 2024, 39, (4), 607-619 View citations (2)
   See also Working Paper US Fiscal Policy Shocks: Proxy-SVAR Overidentification via GMM, Working Paper (2022) (2022)

2023

2. The All‐Gap Phillips Curve
   Oxford Bulletin of Economics and Statistics, 2023, 85, (2), 269-282
   See also Working Paper The All-Gap Phillips Curve, Working Paper (2022) (2022)
3. UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY
   International Economic Review, 2023, 64, (4), 1595-1614

2021

4. Measuring the slowly evolving trend in US inflation with professional forecasts
   Journal of Applied Econometrics, 2021, 36, (1), 1-17 View citations (6)
   See also Working Paper Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts, CAMA Working Papers (2014) View citations (4) (2014)
5. Testing the Present‐Value Model of the Exchange Rate with Commodity Currencies
   Journal of Money, Credit and Banking, 2021, 53, (2-3), 589-596 View citations (3)

2019

6. Two Types of (Slight) Flexibility in Bank of Canada Projections, 2003–2019
   Canadian Public Policy, 2019, 45, (3), 366-376

2017

7. Economic research in Canada: Evolution and convergence
   Canadian Journal of Economics/Revue canadienne d'économique, 2017, 50, (5), 1197-1223 View citations (3)
   Also in Canadian Journal of Economics, 2017, 50, (5), 1197-1223 (2017) View citations (3)

2016

8. Early Globalization and the Law of One Price: Evidence from Sweden, 1732-1914
   East Asian Economic Review, 2016, 20, (4), 427-445 View citations (2)

2015

9. Identifying fiscal policy (in)effectiveness from the differential counter-cyclicality of government spending in the interwar period
   Canadian Journal of Economics, 2015, 48, (4), 1291-1320 View citations (1)
   Also in Canadian Journal of Economics/Revue canadienne d'économique, 2015, 48, (4), 1291-1320 (2015) View citations (1)
   See also Working Paper Identifying Fiscal Policy (in)effectiveness From The Differential Counter-cyclicality Of Government Spending In The Interwar Period, Working Paper (2014) View citations (1) (2014)
10. Interwar Inflation, Unexpected Inflation, and Output Growth
    Journal of Money, Credit and Banking, 2015, 47, (8), 1599-1615 View citations (3)
    See also Working Paper Interwar Inflation, Unexpected Inflation, And Output Growth, Working Paper (2013) (2013)

2013

11. ESTIMATING DYNAMIC EULER EQUATIONS WITH MULTIVARIATE PROFESSIONAL FORECASTS
    Economic Inquiry, 2013, 51, (1), 445-458 View citations (3)

2012

12. Consumption and real exchange rates in professional forecasts
    Journal of International Economics, 2012, 86, (1), 33-42 View citations (22)
    See also Working Paper Consumption And Real Exchange Rates In Professional Forecasts, Working Paper (2009) View citations (16) (2009)

2009

13. Commentary on Parsing shocks: real-time revisions to gap and growth projections for Canada
    Review, 2009, 91, (Jul), 267-270
14. Pooling forecasts in linear rational expectations models
    Journal of Economic Dynamics and Control, 2009, 33, (11), 1858-1866 View citations (12)
    See also Working Paper Pooling Forecasts In Linear Rational Expectations Models, Working Paper (2007) View citations (2) (2007)
15. The Missing Links: Better Measures of Inflation and Inflation Expectations in Canada
    C.D. Howe Institute Commentary, 2009, (287) View citations (10)

2008

16. Great Moderation(s) and US Interest Rates: Unconditional Evidence
    The B.E. Journal of Macroeconomics, 2008, 8, (1), 33 View citations (12)
    See also Working Paper Great moderations and U.S. interest rates: unconditional evidence, FRB Atlanta Working Paper (2008) View citations (1) (2008)
17. Identifying the new Keynesian Phillips curve
    Journal of Applied Econometrics, 2008, 23, (5), 525-551 View citations (103)
    See also Working Paper Identifying The New Keynesian Phillips Curve, Working Paper (2005) View citations (36) (2005)
18. Japan's Phillips Curve Looks Like Japan
    Journal of Money, Credit and Banking, 2008, 40, (6), 1325-1326
    Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1325-1326 (2008) View citations (2)
    See also Working Paper Japan's Phillips Curve Looks Like Japan, Working Paper (2006) View citations (3) (2006)
19. The New Keynesian Phillips curve: lessons from single-equation econometric estimation
    Economic Quarterly, 2008, 94, (Fall), 361-395 View citations (50)

2007

20. Transfer problem dynamics: Macroeconomics of the Franco-Prussian war indemnity
    Journal of Monetary Economics, 2007, 54, (8), 2375-2398 View citations (23)
    See also Working Paper Transfer Problem Dynamics: Macroeconomics Of The Franco-prussian War Indemnity, Working Paper (2005) View citations (13) (2005)

2006

21. The spectre of deflation: a review of empirical evidence
    Canadian Journal of Economics, 2006, 39, (4), 1041-1072 View citations (11)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2006, 39, (4), 1041-1072 (2006) View citations (7)
    See also Working Paper The Spectre Of Deflation: A Review Of Empirical Evidence, Working Paper (2006) View citations (11) (2006)

2004

22. Real exchange rates, preferences, and incomplete markets: evidence, 1961-2001
    Canadian Journal of Economics, 2004, 37, (3), 782-801 View citations (11)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2004, 37, (3), 782-801 (2004) View citations (1)
    See also Working Paper Real Exchange Rates, Preferences, And Incomplete Markets: Evidence, 1961-2001, Working Paper (2004) View citations (9) (2004)

