Details about Todd Clark

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Workplace:	Economic Research, Federal Reserve Bank of Cleveland, (more information at EDIRC) Department of Economics, Johns Hopkins University, (more information at EDIRC)

Access statistics for papers by Todd Clark.

Last updated 2025-04-01. Update your information in the RePEc Author Service.

Short-id: pcl55

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Working Papers

2024

1. Constructing Fan Charts from the Ragged Edge of SPF Forecasts
   Working Papers, Federal Reserve Bank of Cleveland
   Also in Working Papers, Banco de España (2024)
   Discussion Papers, Deutsche Bundesbank (2024)
   Working Papers, Federal Reserve Bank of Cleveland (2022)
2. Specification Choices in Quantile Regression for Empirical Macroeconomics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (2)
   See also Journal Article Specification Choices in Quantile Regression for Empirical Macroeconomics, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2025) (2025)

2023

3. Forecasting Core Inflation and Its Goods, Housing, and Supercore Components
   Working Papers, Federal Reserve Bank of Cleveland
4. Forecasting US Inflation Using Bayesian Nonparametric Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Papers, arXiv.org (2022) View citations (9)
   Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (6)
5. Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2021) View citations (6)
   Papers, arXiv.org (2021) View citations (9)
   See also Journal Article Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (3) (2024)
6. Shadow-rate VARs
   Discussion Papers, Deutsche Bundesbank
7. What Is the Predictive Value of SPF Point and Density Forecasts?
   VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association
   Also in Working Papers, Federal Reserve Bank of Cleveland (2022)

2022

8. Addressing COVID-19 outliers in BVARs with stochastic volatility
   Discussion Papers, Deutsche Bundesbank View citations (25)
   Also in Working Papers, Federal Reserve Bank of Cleveland (2021) View citations (22)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (29)
   See also Journal Article Addressing COVID-19 Outliers in BVARs with Stochastic Volatility, The Review of Economics and Statistics, MIT Press (2024) View citations (3) (2024)
9. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Federal Reserve Bank of Cleveland (2020) View citations (24)
   See also Journal Article Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions, Journal of Money, Credit and Banking, Blackwell Publishing (2024) View citations (2) (2024)
10. Macroeconomic Forecasting in a Multi-country Context
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (3)
    See also Journal Article Macroeconomic forecasting in a multi‐country context, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (1) (2022)
11. Measuring Uncertainty and Its Effects in the COVID-19 Era
    Working Papers, Federal Reserve Bank of Cleveland View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (2)
12. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
    See also Journal Article TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2023) View citations (15) (2023)

2021

13. Forecasting with Shadow-Rate VARs
    Working Papers, Federal Reserve Bank of Cleveland View citations (1)
14. Nowcasting Tail Risk to Economic Activity at a Weekly Frequency
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Nowcasting tail risk to economic activity at a weekly frequency, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (16) (2022)
15. Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty, Journal of Econometrics, Elsevier (2021) View citations (18) (2021)

2020

16. No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    Working Papers, Federal Reserve Bank of Cleveland
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (4)
    See also Journal Article No‐arbitrage priors, drifting volatilities, and the term structure of interest rates, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)
17. Nowcasting Tail Risks to Economic Activity with Many Indicators
    Working Papers, Federal Reserve Bank of Cleveland View citations (32)

2019

18. Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2018) View citations (3)
    Working Papers, Federal Reserve Bank of Cleveland (2019) View citations (4)
    See also Journal Article Assessing international commonality in macroeconomic uncertainty and its effects, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (23) (2020)

2018

19. Endogenous Uncertainty
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (4)

2017

20. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (7)
    Also in BIS Working Papers, Bank for International Settlements (2017) View citations (6)
    Working Papers, Federal Reserve Bank of Cleveland (2017) View citations (7)
    Working Papers, Federal Reserve Bank of St. Louis (2017) View citations (6)
    See also Journal Article Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors, The Review of Economics and Statistics, MIT Press (2020) View citations (21) (2020)

2016

21. Have Standard VARs Remained Stable Since the Crisis?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Paper, Norges Bank (2014) View citations (13)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014) View citations (8)
    See also Journal Article Have Standard VARS Remained Stable Since the Crisis?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (29) (2017)
22. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (13)
23. Measuring Uncertainty and Its Impact on the Economy
    BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy View citations (29)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2016) View citations (10)
    See also Journal Article Measuring Uncertainty and Its Impact on the Economy, The Review of Economics and Statistics, MIT Press (2018) View citations (143) (2018)

