Details about James Morley
Access statistics for papers by James Morley.
Last updated 2023-03-16. Update your information in the RePEc Author Service.
Short-id: pmo629
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Working Papers
2022
- A Structural Measure of the Shadow Federal Funds Rate
Working Papers, Red Nacional de Investigadores en Economía (RedNIE) 
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2022)  Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2021)
- Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
Working Paper Series, European Central Bank View citations (1)
- The decline in r* according to a robust multivariate trend-cycle decomposition
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
2021
- Cyclical signals from the labor market
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (2)
- Marginal propensities to consume before and after the Great Recession
Working Papers, University of Sydney, School of Economics View citations (5)
2020
- Have the driving forces of inflation changed in advanced and emerging market economies?
BIS Working Papers, Bank for International Settlements View citations (2)
- Nowcasting the output gap
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (10)
See also Journal Article in Journal of Econometrics (2023)
- Why has the U.S. economy stagnated since the Great Recession?
Discussion Paper Series, Institute of Economic Research, Korea University View citations (11)
Also in Working Papers, University of Sydney, School of Economics (2019) View citations (2)
See also Journal Article in The Review of Economics and Statistics (2022)
2019
- A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting
Working Papers, University of Sydney, School of Economics 
See also Journal Article in The Economic Record (2020)
- Estimating Household Consumption Insurance
Working Papers, University of Sydney, School of Economics 
See also Journal Article in Journal of Applied Econometrics (2021)
- Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions
Working Papers, University of Sydney, School of Economics View citations (5)
Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (2)
See also Journal Article in Journal of Applied Econometrics (2020)
- Full Information Estimation of Household Income Risk and Consumption Insurance
Discussion Papers, School of Economics, The University of New South Wales
- Household Balance Sheets and Consumption Responses to Income Shocks
2019 Meeting Papers, Society for Economic Dynamics View citations (4)
- Measuring the fiscal multiplier when plans take time to implement
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 
Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) (2018) View citations (1)
- The Australian real-time fiscal database: A overview and an illustration of its use in analysing planned and realised fiscal policies
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University 
Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) (2018)
2017
- Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
Discussion Papers, School of Economics, The University of New South Wales View citations (11)
Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2017) View citations (6) CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (4) Discussion Papers, School of Economics, The University of New South Wales (2016) View citations (10) BIS Working Papers, Bank for International Settlements (2016) View citations (9)
See also Journal Article in The Review of Economics and Statistics (2018)
- Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?
Discussion Papers, School of Economics, The University of New South Wales View citations (2)
Also in Discussion Papers, School of Economics, The University of New South Wales (2016) View citations (2)
See also Journal Article in Macroeconomic Dynamics (2020)
- When Do Discretionary Changes in Government Spending or Taxes Have Larger Effects?
Discussion Papers, School of Economics, The University of New South Wales
2016
- Estimating DSGE models with Zero Interest Rate Policy
Discussion Papers, School of Economics, The University of New South Wales View citations (1)
See also Journal Article in Journal of Monetary Economics (2017)
2015
- Debt and Financial Market Contagion
Discussion Papers, School of Economics, The University of New South Wales View citations (1)
See also Journal Article in Empirical Economics (2022)
- Inventory Mistakes and the Great Moderation
Working Papers, University of Sydney, School of Economics View citations (2)
- Inventory Shocks and the Great Moderation
Discussion Papers, School of Economics, The University of New South Wales View citations (2)
See also Journal Article in Journal of Money, Credit and Banking (2016)
- The Changing Transmission Mechanism of U.S. Monetary Policy
Discussion Papers, School of Economics, The University of New South Wales View citations (5)
See also Journal Article in Empirical Economics (2018)
2014
- Estimating DSGE models with forward guidance
Discussion Papers, School of Economics, The University of New South Wales View citations (7)
- Estimating the Expected Duration of the Zero Lower Bound in DSGE Models with Forward Guidance
Melbourne Institute Working Paper Series, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne View citations (3)
Also in Discussion Papers, School of Economics, The University of New South Wales (2014) View citations (3)
- Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples
Working Papers, University of Sydney, School of Economics 
