Details about Robert John Vigfusson
Access statistics for papers by Robert John Vigfusson.
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Short-id: pvi18
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Working Papers
2024
- Measuring Inclusion: Gender and Coauthorship at the Federal Reserve Board
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
2021
- Oil, Equities, and a "Nonbinding" Zero Lower Bound: The Monetary Policy Response to COVID-19
FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
2020
- Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
Working Paper Series, Federal Reserve Bank of San Francisco View citations (3)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2016) View citations (9) CIRANO Working Papers, CIRANO (2016) View citations (13)
See also Journal Article Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications, The Review of Economics and Statistics, MIT Press (2023) (2023)
2018
- BAT Signals from Asset Markets: Estimating the U.S. Dollar Response to a Destination-Based Cash-Flow Tax
IFDP Notes, Board of Governors of the Federal Reserve System (U.S.)
- Oil, Equities, and the Zero Lower Bound
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
Also in BIS Working Papers, Bank for International Settlements (2017) View citations (14)
See also Journal Article Oil, Equities, and the Zero Lower Bound, American Economic Journal: Macroeconomics, American Economic Association (2021) View citations (13) (2021)
- Should We Be Concerned Again About U.S. Current Account Sustainability?
IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
2016
- The Dollar in the U.S. International Transactions (USIT) Model
IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (10)
- The Relationship Between Oil Prices and Inflation Compensation
IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
- The Role of Oil Price Shocks in Causing U.S. Recessions
CESifo Working Paper Series, CESifo View citations (2)
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (11) International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (7) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (9)
See also Journal Article The Role of Oil Price Shocks in Causing U.S. Recessions, Journal of Money, Credit and Banking, Blackwell Publishing (2017) View citations (90) (2017)
2013
- Do Low Interest Rates Decrease Commodity Price Volatility?
IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
2012
- Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2012) View citations (2)
See also Journal Article Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries, Journal of Business & Economic Statistics, Taylor & Francis Journals (2013) View citations (112) (2013)
- Interest rates and the volatility and correlation of commodity prices
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
See also Journal Article INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES, Macroeconomic Dynamics, Cambridge University Press (2018) View citations (13) (2018)
- Missing Import Price Changes and Low Exchange Rate Pass-Through
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
See also Journal Article Missing Import Price Changes and Low Exchange Rate Pass-Through, American Economic Journal: Macroeconomics, American Economic Association (2014) View citations (32) (2014)
- The hitchhiker’s guide to missing import price changes and pass-through
Staff Reports, Federal Reserve Bank of New York View citations (2)
2011
- Evaluating the forecasting performance of commodity futures prices
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (21)
- Forecasting the Price of Oil
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (103)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (29) Staff Working Papers, Bank of Canada (2011) View citations (78)
See also Chapter Forecasting the Price of Oil, Handbook of Economic Forecasting, Elsevier (2013) View citations (389) (2013)
- Nonlinearities in the Oil Price-Output Relationship
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (148)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (156)
See also Journal Article NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP, Macroeconomic Dynamics, Cambridge University Press (2011) View citations (73) (2011)
2010
- Entry dynamics and the decline in exchange-rate pass-through
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
Also in Working Paper Series, Federal Reserve Bank of San Francisco (2010) View citations (2)
2009
- Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (40)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) View citations (18)
- The power of long-run structural VARs
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
2007
- Exchange rate pass-through to export prices: assessing some cross-country evidence
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (20)
- The Power of Long-Run VARs
2007 Meeting Papers, Society for Economic Dynamics View citations (1)
2006
- Assessing Structural VARs
NBER Working Papers, National Bureau of Economic Research, Inc View citations (179)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (76)
See also Chapter Assessing Structural VARs, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (66) (2007)
- Trade Integration, Competiton, and the Decline in Exchange-rate Pass-through
2006 Meeting Papers, Society for Economic Dynamics View citations (7)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (25)
See also Journal Article Trade integration, competition, and the decline in exchange-rate pass-through, Journal of Monetary Economics, Elsevier (2010) View citations (139) (2010)
2005
- Alternative procedures for estimating vector autoregressions identified with long-run restrictions
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
See also Journal Article Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions, Journal of the European Economic Association, MIT Press (2006) View citations (23) (2006)
- Exchange rate pass-through to U.S. import prices: some new evidence
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (117)
2004
- The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology
NBER Working Papers, National Bureau of Economic Research, Inc View citations (139)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) View citations (18)
See also Journal Article The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology, Journal of the European Economic Association, MIT Press (2004) View citations (132) (2004)
- The delayed response to a technology shock: a flexible price explanation
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (17)
2003
- How do Canadian hours worked respond to a technology shock?
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
- How does the border affect productivity? evidence from American and Canadian manufacturing industries
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
See also Journal Article How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries, The Review of Economics and Statistics, MIT Press (2008) View citations (4) (2008)
- What Happens After a Technology Shock?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (405)
Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) View citations (237)
2001
- Maximum likelihood in the frequency domain: the importance of time-to-plan
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (4)
See also Journal Article Maximum likelihood in the frequency domain: the importance of time-to-plan, Journal of Monetary Economics, Elsevier (2003) View citations (53) (2003)
1999
- Maximum Likelihood in the Frequency Domain: A Time to Build Example
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (1999) View citations (4) Working Papers, London School of Economics - Centre for Labour Economics (1999) View citations (5) Working Paper Series, Federal Reserve Bank of Chicago (1999) View citations (6)
1996
- Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
Staff Working Papers, Bank of Canada View citations (9)
Also in Meeting papers, University Library of Munich, Germany (1996) View citations (9)
- Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?
