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Details about James Morley

Homepage:https://sites.google.com/site/jamescmorley/
Postal address:School of Economics University of Sydney Sydney, NSW 2006 Australia
Workplace:School of Economics, Faculty of Arts and Social Sciences, University of Sydney, (more information at EDIRC)

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

  1. A Structural Measure of the Shadow Federal Funds Rate
    Working Papers, Red Nacional de Investigadores en Economía (RedNIE) Downloads
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2022) Downloads
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2021) Downloads
  2. Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
    Working Paper Series, European Central Bank Downloads View citations (1)
  3. 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 Downloads

2021

  1. Cyclical signals from the labor market
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
  2. Marginal propensities to consume before and after the Great Recession
    Working Papers, University of Sydney, School of Economics Downloads View citations (5)

2020

  1. Have the driving forces of inflation changed in advanced and emerging market economies?
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)
  2. Nowcasting the output gap
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2023)
  3. Why has the U.S. economy stagnated since the Great Recession?
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads View citations (11)
    Also in Working Papers, University of Sydney, School of Economics (2019) Downloads View citations (2)

    See also Journal Article in The Review of Economics and Statistics (2022)

2019

  1. A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting
    Working Papers, University of Sydney, School of Economics Downloads
    See also Journal Article in The Economic Record (2020)
  2. Estimating Household Consumption Insurance
    Working Papers, University of Sydney, School of Economics Downloads
    See also Journal Article in Journal of Applied Econometrics (2021)
  3. Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions
    Working Papers, University of Sydney, School of Economics Downloads View citations (5)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) Downloads View citations (2)

    See also Journal Article in Journal of Applied Econometrics (2020)
  4. Full Information Estimation of Household Income Risk and Consumption Insurance
    Discussion Papers, School of Economics, The University of New South Wales Downloads
  5. Household Balance Sheets and Consumption Responses to Income Shocks
    2019 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
  6. 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 Downloads
    Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) (2018) Downloads View citations (1)
  7. 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 Downloads
    Also in Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) (2018) Downloads

2017

  1. Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (11)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2017) Downloads View citations (6)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) Downloads View citations (4)
    Discussion Papers, School of Economics, The University of New South Wales (2016) Downloads View citations (10)
    BIS Working Papers, Bank for International Settlements (2016) Downloads View citations (9)

    See also Journal Article in The Review of Economics and Statistics (2018)
  2. Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (2)
    Also in Discussion Papers, School of Economics, The University of New South Wales (2016) Downloads View citations (2)

    See also Journal Article in Macroeconomic Dynamics (2020)
  3. When Do Discretionary Changes in Government Spending or Taxes Have Larger Effects?
    Discussion Papers, School of Economics, The University of New South Wales Downloads

2016

  1. Estimating DSGE models with Zero Interest Rate Policy
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (1)
    See also Journal Article in Journal of Monetary Economics (2017)

2015

  1. Debt and Financial Market Contagion
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (1)
    See also Journal Article in Empirical Economics (2022)
  2. Inventory Mistakes and the Great Moderation
    Working Papers, University of Sydney, School of Economics Downloads View citations (2)
  3. Inventory Shocks and the Great Moderation
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (2)
    See also Journal Article in Journal of Money, Credit and Banking (2016)
  4. The Changing Transmission Mechanism of U.S. Monetary Policy
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (5)
    See also Journal Article in Empirical Economics (2018)

2014

  1. Estimating DSGE models with forward guidance
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (7)
  2. 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 Downloads View citations (3)
    Also in Discussion Papers, School of Economics, The University of New South Wales (2014) Downloads View citations (3)
  3. Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples
    Working Papers, University of Sydney, School of Economics Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2018)
  4. Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks
    Working Papers, University of Sydney, School of Economics Downloads View citations (1)
    See also Journal Article in Quantitative Economics (2015)
  5. Measuring Economic Slack: A Forecast-Based Approach with Applications to Economies in Asia and the Pacific
    BIS Working Papers, Bank for International Settlements Downloads View citations (1)
  6. State-Dependent Effects of Fiscal Policy
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (9)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  7. Testing Stationarity for Unobserved Components Models
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (3)
  8. 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 Downloads

2013

  1. 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 Downloads View citations (5)
    See also Journal Article in Journal of International Money and Finance (2015)
  2. Likelihood-Based Confidence Sets for the Timing of Structural Breaks
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads View citations (3)
  3. Structural Evolution of the Postwar U.S. Economy
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2014)

2012

  1. Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?
    Discussion Papers, School of Economics, The University of New South Wales Downloads View citations (2)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)

