Details about Oscar Jorda

Homepage:	https://sites.google.com/site/oscarjorda/
Postal address:	UC-Davis: ojorda@ucdavis.edu FRBSF: oscar.jorda@sf.frb.org
Workplace:	Economic Research, Federal Reserve Bank of San Francisco, (more information at EDIRC) Economics Department, University of California-Davis, (more information at EDIRC) Federal Reserve Bank of San Francisco, (more information at EDIRC)

Access statistics for papers by Oscar Jorda.

Last updated 2023-12-19. Update your information in the RePEc Author Service.

Short-id: pjo46

Jump to Journal Articles Chapters

Working Papers

2024

Inference for Local Projections
Working Paper Series, Federal Reserve Bank of San Francisco
Local Projections
Working Paper Series, Federal Reserve Bank of San Francisco
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2024)

2010

A Chronology of International Business Cycles Through Non-parametric Decoding
Working Papers, University of California, Davis, Department of Economics View citations (5)
Also in Research Working Paper, Federal Reserve Bank of Kansas City (2010) View citations (9)
Carry Trade
Working Papers, University of California, Davis, Department of Economics
Currency Carry Trades
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
See also Journal Article Currency Carry Trades, NBER International Seminar on Macroeconomics, University of Chicago Press (2011) View citations (7) (2011)
Chapter Currency Carry Trades, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (9) (2010)
Empirical Simultaneous Confidence Regions for Path-Forecasts
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (15)
Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2010) View citations (12)
See also Journal Article Empirical simultaneous prediction regions for path-forecasts, International Journal of Forecasting, Elsevier (2013) View citations (11) (2013)
Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons
NBER Working Papers, National Bureau of Economic Research, Inc View citations (62)
See also Journal Article Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons, IMF Economic Review, Palgrave Macmillan (2011) View citations (451) (2011)
The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (8)
See also Journal Article THE HARROD–BALASSA–SAMUELSON HYPOTHESIS: REAL EXCHANGE RATES AND THEIR LONG‐RUN EQUILIBRIUM, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2012) View citations (52) (2012)

2009

The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (20)
See also Journal Article The carry trade and fundamentals: Nothing to fear but FEER itself, Journal of International Economics, Elsevier (2012) View citations (96) (2012)
The Classification of Economic Activity into Expansions and Recessions
Working Papers, University of California, Davis, Department of Economics

2008

Path Forecast Evaluation
Working Papers, University of California, Davis, Department of Economics View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (2)
Economics Working Papers, European University Institute (2008) View citations (2)
See also Journal Article Path forecast evaluation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (48) (2010)

2007

Estimation and Inference by the Method of Projection Minimum Distance
Staff Working Papers, Bank of Canada View citations (12)
Also in Working Papers, University of California, Davis, Department of Economics (2007) View citations (9)
Inference for Impulse Responses
Working Papers, University of California, Davis, Department of Economics View citations (2)
Joint Inference and Counterfactual experimentation for Impulse Response Functions by Local Projections
Working Papers, University of California, Davis, Department of Economics

2006

Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models
Working Papers, University of California, Davis, Department of Economics View citations (4)

2004

Model-Free Impulse Responses
Macroeconomics, University Library of Munich, Germany
Also in Working Papers, University of California, Davis, Department of Economics (2004)
Working Papers, University of California, Davis, Department of Economics (2003)

