Details about Jan J. J. Groen

Access statistics for papers by Jan J. J. Groen.

Last updated 2023-03-05. Update your information in the RePEc Author Service.

Short-id: pgr1

Working Papers

2022

1. A New Barometer of Global Supply Chain Pressures
   Liberty Street Economics, Federal Reserve Bank of New York View citations (6)
2. Global Supply Chain Pressure Index: March 2022 Update
   Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
3. Global Supply Chain Pressure Index: May 2022 Update
   Liberty Street Economics, Federal Reserve Bank of New York View citations (6)
4. How Could Oil Price and Policy Rate Hikes Affect the Near-Term Inflation Outlook?
   Liberty Street Economics, Federal Reserve Bank of New York
5. The GSCPI: A New Barometer of Global Supply Chain Pressures
   Staff Reports, Federal Reserve Bank of New York View citations (50)
6. The Global Supply Side of Inflationary Pressures
   Liberty Street Economics, Federal Reserve Bank of New York View citations (4)

2021

7. Is Higher Financial Stress Lurking around the Corner for China?
   Liberty Street Economics, Federal Reserve Bank of New York
8. Oil Prices, Global Demand Expectations, and Near-Term Global Inflation
   Liberty Street Economics, Federal Reserve Bank of New York

2020

9. Measuring Global Financial Market Stresses
   Staff Reports, Federal Reserve Bank of New York View citations (1)
10. Putting the Current Oil Price Collapse into Historical Perspective
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
11. Uncertainty about Trade Policy Uncertainty
    Staff Reports, Federal Reserve Bank of New York View citations (17)

2016

12. Lower Oil Prices and U.S. Economic Activity
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)

2015

13. Is Cheaper Oil Good News or Bad News for U.S. Economy?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
14. The Myth of First-Quarter Residual Seasonality
    Liberty Street Economics, Federal Reserve Bank of New York

2014

15. Forecasting Inflation with Fundamentals... It's Hard!
    Liberty Street Economics, Federal Reserve Bank of New York
16. Global Asset Prices and Taper Tantrum Revisited
    Liberty Street Economics, Federal Reserve Bank of New York
17. Risk Aversion, Global Asset Prices, and Fed Tightening Signals
    Liberty Street Economics, Federal Reserve Bank of New York

2013

18. A New Approach for Identifying Demand and Supply Shocks in the Oil Market
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
19. Creating a History of U.S. Inflation Expectations
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)

2011

20. An Examination of U.S. Dollar Declines
    Liberty Street Economics, Federal Reserve Bank of New York
21. Commodity prices, commodity currencies, and global economic developments
    European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission View citations (36)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (17)
    Staff Reports, Federal Reserve Bank of New York (2009) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (16)
    See also Chapter Commodity Prices, Commodity Currencies, and Global Economic Developments, NBER Chapters, National Bureau of Economic Research, Inc (2011) View citations (40) (2011)
22. How Easy Is It to Forecast Commodity Prices?
    Liberty Street Economics, Federal Reserve Bank of New York

2010

23. Financial amplification of foreign exchange risk premia
    Staff Reports, Federal Reserve Bank of New York
    See also Journal Article Financial amplification of foreign exchange risk premia, European Economic Review, Elsevier (2011) View citations (10) (2011)
24. Multivariate Methods for Monitoring Structural Change
    Working Papers, Queen Mary University of London, School of Economics and Finance
    Also in Bank of England working papers, Bank of England (2009) View citations (2)
    See also Journal Article MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (13) (2013)
25. Time-varying inflation expectations and economic fluctuations in the United Kingdom: a structural VAR analysis
    Bank of England working papers, Bank of England View citations (11)

2009

26. Model selection criteria for factor-augmented regressions
    Staff Reports, Federal Reserve Bank of New York View citations (7)
27. Parsimonious estimation with many instruments
    Staff Reports, Federal Reserve Bank of New York View citations (4)
28. Real-Time Inflation Forecasting in a Changing World
    Working Paper, Norges Bank View citations (18)
    Also in Staff Reports, Federal Reserve Bank of New York (2009) View citations (22)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2009) View citations (18)
    See also Journal Article Real-Time Inflation Forecasting in a Changing World, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (123) (2013)

