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Details about Barbara Rossi

E-mail:
Homepage:https://sites.google.com/site/barbararossiwebsite/
Postal address:Barbara Rossi Centre de Recerca en Economia Internacional (CREI) Universitat Pompeu Fabra (UPF) carrer Ramon Trias Fargas, 25-27, Mercè Rodoreda bldg. 08005 Barcelona SPAIN
Workplace:Departament d'Economia i Empresa (Department of Economics and Business), Universitat Pompeu Fabra (Pompeu Fabra University), Barcelona School of Economics (BSE), (more information at EDIRC)
Centre de Recerca en Economia Internacional (CREI) (Center for Research in International Economics (CREI)), Barcelona School of Economics (BSE), (more information at EDIRC)

Access statistics for papers by Barbara Rossi.

Last updated 2020-07-28. Update your information in the RePEc Author Service.

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Working Papers

2022

  1. Long-Run Trends in Long-Maturity Real Rates 1311-2021
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2021

  1. A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (25)
    Also in Working Papers, Barcelona School of Economics (2019) Downloads View citations (9)
  2. Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (14)
    Also in Working Papers, Barcelona School of Economics (2019) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads View citations (5)
  3. Has the information channel of monetary policy disappeared? Revisiting the empirical evidence
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads View citations (22)
    Working Papers, Barcelona School of Economics (2020) Downloads View citations (23)
    Working Paper Series, Federal Reserve Bank of San Francisco (2020) Downloads View citations (11)

2020

  1. From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts
    Working Papers, Barcelona School of Economics Downloads View citations (7)
    Also in Working Papers, Banco de España (2019) Downloads View citations (4)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2019) Downloads View citations (4)
  2. From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Foreca
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
  3. Identifying and estimating the effects of unconventional monetary policy in the data: How to do It and what have we learned?
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (4)
    Also in Working Papers, Barcelona School of Economics (2019) Downloads View citations (15)

2019

  1. Identifying and Estimating the Effects of Unconventional Monetary Policy: How to Do It And What Have We Learned?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
  2. VAR-Based Granger-Causality Test in the Presence of Instabilities
    Working Papers, Barcelona School of Economics Downloads View citations (11)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2019) Downloads View citations (18)
  3. Vector autoregressive-based Granger causality test in the presence of instabilities
    MPRA Paper, University Library of Munich, Germany Downloads View citations (22)
    See also Journal Article Vector autoregressive-based Granger causality test in the presence of instabilities, Stata Journal, StataCorp LP (2019) Downloads View citations (22) (2019)

2018

  1. Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models
    Working Papers, Barcelona School of Economics Downloads View citations (1)
    Also in Working Papers, Banco de España (2018) Downloads View citations (4)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2018) Downloads View citations (5)
  2. Identifying the sources of model misspecification
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (5)
    Also in Working Papers, Barcelona School of Economics (2015) Downloads View citations (9)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (6)

    See also Journal Article Identifying the sources of model misspecification, Journal of Monetary Economics, Elsevier (2020) Downloads View citations (7) (2020)
  3. The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2018) Downloads View citations (19)
    Working Papers, Barcelona School of Economics (2018) Downloads View citations (19)

    See also Chapter The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, NBER Chapters, National Bureau of Economic Research, Inc (2018) View citations (16) (2018)
    Journal Article The effects of conventional and unconventional monetary policy on exchange rates, Journal of International Economics, Elsevier (2019) Downloads View citations (59) (2019)
  4. Understanding the sources of macroeconomic uncertainty
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (64)
    Working Papers, Barcelona School of Economics (2016) Downloads View citations (64)

2017

  1. Alternative tests for correct specification of conditional predictive densities
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (4)
    Also in Working Papers, Barcelona School of Economics (2015) Downloads View citations (4)

    See also Journal Article Alternative tests for correct specification of conditional predictive densities, Journal of Econometrics, Elsevier (2019) Downloads View citations (53) (2019)

2016

  1. Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (48)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014) Downloads View citations (5)
    Working Papers, Barcelona School of Economics (2014) Downloads View citations (3)

    See also Journal Article Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) Downloads View citations (44) (2016)
  2. In-sample Inference and Forecasting in Misspecified Factor Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (37)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2016) Downloads View citations (37)