2003

A model for the federal funds rate target
Working Papers, University of California, Davis, Department of Economics
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (29)
Department of Economics, California Davis - Department of Economics View citations (27)
See also Journal Article A Model of the Federal Funds Rate Target, Journal of Political Economy, University of Chicago Press (2002) View citations (149) (2002)
IMPROVED TESTING AND SPECIFICATION OF SMOOTH TRANSITION REGRESSION MODELS
Working Papers, University of California, Davis, Department of Economics
Also in Department of Economics, California Davis - Department of Economics View citations (35)
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1997) View citations (6)
Measuring Systematic Monetary Policy
Working Papers, University of California, Davis, Department of Economics
Also in Department of Economics, California Davis - Department of Economics
Working Papers, University of California, Davis, Department of Economics (2000)
See also Journal Article Measuring systematic monetary policy, Review, Federal Reserve Bank of St. Louis (2001) View citations (16) (2001)
Monetary Policy Coordination: A New Empirical Approach
Working Papers, University of California, Davis, Department of Economics
Also in Department of Economics, California Davis - Department of Economics
Non-Institutional Market Making Behavior: The Dalian Futures Exchange
Working Papers, University of California, Davis, Department of Economics
RANDOM-TIME AGGREGATION IN PARTIAL AJUSTMENT MODELS
Working Papers, University of California, Davis, Department of Economics
Also in Department of Economics, California Davis - Department of Economics
See also Journal Article Random-Time Aggregation in Partial Adjustment Models, Journal of Business & Economic Statistics, American Statistical Association (1999) View citations (13) (1999)
STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA
Working Papers, University of California, Davis, Department of Economics
Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
Department of Economics, California Davis - Department of Economics
The Announcement Effect: Evidence from Open Market Desk Data
Working Papers, University of California, Davis, Department of Economics
Also in Department of Economics, California Davis - Department of Economics View citations (4)
See also Journal Article The announcement effect: evidence from open market desk data, Economic Policy Review, Federal Reserve Bank of New York (2002) View citations (38) (2002)
The Pavlovian Response of Term Rates to Fed Announcements
Working Papers, University of California, Davis, Department of Economics View citations (1)
Also in Department of Economics, California Davis - Department of Economics View citations (1)
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2001) View citations (9)
The Response of Term Rates to Monetary Policy Uncertainty
Working Papers, University of California, Davis, Department of Economics View citations (18)
Also in Department of Economics, California Davis - Department of Economics View citations (3)
See also Journal Article The Response of Term Rates to Monetary Policy Uncertainty, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2003) View citations (25) (2003)
Time-Scale Transformations of Discrete-Time Processes
Working Papers, University of California, Davis, Department of Economics
See also Journal Article Time‐scale transformations of discrete time processes, Journal of Time Series Analysis, Wiley Blackwell (2004) View citations (7) (2004)

2001

MARKET-MAKING BEHAVIOR IN FUTURES MARKETS
2001 Conference, April 23-24, 2001, St. Louis, Missouri, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

2000

Measuring Monetary Policy Interdependence
Working Papers, University of California, Davis, Department of Economics
See also Journal Article Measuring monetary policy interdependence, Journal of International Money and Finance, Elsevier (2004) View citations (12) (2004)
Chapter Measuring Monetary Policy Interdependence, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2017) (2017)

1998

Decision Rules for Selecting between Exponential and Logistic STAR
Working Papers, University of California, Davis, Department of Economics View citations (3)

1997

Testing nonlinearity: decision rules for selecting between logistic and exponential star models
DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica View citations (1)
See also Journal Article Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models, Spanish Economic Review, Springer (2001) View citations (42) (2001)

Journal Articles

2024

When Is Shelter Services Inflation Coming Down?
FRBSF Economic Letter, 2024, 2024, (23)

2023

Does Monetary Policy Have Long-Run Effects?
FRBSF Economic Letter, 2023, 2023, (23), 6
Inflation and wage growth since the pandemic
European Economic Review, 2023, 156, (C) View citations (5)
See also Working Paper Inflation and Wage Growth Since the Pandemic, Working Paper Series (2022) View citations (3) (2022)
The Bell Curve of Global CO2 Emission Intensity
FRBSF Economic Letter, 2023, 2023, (27), 6

2022

Longer-Run Economic Consequences of Pandemics
The Review of Economics and Statistics, 2022, 104, (1), 166-175
See also Working Paper Longer-Run Economic Consequences of Pandemics, Working Paper Series (2020) View citations (139) (2020)
Wage Growth When Inflation Is High
FRBSF Economic Letter, 2022, 2022, (25), 6 View citations (3)
Why Is U.S. Inflation Higher than in Other Countries?
FRBSF Economic Letter, 2022, 2022, (07), 06 View citations (4)
Zombies at Large? Corporate Debt Overhang and the Macroeconomy
The Review of Financial Studies, 2022, 35, (10), 4561-4586 View citations (12)
See also Working Paper Zombies at Large? Corporate Debt Overhang and the Macroeconomy, SciencePo Working papers Main (2022) View citations (11) (2022)

2021

Bank Capital Redux: Solvency, Liquidity, and Crisis
The Review of Economic Studies, 2021, 88, (1), 260-286 View citations (28)
See also Working Paper Bank Capital Redux: Solvency, Liquidity, and Crisis, Post-Print (2021) View citations (9) (2021)

2020

The Fog of Numbers
FRBSF Economic Letter, 2020, 2020, (20), 5
The effects of quasi-random monetary experiments
Journal of Monetary Economics, 2020, 112, (C), 22-40 View citations (74)
See also Working Paper Effects of Quasi-Random Monetary Experiments, Working Paper Series (2018) View citations (12) (2018)