2015

24. A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (22)
    See also Journal Article A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (50) (2018)
25. Large Vector Autoregressions with Asymmetric Priors
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (22)
26. Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association View citations (5)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2015) View citations (5)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2015) View citations (1)
    See also Journal Article Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (44) (2017)

2014

27. Evaluating Conditional Forecasts from Vector Autoregressions
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014) View citations (11)
28. Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (15)

2013

29. Evaluating the accuracy of forecasts from vector autoregressions
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)
30. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (3)
    See also Journal Article Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2015) View citations (79) (2015)

2012

31. Common Drifting Volatility in Large Bayesian VARs
    Economics Working Papers, European University Institute View citations (36)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (24)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (36)
    See also Journal Article Common Drifting Volatility in Large Bayesian VARs, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (136) (2016)
32. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (6)
    Also in Working Paper, Norges Bank (2012) View citations (17)

2011

33. A Bayesian evaluation of alternative models of trend inflation
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (17)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2011) View citations (10)
34. Advances in forecast evaluation
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (13)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2011) View citations (9)
    See also Chapter Advances in Forecast Evaluation, Handbook of Economic Forecasting, Elsevier (2013) View citations (113) (2013)
35. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (46)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (10)
    See also Journal Article Bayesian VARs: Specification Choices and Forecast Accuracy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (128) (2015)
36. Tests of equal forecast accuracy for overlapping models
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (2)
    See also Journal Article TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (9) (2014)

2010

37. Reality checks and nested forecast model comparisons
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
38. Testing for unconditional predictive ability
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)

2009

39. Decomposing the declining volatility of long-term inflation expectations
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (2)
    See also Journal Article Decomposing the declining volatility of long-term inflation expectations, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (41) (2011)
40. In-sample tests of predictive ability: a new approach
    Research Working Paper, Federal Reserve Bank of Kansas City
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (1)
    See also Journal Article In-sample tests of predictive ability: A new approach, Journal of Econometrics, Elsevier (2012) View citations (20) (2012)
41. Nested forecast model comparisons: a new approach to testing equal accuracy
    Working Papers, Federal Reserve Bank of St. Louis View citations (28)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2009) View citations (7)
    See also Journal Article Nested forecast model comparisons: A new approach to testing equal accuracy, Journal of Econometrics, Elsevier (2015) View citations (49) (2015)
42. Real-time density forecasts from VARs with stochastic volatility
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (6)
43. Time variation in the inflation passthrough of energy prices
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (5)
    See also Journal Article Time Variation in the Inflation Passthrough of Energy Prices, Journal of Money, Credit and Banking, Blackwell Publishing (2010) View citations (79) (2010)

2008

44. An empirical assessment of the relationships among inflation and short- and long-term expectations
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (14)
45. Averaging forecasts from VARs with uncertain instabilities
    Working Papers, Federal Reserve Bank of St. Louis View citations (11)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (1)
    Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (12)
    See also Journal Article Averaging forecasts from VARs with uncertain instabilities, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (46) (2010)
46. Combining forecasts from nested models
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (7)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (4)
    See also Journal Article Combining Forecasts from Nested Models*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2009) View citations (13) (2009)
47. Improving forecast accuracy by combining recursive and rolling forecasts
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2004) View citations (21)
    See also Journal Article IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2009) View citations (91) (2009)
48. Tests of equal predictive ability with real-time data
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2007) View citations (19)
    See also Journal Article Tests of Equal Predictive Ability With Real-Time Data, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (78) (2009)

2007

49. Forecasting with small macroeconomic VARs in the presence of instabilities
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (16)

2006

50. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (15)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2005) View citations (6)
    See also Journal Article Approximately normal tests for equal predictive accuracy in nested models, Journal of Econometrics, Elsevier (2007) View citations (1493) (2007)
51. Forecasting of small macroeconomic VARs in the presence of instabilities
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (5)

2005

52. Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (12)

2004

53. Estimating equilibrium real interest rates in real time
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (13)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2004) View citations (21)
    See also Journal Article Estimating equilibrium real interest rates in real time, The North American Journal of Economics and Finance, Elsevier (2005) View citations (116) (2005)
54. Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (17)
    See also Journal Article Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis, Journal of Econometrics, Elsevier (2006) View citations (349) (2006)

