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
Jump to Journal Articles Chapters Software Items
Working Papers
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)
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 in American Economic Journal: Macroeconomics (2021)
- Should We Be Concerned Again About U.S. Current Account Sustainability?
IFDP Notes, Board of Governors of the Federal Reserve System (U.S.)
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 (9)
- The Relationship Between Oil Prices and Inflation Compensation
IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
- 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
- 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 in Journal of Business & Economic Statistics (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 in Macroeconomic Dynamics (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 in American Economic Journal: Macroeconomics (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 (20)
- 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)
- 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
- 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
- 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)
- 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 (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)
- 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
- 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)
- 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 (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)
- 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
- 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 in The Review of Economics and Statistics (2008)
- 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
- 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
- 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?
Meeting papers, University Library of Munich, Germany View citations (9)
Also in Staff Working Papers, Bank of Canada (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 (6)
- 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
- 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
- Oil, Equities, and the Zero Lower Bound
American Economic Journal: Macroeconomics, 2021, 13, (2), 214-53 View citations (5)
See also Working Paper (2018)
- The Evolving Link between Oil Prices and U.S. Consumer Spending
Economic Review, 2021, v.106, (no.1), 41-55 View citations (1)
2018
- 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
- 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 (55)
See also Working Paper (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 (31)
See also Working Paper (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 (91)
See also Working Paper (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 (294)
- NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
Macroeconomic Dynamics, 2011, 15, (S3), 337-363 View citations (64)
See also Working Paper (2011)
2010
- 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
- Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence*
Review of International Economics, 2009, 17, (1), 17-33 View citations (19)
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 (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 (22)
See also Working Paper (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 (123)
See also Working Paper (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 (52)
See also Working Paper (2001)
1998
- Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (1), 1-24 View citations (49)
1997
- Analytical Derivatives for Markov Switching Models
Computational Economics, 1997, 10, (2), 187-94 View citations (3)
See also Working Paper (1995)
- 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
- Forecasting the Price of Oil
Elsevier View citations (353)
See also Working Paper (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 (2006)
Software Items
1995
- GAUSS code for the Hodrick-Prescott filter
QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|