2019

Global Financial Cycles and Risk Premiums
IMF Economic Review, 2019, 67, (1), 109-150 View citations (53)
See also Working Paper Global Financial Cycles and Risk Premiums, Working Paper Series (2018) View citations (17) (2018)
Inflation: Stress-Testing the Phillips Curve
FRBSF Economic Letter, 2019 View citations (7)
Riders on the Storm
FRBSF Economic Letter, 2019 View citations (3)
See also Working Paper Riders on the Storm, CEPR Discussion Papers (2019) View citations (8) (2019)
The Economics of Climate Change: A First Fed Conference
FRBSF Economic Letter, 2019, 2019, (31), 5
The Rate of Return on Everything, 1870–2015
The Quarterly Journal of Economics, 2019, 134, (3), 1225-1298 View citations (110)
See also Working Paper The Rate of Return on Everything, 1870-2015, CESifo Working Paper Series (2018) View citations (4) (2018)
Why Is Inflation Low Globally?
FRBSF Economic Letter, 2019 View citations (6)

2018

Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited
Journal of Business & Economic Statistics, 2018, 36, (3), 371-387 View citations (91)
See also Working Paper Semiparametric Estimates of Monetary Policy Effects: String Theory Revisited, NBER Working Papers (2013) View citations (36) (2013)

2017

Macrofinancial History and the New Business Cycle Facts
NBER Macroeconomics Annual, 2017, 31, (1), 213 - 263 View citations (262)
See also Chapter Macrofinancial History and the New Business Cycle Facts, NBER Chapters, 2016, 213-263 (2016) View citations (201) (2016)
Working Paper Macrofinancial History and the New Business Cycle Facts, NBER Working Papers (2016) View citations (96) (2016)
Monetary Policy Medicine: Large Effects from Small Doses?
FRBSF Economic Letter, 2017

2016

Bubbles, Credit, and Their Consequences
FRBSF Economic Letter, 2016 View citations (2)
SOVEREIGNS VERSUS BANKS: CREDIT, CRISES, AND CONSEQUENCES
Journal of the European Economic Association, 2016, 14, (1), 45-79 View citations (101)
Also in Journal of the European Economic Association, 2016, 14, (1), 45-79 (2016) View citations (95)
See also Chapter Sovereigns versus Banks: Credit, Crises, and Consequences, NBER Chapters, 2013 (2013) View citations (21) (2013)
Working Paper Sovereigns versus Banks: Credit, Crises and Consequences, Working Papers Series (2014) View citations (5) (2014)
The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy
Economic Journal, 2016, 126, (590), 219-255 View citations (247)
See also Working Paper The time for austerity: Estimating the average treatment effect of fiscal policy, SAFE Working Paper Series (2014) View citations (5) (2014)
The great mortgaging: housing finance, crises and business cycles
Economic Policy, 2016, 31, (85), 107-152 View citations (305)
See also Working Paper The Great Mortgaging: Housing Finance, Crises, and Business Cycles, Working Papers (2014) View citations (65) (2014)

2015

Betting the house
Journal of International Economics, 2015, 96, (S1), S2-S18 View citations (154)
See also Chapter Betting the House, NBER Chapters, 2014, 2-18 (2014) View citations (26) (2014)
Working Paper Betting the House, CESifo Working Paper Series (2014) View citations (26) (2014)
Interest rates and house prices: pill or poison?
FRBSF Economic Letter, 2015 View citations (1)
Leveraged bubbles
Journal of Monetary Economics, 2015, 76, (S), S1-S20 View citations (48)
See also Working Paper Leveraged Bubbles, CEPR Discussion Papers (2015) View citations (46) (2015)
Mortgaging the future?
FRBSF Economic Letter, 2015

2014

Assessing the historical role of credit: Business cycles, financial crises and the legacy of Charles S. Peirce
International Journal of Forecasting, 2014, 30, (3), 729-740 View citations (1)
See also Working Paper Assessing the Historical Role of Credit: Business Cycles, Financial Crises, and the Legacy of Charles S. Peirce, Working Paper Series (2013) (2013)
Computing systemic risk using multiple behavioral and keystone networks: The emergence of a crisis in primate societies and banks
International Journal of Forecasting, 2014, 30, (3), 797-806 View citations (2)
Interpreting deviations from Okun’s Law
FRBSF Economic Letter, 2014 View citations (19)
Labour Markets in the Global Financial Crisis: The Good, the Bad and the Ugly
National Institute Economic Review, 2014, 228, (1), R58-R64 View citations (4)
See also Working Paper Labor Markets in the Global Financial Crisis: The Good, the Bad and the Ugly, Working Paper Series (2014) View citations (2) (2014)
Monetary policy when the spyglass is smudged
FRBSF Economic Letter, 2014 View citations (4)
Private credit and public debt in financial crises
FRBSF Economic Letter, 2014 View citations (14)