2008

29. Investigating the structural stability of the Phillips curve relationship
    Bank of England working papers, Bank of England View citations (26)
30. Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (29)
    Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations (32)
    See also Journal Article Revisiting useful approaches to data-rich macroeconomic forecasting, Computational Statistics & Data Analysis, Elsevier (2016) View citations (48) (2016)

2005

31. Asset price based estimates of sterling exchange rate risk premia
    Bank of England working papers, Bank of England View citations (1)
    See also Journal Article Asset price based estimates of sterling exchange rate risk premia, Journal of International Money and Finance, Elsevier (2006) View citations (12) (2006)

2004

32. Real exchange rate persistence and systematic monetary policy behaviour
    Bank of England working papers, Bank of England View citations (20)
33. Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis
    Bank of England working papers, Bank of England View citations (8)

2000

34. New Multi-Country Evidence on Purchasing Power Parity: Multi-Variate Unit Root Test Results
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000) View citations (2)

1999

35. Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (106) (2003)

1998

36. The Monetary Exchange Rate Model as a Long-Run Phenomenon
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
    See also Journal Article The monetary exchange rate model as a long-run phenomenon, Journal of International Economics, Elsevier (2000) View citations (131) (2000)

Journal Articles

2020

1. Alternative Indicators for Chinese Economic Activity Using Sparse PLS Regression
   Economic Policy Review, 2020, 26, (4), 39-68 View citations (1)

2016

2. Revisiting useful approaches to data-rich macroeconomic forecasting
   Computational Statistics & Data Analysis, 2016, 100, (C), 221-239 View citations (48)
   See also Working Paper Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting, Working Papers (2008) View citations (29) (2008)

2013

3. MULTIVARIATE METHODS FOR MONITORING STRUCTURAL CHANGE
   Journal of Applied Econometrics, 2013, 28, (2), 250-274 View citations (13)
   See also Working Paper Multivariate Methods for Monitoring Structural Change, Working Papers (2010) (2010)
4. Model Selection Criteria for Factor-Augmented Regressions-super-
   Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 37-63 View citations (15)
5. Real-Time Inflation Forecasting in a Changing World
   Journal of Business & Economic Statistics, 2013, 31, (1), 29-44 View citations (123)
   See also Working Paper Real-Time Inflation Forecasting in a Changing World, Working Paper (2009) View citations (18) (2009)

2011

6. Financial amplification of foreign exchange risk premia
   European Economic Review, 2011, 55, (3), 354-370 View citations (10)
   See also Working Paper Financial amplification of foreign exchange risk premia, Staff Reports (2010) (2010)

2009

7. A real time evaluation of Bank of England forecasts of inflation and growth
   International Journal of Forecasting, 2009, 25, (1), 74-80 View citations (56)

2006

8. Asset price based estimates of sterling exchange rate risk premia
   Journal of International Money and Finance, 2006, 25, (1), 71-92 View citations (12)
   See also Working Paper Asset price based estimates of sterling exchange rate risk premia, Bank of England working papers (2005) View citations (1) (2005)

2005

9. Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-country Panel
   Journal of Money, Credit and Banking, 2005, 37, (3), 495-516 View citations (73)

2004

10. Corporate credit, stock price inflation and economic fluctuations
    Applied Economics, 2004, 36, (18), 1995-2006 View citations (4)

2003

11. Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models
    Journal of Business & Economic Statistics, 2003, 21, (2), 295-318 View citations (106)
    See also Working Paper Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models, Tinbergen Institute Discussion Papers (1999) View citations (10) (1999)

2002

12. Cointegration and the Monetary Exchange Rate Model Revisited
    Oxford Bulletin of Economics and Statistics, 2002, 64, (4), 361-380 View citations (22)

2000

13. The monetary exchange rate model as a long-run phenomenon
    Journal of International Economics, 2000, 52, (2), 299-319 View citations (131)
    See also Working Paper The Monetary Exchange Rate Model as a Long-Run Phenomenon, Tinbergen Institute Discussion Papers (1998) View citations (5) (1998)

1999

14. Long horizon predictability of exchange rates: Is it for real?
    Empirical Economics, 1999, 24, (3), 451-469 View citations (48)

Chapters

2011

1. Commodity Prices, Commodity Currencies, and Global Economic Developments
   A chapter in Commodity Prices and Markets, 2011, pp 15-42 View citations (40)
   See also Working Paper Commodity prices, commodity currencies, and global economic developments, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission (2011) View citations (36) (2011)