Details about James M. Nason

Access statistics for papers by James M. Nason.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pna12

Working Papers

2025

1. The Chinese Silver Standard: Parity, Predictability, and (In)Stability, 1912–1934
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

2021

2. UK Inflation Forecasts since the Thirteenth Century
   Working Paper, Economics Department, Queen's University
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2021)

2018

3. Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility
   BIS Working Papers, Bank for International Settlements View citations (8)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2015) View citations (11)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (3)
   See also Journal Article Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility, Quantitative Economics, Econometric Society (2020) View citations (15) (2020)

2015

4. Bringing Financial Stability into Monetary Policy*
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (13)
   Also in CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2014) View citations (11)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2014) View citations (10)

2014

5. Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (4)
   Also in Working Paper, Economics Department, Queen's University (2013) View citations (5)
   See also Journal Article Measuring the slowly evolving trend in US inflation with professional forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (6) (2021)

2013

6. Reverse Kalman filtering U.S. inflation with sticky professional forecasts
   Working Papers, Federal Reserve Bank of Philadelphia View citations (2)

2012

7. Appendix: Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
   Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (2)
8. Bayesian Estimation of DSGE Models
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (16)
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2012) View citations (7)
   See also Chapter Bayesian estimation of DSGE models, Chapters, Edward Elgar Publishing (2013) View citations (2) (2013)
9. Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
   Discussion Papers, Graduate School of Economics, Hitotsubashi University View citations (7)
   Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009) View citations (2)
   CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo (2009) View citations (1)
   CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo (2009) View citations (2)
   Working Papers, Federal Reserve Bank of Philadelphia (2012) View citations (3)
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2010) View citations (2)
   See also Journal Article Business Cycle Implications of Internal Consumption Habit for New Keynesian Models, Journal of Money, Credit and Banking, Blackwell Publishing (2014) View citations (6) (2014)
10. Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (7)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (11)
    Working Papers, Federal Reserve Bank of Philadelphia (2012) View citations (3)
    See also Journal Article BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS, Macroeconomic Dynamics, Cambridge University Press (2015) View citations (10) (2015)

2011

11. UK World War I and Interwar Data for Business Cycle and Growth Analysis
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (2)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009)
    See also Journal Article UK World War I and interwar data for business cycle and growth analysis, Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC) (2012) View citations (2) (2012)

2010

12. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
    Working Papers, Duke University, Department of Economics View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2007) View citations (30)
    Working Papers, Duke University, Department of Economics (2009) View citations (6)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (33)
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2009) View citations (6)
    See also Journal Article Information criteria for impulse response function matching estimation of DSGE models, Journal of Econometrics, Elsevier (2012) View citations (46) (2012)
13. The Model Confidence Set
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    See also Journal Article The Model Confidence Set, Econometrica, Econometric Society (2011) View citations (1092) (2011)

2008

14. Exchange rates and fundamentals: a generalization
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (11)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2008) View citations (7)
15. Great moderations and U.S. interest rates: unconditional evidence
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
    Also in Working Paper, Economics Department, Queen's University (2007) View citations (1)
    See also Journal Article Great Moderation(s) and US Interest Rates: Unconditional Evidence, The B.E. Journal of Macroeconomics, De Gruyter (2008) View citations (12) (2008)

2007

16. Information Criteria for Impulse Response Function Matching Estimation
    2007 Meeting Papers, Society for Economic Dynamics View citations (29)
17. Simple versus optimal rules as guides to policy
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (42)
    See also Journal Article Simple versus optimal rules as guides to policy, Journal of Monetary Economics, Elsevier (2007) View citations (45) (2007)
18. The McKenna Rule and UK World War I Finance
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (2)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (3)
    See also Journal Article The McKenna Rule and UK World War I Finance, American Economic Review, American Economic Association (2007) View citations (2) (2007)

2006

19. Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes?
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)

2005

20. Identifying The New Keynesian Phillips Curve
    Working Paper, Economics Department, Queen's University View citations (36)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2005) View citations (62)
    See also Journal Article Identifying the new Keynesian Phillips curve, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) View citations (103) (2008)
21. Model confidence sets for forecasting models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (23)
22. Over the Top: U.K. World War I Finance and Its Aftermath
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (1)
23. Testing the significance of calendar effects
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (18)

