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)
   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)
2. Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
   Working Paper Series, European Central Bank 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

2021

4. 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)
5. Marginal propensities to consume before and after the Great Recession
   Working Papers, University of Sydney, School of Economics View citations (5)

2020

6. Have the driving forces of inflation changed in advanced and emerging market economies?
   BIS Working Papers, Bank for International Settlements View citations (2)
7. 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)
8. 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

9. 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)
10. Estimating Household Consumption Insurance
    Working Papers, University of Sydney, School of Economics
    See also Journal Article in Journal of Applied Econometrics (2021)
11. 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)
12. Full Information Estimation of Household Income Risk and Consumption Insurance
    Discussion Papers, School of Economics, The University of New South Wales
13. Household Balance Sheets and Consumption Responses to Income Shocks
    2019 Meeting Papers, Society for Economic Dynamics View citations (4)
14. 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)
15. 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

16. 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)
17. 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)
18. When Do Discretionary Changes in Government Spending or Taxes Have Larger Effects?
    Discussion Papers, School of Economics, The University of New South Wales

2016

19. 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

20. 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)
21. Inventory Mistakes and the Great Moderation
    Working Papers, University of Sydney, School of Economics View citations (2)
22. 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)
23. 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

24. Estimating DSGE models with forward guidance
    Discussion Papers, School of Economics, The University of New South Wales View citations (7)
25. 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)
26. 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)
27. 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)
28. 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)
29. 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)
30. Testing Stationarity for Unobserved Components Models
    Discussion Papers, School of Economics, The University of New South Wales View citations (3)
31. 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

32. 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)
33. 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)
34. 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

35. 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

36. 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)
37. 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

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

2006

39. 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

40. A steady-state approach to trend/cycle decomposition of regime-switching processes
    Working Papers, Federal Reserve Bank of St. Louis
41. 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)
42. Testing for Stationarity and Cointegration in an Unobserved Components Framework
    Computing in Economics and Finance 2005, Society for Computational Economics
43. The importance of nonlinearity in reproducing business cycle features
    Working Papers, Federal Reserve Bank of St. Louis View citations (12)

2004

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

2003

45. 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)
46. Shift Contagion in Asset Markets
    Staff Working Papers, Bank of Canada View citations (3)
47. 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

48. 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

49. 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

50. 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)
51. Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
52. 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)
53. 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

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

2022

2. Debt and financial market contagion
   Empirical Economics, 2022, 62, (4), 1599-1648
   See also Working Paper (2015)
3. 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

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

2020

6. 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)
7. 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)
8. IS BUSINESS CYCLE ASYMMETRY INTRINSIC IN INDUSTRIALIZED ECONOMIES?
   Macroeconomic Dynamics, 2020, 24, (6), 1403-1436 View citations (6)
   See also Working Paper (2017)
9. 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

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

2018

11. 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)
12. 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)
13. The Econometric Analysis of Recurrent Events in Macroeconomics and Finance
    The Economic Record, 2018, 94, (306), 338-340
14. The changing transmission mechanism of US monetary policy
    Empirical Economics, 2018, 54, (3), 959-987 View citations (5)
    See also Working Paper (2015)

2017

15. 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)
16. TESTING STATIONARITY WITH UNOBSERVED-COMPONENTS MODELS
    Macroeconomic Dynamics, 2017, 21, (1), 160-182 View citations (1)

2016

17. 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)
18. MACRO-FINANCE LINKAGES
    Journal of Economic Surveys, 2016, 30, (4), 698-711 View citations (14)

2015

19. 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)
20. INFLATION IN THE G7: MIND THE GAP(S)?
    Macroeconomic Dynamics, 2015, 19, (4), 883-912 View citations (5)
    See also Working Paper (2011)
21. 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)
22. 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)
23. State-dependent effects of fiscal policy
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 285-315 View citations (85)
    See also Working Paper (2014)
24. The Meta Taylor Rule
    Journal of Money, Credit and Banking, 2015, 47, (1), 73-98 View citations (9)
    See also Working Paper (2011)
25. 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

26. 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

27. 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

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

2011

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

2009

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

2008

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

2007

35. 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)
36. 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

37. 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

38. A Kalman filter approach to characterizing the Canadian term structure of interest rates
    Applied Financial Economics, 2005, 15, (10), 691-705 View citations (14)
39. 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)
40. The Structural Break in the Equity Premium
    Journal of Business & Economic Statistics, 2005, 23, 181-191 View citations (36)

2004

41. 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

42. 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

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

2001

44. 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

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 View citations (2)

2018

2. 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

3. Discussion of Capital Flow Policies, Monetary Policy and Coordination
   A chapter in Financial Flows and Infrastructure Financing, 2014
4. 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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