    See also Journal Article In-Sample Inference and Forecasting in Misspecified Factor Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) Downloads View citations (35) (2016)
  3. Rolling window selection for out-of-sample forecasting with time-varying parameters
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (1)
    Also in Working Papers, Barcelona School of Economics (2014) Downloads View citations (9)

    See also Journal Article Rolling window selection for out-of-sample forecasting with time-varying parameters, Journal of Econometrics, Elsevier (2017) Downloads View citations (108) (2017)

2015

  1. Can Oil Prices Forecast Exchange Rates?
    Working Papers, Barcelona School of Economics Downloads View citations (138)
    Also in Working Papers, Duke University, Department of Economics (2011) Downloads View citations (32)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) Downloads View citations (138)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (9)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (11)
    NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (43)
  2. Heterogeneous Consumers and Fiscal Policy Shocks
    Working Papers, Barcelona School of Economics Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (15)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2015) Downloads View citations (2)
    2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads View citations (10)

    See also Journal Article Heterogeneous Consumers and Fiscal Policy Shocks, Journal of Money, Credit and Banking, Blackwell Publishing (2016) Downloads View citations (40) (2016)
  3. Macroeconomic Uncertainty Indices for the Euro Area and Individual Member Countries
    Working Papers, Barcelona School of Economics Downloads View citations (19)
  4. Macroeconomic uncertainty indices based on nowcast and forecast error distributions
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (234)
    See also Journal Article Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions, American Economic Review, American Economic Association (2015) Downloads View citations (235) (2015)
  5. Model comparisons in unstable environments
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (2)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads View citations (1)
    Working Papers, Barcelona School of Economics (2014) Downloads View citations (3)
    Working Papers, Duke University, Department of Economics (2009) Downloads View citations (6)
    Working Papers, Duke University, Department of Economics (2010) Downloads View citations (10)
  6. Tests for the validity of portfolio or group choice in financial and panel regressions
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads

2014

  1. Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
    Working Papers, Barcelona School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2014) Downloads

    See also Journal Article Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Annual Review of Economics, Annual Reviews (2015) Downloads View citations (8) (2015)
  2. Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (9)

2013

  1. Conditional Predictive Density Evaluation in the Presence of Instabilities
    Working Papers, Barcelona School of Economics Downloads View citations (31)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (37)

    See also Journal Article Conditional predictive density evaluation in the presence of instabilities, Journal of Econometrics, Elsevier (2013) Downloads View citations (35) (2013)
  2. Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (41)
  3. Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set
    Working Papers, Barcelona School of Economics Downloads
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (1)

    See also Journal Article Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set, International Journal of Forecasting, Elsevier (2014) Downloads View citations (56) (2014)
  4. Exchange Rate Predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (355)
    Also in Working Papers, Barcelona School of Economics (2013) Downloads View citations (355)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2013) Downloads View citations (357)

    See also Journal Article Exchange Rate Predictability, Journal of Economic Literature, American Economic Association (2013) Downloads View citations (355) (2013)

2012

  1. Out-of-sample forecast tests robust to the choice of window size
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (215)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (11)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (8)
  2. The changing relationship between commodity prices and equity prices in commodity exporting
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra Downloads View citations (21)

2011

  1. Advances in Forecasting Under Instability
    Working Papers, Duke University, Department of Economics Downloads View citations (6)
    See also Chapter Advances in Forecasting under Instability, Handbook of Economic Forecasting, Elsevier (2013) Downloads View citations (90) (2013)
  2. Forecast Optimality Tests in the Presence of Instabilities
    Working Papers, Duke University, Department of Economics Downloads View citations (9)
  3. Out-of-Sample Forecast Tests Robust to Window Size Choice
    Working Papers, Duke University, Department of Economics Downloads View citations (10)
  4. What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?
    Working Papers, Duke University, Department of Economics Downloads View citations (92)
    See also Journal Article What Is the Importance of Monetary and Fiscal Shocks in Explaining U.S. Macroeconomic Fluctuations?, Journal of Money, Credit and Banking, Blackwell Publishing (2011) Downloads View citations (84) (2011)