2003

55. Disaggregate evidence on the persistence of consumer price inflation
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (23)
    See also Journal Article Disaggregate evidence on the persistence of consumer price inflation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (94) (2006)
56. The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (22)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2003) View citations (23)
    See also Journal Article The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (103) (2006)

2002

57. Forecast-based model selection in the presence of structural breaks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (10)

2001

58. Evaluating long-horizon forecasts
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (26)

2000

59. Can out-of-sample forecast comparisons help prevent overfitting?
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (5)
    See also Journal Article Can out-of-sample forecast comparisons help prevent overfitting?, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (53) (2004)
60. Tests of Equal Forecast Accuracy and Encompassing for Nested Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (26)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (13)
    Research Working Paper, Federal Reserve Bank of Kansas City (1999) View citations (8)
    See also Journal Article Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics, Elsevier (2001) View citations (752) (2001)

1999

61. Borders and business cycles
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (21)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (6)
    See also Journal Article Borders and business cycles, Journal of International Economics, Elsevier (2001) View citations (325) (2001)

1998

62. The sources of fluctuations within and across countries
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (52)

1997

63. Do producer prices help predict consumer prices?
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (4)

1996

64. Finite-sample properties of tests for forecast equivalence
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (6)
65. The responses of prices at different stages of production to monetary policy shocks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (2)
    See also Journal Article The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks, The Review of Economics and Statistics, MIT Press (1999) View citations (74) (1999)

1995

66. Forecasting an aggregate of cointegrated disaggregates
    Research Working Paper, Federal Reserve Bank of Kansas City
67. Small sample properties of estimators of non-linear models of covariance structure
    Research Working Paper, Federal Reserve Bank of Kansas City
    See also Journal Article Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (49) (1996)

1994

68. A comparison of two approaches to measuring common and idiosyncratic components in sets of time series variables
    Research Working Paper, Federal Reserve Bank of Kansas City

1993

69. Cross-country evidence on long run growth and inflation
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (15)
    See also Journal Article Cross-country Evidence on Long-Run Growth and Inflation, Economic Inquiry, Western Economic Association International (1997) View citations (47) (1997)
70. Rents and prices of housing across areas of the U.S.: a cross-section examination of the present value model
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (2)

1992

71. Business cycle fluctuations in U.S. regions and industries: the roles of national, region-specific, and industry-specific shocks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (7)

Journal Articles

2025

1. Specification Choices in Quantile Regression for Empirical Macroeconomics
   Journal of Applied Econometrics, 2025, 40, (1), 57-73
   See also Working Paper Specification Choices in Quantile Regression for Empirical Macroeconomics, CEPR Discussion Papers (2024) (2024)

2024

2. Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
   The Review of Economics and Statistics, 2024, 106, (5), 1403-1417 View citations (3)
   See also Working Paper Addressing COVID-19 outliers in BVARs with stochastic volatility, Discussion Papers (2022) View citations (25) (2022)
3. Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
   Journal of Money, Credit and Banking, 2024, 56, (5), 1099-1127 View citations (2)
   See also Working Paper Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions, CEPR Discussion Papers (2022) (2022)
4. Investigating Growth-at-Risk Using a Multicountry Nonparametric Quantile Factor Model
   Journal of Business & Economic Statistics, 2024, 42, (4), 1302-1317 View citations (3)
   See also Working Paper Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model, CEPR Discussion Papers (2023) (2023)

2023

5. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
   International Economic Review, 2023, 64, (3), 979-1022 View citations (15)
   See also Working Paper Tail Forecasting with Multivariate Bayesian Additive Regression Trees, Working Papers (2022) View citations (7) (2022)
6. The Impacts of Supply Chain Disruptions on Inflation
   Economic Commentary, 2023, 2023, (08), 8 View citations (10)

2022

7. Macroeconomic forecasting in a multi‐country context
   Journal of Applied Econometrics, 2022, 37, (6), 1230-1255 View citations (1)
   See also Working Paper Macroeconomic Forecasting in a Multi-country Context, CEPR Discussion Papers (2022) (2022)
8. Nowcasting tail risk to economic activity at a weekly frequency
   Journal of Applied Econometrics, 2022, 37, (5), 843-866 View citations (16)
   See also Working Paper Nowcasting Tail Risk to Economic Activity at a Weekly Frequency, CEPR Discussion Papers (2021) (2021)

