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Details about Shaun P. Vahey

Workplace:Warwick Business School, University of Warwick, (more information at EDIRC)

Access statistics for papers by Shaun P. Vahey.

Last updated 2023-08-05. Update your information in the RePEc Author Service.

Short-id: pva129


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Working Papers

2022

  1. Reassessing the dependence between economic growth and financial conditions since 1973
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    See also Journal Article Reassessing the dependence between economic growth and financial conditions since 1973, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) Downloads View citations (1) (2023)

2020

  1. Financial conditions and the risks to economic growth in the United States since 1875
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (11)

2019

  1. Empirically-transformed linear opinion pools
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (5)
    See also Journal Article Empirically-transformed linear opinion pools, International Journal of Forecasting, Elsevier (2023) Downloads (2023)
  2. Improved methods for combining point forecasts for an asymmetrically distributed variable
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (4)

2018

  1. Real-time Forecast Combinations for the Oil Price
    National Institute of Economic and Social Research (NIESR) Discussion Papers, National Institute of Economic and Social Research Downloads View citations (1)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) Downloads View citations (2)

    See also Journal Article Real‐time forecast combinations for the oil price, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) Downloads View citations (22) (2019)

2016

  1. Assessing the economic value of probabilistic forecasts in the presence of an inflation target
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2016) Downloads

2011

  1. Measuring Output Gap Nowcast Uncertainty
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    See also Journal Article Measuring output gap nowcast uncertainty, International Journal of Forecasting, Elsevier (2014) Downloads View citations (23) (2014)
  2. Probabilistic interest rate setting with a shadow board: A description of the pilot project
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  3. 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 Downloads
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009) Downloads
    Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (2)

    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) Downloads View citations (2) (2012)

2010

  1. Forecast Densities for Economic Aggregates from Disaggregate Ensembles
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (2)
    Also in Working Paper, Norges Bank (2010) Downloads View citations (4)

    See also Journal Article Forecast densities for economic aggregates from disaggregate ensembles, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) Downloads View citations (43) (2014)
  2. Measuring Output Gap Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2009) Downloads View citations (12)
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009) Downloads View citations (10)
  3. Real-time Inflation Forecast Densities from Ensemble Phillips Curves
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (3)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2009) Downloads View citations (4)

    See also Journal Article Real-time inflation forecast densities from ensemble Phillips curves, The North American Journal of Economics and Finance, Elsevier (2011) Downloads View citations (21) (2011)

2009

  1. Combining VAR and DSGE forecast densities
    Working Paper, Norges Bank Downloads View citations (12)
    See also Journal Article Combining VAR and DSGE forecast densities, Journal of Economic Dynamics and Control, Elsevier (2011) Downloads View citations (30) (2011)
  2. Macro modelling with many models
    Working Paper, Norges Bank Downloads View citations (14)

2008

  1. Combining Forecast Densities from VARs with Uncertain Instabilities
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (13)
    Also in Working Paper, Norges Bank (2008) Downloads View citations (55)

    See also Journal Article Combining forecast densities from VARs with uncertain instabilities, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (140) (2010)
  2. RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence
    Working Paper, Norges Bank Downloads View citations (1)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2007) Downloads View citations (4)

    See also Journal Article RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE, Journal of Economic Surveys, Wiley Blackwell (2010) Downloads View citations (7) (2010)
  3. Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (3)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2007) Downloads View citations (20)

    See also Journal Article Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty, Journal of Business & Economic Statistics, American Statistical Association (2009) Downloads View citations (53) (2009)

2007

  1. The McKenna Rule and UK World War I Finance
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (2)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) Downloads View citations (3)

    See also Journal Article The McKenna Rule and UK World War I Finance, American Economic Review, American Economic Association (2007) Downloads View citations (2) (2007)

2006

  1. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations (12)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2006) Downloads View citations (11)

    See also Journal Article Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, Economic Journal, Royal Economic Society (2008) Downloads View citations (16) (2008)
  2. Interwar U.K. unemployment: the Benjamin and Kochin hypothesis or the legacy of “just” taxes?
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)