2010

  1. Can Exchange Rates Forecast Commodity Prices?
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (399)
    Also in Working Papers, Duke University, Department of Economics (2008) Downloads View citations (73)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (52)
    Working Papers, Duke University, Department of Economics (2010) Downloads View citations (397)
    Working Papers, University of Washington, Department of Economics (2009) Downloads View citations (8)
    2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (48)

    See also Journal Article Can Exchange Rates Forecast Commodity Prices?, The Quarterly Journal of Economics, President and Fellows of Harvard College (2010) Downloads View citations (399) (2010)
  2. Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?
    Working Papers, Duke University, Department of Economics Downloads View citations (58)
    Also in Working Papers, Duke University, Department of Economics (2008) Downloads View citations (12)
  3. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models
    Working Papers, Duke University, Department of Economics Downloads View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2007) Downloads View citations (30)
    Working Papers, Duke University, Department of Economics (2009) Downloads View citations (6)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) Downloads View citations (31)
    Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The University of Manchester (2009) Downloads View citations (6)
  4. Testing for Weak Identification in Possibly Nonlinear Models
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article Testing for weak identification in possibly nonlinear models, Journal of Econometrics, Elsevier (2011) Downloads View citations (16) (2011)
  5. Understanding Models' Forecasting Performance
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    See also Journal Article Understanding models' forecasting performance, Journal of Econometrics, Elsevier (2011) Downloads View citations (31) (2011)

2009

  1. Has Economic Modelsí Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
  2. Model Selection in Unstable Environments
    2009 Meeting Papers, Society for Economic Dynamics
  3. Predicting Agri-Commodity Prices: an Asset Pricing Approach
    Working Papers, University of Washington, Department of Economics Downloads View citations (2)

2008

  1. Forecast Comparisons in Unstable Environments
    Working Papers, Duke University, Department of Economics Downloads View citations (13)
    See also Journal Article Forecast comparisons in unstable environments, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (316) (2010)
  2. Which Structural Parameters Are "Structural"? Identifying the Sources of Instabilities in Economic Models
    Working Papers, Duke University, Department of Economics Downloads View citations (5)

2007

  1. Information Criteria for Impulse Response Function Matching Estimation
    2007 Meeting Papers, Society for Economic Dynamics View citations (29)

2006

  1. Detecting and Predicting Forecast Breakdowns
    Working Papers, Duke University, Department of Economics Downloads View citations (4)
    Also in UCLA Economics Working Papers, UCLA Department of Economics (2005) Downloads View citations (8)
    Working Paper Series, European Central Bank (2006) Downloads View citations (6)

    See also Journal Article Detecting and Predicting Forecast Breakdowns, The Review of Economic Studies, Review of Economic Studies Ltd (2009) Downloads View citations (114) (2009)
  2. Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?
    Working Papers, Duke University, Department of Economics Downloads
    See also Journal Article Impulse response confidence intervals for persistent data: What have we learned?, Journal of Economic Dynamics and Control, Elsevier (2007) Downloads View citations (18) (2007)

2005

  1. Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
    International Finance, University Library of Munich, Germany Downloads View citations (8)
    Also in Data, University Library of Munich, Germany (2005) Downloads View citations (6)

    See also Journal Article ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY, Macroeconomic Dynamics, Cambridge University Press (2006) Downloads View citations (138) (2006)
  2. Expectations Hypotheses Tests and Predictive Regressions at Long Horizons
    Working Papers, Duke University, Department of Economics Downloads View citations (1)
  3. How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    See also Journal Article How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) Downloads View citations (79) (2006)
  4. Monitoring and Forecasting Currency Crises
    Working Papers, Duke University, Department of Economics Downloads View citations (2)
    See also Journal Article Monitoring and Forecasting Currency Crises, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (7) (2008)

2004

  1. Do Technology Shocks Drive Hours Up or Down?
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (5)
  2. Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure
    Econometrics, University Library of Munich, Germany Downloads
    Also in Working Papers, Duke University, Department of Economics (2003) Downloads View citations (2)

    See also Journal Article DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE, Macroeconomic Dynamics, Cambridge University Press (2005) Downloads View citations (23) (2005)
  3. Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Working Papers, Duke University, Department of Economics (2003) Downloads View citations (4)
    Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (1)

    See also Journal Article Small-sample confidence intervals for multivariate impulse response functions at long horizons, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) Downloads View citations (29) (2006)

2003

  1. Recursive Predictability Tests for Real-Time Data
    Working Papers, Duke University, Department of Economics Downloads View citations (4)
    See also Journal Article Recursive Predictability Tests for Real-Time Data, Journal of Business & Economic Statistics, American Statistical Association (2005) Downloads View citations (26) (2005)

2002

  1. Confidence Intervals for Half-life Deviations from Purchasing Power Parity
    Working Papers, Duke University, Department of Economics Downloads View citations (16)
    See also Journal Article Confidence Intervals for Half-Life Deviations From Purchasing Power Parity, Journal of Business & Economic Statistics, American Statistical Association (2005) Downloads View citations (105) (2005)
  2. Optimal Tests for Nested Model Selection with Underlying Parameter Instability
    Working Papers, Duke University, Department of Economics Downloads View citations (10)
    See also Journal Article OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY, Econometric Theory, Cambridge University Press (2005) Downloads View citations (103) (2005)
  3. Testing Long-horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle
    Working Papers, Duke University, Department of Economics Downloads View citations (4)
    See also Journal Article TESTING LONG-HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE-ROGOFF PUZZLE, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2005) View citations (82) (2005)

Journal Articles

2020

  1. Identifying the sources of model misspecification
    Journal of Monetary Economics, 2020, 110, (C), 1-18 Downloads View citations (7)
    See also Working Paper Identifying the sources of model misspecification, Economics Working Papers (2018) Downloads View citations (5) (2018)

2019

  1. Alternative tests for correct specification of conditional predictive densities
    Journal of Econometrics, 2019, 208, (2), 638-657 Downloads View citations (53)
    See also Working Paper Alternative tests for correct specification of conditional predictive densities, Economics Working Papers (2017) Downloads View citations (4) (2017)
  2. The effects of conventional and unconventional monetary policy on exchange rates
    Journal of International Economics, 2019, 118, (C), 419-447 Downloads View citations (59)
    See also Chapter The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, NBER Chapters, 2018, 419-447 (2018) View citations (16) (2018)
    Working Paper The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, NBER Working Papers (2018) Downloads View citations (19) (2018)
  3. Vector autoregressive-based Granger causality test in the presence of instabilities
    Stata Journal, 2019, 19, (4), 883-899 Downloads View citations (22)
    See also Working Paper Vector autoregressive-based Granger causality test in the presence of instabilities, MPRA Paper (2019) Downloads View citations (22) (2019)

2018

  1. Uncertainty and deviations from uncovered interest rate parity
    Journal of International Money and Finance, 2018, 88, (C), 242-259 Downloads View citations (34)

2017

  1. Implementing tests for forecast evaluation in the presence of instabilities
    Stata Journal, 2017, 17, (4), 850-865 Downloads View citations (2)
  2. Macroeconomic uncertainty indices for the Euro Area and its individual member countries
    Empirical Economics, 2017, 53, (1), 41-62 Downloads View citations (47)
  3. Rolling window selection for out-of-sample forecasting with time-varying parameters
    Journal of Econometrics, 2017, 196, (1), 55-67 Downloads View citations (108)
    See also Working Paper Rolling window selection for out-of-sample forecasting with time-varying parameters, Economics Working Papers (2016) Downloads View citations (1) (2016)

2016

  1. A Review of Economic Forecasting
    Econometrics Journal, 2016, 19, (3), B1-B3 Downloads
  2. Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts
    Journal of Applied Econometrics, 2016, 31, (3), 507-532 Downloads View citations (44)
    See also Working Paper Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts, CEPR Discussion Papers (2016) Downloads View citations (48) (2016)
  3. Heterogeneous Consumers and Fiscal Policy Shocks
    Journal of Money, Credit and Banking, 2016, 48, (8), 1877-1888 Downloads View citations (40)
    See also Working Paper Heterogeneous Consumers and Fiscal Policy Shocks, Working Papers (2015) Downloads View citations (2) (2015)
  4. In-Sample Inference and Forecasting in Misspecified Factor Models
    Journal of Business & Economic Statistics, 2016, 34, (3), 313-338 Downloads View citations (35)
    See also Working Paper In-sample Inference and Forecasting in Misspecified Factor Models, CEPR Discussion Papers (2016) Downloads View citations (37) (2016)
  5. Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models
    Journal of Business & Economic Statistics, 2016, 34, (3), 353-356 Downloads View citations (7)

2015

  1. Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates
    Journal of International Money and Finance, 2015, 54, (C), 116-141 Downloads View citations (135)
  2. Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models
    Annual Review of Economics, 2015, 7, (1), 207-229 Downloads View citations (8)
    See also Working Paper Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models, Working Papers (2014) Downloads (2014)
  3. Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions
    American Economic Review, 2015, 105, (5), 650-55 Downloads View citations (235)
    See also Working Paper Macroeconomic uncertainty indices based on nowcast and forecast error distributions, Economics Working Papers (2015) Downloads View citations (234) (2015)

2014

  1. Comment
    Journal of Business & Economic Statistics, 2014, 32, (4), 510-514 Downloads
  2. Evaluating predictive densities of US output growth and inflation in a large macroeconomic data set
    International Journal of Forecasting, 2014, 30, (3), 662-682 Downloads View citations (56)
    See also Working Paper Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set, Working Papers (2013) Downloads (2013)

2013

  1. Comment
    NBER International Seminar on Macroeconomics, 2013, 9, (1), 106 - 116 Downloads
  2. Conditional predictive density evaluation in the presence of instabilities
    Journal of Econometrics, 2013, 177, (2), 199-212 Downloads View citations (35)
    See also Working Paper Conditional Predictive Density Evaluation in the Presence of Instabilities, Working Papers (2013) Downloads View citations (31) (2013)
  3. Exchange Rate Predictability
    Journal of Economic Literature, 2013, 51, (4), 1063-1119 Downloads View citations (355)
    See also Working Paper Exchange Rate Predictability, CEPR Discussion Papers (2013) Downloads View citations (355) (2013)

2011

  1. Comment
    Journal of Business & Economic Statistics, 2011, 30, (1), 25-29 Downloads
  2. Identifying the Sources of Instabilities in Macroeconomic Fluctuations
    The Review of Economics and Statistics, 2011, 93, (4), 1186-1204 Downloads View citations (74)
  3. Testing for weak identification in possibly nonlinear models
    Journal of Econometrics, 2011, 161, (2), 246-261 Downloads View citations (16)
    See also Working Paper Testing for Weak Identification in Possibly Nonlinear Models, Working Papers (2010) Downloads (2010)
  4. Understanding models' forecasting performance
    Journal of Econometrics, 2011, 164, (1), 158-172 Downloads View citations (31)
    See also Working Paper Understanding Models' Forecasting Performance, Working Papers (2010) Downloads View citations (2) (2010)
  5. What Is the Importance of Monetary and Fiscal Shocks in Explaining U.S. Macroeconomic Fluctuations?
    Journal of Money, Credit and Banking, 2011, 43, (6), 1247-1270 Downloads View citations (84)
    See also Working Paper What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?, Working Papers (2011) Downloads View citations (92) (2011)

2010

  1. Can Exchange Rates Forecast Commodity Prices?
    The Quarterly Journal of Economics, 2010, 125, (3), 1145-1194 Downloads View citations (399)
    See also Working Paper Can Exchange Rates Forecast Commodity Prices?, Scholarly Articles (2010) Downloads View citations (399) (2010)
  2. Forecast comparisons in unstable environments
    Journal of Applied Econometrics, 2010, 25, (4), 595-620 Downloads View citations (316)
    See also Working Paper Forecast Comparisons in Unstable Environments, Working Papers (2008) Downloads View citations (13) (2008)
  3. Have economic models' forecasting performance for US output growth and inflation changed over time, and when?
    International Journal of Forecasting, 2010, 26, (4), 808-835 Downloads View citations (70)

2009

  1. Detecting and Predicting Forecast Breakdowns
    The Review of Economic Studies, 2009, 76, (2), 669-705 Downloads View citations (114)
    See also Working Paper Detecting and Predicting Forecast Breakdowns, Working Papers (2006) Downloads View citations (4) (2006)