2021

9. No‐arbitrage priors, drifting volatilities, and the term structure of interest rates
   Journal of Applied Econometrics, 2021, 36, (5), 495-516 View citations (1)
   See also Working Paper No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates, Working Papers (2020) (2020)
10. Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
    Journal of Econometrics, 2021, 225, (1), 47-73 View citations (18)
    See also Working Paper Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty, CEPR Discussion Papers (2021) (2021)

2020

11. Assessing international commonality in macroeconomic uncertainty and its effects
    Journal of Applied Econometrics, 2020, 35, (3), 273-293 View citations (23)
    See also Working Paper Assessing International Commonality in Macroeconomic Uncertainty and Its Effects, CEPR Discussion Papers (2019) View citations (4) (2019)
12. Credit Market Frictions, Business Cycles, and Monetary Policy: The Research Contributions of Charles Carlstrom and Timothy Fuerst
    Economic Commentary, 2020, 2020, (07), 5
13. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
    The Review of Economics and Statistics, 2020, 102, (1), 17-33 View citations (21)
    See also Working Paper Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors, Working Papers (Old Series) (2017) View citations (7) (2017)

2019

14. Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
    Journal of Econometrics, 2019, 212, (1), 137-154 View citations (149)

2018

15. A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
    Journal of Money, Credit and Banking, 2018, 50, (1), 5-53 View citations (50)
    See also Working Paper A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations, Working Papers (Old Series) (2015) View citations (22) (2015)
16. Measuring Uncertainty and Its Impact on the Economy
    The Review of Economics and Statistics, 2018, 100, (5), 799-815 View citations (143)
    See also Working Paper Measuring Uncertainty and Its Impact on the Economy, BAFFI CAREFIN Working Papers (2016) View citations (29) (2016)

2017

17. Have Standard VARS Remained Stable Since the Crisis?
    Journal of Applied Econometrics, 2017, 32, (5), 931-951 View citations (29)
    See also Working Paper Have Standard VARs Remained Stable Since the Crisis?, CEPR Discussion Papers (2016) View citations (7) (2016)
18. Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting
    Journal of Applied Econometrics, 2017, 32, (3), 533-553 View citations (8)
19. Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
    Journal of Business & Economic Statistics, 2017, 35, (3), 470-485 View citations (44)
    See also Working Paper Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts, VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy (2015) View citations (5) (2015)

2016

20. Common Drifting Volatility in Large Bayesian VARs
    Journal of Business & Economic Statistics, 2016, 34, (3), 375-390 View citations (136)
    See also Working Paper Common Drifting Volatility in Large Bayesian VARs, Economics Working Papers (2012) View citations (36) (2012)

2015

21. Bayesian VARs: Specification Choices and Forecast Accuracy
    Journal of Applied Econometrics, 2015, 30, (1), 46-73 View citations (128)
    See also Working Paper Bayesian VARs: Specification Choices and Forecast Accuracy, CEPR Discussion Papers (2011) View citations (46) (2011)
22. Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility
    Journal of Applied Econometrics, 2015, 30, (4), 551-575 View citations (205)
23. Measuring Inflation Forecast Uncertainty
    Economic Commentary, 2015, 2015, (03), 6 View citations (3)
24. Nested forecast model comparisons: A new approach to testing equal accuracy
    Journal of Econometrics, 2015, 186, (1), 160-177 View citations (49)
    See also Working Paper Nested forecast model comparisons: a new approach to testing equal accuracy, Working Papers (2009) View citations (28) (2009)
25. Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
    Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 View citations (79)
    See also Working Paper Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility, CEPR Discussion Papers (2013) View citations (10) (2013)

2014

26. 2013 Annual Report Why Inflation Is Very Low, and Why It Matters
    Annual Report, 2014, 1-42 View citations (1)
27. Evaluating alternative models of trend inflation
    International Journal of Forecasting, 2014, 30, (3), 426-448 View citations (72)
28. HOW THE ECONOMY WORKS: CONFIDENCE, CRASHES, AND SELF-FULFILLING PROPHECIES BY ROGER E. A. FARMERRoger E. A. Farmer Oxford University Press, New York, 2010
    Macroeconomic Dynamics, 2014, 18, (3), 721-725
29. TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
    Journal of Applied Econometrics, 2014, 29, (3), 415-430 View citations (9)
    See also Working Paper Tests of equal forecast accuracy for overlapping models, Working Papers (2011) View citations (2) (2011)
30. The Importance of Trend Inflation in the Search for Missing Disinflation
    Economic Commentary, 2014, (Aug) View citations (5)