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)
- Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks
Working Papers, University of Sydney, School of Economics View citations (1)
See also Journal Article in Quantitative Economics (2015)
- Measuring Economic Slack: A Forecast-Based Approach with Applications to Economies in Asia and the Pacific
BIS Working Papers, Bank for International Settlements View citations (1)
- State-Dependent Effects of Fiscal Policy
Discussion Papers, School of Economics, The University of New South Wales View citations (9)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
- Testing Stationarity for Unobserved Components Models
Discussion Papers, School of Economics, The University of New South Wales View citations (3)
- What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Approach
Discussion Papers, School of Economics, The University of New South Wales
2013
- Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle
Discussion Papers, School of Economics, The University of New South Wales View citations (5)
See also Journal Article in Journal of International Money and Finance (2015)
- Likelihood-Based Confidence Sets for the Timing of Structural Breaks
Discussion Papers, School of Economics, The University of New South Wales View citations (2)
Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (3)
- Structural Evolution of the Postwar U.S. Economy
Discussion Papers, School of Economics, The University of New South Wales View citations (1)
See also Journal Article in Journal of Economic Dynamics and Control (2014)
2012
- Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?
Discussion Papers, School of Economics, The University of New South Wales View citations (2)
See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)
2011
- Inflation in the G7: mind the gap(s)?
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
See also Journal Article in Macroeconomic Dynamics (2015)
- The Meta Taylor Rule
Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) View citations (1)
Also in Department of Economics - Working Papers Series, The University of Melbourne (2011) View citations (3)
See also Journal Article in Journal of Money, Credit and Banking (2015)
2009
- Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?
Wesleyan Economics Working Papers, Wesleyan University, Department of Economics View citations (2)
2006
- A Bayesian Approach to Counterfactual Analysis of Structural Change
Computing in Economics and Finance 2006, Society for Computational Economics
Also in Working Papers, Federal Reserve Bank of St. Louis (2006) View citations (2)
2005
- A steady-state approach to trend/cycle decomposition of regime-switching processes
Working Papers, Federal Reserve Bank of St. Louis
- In search of the natural rate of unemployment
Supervisory Policy Analysis Working Papers, Federal Reserve Bank of St. Louis View citations (1)
Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) View citations (5)
See also Journal Article in Journal of Monetary Economics (2007)
- Testing for Stationarity and Cointegration in an Unobserved Components Framework
Computing in Economics and Finance 2005, Society for Computational Economics
- The importance of nonlinearity in reproducing business cycle features
Working Papers, Federal Reserve Bank of St. Louis View citations (12)
2004
- A Steady State Approach to Trend / Cycle Decomposition
Computing in Economics and Finance 2004, Society for Computational Economics
2003
- Nonlinearity and the permanent effects of recessions
Working Papers, Federal Reserve Bank of St. Louis View citations (29)
See also Journal Article in Journal of Applied Econometrics (2005)
- Shift Contagion in Asset Markets
Staff Working Papers, Bank of Canada View citations (3)
- Why are Beveridge-Nelson and Unobserved-component decompositions of GDP so Different?
Working Papers, University of Washington, Department of Economics View citations (253)
Also in Working Papers, University of Washington, Department of Economics (2002) View citations (9) Working Papers, University of Washington, Department of Economics (2000)  Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (39)
See also Journal Article in The Review of Economics and Statistics (2003)
2002
- Detecting shift-contagion in currency and bond markets
Computing in Economics and Finance 2002, Society for Computational Economics View citations (4)
See also Journal Article in Journal of International Economics (2006)
2001
- The Adjustment of Prices and the Adjustment of the Exchange Rate
NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)
Also in Working Papers, University of Washington, Department of Economics (2000) View citations (9) Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (1)
2000
- Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations (1)
Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations (2) Working Papers, University of Washington, Department of Economics (1999) View citations (2) Working Papers, University of Washington, Department of Economics (2000) View citations (1)
See also Journal Article in Journal of Empirical Finance (2001)
- Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
- Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations (8)
Also in Working Papers, University of Washington, Department of Economics (2000) View citations (4)
See also Journal Article in Journal of Money, Credit and Banking (2004)
- Is There a Structural Break in the Equity Premium?
Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations (1)
Also in Working Papers, University of Washington, Department of Economics (2000) View citations (1)
Journal Articles
2023
- Nowcasting the output gap
Journal of Econometrics, 2023, 232, (1), 18-34 View citations (1)
See also Working Paper (2020)
2022
- Debt and financial market contagion
Empirical Economics, 2022, 62, (4), 1599-1648 
See also Working Paper (2015)
- Why Has the U.S. Economy Stagnated since the Great Recession?
The Review of Economics and Statistics, 2022, 104, (2), 246-258 View citations (2)
See also Working Paper (2020)
2021
- Estimating household consumption insurance
Journal of Applied Econometrics, 2021, 36, (5), 628-635 View citations (1)
See also Working Paper (2019)
- When is discretionary fiscal policy effective?
Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (4), 229-254 View citations (2)
2020
- A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting
The Economic Record, 2020, 96, (314), 271-293 View citations (1)
See also Working Paper (2019)
- Estimating and accounting for the output gap with large Bayesian vector autoregressions
Journal of Applied Econometrics, 2020, 35, (1), 1-18 View citations (13)
See also Working Paper (2019)
- IS BUSINESS CYCLE ASYMMETRY INTRINSIC IN INDUSTRIALIZED ECONOMIES?
Macroeconomic Dynamics, 2020, 24, (6), 1403-1436 View citations (6)
See also Working Paper (2017)
- The Australian Real‐Time Fiscal Database: An Overview with Illustrations of Its Use in Analysing Fiscal Policy
The Economic Record, 2020, 96, (312), 87-106
2019
- The business cycle: periodic pandemic or rollercoaster ride?
International Journal of Economic Policy Studies, 2019, 13, (2), 425-431 View citations (4)
2018
- Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 11 View citations (2)
See also Working Paper (2014)
- Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
The Review of Economics and Statistics, 2018, 100, (3), 550-566 View citations (55)
See also Working Paper (2017)
- The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
The Economic Record, 2018, 94, (306), 338-340
- The changing transmission mechanism of US monetary policy
Empirical Economics, 2018, 54, (3), 959-987 View citations (5)
See also Working Paper (2015)
2017
- Estimating DSGE models with zero interest rate policy
Journal of Monetary Economics, 2017, 88, (C), 35-49 View citations (65)
See also Working Paper (2016)
- TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS
Macroeconomic Dynamics, 2017, 21, (1), 160-182 View citations (1)
2016
- Inventory Shocks and the Great Moderation
Journal of Money, Credit and Banking, 2016, 48, (4), 699-728 View citations (6)
See also Working Paper (2015)
- MACRO-FINANCE LINKAGES
Journal of Economic Surveys, 2016, 30, (4), 698-711 View citations (14)
2015
- Bayesian analysis of nonlinear exchange rate dynamics and the purchasing power parity persistence puzzle
Journal of International Money and Finance, 2015, 51, (C), 285-302 View citations (11)
See also Working Paper (2013)
- INFLATION IN THE G7: MIND THE GAP(S)?
