Details about Josh R. Stillwagon

Access statistics for papers by Josh R. Stillwagon.

Last updated 2022-04-22. Update your information in the RePEc Author Service.

Short-id: pst728

Working Papers

2021

1. Market Participants Neither Commit Predictable Errors nor Conform to REH: Evidence from Survey Data of Inflation Forecasts
   Working Papers Series, Institute for New Economic Thinking

2020

2. How Market Sentiment Drives Forecasts of Stock Returns
   Working Papers Series, Institute for New Economic Thinking View citations (4)
   See also Journal Article How Market Sentiment Drives Forecasts of Stock Returns, Journal of Behavioral Finance, Taylor & Francis Journals (2021) View citations (4) (2021)

2019

3. New Evidence on the Portfolio Balance Approach to Currency Returns
   Working Papers Series, Institute for New Economic Thinking View citations (1)

2016

4. Markov Switching in Exchange Rate Models: Will More Regimes Help?
   Working Papers, Trinity College, Department of Economics
   See also Journal Article Markov switching in exchange rate models: will more regimes help?, Empirical Economics, Springer (2020) View citations (3) (2020)
5. Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter
   Working Papers Series, Institute for New Economic Thinking

2015

6. Exchange Rate Dynamics and Forecast Errors about Persistently Trending Fundamentals
   Working Papers, Trinity College, Department of Economics
7. Subjective Currency Risk Premia and Deviations from Moving Averages
   Working Papers, Trinity College, Department of Economics
8. TIPS and the VIX: Non-linear Spillovers from Financial Panic to Breakeven Inflation
   Working Papers, Trinity College, Department of Economics

2014

9. Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation
   Working Papers, Trinity College, Department of Economics View citations (1)
   See also Journal Article Non-linear exchange rate relationships: An automated model selection approach with indicator saturation, The North American Journal of Economics and Finance, Elsevier (2016) View citations (9) (2016)
10. Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR
    Working Papers, Trinity College, Department of Economics
    See also Journal Article Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR, Journal of International Financial Markets, Institutions and Money, Elsevier (2015) View citations (7) (2015)

2013

11. Are Risk Premia Related to Real Exchange Rate Swings? Survey Expectations and I(2) Trends
    Working Papers, Trinity College, Department of Economics
12. Currency Risk and Imperfect Knowledge: Volatility and Long Swings around Benchmark Values
    Working Papers, Trinity College, Department of Economics
13. Does the Consumption CAPM Help in Accounting for Expected Currency Returns?
    Working Papers, Trinity College, Department of Economics
14. Rethinking What Survey Data has to Say about the Role of Risk and Irrationality in Currency Markets
    Working Papers, Trinity College, Department of Economics
15. The Excess Returns Puzzle in Currency Markets: Clues on Moving Forward
    Working Papers, Trinity College, Department of Economics

Journal Articles

2021

1. Currency returns and downside risk: Debt, volatility, and the gap from benchmark values
   Journal of Macroeconomics, 2021, 68, (C) View citations (1)
2. How Market Sentiment Drives Forecasts of Stock Returns
   Journal of Behavioral Finance, 2021, 22, (4), 351-367 View citations (4)
   See also Working Paper How Market Sentiment Drives Forecasts of Stock Returns, Working Papers Series (2020) View citations (4) (2020)

2020

3. Markov switching in exchange rate models: will more regimes help?
   Empirical Economics, 2020, 59, (1), 413-436 View citations (3)
   See also Working Paper Markov Switching in Exchange Rate Models: Will More Regimes Help?, Working Papers (2016) (2016)

2019

4. Currency risk premia: Perceptions of downside risk and deviations from benchmark values
   International Journal of Finance & Economics, 2019, 24, (1), 33-48 View citations (2)

2018

5. ARE RISK PREMIA RELATED TO REAL EXCHANGE RATE SWINGS? EVIDENCE FROM I(2) CVARs WITH SURVEY EXPECTATIONS
   Macroeconomic Dynamics, 2018, 22, (2), 255-278 View citations (5)
6. Are outcomes driving expectations or the other way around? An I(2) CVAR analysis of interest rate expectations in the dollar/pound market
   Journal of International Money and Finance, 2018, 83, (C), 93-105 View citations (16)
7. Fundamental factors and extrapolation in stock-market expectations: The central role of structural change
   Journal of Economic Behavior & Organization, 2018, 148, (C), 189-198 View citations (8)
8. TIPS and the VIX: Spillovers from Financial Panic to Breakeven Inflation in an Automated, Nonlinear Modeling Framework
   Oxford Bulletin of Economics and Statistics, 2018, 80, (2), 218-235 View citations (7)

2016

9. Non-linear exchange rate relationships: An automated model selection approach with indicator saturation
   The North American Journal of Economics and Finance, 2016, 37, (C), 84-109 View citations (9)
   See also Working Paper Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation, Working Papers (2014) View citations (1) (2014)
10. The Effects of US State-Level Energy and Environmental Policies on Clean Tech Innovation and Employment
    Journal of Management and Sustainability, 2016, 6, (2), 1-20

2015

11. Can the Consumption Capital Asset Pricing Model Account for Traders' Expected Currency Returns?
    Review of International Economics, 2015, 23, (5), 1044-1069 View citations (3)
12. Testing the expectations hypothesis with survey forecasts: The impacts of consumer sentiment and the zero lower bound in an I(2) CVAR
    Journal of International Financial Markets, Institutions and Money, 2015, 35, (C), 85-101 View citations (7)
    See also Working Paper Testing the Expectations Hypothesis with Survey Forecasts: The Impacts of Consumer Sentiment and the Zero Lower Bound in an I(2) CVAR, Working Papers (2014) (2014)

2014

13. Reexamining what survey data say about currency risk and irrationality using the cointegrated VAR
    Economics Bulletin, 2014, 34, (3), 1631-1643 View citations (3)

2011

14. Tracking jobs in clean industries in New England
    New England Economic Indicators, 2011, (Q3), 4-14 View citations (1)