2008

  1. Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 867-893 Downloads View citations (6)
  2. Monitoring and Forecasting Currency Crises
    Journal of Money, Credit and Banking, 2008, 40, (2-3), 523-534 View citations (7)
    See also Working Paper Monitoring and Forecasting Currency Crises, Working Papers (2005) Downloads View citations (2) (2005)

2007

  1. Expectations hypotheses tests at Long Horizons
    Econometrics Journal, 2007, 10, (3), 554-579 View citations (21)
  2. Impulse response confidence intervals for persistent data: What have we learned?
    Journal of Economic Dynamics and Control, 2007, 31, (7), 2398-2412 Downloads View citations (18)
    See also Working Paper Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?, Working Papers (2006) Downloads (2006)

2006

  1. ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
    Macroeconomic Dynamics, 2006, 10, (1), 20-38 Downloads View citations (138)
    See also Working Paper Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability, International Finance (2005) Downloads View citations (8) (2005)
  2. How Stable is the Forecasting Performance of the Yield Curve for Output Growth?*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 783-795 Downloads View citations (79)
    See also Working Paper How Stable is the Forecasting Performance of the Yield Curve for Outpot Growth?, Working Papers (2005) Downloads View citations (2) (2005)
  3. Small-sample confidence intervals for multivariate impulse response functions at long horizons
    Journal of Applied Econometrics, 2006, 21, (8), 1135-1155 Downloads View citations (29)
    See also Working Paper Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons, CEPR Discussion Papers (2004) Downloads View citations (3) (2004)

2005

  1. Confidence Intervals for Half-Life Deviations From Purchasing Power Parity
    Journal of Business & Economic Statistics, 2005, 23, 432-442 Downloads View citations (105)
    See also Working Paper Confidence Intervals for Half-life Deviations from Purchasing Power Parity, Working Papers (2002) Downloads View citations (16) (2002)
  2. DO TECHNOLOGY SHOCKS DRIVE HOURS UP OR DOWN? A LITTLE EVIDENCE FROM AN AGNOSTIC PROCEDURE
    Macroeconomic Dynamics, 2005, 9, (4), 478-488 Downloads View citations (23)
    See also Working Paper Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure, Econometrics (2004) Downloads (2004)
  3. OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY
    Econometric Theory, 2005, 21, (5), 962-990 Downloads View citations (103)
    See also Working Paper Optimal Tests for Nested Model Selection with Underlying Parameter Instability, Working Papers (2002) Downloads View citations (10) (2002)
  4. Recursive Predictability Tests for Real-Time Data
    Journal of Business & Economic Statistics, 2005, 23, 336-345 Downloads View citations (26)
    See also Working Paper Recursive Predictability Tests for Real-Time Data, Working Papers (2003) Downloads View citations (4) (2003)
  5. TESTING LONG-HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE-ROGOFF PUZZLE
    International Economic Review, 2005, 46, (1), 61-92 View citations (82)
    See also Working Paper Testing Long-horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle, Working Papers (2002) Downloads View citations (4) (2002)

Chapters

2018

  1. The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates
    A chapter in NBER International Seminar on Macroeconomics 2018, 2018, pp 419-447 View citations (16)
    See also Journal Article The effects of conventional and unconventional monetary policy on exchange rates, Elsevier (2019) Downloads View citations (59) (2019)
    Working Paper The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates, National Bureau of Economic Research, Inc (2018) Downloads View citations (19) (2018)

2013

  1. Advances in Forecasting under Instability
    Elsevier Downloads View citations (90)
    See also Working Paper Advances in Forecasting Under Instability, Duke University, Department of Economics (2011) Downloads View citations (6) (2011)
  2. Forecasting in macroeconomics
    Chapter 17 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 381-408 Downloads View citations (3)

2012

  1. Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"
    A chapter in NBER International Seminar on Macroeconomics 2012, 2012, pp 106-116 Downloads

2008

  1. Comment on "Exchange Rate Models Are Not As Bad As You Think"
    A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 453-470 Downloads View citations (3)

Software Items

2020

  1. GCROBUSTVAR: Stata module to compute a VAR-based Granger-causality Test in the Presence of Instabilities
    Statistical Software Components, Boston College Department of Economics Downloads

2017

  1. FOREC_INSTAB: Stata module to perform forecast comparison and forecast rationality tests
    Statistical Software Components, Boston College Department of Economics Downloads
 
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