Macroeconomic Dynamics, 2015, 19, (4), 883-912 View citations (5)
See also Working Paper (2011)
- INTRODUCTION TO “SPECIAL ISSUE ON THE EMPIRICAL ANALYSIS OF BUSINESS CYCLES, FINANCIAL MARKETS, AND INFLATION: ESSAYS IN HONOR OF CHARLES NELSON”
Macroeconomic Dynamics, 2015, 19, (4), 723-727 View citations (2)
- Likelihood‐ratio‐based confidence sets for the timing of structural breaks
Quantitative Economics, 2015, 6, (2), 463-497 View citations (22)
See also Working Paper (2014)
- State-dependent effects of fiscal policy
Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 285-315 View citations (85)
See also Working Paper (2014)
- The Meta Taylor Rule
Journal of Money, Credit and Banking, 2015, 47, (1), 73-98 View citations (9)
See also Working Paper (2011)
- What factors drive the price–rent ratio for the housing market? A modified present-value analysis
Journal of Economic Dynamics and Control, 2015, 58, (C), 235-249 View citations (15)
2014
- Structural evolution of the postwar U.S. economy
Journal of Economic Dynamics and Control, 2014, 42, (C), 50-68 View citations (8)
See also Working Paper (2013)
2013
- Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information?
Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (5), 483-498 View citations (8)
See also Working Paper (2012)
2012
- The Asymmetric Business Cycle
The Review of Economics and Statistics, 2012, 94, (1), 208-221 View citations (135)
2011
- THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION
Macroeconomic Dynamics, 2011, 15, (3), 419-439 View citations (19)
- Time variation of CAPM betas across market volatility regimes
Applied Financial Economics, 2011, 21, (19), 1463-1478 View citations (14)
2009
- Changes in U.S. Inflation Persistence
Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (4), 1-23 View citations (40)
- The Effects of Oil Price Shocks on Output
Business Economics, 2009, 44, (4), 220-228 View citations (1)
2008
- Bayesian counterfactual analysis of the sources of the great moderation
Journal of Applied Econometrics, 2008, 23, (2), 173-191 View citations (13)
- Trend/cycle decomposition of regime-switching processes
Journal of Econometrics, 2008, 146, (2), 220-226 View citations (16)
2007
- In search of the natural rate of unemployment
Journal of Monetary Economics, 2007, 54, (2), 550-564 View citations (38)
See also Working Paper (2005)
- The Slow Adjustment of Aggregate Consumption to Permanent Income
Journal of Money, Credit and Banking, 2007, 39, (2-3), 615-638 View citations (52)
Also in Journal of Money, Credit and Banking, 2007, 39, (2‐3), 615-638 (2007) View citations (2)
2006
- Detecting shift-contagion in currency and bond markets
Journal of International Economics, 2006, 68, (2), 409-423 View citations (72)
See also Working Paper (2002)
2005
- A Kalman filter approach to characterizing the Canadian term structure of interest rates
Applied Financial Economics, 2005, 15, (10), 691-705 View citations (14)
- Nonlinearity and the permanent effects of recessions
Journal of Applied Econometrics, 2005, 20, (2), 291-309 View citations (14)
Also in Journal of Applied Econometrics, 2005, 20, (2), 291-309 (2005) View citations (93)
See also Working Paper (2003)
- The Structural Break in the Equity Premium
Journal of Business & Economic Statistics, 2005, 23, 181-191 View citations (36)
2004
- Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
Journal of Money, Credit and Banking, 2004, 36, (3), 339-60 View citations (54)
See also Working Paper (2000)
2003
- Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?
The Review of Economics and Statistics, 2003, 85, (2), 235-243 View citations (285)
See also Working Paper (2003)
2002
- A state-space approach to calculating the Beveridge-Nelson decomposition
Economics Letters, 2002, 75, (1), 123-127 View citations (69)
2001
- Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
Journal of Empirical Finance, 2001, 8, (4), 403-426 View citations (12)
See also Working Paper (2000)
Chapters
2020
- What drives inflation in advanced and emerging market economies?
A chapter in Inflation dynamics in Asia and the Pacific, 2020, vol. 111, pp 21-36 View citations (2)
2018
- A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy
A chapter in Central Bank Frameworks: Evolution or Revolution?, 2018 View citations (1)
2014
- Discussion of Capital Flow Policies, Monetary Policy and Coordination
A chapter in Financial Flows and Infrastructure Financing, 2014
- Measuring economic slack in Asia and the Pacific
A chapter in Globalisation, inflation and monetary policy in Asia and the Pacific, 2014, vol. 77, pp 35-50
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