2011

  1. Inflation in the G7: mind the gap(s)?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    See also Journal Article in Macroeconomic Dynamics (2015)
  2. The Meta Taylor Rule
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) Downloads View citations (1)
    Also in Department of Economics - Working Papers Series, The University of Melbourne (2011) Downloads View citations (3)

    See also Journal Article in Journal of Money, Credit and Banking (2015)

2009

  1. Reproducing Business Cycle Features: How Important Is Nonlinearity Versus Multivariate Information?
    Wesleyan Economics Working Papers, Wesleyan University, Department of Economics Downloads View citations (2)

2006

  1. 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) Downloads View citations (2)

2005

  1. A steady-state approach to trend/cycle decomposition of regime-switching processes
    Working Papers, Federal Reserve Bank of St. Louis Downloads
  2. 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)
  3. Testing for Stationarity and Cointegration in an Unobserved Components Framework
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads
  4. The importance of nonlinearity in reproducing business cycle features
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (12)

2004

  1. A Steady State Approach to Trend / Cycle Decomposition
    Computing in Economics and Finance 2004, Society for Computational Economics

2003

  1. Nonlinearity and the permanent effects of recessions
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (29)
    See also Journal Article in Journal of Applied Econometrics (2005)
  2. Shift Contagion in Asset Markets
    Staff Working Papers, Bank of Canada Downloads View citations (3)
  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) Downloads View citations (9)
    Working Papers, University of Washington, Department of Economics (2000) Downloads
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) Downloads View citations (39)

    See also Journal Article in The Review of Economics and Statistics (2003)

2002

  1. 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

  1. The Adjustment of Prices and the Adjustment of the Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (57)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (9)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) Downloads View citations (1)

2000

  1. 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 Downloads View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) Downloads View citations (2)
    Working Papers, University of Washington, Department of Economics (1999) Downloads View citations (2)
    Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (1)

    See also Journal Article in Journal of Empirical Finance (2001)
  2. Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
  3. 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 Downloads View citations (8)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (4)

    See also Journal Article in Journal of Money, Credit and Banking (2004)
  4. 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 Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (1)

Journal Articles

2023

  1. Nowcasting the output gap
    Journal of Econometrics, 2023, 232, (1), 18-34 Downloads View citations (1)
    See also Working Paper (2020)

2022

  1. Debt and financial market contagion
    Empirical Economics, 2022, 62, (4), 1599-1648 Downloads
    See also Working Paper (2015)
  2. Why Has the U.S. Economy Stagnated since the Great Recession?
    The Review of Economics and Statistics, 2022, 104, (2), 246-258 Downloads View citations (2)
    See also Working Paper (2020)

2021

  1. Estimating household consumption insurance
    Journal of Applied Econometrics, 2021, 36, (5), 628-635 Downloads View citations (1)
    See also Working Paper (2019)
  2. When is discretionary fiscal policy effective?
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (4), 229-254 Downloads View citations (2)

2020

  1. A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting
    The Economic Record, 2020, 96, (314), 271-293 Downloads View citations (1)
    See also Working Paper (2019)
  2. Estimating and accounting for the output gap with large Bayesian vector autoregressions
    Journal of Applied Econometrics, 2020, 35, (1), 1-18 Downloads View citations (13)
    See also Working Paper (2019)
  3. IS BUSINESS CYCLE ASYMMETRY INTRINSIC IN INDUSTRIALIZED ECONOMIES?
    Macroeconomic Dynamics, 2020, 24, (6), 1403-1436 Downloads View citations (6)
    See also Working Paper (2017)
  4. 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 Downloads

2019

  1. The business cycle: periodic pandemic or rollercoaster ride?
    International Journal of Economic Policy Studies, 2019, 13, (2), 425-431 Downloads View citations (4)

2018

  1. Improving likelihood-ratio-based confidence intervals for threshold parameters in finite samples
    Studies in Nonlinear Dynamics & Econometrics, 2018, 22, (1), 11 Downloads View citations (2)
    See also Working Paper (2014)
  2. Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
    The Review of Economics and Statistics, 2018, 100, (3), 550-566 Downloads View citations (55)
    See also Working Paper (2017)
  3. The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
    The Economic Record, 2018, 94, (306), 338-340 Downloads
  4. The changing transmission mechanism of US monetary policy
    Empirical Economics, 2018, 54, (3), 959-987 Downloads View citations (5)
    See also Working Paper (2015)

2017

  1. Estimating DSGE models with zero interest rate policy
    Journal of Monetary Economics, 2017, 88, (C), 35-49 Downloads View citations (65)
    See also Working Paper (2016)
  2. TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS
    Macroeconomic Dynamics, 2017, 21, (1), 160-182 Downloads View citations (1)