Technical Reports, Bank of Canada View citations (12)
- Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures
Staff Working Papers, Bank of Canada View citations (14)
Also in Econometrics, University Library of Munich, Germany (1996) View citations (8)
- Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
Staff Working Papers, Bank of Canada View citations (17)
Also in International Finance, University Library of Munich, Germany (1996) View citations (12)
See also Journal Article Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (1997) View citations (70) (1997)
1995
- Analytical Derivatives for Markov Switching Models
GE, Growth, Math methods, University Library of Munich, Germany View citations (5)
Also in Staff Working Papers, Bank of Canada View citations (5)
See also Journal Article Analytical Derivatives for Markov Switching Models, Computational Economics, Springer (1997) View citations (4) (1997)
Journal Articles
2023
- Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
The Review of Economics and Statistics, 2023, 105, (2), 392-407 
See also Working Paper Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications, Working Paper Series (2020) View citations (3) (2020)
2021
- Oil, Equities, and the Zero Lower Bound
American Economic Journal: Macroeconomics, 2021, 13, (2), 214-53 View citations (13)
See also Working Paper Oil, Equities, and the Zero Lower Bound, Finance and Economics Discussion Series (2018) View citations (4) (2018)
- The Evolving Link between Oil Prices and U.S. Consumer Spending
Economic Review, 2021, v.106, (no.1), 41-55 View citations (2)
2018
- INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES
Macroeconomic Dynamics, 2018, 22, (3), 600-619 View citations (13)
See also Working Paper Interest rates and the volatility and correlation of commodity prices, International Finance Discussion Papers (2012) View citations (7) (2012)
2017
- Forecasting China's Role in World Oil Demand
FRBSF Economic Letter, 2017 View citations (1)
- The Role of Oil Price Shocks in Causing U.S. Recessions
Journal of Money, Credit and Banking, 2017, 49, (8), 1747-1776 View citations (90)
See also Working Paper The Role of Oil Price Shocks in Causing U.S. Recessions, CESifo Working Paper Series (2016) View citations (2) (2016)
2016
- The elusive boost from cheap oil
FRBSF Economic Letter, 2016 View citations (2)
2014
- Missing Import Price Changes and Low Exchange Rate Pass-Through
American Economic Journal: Macroeconomics, 2014, 6, (2), 156-206 View citations (32)
See also Working Paper Missing Import Price Changes and Low Exchange Rate Pass-Through, International Finance Discussion Papers (2012) View citations (8) (2012)
2013
- Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Journal of Business & Economic Statistics, 2013, 31, (1), 78-93 View citations (112)
See also Working Paper Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries, CEPR Discussion Papers (2012) View citations (3) (2012)
2011
- Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
Quantitative Economics, 2011, 2, (3), 419-453 View citations (357)
- NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
Macroeconomic Dynamics, 2011, 15, (S3), 337-363 View citations (73)
See also Working Paper Nonlinearities in the Oil Price-Output Relationship, CEPR Discussion Papers (2011) View citations (148) (2011)
2010
- Trade integration, competition, and the decline in exchange-rate pass-through
Journal of Monetary Economics, 2010, 57, (3), 309-324 View citations (139)
See also Working Paper Trade Integration, Competiton, and the Decline in Exchange-rate Pass-through, 2006 Meeting Papers (2006) View citations (7) (2006)
2009
- Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence*
Review of International Economics, 2009, 17, (1), 17-33 View citations (20)
2008
- How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries
The Review of Economics and Statistics, 2008, 90, (1), 49-64 View citations (4)
See also Working Paper How does the border affect productivity? evidence from American and Canadian manufacturing industries, International Finance Discussion Papers (2003) View citations (1) (2003)
2006
- Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions
Journal of the European Economic Association, 2006, 4, (2-3), 475-483 View citations (23)
See also Working Paper Alternative procedures for estimating vector autoregressions identified with long-run restrictions, International Finance Discussion Papers (2005) View citations (4) (2005)
2004
- The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology
Journal of the European Economic Association, 2004, 2, (2-3), 381-395 View citations (132)
See also Working Paper The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology, NBER Working Papers (2004) View citations (139) (2004)
2003
- Maximum likelihood in the frequency domain: the importance of time-to-plan
Journal of Monetary Economics, 2003, 50, (4), 789-815 View citations (53)
See also Working Paper Maximum likelihood in the frequency domain: the importance of time-to-plan, Working Papers (Old Series) (2001) View citations (4) (2001)
1998
- Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (1), 24 View citations (51)
1997
- Analytical Derivatives for Markov Switching Models
Computational Economics, 1997, 10, (2), 187-94 View citations (4)
See also Working Paper Analytical Derivatives for Markov Switching Models, GE, Growth, Math methods (1995) View citations (5) (1995)
- Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach
International Journal of Finance & Economics, 1997, 2, (4), 291-305 View citations (70)
See also Working Paper Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach, Staff Working Papers (1996) View citations (17) (1996)
Chapters
2013
- Forecasting the Price of Oil
Elsevier View citations (389)
See also Working Paper Forecasting the Price of Oil, C.E.P.R. Discussion Papers (2011) View citations (103) (2011)
2007
- Assessing Structural VARs
A chapter in NBER Macroeconomics Annual 2006, Volume 21, 2007, pp 1-106 View citations (66)
See also Working Paper Assessing Structural VARs, National Bureau of Economic Research, Inc (2006) View citations (179) (2006)
Software Items
1995
- GAUSS code for the Hodrick-Prescott filter
QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
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