Details about Shaun P. Vahey

Access statistics for papers by Shaun P. Vahey.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: pva129

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 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) View citations (1) (2023)

2020

2. 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 View citations (11)

2019

3. Empirically-transformed linear opinion pools
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (5)
   See also Journal Article Empirically-transformed linear opinion pools, International Journal of Forecasting, Elsevier (2023) View citations (1) (2023)
4. 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 View citations (4)

2018

5. 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 View citations (1)
   Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2018) View citations (2)
   See also Journal Article Real‐time forecast combinations for the oil price, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (22) (2019)

2016

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

2011

7. Measuring Output Gap Nowcast Uncertainty
   CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (1)
   See also Journal Article Measuring output gap nowcast uncertainty, International Journal of Forecasting, Elsevier (2014) View citations (23) (2014)
8. 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
9. 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

10. 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 View citations (2)
    Also in Working Paper, Norges Bank (2010) View citations (4)
    See also Journal Article Forecast densities for economic aggregates from disaggregate ensembles, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) View citations (43) (2014)
11. Measuring Output Gap Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2009) View citations (10)
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2009) View citations (12)
12. 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 View citations (3)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2009) 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) View citations (21) (2011)

2009

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

2008

15. Combining Forecast Densities from VARs with Uncertain Instabilities
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (13)
    Also in Working Paper, Norges Bank (2008) View citations (57)
    See also Journal Article Combining forecast densities from VARs with uncertain instabilities, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (140) (2010)
16. RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence
    Working Paper, Norges Bank View citations (1)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2007) 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) View citations (7) (2010)
17. 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 View citations (3)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2007) 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) View citations (53) (2009)

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. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand View citations (12)
    Also in Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics (2006) View citations (11)
    See also Journal Article Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, Economic Journal, Royal Economic Society (2008) View citations (21) (2008)
20. 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

21. 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)
22. UK Real-Time Macro Data Characteristics
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 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

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

2002

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

2000

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

1996

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

1995

29. 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) View citations (162)
    See also Journal Article Measuring Core Inflation?, Economic Journal, Royal Economic Society (1995) View citations (166) (1995)
30. 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

2025

1. Reassessing the Predictive Power of the Yield Spread for Recessions in the United States
   Journal of Applied Econometrics, 2025, 40, (2), 231-236

2023

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

2019

4. Real‐time forecast combinations for the oil price
   Journal of Applied Econometrics, 2019, 34, (3), 456-462 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) View citations (1) (2018)

2016

5. 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 View citations (31)

2014

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

2012

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

2010

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

2009

15. Real-Time Prediction With U.K. Monetary Aggregates in the Presence of Model Uncertainty
    Journal of Business & Economic Statistics, 2009, 27, (4), 480-491 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) View citations (3) (2008)

2008

16. Forecasting Substantial Data Revisions in the Presence of Model Uncertainty
    Economic Journal, 2008, 118, (530), 1128-1144 View citations (21)
    Also in Economic Journal, 2008, 118, (530), 1128-1144 (2008) View citations (16)
    See also Working Paper Forecasting Substantial Data Revisions in the Presence of Model Uncertainty, Reserve Bank of New Zealand Discussion Paper Series (2006) View citations (12) (2006)
17. Real-time probability forecasts of UK macroeconomic events
    National Institute Economic Review, 2008, 203, (1), 78-90 View citations (2)
    Also in National Institute Economic Review, 2008, 203, 78-90 (2008)

2007

18. 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

19. 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) View citations (12) (2005)

2005

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

2004

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

2002

22. 'Keep it real!': a real-time UK macro data set
    Economics Letters, 2002, 77, (1), 15-20 View citations (30)
    Also in Economics Bulletin, 2001, 28, (18), A0 (2001) View citations (3)
    See also Working Paper Keep It Real!: A Real-time UK Macro Data Set, Royal Economic Society Annual Conference 2002 (2002) View citations (34) (2002)

2000

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

1995

24. Measuring Core Inflation?
    Economic Journal, 1995, 105, (432), 1130-44 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 View citations (1)

2010

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