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Details about Jonathan Wright

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Homepage:http://econ.jhu.edu/People/Wright/index.html
Workplace:Department of Economics, Johns Hopkins University, (more information at EDIRC)

Access statistics for papers by Jonathan Wright.

Last updated 2009-03-23. Update your information in the RePEc Author Service.

Short-id: pwr25


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Working Papers

2017

  1. Interest rate conundrums in the twenty-first century
    Staff Reports, Federal Reserve Bank of New York Downloads

2014

  1. Jumps in Bond Yields at Known Times
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2013

  1. Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (68)

2012

  1. The Economics of Options-Implied Inflation Probability Density Functions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)

2011

  1. Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  2. What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (38)

2008

  1. Efficient Prediction of Excess Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  2. Term premiums and inflation uncertainty: empirical evidence from an international panel dataset
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  3. The TIPS yield curve and inflation compensation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (35)
  4. The high-frequency impact of news on long-term yields and forward rates: Is it real?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (6)

2007

  1. Bond risk premia and realized jump volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
  2. Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)
  3. Cracking the Conundrum
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (23)

    See also Journal Article in Brookings Papers on Economic Activity (2007)
  4. Nonbanks in the Payments System: Vertical Integration Issues
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics Downloads View citations (2)
  5. Rounding and the impact of news: a simple test of market rationality
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads
  6. Trading activity and exchange rates in high-frequency EBS data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)

2006

  1. Forecasting professional forecasters
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
  2. Order flow and exchange rate dynamics in electronic brokerage system data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (12)
    See also Journal Article in Journal of International Economics (2008)
  3. Predicting sharp depreciations in industrial country exchange rates
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
  4. The U.S. Treasury yield curve: 1961 to the present
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (17)
    See also Journal Article in Journal of Monetary Economics (2007)
  5. The yield curve and predicting recessions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (34)

2005

  1. An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (65)

2004

  1. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (22)

2003

  1. Bayesian Model Averaging and exchange rate forecasts
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (20)
    See also Journal Article in Journal of Econometrics (2008)
  2. Forecasting U.S. inflation by Bayesian Model Averaging
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (19)
    See also Journal Article in Journal of Forecasting (2009)
  3. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2002) Downloads View citations (6)
    Working Paper Series, European Central Bank (2002) Downloads View citations (13)

    See also Journal Article in Journal of the European Economic Association (2003)
  4. The high-frequency response of exchange rates and interest rates to macroeconomic announcements
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (39)
    See also Journal Article in Journal of Monetary Economics (2007)
  5. Uncovered interest parity: it works, but not for long
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (12)
    See also Journal Article in Journal of International Economics (2005)

2002

  1. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  2. Identifying vars based on high frequency futures data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (14)
    See also Journal Article in Journal of Monetary Economics (2004)
  3. Testing the null of identification in GMM
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

2001

  1. An empirical comparison of Bundesbank and ECB monetary policy rules
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (56)
  2. Exchange rate forecasting: the errors we've really made
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (19)
    See also Journal Article in Journal of International Economics (2003)

2000

  1. Detecting lack of identification in GMM
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in Econometric Theory (2003)
  2. Exact confidence intervals for impulse responses in a Gaussian vector autoregression
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
  3. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Journal Article in Econometric Reviews (2002)
  4. News and noise in G-7 GDP announcements
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (69)
    See also Journal Article in Journal of Money, Credit and Banking (2005)

1999

  1. A simple approach to robust inference in a cointegrating system
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. High frequency data, frequency domain inference and volatility forecasting
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in The Review of Economics and Statistics (2001)
  3. Long memory in emerging market stock returns
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

1996

  1. Asymptotics for GMM Estimators with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

1991

  1. Anatomy of a Market
    Working Papers, University of Iowa, Department of Economics

Journal Articles

2009

  1. Forecasting US inflation by Bayesian model averaging
    Journal of Forecasting, 2009, 28, (2), 131-144 Downloads View citations (24)
    See also Working Paper (2003)

2008

  1. Bayesian Model Averaging and exchange rate forecasts
    Journal of Econometrics, 2008, 146, (2), 329-341 Downloads View citations (78)
    See also Working Paper (2003)
  2. Efficient forecast tests for conditional policy forecasts
    Journal of Econometrics, 2008, 146, (2), 293-303 Downloads View citations (15)
  3. Order flow and exchange rate dynamics in electronic brokerage system data
    Journal of International Economics, 2008, 75, (1), 93-109 Downloads View citations (72)
    See also Working Paper (2006)
  4. Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data
    Journal of the European Economic Association, 2008, 6, (2-3), 589-596 Downloads View citations (15)