2013

A chronology of turning points in economic activity: Spain, 1850–2011
SERIEs: Journal of the Spanish Economic Association, 2013, 4, (1), 1-34 View citations (8)
See also Working Paper A chronology of turning points in economic activity: Spain 1850-2011, Working Paper Series (2011) View citations (5) (2011)
Crises before and after the creation of the Fed
FRBSF Economic Letter, 2013, (may6) View citations (1)
Empirical simultaneous prediction regions for path-forecasts
International Journal of Forecasting, 2013, 29, (3), 456-468 View citations (11)
See also Working Paper Empirical Simultaneous Confidence Regions for Path-Forecasts, CEPR Discussion Papers (2010) View citations (15) (2010)
Working Paper Empirical simultaneous prediction regions for path-forecasts, Working Paper Series (2012) (2012)
Labor markets in the global financial crisis
FRBSF Economic Letter, 2013 View citations (2)
When Credit Bites Back
Journal of Money, Credit and Banking, 2013, 45, (s2), 3-28 View citations (595)
Also in Journal of Money, Credit and Banking, 2013, 45, (s2), 3-28 (2013) View citations (315)
See also Working Paper When Credit Bites Back, 2013 Meeting Papers (2013) View citations (590) (2013)

2012

Credit: a starring role in the downturn
FRBSF Economic Letter, 2012, (apr16)
THE HARROD–BALASSA–SAMUELSON HYPOTHESIS: REAL EXCHANGE RATES AND THEIR LONG‐RUN EQUILIBRIUM
International Economic Review, 2012, 53, (2), 609-634 View citations (52)
See also Working Paper The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium, NBER Working Papers (2010) View citations (8) (2010)
The carry trade and fundamentals: Nothing to fear but FEER itself
Journal of International Economics, 2012, 88, (1), 74-90 View citations (96)
See also Working Paper The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself, CEPR Discussion Papers (2009) View citations (36) (2009)
Will the jobless rate drop take a break?
FRBSF Economic Letter, 2012, (dec17) View citations (9)

2011

Currency Carry Trades
NBER International Seminar on Macroeconomics, 2011, 7, (1), 357 - 388 View citations (7)
See also Working Paper Currency Carry Trades, NBER Working Papers (2010) View citations (5) (2010)
Chapter Currency Carry Trades, NBER Chapters, 2010, 357-387 (2010) View citations (9) (2010)
ESTIMATION AND INFERENCE BY THE METHOD OF PROJECTION MINIMUM DISTANCE: AN APPLICATION TO THE NEW KEYNESIAN HYBRID PHILLIPS CURVE
International Economic Review, 2011, 52, (2), 461-487 View citations (14)
Evaluating the Classification of Economic Activity into Recessions and Expansions
American Economic Journal: Macroeconomics, 2011, 3, (2), 246-77 View citations (213)
Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons
IMF Economic Review, 2011, 59, (2), 340-378 View citations (451)
See also Working Paper Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons, NBER Working Papers (2010) View citations (62) (2010)
Future recession risks: an update
FRBSF Economic Letter, 2011, (nov.14) View citations (1)
Variable capital rules in a risky world
FRBSF Economic Letter, 2011, (aug29)

2010

Book Review: New Introduction to Multiple Time Series Analysis
Econometric Reviews, 2010, 29, (2), 243-246
Diagnosing recessions
FRBSF Economic Letter, 2010, (feb16)
Future recession risks
FRBSF Economic Letter, 2010, (aug9) View citations (2)
Path forecast evaluation
Journal of Applied Econometrics, 2010, 25, (4), 635-662 View citations (48)
See also Working Paper Path Forecast Evaluation, Working Papers (2008) View citations (1) (2008)

2009

Simultaneous Confidence Regions for Impulse Responses
The Review of Economics and Statistics, 2009, 91, (3), 629-647 View citations (24)

2007

Do monetary aggregates help forecast inflation?
FRBSF Economic Letter, 2007, (apr13) View citations (11)

2005

Can monetary policy influence long-term interest rates?
FRBSF Economic Letter, 2005, (may20) View citations (1)
Estimation and Inference of Impulse Responses by Local Projections
American Economic Review, 2005, 95, (1), 161-182 View citations (980)