2004

24. Along the New Keynesian Phillips curve with nominal and real rigidities
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (16)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003)
25. Business Cycle Implications of Habit Formation
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (2)
    Also in Econometric Society 2004 Far Eastern Meetings, Econometric Society (2004)
26. Common trends and common cycles in Canada: who knew so much has been going on?
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
    See also Journal Article Common trends and common cycles in Canada: who knew so much has been going on?, Canadian Journal of Economics, Canadian Economics Association (2006) View citations (10) (2006)

2003

27. Bulk commodities and the Liverpool and London markets of the mid-19th century
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
28. Choosing the Best Volatility Models:The Model Confidence Set Approach
    Working Papers, Brown University, Department of Economics View citations (122)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2003) View citations (121)
    See also Journal Article Choosing the Best Volatility Models: The Model Confidence Set Approach*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (123) (2003)
29. The present-value model of the current account has been rejected: Round up the usual suspects
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (9)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) View citations (32)
    Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (1)
    See also Journal Article The present-value model of the current account has been rejected: Round up the usual suspects, Journal of International Economics, Elsevier (2006) View citations (116) (2006)

1999

30. Investment and the current account in the short run and the long run
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    See also Journal Article Investment and the Current Account in the Short Run and the Long Run, Journal of Money, Credit and Banking, Blackwell Publishing (2002) View citations (62) (2002)
31. Long Run Monetary Neutrality in Three Samples: The United Kingdom, the United States, and the Small
    Working Papers, Department of Economics, University of Calgary View citations (2)

1993

32. Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (92)
    See also Journal Article Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research, Journal of Economic Dynamics and Control, Elsevier (1995) View citations (567) (1995)
33. Output dynamics in real business cycle models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (180)
    See also Journal Article Output Dynamics in Real-Business-Cycle Models, American Economic Review, American Economic Association (1995) View citations (479) (1995)

1991

34. Testing For Structural Breaks
    Working Paper, Economics Department, Queen's University View citations (19)
35. The permanent income hypothesis when the bliss point is stochastic
    Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis View citations (2)

1989

36. Nonparametric exchange rate prediction?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article Nonparametric exchange rate prediction?, Journal of International Economics, Elsevier (1990) View citations (246) (1990)

1988

37. The equity premium and time-varying risk behavior
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (16)

Journal Articles

2023

1. UK INFLATION DYNAMICS SINCE THE THIRTEENTH CENTURY
   International Economic Review, 2023, 64, (4), 1595-1614

2021

2. Measuring the slowly evolving trend in US inflation with professional forecasts
   Journal of Applied Econometrics, 2021, 36, (1), 1-17 View citations (6)
   See also Working Paper Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts, CAMA Working Papers (2014) View citations (4) (2014)

2020

3. Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility
   Quantitative Economics, 2020, 11, (4), 1485-1520 View citations (15)
   See also Working Paper Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility, BIS Working Papers (2018) View citations (8) (2018)

2015

4. BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS
   Macroeconomic Dynamics, 2015, 19, (4), 836-882 View citations (10)
   See also Working Paper Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks, CAMA Working Papers (2012) View citations (7) (2012)

2014

5. Business Cycle Implications of Internal Consumption Habit for New Keynesian Models
   Journal of Money, Credit and Banking, 2014, 46, (2-3), 519-544 View citations (6)
   See also Working Paper Business Cycle Implications of Internal Consumption Habit for New Keynesian Models, Discussion Papers (2012) View citations (7) (2012)

2012

6. Information criteria for impulse response function matching estimation of DSGE models
   Journal of Econometrics, 2012, 170, (2), 499-518 View citations (46)
   See also Working Paper Information Criteria for Impulse Response Function Matching Estimation of DSGE Models, Working Papers (2010) View citations (3) (2010)
7. Time-consistency and credible monetary policy after the crisis
   Business Review, 2012, (Q2), 19-26
8. UK World War I and interwar data for business cycle and growth analysis
   Cliometrica, Journal of Historical Economics and Econometric History, 2012, 6, (2), 115-142 View citations (2)
   See also Working Paper UK World War I and Interwar Data for Business Cycle and Growth Analysis, CAMA Working Papers (2011) (2011)

2011

9. The Model Confidence Set
   Econometrica, 2011, 79, (2), 453-497 View citations (1092)
   See also Working Paper The Model Confidence Set, CREATES Research Papers (2010) View citations (5) (2010)