2007

  1. Cracking the Conundrum
    Brookings Papers on Economic Activity, 2007, 38, (1), 293-329 Downloads View citations (22)
    See also Working Paper (2007)
  2. The U.S. Treasury yield curve: 1961 to the present
    Journal of Monetary Economics, 2007, 54, (8), 2291-2304 Downloads View citations (72)
    See also Working Paper (2006)
  3. The high-frequency response of exchange rates and interest rates to macroeconomic announcements
    Journal of Monetary Economics, 2007, 54, (4), 1051-1068 Downloads View citations (145)
    See also Working Paper (2003)

2005

  1. News and Noise in G-7 GDP Announcements
    Journal of Money, Credit and Banking, 2005, 37, (3), 403-19 View citations (89)
    See also Working Paper (2000)
  2. Uncovered interest parity: it works, but not for long
    Journal of International Economics, 2005, 66, (2), 349-362 Downloads View citations (57)
    See also Working Paper (2003)

2004

  1. Identifying VARS based on high frequency futures data
    Journal of Monetary Economics, 2004, 51, (6), 1107-1131 Downloads View citations (111)
    See also Working Paper (2002)

2003

  1. DETECTING LACK OF IDENTIFICATION IN GMM
    Econometric Theory, 2003, 19, (02), 322-330 Downloads View citations (22)
    See also Working Paper (2000)
  2. Exchange rate forecasting: the errors we've really made
    Journal of International Economics, 2003, 60, (1), 35-59 Downloads View citations (112)
    See also Working Paper (2001)
  3. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    Journal of the European Economic Association, 2003, 1, (5), 1031-1057 Downloads View citations (45)
    See also Working Paper (2003)

2002

  1. A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
    Journal of Business & Economic Statistics, 2002, 20, (4), 518-29 View citations (1003)
  2. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
    Econometric Reviews, 2002, 21, (4), 397-417 Downloads View citations (7)
    See also Working Paper (2000)

2001

  1. High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting
    The Review of Economics and Statistics, 2001, 83, (4), 596-602 Downloads View citations (33)
    See also Working Paper (1999)

2000

  1. Alternative Variance-Ratio Tests Using Ranks and Signs
    Journal of Business & Economic Statistics, 2000, 18, (1), 1-9 View citations (95)
  2. Confidence Intervals for Univariate Impulse Responses with a Near Unit Root
    Journal of Business & Economic Statistics, 2000, 18, (3), 368-73 View citations (9)
  3. Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests
    Journal of Business & Economic Statistics, 2000, 18, (2), 211-22 View citations (15)
  4. GMM with Weak Identification
    Econometrica, 2000, 68, (5), 1055-1096 View citations (212)
  5. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
    Journal of Econometrics, 2000, 98, (1), 81-106 Downloads View citations (55)

1999

  1. A New Test for Structural Stability Based on Recursive Residual
    Oxford Bulletin of Economics and Statistics, 1999, 61, (1), 109-19 Downloads
  2. A new estimator of the fractionally integrated stochastic volatility model
    Economics Letters, 1999, 63, (3), 295-303 Downloads View citations (6)
  3. Frequency domain inference for univariate impulse responses
    Economics Letters, 1999, 63, (3), 269-277 Downloads View citations (1)
  4. THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
    Econometric Theory, 1999, 15, (05), 704-709 Downloads View citations (3)
  5. Testing for a Unit Root in the Volatility of Asset Returns
    Journal of Applied Econometrics, 1999, 14, (3), 309-18 Downloads View citations (7)

1997

  1. The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown
    Oxford Bulletin of Economics and Statistics, 1997, 59, (2), 299-303 View citations (1)

1996

  1. Local-to-Spurious Regression
    Econometric Theory, 1996, 12, (03), 585-586 Downloads
  2. Structural stability tests in the linear regression model when the regressors have roots local to unity
    Economics Letters, 1996, 52, (3), 257-262 Downloads View citations (1)

1995

  1. HERMIN Ireland
    Economic Modelling, 1995, 12, (3), 249-274 Downloads View citations (16)

1993

  1. The CUSUM test based on least squares residuals in regressions with integrated variables
    Economics Letters, 1993, 41, (4), 353-358 Downloads View citations (3)

Books

1993

  1. Growth and Development in the Two Economies of Ireland: An Overview (Proceedings of NIERC/ESRI Conference)
    Research Series, Economic and Social Research Institute (ESRI)

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