2004

Measuring monetary policy interdependence
Journal of International Money and Finance, 2004, 23, (5), 761-783 View citations (12)
See also Chapter Measuring Monetary Policy Interdependence, World Scientific Book Chapters, 2017, 387-415 (2017) (2017)
Working Paper Measuring Monetary Policy Interdependence, Working Papers (2000) (2000)
The Response of Term Rates to Fed Announcements
Journal of Money, Credit and Banking, 2004, 36, (3), 387-405 View citations (63)
Time‐scale transformations of discrete time processes
Journal of Time Series Analysis, 2004, 25, (6), 873-894 View citations (7)
See also Working Paper Time-Scale Transformations of Discrete-Time Processes, Working Papers (2003) (2003)

2003

MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
Macroeconomic Dynamics, 2003, 7, (4), 618-635 View citations (1)
The Response of Term Rates to Monetary Policy Uncertainty
Review of Economic Dynamics, 2003, 6, (4), 941-962 View citations (25)
See also Working Paper The Response of Term Rates to Monetary Policy Uncertainty, Working Papers (2003) View citations (18) (2003)

2002

A Model of the Federal Funds Rate Target
Journal of Political Economy, 2002, 110, (5), 1135-1167 View citations (149)
See also Working Paper A model for the federal funds rate target, Working Papers (2003) (2003)
The announcement effect: evidence from open market desk data
Economic Policy Review, 2002, 8, (May), 29-48 View citations (38)
See also Working Paper The Announcement Effect: Evidence from Open Market Desk Data, Working Papers (2003) (2003)

2001

Measuring systematic monetary policy
Review, 2001, 83, (Jul), 113-144 View citations (16)
See also Working Paper Measuring Systematic Monetary Policy, Working Papers (2003) (2003)
Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models
Spanish Economic Review, 2001, 3, (3), 193-209 View citations (42)
See also Working Paper Testing nonlinearity: decision rules for selecting between logistic and exponential star models, DES - Working Papers. Statistics and Econometrics. WS (1997) View citations (1) (1997)

1999

Random-Time Aggregation in Partial Adjustment Models
Journal of Business & Economic Statistics, 1999, 17, (3), 382-95 View citations (13)
See also Working Paper RANDOM-TIME AGGREGATION IN PARTIAL AJUSTMENT MODELS, Working Papers (2003) (2003)

Chapters

2020

Inflation Globally
Chapter 08 in Changing Inflation Dynamics,Evolving Monetary Policy, 2020, vol. 27, pp 269-316
See also Working Paper Inflation Globally, Central Bank of Chile (2019) (2019)

2017

Measuring Monetary Policy Interdependence
Chapter 14 in International Macroeconomic Interdependence, 2017, pp 387-415
See also Working Paper Measuring Monetary Policy Interdependence, University of California, Davis, Department of Economics (2000) (2000)
Journal Article Measuring monetary policy interdependence, Elsevier (2004) View citations (12) (2004)

2016

Macrofinancial History and the New Business Cycle Facts
A chapter in NBER Macroeconomics Annual 2016, Volume 31, 2016, pp 213-263 View citations (201)
See also Journal Article Macrofinancial History and the New Business Cycle Facts, University of Chicago Press (2017) View citations (262) (2017)
Working Paper Macrofinancial History and the New Business Cycle Facts, National Bureau of Economic Research, Inc (2016) View citations (96) (2016)

2014

Betting the House
A chapter in NBER International Seminar on Macroeconomics 2014, 2014, pp 2-18 View citations (26)
See also Working Paper Betting the House, CESifo (2014) View citations (26) (2014)
Journal Article Betting the house, Elsevier (2015) View citations (154) (2015)

2013

Sovereigns versus Banks: Credit, Crises, and Consequences
A chapter in Sovereign Debt and Financial Crises, 2013 View citations (21)
See also Journal Article SOVEREIGNS VERSUS BANKS: CREDIT, CRISES, AND CONSEQUENCES, European Economic Association (2016) View citations (101) (2016)
Working Paper Sovereigns versus Banks: Credit, Crises and Consequences, Institute for New Economic Thinking (2014) View citations (5) (2014)

2010

Currency Carry Trades
A chapter in NBER International Seminar on Macroeconomics 2010, 2010, pp 357-387 View citations (9)
See also Journal Article Currency Carry Trades, University of Chicago Press (2011) View citations (7) (2011)
Working Paper Currency Carry Trades, National Bureau of Economic Research, Inc (2010) View citations (5) (2010)