2013

31. Forecasting implications of the recent decline in inflation
    Economic Commentary, 2013, (Nov) View citations (2)

2012

32. In-sample tests of predictive ability: A new approach
    Journal of Econometrics, 2012, 170, (1), 1-14 View citations (20)
    See also Working Paper In-sample tests of predictive ability: a new approach, Research Working Paper (2009) (2009)
33. Policy rules in macroeconomic forecasting models
    Economic Commentary, 2012, (Oct) View citations (1)
34. Reality Checks and Comparisons of Nested Predictive Models
    Journal of Business & Economic Statistics, 2012, 30, (1), 53-66 View citations (42)
    Also in Journal of Business & Economic Statistics, 2011, 30, (1), 53-66 (2011) View citations (3)

2011

35. Decomposing the declining volatility of long-term inflation expectations
    Journal of Economic Dynamics and Control, 2011, 35, (7), 981-999 View citations (41)
    See also Working Paper Decomposing the declining volatility of long-term inflation expectations, Research Working Paper (2009) View citations (2) (2009)
36. Food and energy price shocks: what other prices are affected?
    Economic Commentary, 2011, (Aug)
37. Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
    Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 View citations (369)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 (2011) View citations (317)

2010

38. Averaging forecasts from VARs with uncertain instabilities
    Journal of Applied Econometrics, 2010, 25, (1), 5-29 View citations (46)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 5-29 (2010) View citations (117)
    See also Working Paper Averaging forecasts from VARs with uncertain instabilities, Working Papers (2008) View citations (11) (2008)
39. Time Variation in the Inflation Passthrough of Energy Prices
    Journal of Money, Credit and Banking, 2010, 42, (7), 1419-1433 View citations (79)
    Also in Journal of Money, Credit and Banking, 2010, 42, (7), 1419-1433 (2010) View citations (52)
    See also Working Paper Time variation in the inflation passthrough of energy prices, Research Working Paper (2009) View citations (5) (2009)

2009

40. Combining Forecasts from Nested Models*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (3), 303-329 View citations (13)
    See also Working Paper Combining forecasts from nested models, Working Papers (2008) View citations (2) (2008)
41. IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS
    International Economic Review, 2009, 50, (2), 363-395 View citations (91)
    See also Working Paper Improving forecast accuracy by combining recursive and rolling forecasts, Working Papers (2008) View citations (3) (2008)
42. Is the Great Moderation over? an empirical analysis
    Economic Review, 2009, 94, (Q IV), 5-42 View citations (37)
43. Tests of Equal Predictive Ability With Real-Time Data
    Journal of Business & Economic Statistics, 2009, 27, (4), 441-454 View citations (78)
    See also Working Paper Tests of equal predictive ability with real-time data, Working Papers (2008) View citations (3) (2008)

2008

44. Has the behavior of inflation and long-term inflation expectations changed?
    Economic Review, 2008, 93, (Q I), 17-50 View citations (15)

2007

45. Approximately normal tests for equal predictive accuracy in nested models
    Journal of Econometrics, 2007, 138, (1), 291-311 View citations (1493)
    See also Working Paper Approximately Normal Tests for Equal Predictive Accuracy in Nested Models, NBER Technical Working Papers (2006) View citations (15) (2006)

2006

46. Disaggregate evidence on the persistence of consumer price inflation
    Journal of Applied Econometrics, 2006, 21, (5), 563-587 View citations (94)
    Also in Journal of Applied Econometrics, 2006, 21, (5), 563-587 (2006) View citations (9)
    See also Working Paper Disaggregate evidence on the persistence of consumer price inflation, Research Working Paper (2003) View citations (23) (2003)
47. The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
    Journal of Money, Credit and Banking, 2006, 38, (5), 1127-1148 View citations (103)
    See also Working Paper The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence, Computing in Economics and Finance 2003 (2003) View citations (22) (2003)
48. The trend growth rate of employment: past, present, and future
    Economic Review, 2006, 91, (Q I), 43-85 View citations (3)
49. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
    Journal of Econometrics, 2006, 135, (1-2), 155-186 View citations (349)
    See also Working Paper Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis, Research Working Paper (2004) View citations (17) (2004)