2016

  1. Inventory Shocks and the Great Moderation
    Journal of Money, Credit and Banking, 2016, 48, (4), 699-728 Downloads View citations (6)
    See also Working Paper (2015)
  2. MACRO-FINANCE LINKAGES
    Journal of Economic Surveys, 2016, 30, (4), 698-711 Downloads View citations (14)

2015

  1. 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 Downloads View citations (11)
    See also Working Paper (2013)
  2. INFLATION IN THE G7: MIND THE GAP(S)?
    Macroeconomic Dynamics, 2015, 19, (4), 883-912 Downloads View citations (5)
    See also Working Paper (2011)
  3. 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 Downloads View citations (2)
  4. Likelihood‐ratio‐based confidence sets for the timing of structural breaks
    Quantitative Economics, 2015, 6, (2), 463-497 Downloads View citations (22)
    See also Working Paper (2014)
  5. State-dependent effects of fiscal policy
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 285-315 Downloads View citations (85)
    See also Working Paper (2014)
  6. The Meta Taylor Rule
    Journal of Money, Credit and Banking, 2015, 47, (1), 73-98 Downloads View citations (9)
    See also Working Paper (2011)
  7. 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 Downloads View citations (15)

2014

  1. Structural evolution of the postwar U.S. economy
    Journal of Economic Dynamics and Control, 2014, 42, (C), 50-68 Downloads View citations (8)
    See also Working Paper (2013)

2013

  1. Reproducing business cycle features: are nonlinear dynamics a proxy for multivariate information?
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (5), 483-498 Downloads View citations (8)
    See also Working Paper (2012)

2012

  1. The Asymmetric Business Cycle
    The Review of Economics and Statistics, 2012, 94, (1), 208-221 Downloads View citations (135)

2011

  1. THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION
    Macroeconomic Dynamics, 2011, 15, (3), 419-439 Downloads View citations (19)
  2. Time variation of CAPM betas across market volatility regimes
    Applied Financial Economics, 2011, 21, (19), 1463-1478 Downloads View citations (14)

2009

  1. Changes in U.S. Inflation Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (4), 1-23 Downloads View citations (40)
  2. The Effects of Oil Price Shocks on Output
    Business Economics, 2009, 44, (4), 220-228 Downloads View citations (1)

2008

  1. Bayesian counterfactual analysis of the sources of the great moderation
    Journal of Applied Econometrics, 2008, 23, (2), 173-191 Downloads View citations (13)
  2. Trend/cycle decomposition of regime-switching processes
    Journal of Econometrics, 2008, 146, (2), 220-226 Downloads View citations (16)

2007

  1. In search of the natural rate of unemployment
    Journal of Monetary Economics, 2007, 54, (2), 550-564 Downloads View citations (38)
    See also Working Paper (2005)
  2. 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) Downloads View citations (2)

2006

  1. Detecting shift-contagion in currency and bond markets
    Journal of International Economics, 2006, 68, (2), 409-423 Downloads View citations (72)
    See also Working Paper (2002)

2005

  1. A Kalman filter approach to characterizing the Canadian term structure of interest rates
    Applied Financial Economics, 2005, 15, (10), 691-705 Downloads View citations (14)
  2. Nonlinearity and the permanent effects of recessions
    Journal of Applied Econometrics, 2005, 20, (2), 291-309 Downloads View citations (14)
    Also in Journal of Applied Econometrics, 2005, 20, (2), 291-309 (2005) Downloads View citations (93)

    See also Working Paper (2003)
  3. The Structural Break in the Equity Premium
    Journal of Business & Economic Statistics, 2005, 23, 181-191 Downloads View citations (36)

2004

  1. 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

  1. Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?
    The Review of Economics and Statistics, 2003, 85, (2), 235-243 Downloads View citations (285)
    See also Working Paper (2003)

2002

  1. A state-space approach to calculating the Beveridge-Nelson decomposition
    Economics Letters, 2002, 75, (1), 123-127 Downloads View citations (69)

2001

  1. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
    Journal of Empirical Finance, 2001, 8, (4), 403-426 Downloads View citations (12)
    See also Working Paper (2000)

Chapters

2020

  1. 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 Downloads View citations (2)

2018

  1. A Factor Model Analysis of the Effects on Inflation Targeting on the Australian Economy
    A chapter in Central Bank Frameworks: Evolution or Revolution?, 2018 Downloads View citations (1)

2014

  1. Discussion of Capital Flow Policies, Monetary Policy and Coordination
    A chapter in Financial Flows and Infrastructure Financing, 2014 Downloads
  2. 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 Downloads

Software Items

 
Page updated 2023-03-20