2008

10. Great Moderation(s) and US Interest Rates: Unconditional Evidence
    The B.E. Journal of Macroeconomics, 2008, 8, (1), 33 View citations (12)
    See also Working Paper Great moderations and U.S. interest rates: unconditional evidence, FRB Atlanta Working Paper (2008) View citations (1) (2008)
11. Identifying the new Keynesian Phillips curve
    Journal of Applied Econometrics, 2008, 23, (5), 525-551 View citations (103)
    See also Working Paper Identifying The New Keynesian Phillips Curve, Working Paper (2005) View citations (36) (2005)
12. Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson
    Journal of Econometrics, 2008, 146, (2), 199-201
13. The New Keynesian Phillips curve: lessons from single-equation econometric estimation
    Economic Quarterly, 2008, 94, (Fall), 361-395 View citations (50)

2007

14. Simple versus optimal rules as guides to policy
    Journal of Monetary Economics, 2007, 54, (5), 1372-1396 View citations (45)
    See also Working Paper Simple versus optimal rules as guides to policy, FRB Atlanta Working Paper (2007) View citations (42) (2007)
15. The McKenna Rule and UK World War I Finance
    American Economic Review, 2007, 97, (2), 290-294 View citations (2)
    See also Working Paper The McKenna Rule and UK World War I Finance, Reserve Bank of New Zealand Discussion Paper Series (2007) View citations (2) (2007)

2006

16. Common trends and common cycles in Canada: who knew so much has been going on?
    Canadian Journal of Economics, 2006, 39, (1), 320-347 View citations (10)
    Also in Canadian Journal of Economics/Revue canadienne d'économique, 2006, 39, (1), 320-347 (2006) View citations (10)
    See also Working Paper Common trends and common cycles in Canada: who knew so much has been going on?, FRB Atlanta Working Paper (2004) (2004)
17. Instability in U.S. inflation: 1967-2005
    Economic Review, 2006, 91, (Q 2), 39-59 View citations (8)
18. The present-value model of the current account has been rejected: Round up the usual suspects
    Journal of International Economics, 2006, 68, (1), 159-187 View citations (116)
    See also Working Paper The present-value model of the current account has been rejected: Round up the usual suspects, FRB Atlanta Working Paper (2003) View citations (9) (2003)

2004

19. Long-run monetary neutrality and long-horizon regressions
    Journal of Applied Econometrics, 2004, 19, (3), 355-373 View citations (19)

2003

20. Choosing the Best Volatility Models: The Model Confidence Set Approach*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 839-861 View citations (123)
    See also Working Paper Choosing the Best Volatility Models:The Model Confidence Set Approach, Working Papers (2003) View citations (122) (2003)
21. The long-horizon regression approach to monetary neutrality: how should the evidence be interpreted?
    Economics Letters, 2003, 78, (3), 351-356 View citations (18)

2002

22. Investment and the Current Account in the Short Run and the Long Run
    Journal of Money, Credit and Banking, 2002, 34, (4), 967-86 View citations (62)
    See also Working Paper Investment and the current account in the short run and the long run, International Finance Discussion Papers (1999) View citations (5) (1999)

1996

23. Testing for structural breaks in cointegrated relationships
    Journal of Econometrics, 1996, 71, (1-2), 321-341 View citations (134)

1995

24. Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research
    Journal of Economic Dynamics and Control, 1995, 19, (1-2), 253-278 View citations (567)
    See also Working Paper Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research, Working Papers in Applied Economic Theory (1993) View citations (92) (1993)
25. Output Dynamics in Real-Business-Cycle Models
    American Economic Review, 1995, 85, (3), 492-511 View citations (479)
    See also Working Paper Output dynamics in real business cycle models, Working Papers in Applied Economic Theory (1993) View citations (180) (1993)

1994

26. Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models
    Journal of Applied Econometrics, 1994, 9, (S), S37-70 View citations (48)

1993

27. Impulse dynamics and propagation mechanisms in a real business cycle model
    Economics Letters, 1993, 43, (1), 77-81 View citations (38)

1991

28. Effects of the Hodrick-Prescott filter on integrated time series
    Proceedings, 1991, (Nov) View citations (16)

1990

29. Nonparametric exchange rate prediction?
    Journal of International Economics, 1990, 28, (3-4), 315-332 View citations (246)
    See also Working Paper Nonparametric exchange rate prediction?, Finance and Economics Discussion Series (1989) View citations (2) (1989)

Chapters

2013

1. Bayesian estimation of DSGE models
   Chapter 21 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 486-512 View citations (2)
   See also Working Paper Bayesian Estimation of DSGE Models, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2012) View citations (16) (2012)