2003

23. The CCAPM meets Euro-interest rate persistence, 1960-2000
    Journal of International Economics, 2003, 59, (2), 349-366 View citations (1)
    See also Working Paper The Ccapm Meets Euro-interest Rate Persistence, 1960-2000, Working Paper (2002) (2002)

2002

24. Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence
    Journal of Econometrics, 2002, 107, (1-2), 213-233 View citations (11)
    See also Working Paper Information-theoretic Estimation Of Preference Parameters: Macroeconomic Applications And Simulation Evidence, Working Paper (2001) (2001)

2001

25. Precautionary saving and portfolio allocation: DP by GMM
    Journal of Monetary Economics, 2001, 48, (1), 197-215 View citations (11)
    See also Working Paper Precautionary Saving And Portfolio Allocation: Dp By Gmm, Working Paper (2000) (2000)
26. Speculative attacks with unpredictable or unknown foreign exchange reserves
    Canadian Journal of Economics, 2001, 34, (4), 882-902
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2001, 34, (4), 882-902 (2001)
27. Testing for Forecast Consensus
    Journal of Business & Economic Statistics, 2001, 19, (1), 34-43 View citations (15)

1999

28. Suez and Sterling, 1956
    Explorations in Economic History, 1999, 36, (3), 181-203 View citations (1)
    See also Working Paper Suez And Sterling, 1956, Working Paper (1999) View citations (1) (1999)

1997

29. Greenback-Gold Returns and Expectations of Resumption, 1862–1879
    The Journal of Economic History, 1997, 57, (3), 697-717 View citations (10)
    See also Working Paper Greenback-gold Returns And Expectations Of Resumption, 1862-1879, Working Paper (1996) (1996)
30. Real business-cycle realizations
    Carnegie-Rochester Conference Series on Public Policy, 1997, 47, (1), 243-280 View citations (9)
    See also Working Paper Real Business Cycle Realizations, Working Paper (1997) View citations (8) (1997)

1996

31. Measuring business cycles with business-cycle models
    Journal of Economic Dynamics and Control, 1996, 20, (6-7), 1007-1025 View citations (7)
    See also Working Paper Measuring Business Cycles With Business-cycle Models, Working Paper (1994) View citations (1) (1994)
32. Method-of-Moments Measurement of UK Business Cycles
    Oxford Economic Papers, 1996, 48, (4), 568-83 View citations (1)

1995

33. Business Cycle Theory and Econometrics
    Economic Journal, 1995, 105, (433), 1597-1608 View citations (10)
    See also Working Paper Business Cycle Theory And Econometrics, Working Paper (1995) View citations (7) (1995)
34. Exchange-rate discounting
    Journal of International Money and Finance, 1995, 14, (5), 659-666 View citations (1)
    See also Working Paper Exchange-rate Discounting, Working Paper (1995) View citations (1) (1995)
35. Reading a Target Zone in Keynes's 'Indian Currency and Finance.'
    Economic Journal, 1995, 105, (430), 661-68 View citations (1)

1994

36. International Risk Sharing and Economic Growth
    International Economic Review, 1994, 35, (3), 535-50 View citations (190)
    See also Working Paper International Risk Sharing and Economic Growth, Working Paper (1991) View citations (4) (1991)

1993

37. Consumption and real exchange rates in dynamic economies with non-traded goods
    Journal of International Economics, 1993, 35, (3-4), 297-316 View citations (598)
    See also Working Paper Consumption And Real Exchange Rates In Dynamic Economies With Non-traded Goods, Working Paper (1993) View citations (612) (1993)

1992

38. Realistic cross-country consumption correlations in a two-country, equilibrium, business cycle model
    Journal of International Money and Finance, 1992, 11, (1), 3-16 View citations (117)
    See also Working Paper Realistic Cross-Country Consumption Correlations in a Two-Country, Equilibrium, Business Cycle Model, Working Paper (1990) View citations (5) (1990)
39. Sampling variability in Hansen-Jagannathan bounds
    Economics Letters, 1992, 38, (3), 263-267 View citations (8)

1991

40. Calibration as Testing: Inference in Simulated Macroeconomic Models
    Journal of Business & Economic Statistics, 1991, 9, (3), 297-303 View citations (121)
41. Persistent Deficits and the Market Value of Government Debt
    Journal of Applied Econometrics, 1991, 6, (1), 31-44 View citations (50)
42. Solution to a Problem of Stochastic Process Switching
    Econometrica, 1991, 59, (1), 237-39 View citations (13)

1990

43. Estimation du PIB mensuel canadien: 1962 à 1985
    L'Actualité Economique, 1990, 66, (1), 14-30
44. Stochastic Process Switching and the Return to Gold, 1925
    Economic Journal, 1990, 100, (399), 164-75 View citations (16)
    See also Working Paper Stochastic Process Switching and the Return to Gold, 1925, Working Paper (1988) View citations (5) (1988)

1989

45. How Informative Are Preliminary Announcements of the Money Stock in Canada?
    Canadian Journal of Economics, 1989, 22, (3), 595-606 View citations (3)
    See also Working Paper How Informative are Preliminary Announcements of the Money Stock in Canada?, Working Paper (1988) (1988)
46. Transactions Demand for Money with a Stochastic, Time-Varying Interest Rate
    The Review of Economic Studies, 1989, 56, (4), 623-633 View citations (7)

1986

47. A Dynamic Baumol-Tobin Model of Money Demand
    The Review of Economic Studies, 1986, 53, (3), 465-469 View citations (13)
48. Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 253-77 View citations (323)