2005

50. Estimating equilibrium real interest rates in real time
    The North American Journal of Economics and Finance, 2005, 16, (3), 395-413 View citations (116)
    See also Working Paper Estimating equilibrium real interest rates in real time, Research Working Paper (2004) View citations (13) (2004)
51. Evaluating Direct Multistep Forecasts
    Econometric Reviews, 2005, 24, (4), 369-404 View citations (163)
52. The power of tests of predictive ability in the presence of structural breaks
    Journal of Econometrics, 2005, 124, (1), 1-31 View citations (72)

2004

53. An evaluation of the decline in goods inflation
    Economic Review, 2004, 89, (Q II), 19-51 View citations (6)
54. Can out-of-sample forecast comparisons help prevent overfitting?
    Journal of Forecasting, 2004, 23, (2), 115-139 View citations (53)
    See also Working Paper Can out-of-sample forecast comparisons help prevent overfitting?, Research Working Paper (2000) View citations (5) (2000)

2001

55. Borders and business cycles
    Journal of International Economics, 2001, 55, (1), 59-85 View citations (325)
    See also Working Paper Borders and business cycles, Research Working Paper (1999) View citations (21) (1999)
56. Comparing measures of core inflation
    Economic Review, 2001, 86, (Q II), 5-31 View citations (53)
57. Tests of equal forecast accuracy and encompassing for nested models
    Journal of Econometrics, 2001, 105, (1), 85-110 View citations (752)
    See also Working Paper Tests of Equal Forecast Accuracy and Encompassing for Nested Models, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (26) (2000)

1999

58. A comparison of the CPI and the PCE price index
    Economic Review, 1999, 84, (Q III), 15-29 View citations (19)
59. The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks
    The Review of Economics and Statistics, 1999, 81, (3), 420-433 View citations (74)
    See also Working Paper The responses of prices at different stages of production to monetary policy shocks, Research Working Paper (1996) View citations (2) (1996)

1998

60. Employment Fluctuations in U.S. Regions and Industries: The Roles of National, Region-Specific, and Industry-Specific Shocks
    Journal of Labor Economics, 1998, 16, (1), 202-29 View citations (72)
61. Progress toward price stability: a 1997 inflation report
    Economic Review, 1998, 83, (Q I), 5-21

1997

62. Cross-country Evidence on Long-Run Growth and Inflation
    Economic Inquiry, 1997, 35, (1), 70-81 View citations (47)
    See also Working Paper Cross-country evidence on long run growth and inflation, Research Working Paper (1993) View citations (15) (1993)
63. U.S. inflation developments in 1996
    Economic Review, 1997, (Q I), 11-30

1996

64. Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure
    Journal of Business & Economic Statistics, 1996, 14, (3), 367-73 View citations (49)
    See also Working Paper Small sample properties of estimators of non-linear models of covariance structure, Research Working Paper (1995) (1995)
65. U.S. inflation developments in 1995
    Economic Review, 1996, 81, (Q I), 27-42

1995

66. Do producer prices lead consumer prices?
    Economic Review, 1995, 80, (Q III), 25-39 View citations (23)
67. Rents and prices of housing across areas of the United States. A cross-section examination of the present value model
    Regional Science and Urban Economics, 1995, 25, (2), 237-247 View citations (26)

1994

68. Nominal GDP targeting rules: can they stabilize the economy?
    Economic Review, 1994, 79, (Q III), 11-25 View citations (12)

Chapters

2024

1. Survey expectations and forecast uncertainty
   Chapter 12 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 305-333

2013

2. Advances in Forecast Evaluation
   Elsevier View citations (113)
   See also Working Paper Advances in forecast evaluation, Federal Reserve Bank of Cleveland (2011) View citations (13) (2011)
3. Evaluating the Accuracy of Forecasts from Vector Autoregressions☆The views expressed herein are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Cleveland, Federal Reserve Bank of St. Louis, Federal Reserve System, or any of its staff
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 117-168

2008

4. Chapter 3 Forecasting with Small Macroeconomic VARs in the Presence of Instabilities
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 93-147 View citations (1)