Details about Jamie Lee Cross

Access statistics for papers by Jamie Lee Cross.

Last updated 2025-03-18. Update your information in the RePEc Author Service.

Short-id: pcr288

Working Papers

2024

1. A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
2. Asymmetric Gradualism in US Monetary Policy
   Tinbergen Institute Discussion Papers, Tinbergen Institute
3. Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2024)
4. Oil and the Stock Market Revisited: A Mixed Functional VAR Approach
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (3)
   Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2023)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2023) View citations (3)
5. Taylor Rules with Endogenous Regimes
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
   Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2024) View citations (1)
6. Time-Varying Factor Model Components for Effective Momentum Strategy
   Tinbergen Institute Discussion Papers, Tinbergen Institute
7. Unveiling inflation: Oil Shocks, Supply Chain Pressures, and Expectations
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2024)

2023

8. A Bayesian DSGE Approach to Modelling Cryptocurrency
   Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (1)
9. BayesMultiMode: Bayesian Mode Inference in R
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
10. Bayesian Mode Inference for Discrete Distributions in Economics and Finance
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2023)
    See also Journal Article Bayesian mode inference for discrete distributions in economics and finance, Economics Letters, Elsevier (2024) View citations (4) (2024)
11. Monetary policy shocks and exchange rate dynamics in small open economies
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
    Also in School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy (2023)
12. Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (3)
13. The Drivers of Emission Reductions in the European Carbon Market
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2023) View citations (1)
14. The interplay between monetary and fiscal policy in a small open economy
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (6)
15. Uncertainty and the Term Structure of Interest Rates
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School

2021

16. Macroeconomic Forecasting with Large Stochastic Volatility in Mean VARs
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (2)
17. Quantifying time-varying forecast uncertainty and risk for the real price of oil
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
    Also in Working Paper, Norges Bank (2021)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2021)
    See also Journal Article Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (7) (2023)
18. The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (3)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020) View citations (6)
    See also Journal Article The role of precautionary and speculative demand in the global market for crude oil, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (23) (2022)

2020

19. Inflation expectations and the pass-through of oil prices
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
    Also in Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School (2020) View citations (2)
    Working Paper, Norges Bank (2020) View citations (3)
    See also Journal Article Inflation Expectations and the Pass-Through of Oil Prices, The Review of Economics and Statistics, MIT Press (2023) View citations (15) (2023)
20. Time-Varying Trend Models for Forecasting Inflation in Australia
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2020)
    See also Journal Article Time‐varying trend models for forecasting inflation in Australia, Journal of Forecasting, John Wiley & Sons, Ltd. (2022) (2022)

2019

21. New Kid on the Block? China vs the US in World Oil Markets
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2019)

2018

22. International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (3)
23. International transmissions of aggregate macroeconomic uncertainty in small open economies: An empirical approach
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (4)
24. On the China factor in international oil markets: A regime switching approach
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
25. Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (7)
    See also Journal Article Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts, International Journal of Forecasting, Elsevier (2020) View citations (11) (2020)

Journal Articles

2024

1. Bayesian mode inference for discrete distributions in economics and finance
   Economics Letters, 2024, 235, (C) View citations (4)
   See also Working Paper Bayesian Mode Inference for Discrete Distributions in Economics and Finance, Tinbergen Institute Discussion Papers (2023) (2023)
2. The impact of monetary policy on income inequality: Does inflation targeting matter?
   Finance Research Letters, 2024, 61, (C)

2023

3. Inflation Expectations and the Pass-Through of Oil Prices
   The Review of Economics and Statistics, 2023, 105, (3), 733-743 View citations (15)
   See also Working Paper Inflation expectations and the pass-through of oil prices, CAMA Working Papers (2020) View citations (2) (2020)
4. Large stochastic volatility in mean VARs
   Journal of Econometrics, 2023, 236, (1) View citations (2)
5. Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
   Journal of Business & Economic Statistics, 2023, 41, (2), 523-537 View citations (7)
   See also Working Paper Quantifying time-varying forecast uncertainty and risk for the real price of oil, Working Papers (2021) (2021)

2022

6. The role of precautionary and speculative demand in the global market for crude oil
   Journal of Applied Econometrics, 2022, 37, (5), 882-895 View citations (23)
   See also Working Paper The Role of Precautionary and Speculative Demand in the Global Market for Crude Oil, Working Papers (2021) View citations (3) (2021)
7. Time‐varying trend models for forecasting inflation in Australia
   Journal of Forecasting, 2022, 41, (2), 316-330
   See also Working Paper Time-Varying Trend Models for Forecasting Inflation in Australia, Working Papers (2020) (2020)

2021

8. On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee Fry-McKibbin, Warwick McKibbin and members of the workshop on Energy Economics hosted by the Free University of Bozen-Bolzano for their comments in the development of this research
   Energy Economics, 2021, 95, (C)
9. Returns, volatility and the cryptocurrency bubble of 2017–18
   Economic Modelling, 2021, 104, (C) View citations (19)

2020

10. Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity
    International Journal of Forecasting, 2020, 36, (3), 899-915 View citations (48)
11. On the contribution of international shocks in Australian business cycle fluctuations
    Empirical Economics, 2020, 59, (6), 2613-2637 View citations (4)
12. Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts
    International Journal of Forecasting, 2020, 36, (4), 1318-1328 View citations (11)
    See also Working Paper Stochastic volatility models with ARMA innovations: An application to G7 inflation forecasts, CAMA Working Papers (2018) View citations (7) (2018)