2005

  1. 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)
  2. UK Real-Time Macro Data Characteristics
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics Downloads View citations (12)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005)

    See also Journal Article UK Real-Time Macro Data Characteristics, Economic Journal, Royal Economic Society (2006) View citations (30) (2006)

2003

  1. A Real Time Tax Smoothing Based Fiscal Policy Rule
    Royal Economic Society Annual Conference 2003, Royal Economic Society Downloads View citations (9)
    Also in Computing in Economics and Finance 2003, Society for Computational Economics (2003) Downloads View citations (11)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2002) Downloads View citations (3)
  2. Scope for Cost Minimization in Public Debt Management: the Case of the UK
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (5)

2002

  1. Keep It Real!: A Real-time UK Macro Data Set
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (34)
    See also Journal Article 'Keep it real!': a real-time UK macro data set, Economics Letters, Elsevier (2002) Downloads View citations (30) (2002)

2000

  1. The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)
  2. The Transparency and Accountability of UK Debt Management: A Proposal
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads

1996

  1. Compensating Differentials: Some Canadian Self-Report Evidence
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge

1995

  1. Measuring Core Inflation
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations (147)
    Also in Bank of England working papers, Bank of England (1995) Downloads View citations (162)

    See also Journal Article Measuring Core Inflation?, Economic Journal, Royal Economic Society (1995) Downloads View citations (166) (1995)
  2. Measuring Core Inflation (Now published in Economic Journal, vol. 105, No. 432 (September 1995), pp.1130-1144.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Journal Articles

2023

  1. Empirically-transformed linear opinion pools
    International Journal of Forecasting, 2023, 39, (2), 736-753 Downloads
    See also Working Paper Empirically-transformed linear opinion pools, CAMA Working Papers (2019) Downloads View citations (5) (2019)
  2. Reassessing the dependence between economic growth and financial conditions since 1973
    Journal of Applied Econometrics, 2023, 38, (2), 260-267 Downloads View citations (1)
    See also Working Paper Reassessing the dependence between economic growth and financial conditions since 1973, CAMA Working Papers (2022) Downloads View citations (1) (2022)

2019

  1. Real‐time forecast combinations for the oil price
    Journal of Applied Econometrics, 2019, 34, (3), 456-462 Downloads View citations (22)
    See also Working Paper Real-time Forecast Combinations for the Oil Price, National Institute of Economic and Social Research (NIESR) Discussion Papers (2018) Downloads View citations (1) (2018)

2016

  1. Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence
    Journal of Business & Economic Statistics, 2016, 34, (3), 416-434 Downloads View citations (31)

2014

  1. Forecast densities for economic aggregates from disaggregate ensembles
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (4), 367-381 Downloads View citations (43)
    See also Working Paper Forecast Densities for Economic Aggregates from Disaggregate Ensembles, CAMA Working Papers (2010) Downloads View citations (2) (2010)
  2. Measuring output gap nowcast uncertainty
    International Journal of Forecasting, 2014, 30, (2), 268-279 Downloads View citations (23)
    See also Working Paper Measuring Output Gap Nowcast Uncertainty, CAMA Working Papers (2011) Downloads View citations (1) (2011)

2012

  1. 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 Downloads View citations (2)
    See also Working Paper UK World War I and Interwar Data for Business Cycle and Growth Analysis, CAMA Working Papers (2011) Downloads (2011)

2011

  1. Combining VAR and DSGE forecast densities
    Journal of Economic Dynamics and Control, 2011, 35, (10), 1659-1670 Downloads View citations (30)
    See also Working Paper Combining VAR and DSGE forecast densities, Working Paper (2009) Downloads View citations (12) (2009)
  2. Nowcasting and model combination
    The North American Journal of Economics and Finance, 2011, 22, (1), 3-4 Downloads
  3. Real-time inflation forecast densities from ensemble Phillips curves
    The North American Journal of Economics and Finance, 2011, 22, (1), 77-87 Downloads View citations (21)
    See also Working Paper Real-time Inflation Forecast Densities from Ensemble Phillips Curves, CAMA Working Papers (2010) Downloads View citations (3) (2010)

