Details about Robert John Vigfusson

Access statistics for papers by Robert John Vigfusson.

Last updated 2022-01-27. Update your information in the RePEc Author Service.

Short-id: pvi18

Working Papers

2021

1. 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

2. 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)

2018

3. 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.)
4. 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 in American Economic Journal: Macroeconomics (2021)
5. Should We Be Concerned Again About U.S. Current Account Sustainability?
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.)

2016

6. The Dollar in the U.S. International Transactions (USIT) Model
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
7. The Relationship Between Oil Prices and Inflation Compensation
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
8. The Role of Oil Price Shocks in Causing U.S. Recessions
   CESifo Working Paper Series, CESifo View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (9)
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (7)
   CFS Working Paper Series, Center for Financial Studies (CFS) (2014) View citations (11)
   See also Journal Article in Journal of Money, Credit and Banking (2017)

2013

9. Do Low Interest Rates Decrease Commodity Price Volatility?
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2012

10. 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 in Journal of Business & Economic Statistics (2013)
11. 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 in Macroeconomic Dynamics (2018)
12. 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 in American Economic Journal: Macroeconomics (2014)
13. The hitchhiker’s guide to missing import price changes and pass-through
    Staff Reports, Federal Reserve Bank of New York View citations (2)

2011

14. Evaluating the forecasting performance of commodity futures prices
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (20)
15. Forecasting the Price of Oil
    Staff Working Papers, Bank of Canada View citations (77)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (28)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (102)
    See also Chapter (2013)
16. Nonlinearities in the Oil Price-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (140)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (137)
    See also Journal Article in Macroeconomic Dynamics (2011)

2010

17. Entry dynamics and the decline in exchange-rate pass-through
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2010) View citations (2)

2009

18. Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (38)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) View citations (18)
19. 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

20. 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)
21. The Power of Long-Run VARs
    2007 Meeting Papers, Society for Economic Dynamics View citations (1)

2006

22. Assessing Structural VARs
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (174)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (74)
    See also Chapter (2007)
23. 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 in Journal of Monetary Economics (2010)

2005

24. 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 in Journal of the European Economic Association (2006)
25. 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

26. 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 (130)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) View citations (18)
    See also Journal Article in Journal of the European Economic Association (2004)
27. 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 (16)

2003

28. 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)
29. 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 in The Review of Economics and Statistics (2008)
30. What Happens After a Technology Shock?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (400)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) View citations (235)

2001

31. 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 in Journal of Monetary Economics (2003)

1999

32. 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

33. Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
    Meeting papers, University Library of Munich, Germany View citations (9)
    Also in Staff Working Papers, Bank of Canada (1996) View citations (9)
34. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?
    Technical Reports, Bank of Canada View citations (12)
35. 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 (6)
36. Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
    Staff Working Papers, Bank of Canada View citations (15)
    Also in International Finance, University Library of Munich, Germany (1996) View citations (10)
    See also Journal Article in International Journal of Finance & Economics (1997)

1995

37. 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 in Computational Economics (1997)

Journal Articles

2021

1. Oil, Equities, and the Zero Lower Bound
   American Economic Journal: Macroeconomics, 2021, 13, (2), 214-53 View citations (5)
   See also Working Paper (2018)
2. The Evolving Link between Oil Prices and U.S. Consumer Spending
   Economic Review, 2021, v.106, (no.1), 41-55 View citations (1)

2018

3. INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES
   Macroeconomic Dynamics, 2018, 22, (3), 600-619 View citations (5)
   See also Working Paper (2012)

2017

4. Forecasting China's Role in World Oil Demand
   FRBSF Economic Letter, 2017 View citations (1)
5. The Role of Oil Price Shocks in Causing U.S. Recessions
   Journal of Money, Credit and Banking, 2017, 49, (8), 1747-1776 View citations (55)
   See also Working Paper (2016)

2016

6. The elusive boost from cheap oil
   FRBSF Economic Letter, 2016 View citations (2)

2014

7. Missing Import Price Changes and Low Exchange Rate Pass-Through
   American Economic Journal: Macroeconomics, 2014, 6, (2), 156-206 View citations (31)
   See also Working Paper (2012)

2013

8. 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 (91)
   See also Working Paper (2012)

2011

9. Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
   Quantitative Economics, 2011, 2, (3), 419-453 View citations (294)
10. NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2011, 15, (S3), 337-363 View citations (64)
    See also Working Paper (2011)

2010

11. Trade integration, competition, and the decline in exchange-rate pass-through
    Journal of Monetary Economics, 2010, 57, (3), 309-324 View citations (127)
    See also Working Paper (2006)

2009

12. Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence*
    Review of International Economics, 2009, 17, (1), 17-33 View citations (19)

2008

13. 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 (2003)

2006

14. 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 (22)
    See also Working Paper (2005)

2004

15. 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 (123)
    See also Working Paper (2004)

2003

16. Maximum likelihood in the frequency domain: the importance of time-to-plan
    Journal of Monetary Economics, 2003, 50, (4), 789-815 View citations (52)
    See also Working Paper (2001)

1998

17. Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (1), 1-24 View citations (49)

1997

18. Analytical Derivatives for Markov Switching Models
    Computational Economics, 1997, 10, (2), 187-94 View citations (3)
    See also Working Paper (1995)
19. Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach
    International Journal of Finance & Economics, 1997, 2, (4), 291-305 View citations (63)
    See also Working Paper (1996)

Chapters

2013

1. Forecasting the Price of Oil
   Elsevier View citations (353)
   See also Working Paper (2011)

2007

2. Assessing Structural VARs
   A chapter in NBER Macroeconomics Annual 2006, Volume 21, 2007, pp 1-106 View citations (66)
   See also Working Paper (2006)

Software Items

1995

1. GAUSS code for the Hodrick-Prescott filter
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles