Details about Jonathan Wright

Access statistics for papers by Jonathan Wright.

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

Short-id: pwr25

Working Papers

2008

1. Efficient Prediction of Excess Returns
   NBER Working Papers, National Bureau of Economic Research, Inc
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.) View citations
3. The TIPS yield curve and inflation compensation
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
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.) View citations

2007

5. Bond risk premia and realized jump volatility
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
6. Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
7. Cracking the Conundrum
   Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations
   See also Journal Article in Brookings Papers on Economic Activity (2007)
8. 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.)
9. Trading activity and exchange rates in high-frequency EBS data
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations

2006

10. Forecasting professional forecasters
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations
11. 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.) View citations
    See also Journal Article in Journal of International Economics (2008)
12. Predicting sharp depreciations in industrial country exchange rates
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
13. 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.) View citations
    See also Journal Article in Journal of Monetary Economics (2007)
14. The yield curve and predicting recessions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations

2005

15. 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.) View citations

2004

16. 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.) View citations

2003

17. Bayesian Model Averaging and exchange rate forecasts
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Econometrics (2008)
18. Forecasting U.S. inflation by Bayesian Model Averaging
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Forecasting (2009)
19. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2002) View citations
    Working Paper Series, European Central Bank (2002) View citations
    See also Journal Article in Journal of the European Economic Association (2003)
20. 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.) View citations
    See also Journal Article in Journal of Monetary Economics (2007)
21. Uncovered interest parity: it works, but not for long
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of International Economics (2005)

2002

22. 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 View citations
23. Identifying vars based on high frequency futures data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Monetary Economics (2004)
24. Testing the null of identification in GMM
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)

2001

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

2000

27. Detecting lack of identification in GMM
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Econometric Theory (2003)
28. 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.) View citations
29. 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.) View citations
    See also Journal Article in Econometric Reviews (2002)
30. News and noise in G-7 GDP announcements
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations
    See also Journal Article in Journal of Money, Credit and Banking (2005)

1999

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

1996

34. Asymptotics for GMM Estimators with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations

1991

35. 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
   See also Working Paper (2003)

2008

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

2007

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

2005

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

2004

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

2003

12. DETECTING LACK OF IDENTIFICATION IN GMM
    Econometric Theory, 2003, 19, (02), 322-330 View citations
    See also Working Paper (2000)
13. Exchange rate forecasting: the errors we've really made
    Journal of International Economics, 2003, 60, (1), 35-59 View citations
    See also Working Paper (2001)
14. 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 View citations
    See also Working Paper (2003)

2002

15. 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
16. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
    Econometric Reviews, 2002, 21, (4), 397-417 View citations
    See also Working Paper (2000)

2001

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

2000

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

1999

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

1997

28. 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

1996

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

1995

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

1993

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

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)