2010

  1. Combining forecast densities from VARs with uncertain instabilities
    Journal of Applied Econometrics, 2010, 25, (4), 621-634 Downloads View citations (140)
    See also Working Paper Combining Forecast Densities from VARs with Uncertain Instabilities, Reserve Bank of New Zealand Discussion Paper Series (2008) Downloads View citations (13) (2008)
  2. Introduction: 'Model uncertainty and macroeconomics'
    Journal of Applied Econometrics, 2010, 25, (1), 1-3 Downloads
    Also in Journal of Applied Econometrics, 2010, 25, (1), 1-3 (2010) Downloads
  3. RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE
    Journal of Economic Surveys, 2010, 24, (1), 113-136 Downloads View citations (7)
    See also Working Paper RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence, Working Paper (2008) Downloads View citations (1) (2008)

2009

  1. Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
    Journal of Business & Economic Statistics, 2009, 27, (4), 480-491 Downloads View citations (53)
    See also Working Paper Real-time Prediction with UK Monetary Aggregates in the Presence of Model Uncertainty, Reserve Bank of New Zealand Discussion Paper Series (2008) Downloads View citations (3) (2008)

2008

  1. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Economic Journal, 2008, 118, (530), 1128-1144 Downloads View citations (16)
    Also in Economic Journal, 2008, 118, (530), 1128-1144 (2008) View citations (21)

    See also Working Paper Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, Reserve Bank of New Zealand Discussion Paper Series (2006) Downloads View citations (12) (2006)
  2. Real-time probability forecasts of UK macroeconomic events
    National Institute Economic Review, 2008, 203, (1), 78-90 Downloads View citations (2)
    Also in National Institute Economic Review, 2008, 203, 78-90 (2008) Downloads

2007

  1. The McKenna Rule and UK World War I Finance
    American Economic Review, 2007, 97, (2), 290-294 Downloads 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) Downloads View citations (2) (2007)

2006

  1. UK Real-Time Macro Data Characteristics
    Economic Journal, 2006, 116, (509), F119-F135 View citations (30)
    See also Working Paper UK Real-Time Macro Data Characteristics, Birkbeck Working Papers in Economics and Finance (2005) Downloads View citations (12) (2005)

2005

  1. The Cost Effectiveness of the UK's Sovereign Debt Portfolio
    Oxford Bulletin of Economics and Statistics, 2005, 67, (4), 467-495 Downloads View citations (2)

2004

  1. Signalling ability to pay and rent sharing dynamics
    Journal of Economic Dynamics and Control, 2004, 28, (11), 2327-2339 Downloads View citations (2)

2002

  1. 'Keep it real!': a real-time UK macro data set
    Economics Letters, 2002, 77, (1), 15-20 Downloads View citations (30)
    Also in Economics Bulletin, 2001, 28, (18), A0 (2001) Downloads View citations (3)

    See also Working Paper Keep It Real!: A Real-time UK Macro Data Set, Royal Economic Society Annual Conference 2002 (2002) Downloads View citations (34) (2002)

2000

  1. The great Canadian training robbery: evidence on the returns to educational mismatch
    Economics of Education Review, 2000, 19, (2), 219-227 Downloads View citations (29)

1995

  1. Measuring Core Inflation?
    Economic Journal, 1995, 105, (432), 1130-44 Downloads View citations (166)
    See also Working Paper Measuring Core Inflation, CEP Discussion Papers (1995) View citations (147) (1995)

Chapters

2013

  1. Moving towards probability forecasting
    A chapter in Globalisation and inflation dynamics in Asia and the Pacific, 2013, vol. 70, pp 3-8 Downloads View citations (1)

2010

  1. Measuring Core Inflation in Australia with Disaggregate Ensembles
    A chapter in Inflation in an Era of Relative Price Shocks, 2010 Downloads View citations (1)
 
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