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Details about Robert John Vigfusson

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Homepage:http://www.federalreserve.gov/research/staff/vigfussonrobertj.htm
Workplace:Federal Reserve Board (Board of Governors of the Federal Reserve System), (more information at EDIRC)

Access statistics for papers by Robert John Vigfusson.

Last updated 2017-03-20. Update your information in the RePEc Author Service.

Short-id: pvi18


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Working Papers

2016

  1. Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
    CIRANO Working Papers, CIRANO Downloads
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2016) Downloads
  2. The Dollar in the U.S. International Transactions (USIT) Model
    IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
  3. The Relationship Between Oil Prices and Inflation Compensation
    IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads
  4. The Role of Oil Price Shocks in Causing U.S. Recessions
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (2)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (2)

2013

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

2012

  1. Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2012) Downloads View citations (1)

    See also Journal Article in Journal of Business & Economic Statistics (2013)
  2. Interest rates and the volatility and correlation of commodity prices
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)
  3. Missing Import Price Changes and Low Exchange Rate Pass-Through
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (8)
    See also Journal Article in American Economic Journal: Macroeconomics (2014)
  4. The hitchhiker’s guide to missing import price changes and pass-through
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)

2011

  1. Evaluating the forecasting performance of commodity futures prices
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)
  2. Forecasting the Price of Oil
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (44)
    Also in Staff Working Papers, Bank of Canada (2011) Downloads View citations (21)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) Downloads View citations (20)

    See also Chapter (2013)
  3. Nonlinearities in the Oil Price-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (52)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) Downloads View citations (53)

    See also Journal Article in Macroeconomic Dynamics (2011)

2010

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

2009

  1. Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) Downloads View citations (12)
  2. The power of long-run structural VARs
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

2007

  1. 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.) Downloads View citations (17)
  2. The Power of Long-Run VARs
    2007 Meeting Papers, Society for Economic Dynamics

2006

  1. Assessing Structural VARs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (95)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (53)

    See also Chapter (2007)
  2. Trade Integration, Competiton, and the Decline in Exchange-rate Pass-through
    2006 Meeting Papers, Society for Economic Dynamics Downloads View citations (7)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (25)

    See also Journal Article in Journal of Monetary Economics (2010)

2005

  1. 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.) Downloads View citations (3)
    See also Journal Article in Journal of the European Economic Association (2006)
  2. 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.) Downloads View citations (91)

2004

  1. The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (78)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) Downloads View citations (16)

    See also Journal Article in Journal of the European Economic Association (2004)
  2. 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.) Downloads View citations (15)

2003

  1. How do Canadian hours worked respond to a technology shock?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. 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.) Downloads View citations (1)
    See also Journal Article in The Review of Economics and Statistics (2008)
  3. What Happens After a Technology Shock?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (271)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) Downloads View citations (189)

2001

  1. Maximum likelihood in the frequency domain: the importance of time-to-plan
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (4)
    See also Journal Article in Journal of Monetary Economics (2003)

1999

  1. Maximum Likelihood in the Frequency Domain: A Time to Build Example
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Working Paper Series, Federal Reserve Bank of Chicago (1999) Downloads View citations (6)
    Working Paper, Federal Reserve Bank of Cleveland (1999) Downloads View citations (4)
    Working Papers, London School of Economics - Centre for Labour Economics (1999) View citations (5)

1996

  1. Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
    Meeting papers, EconWPA Downloads View citations (5)
    Also in Staff Working Papers, Bank of Canada (1996) Downloads View citations (5)
  2. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?
    Technical Reports, Bank of Canada Downloads View citations (13)
  3. Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures
    Staff Working Papers, Bank of Canada Downloads View citations (12)
    Also in Econometrics, EconWPA (1996) Downloads View citations (5)
  4. Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
    International Finance, EconWPA Downloads View citations (6)
    Also in Staff Working Papers, Bank of Canada (1996) Downloads View citations (8)

    See also Journal Article in International Journal of Finance & Economics (1997)

1995

  1. Analytical Derivatives for Markov Switching Models
    GE, Growth, Math methods, EconWPA Downloads View citations (5)
    Also in Staff Working Papers, Bank of Canada Downloads View citations (5)

    See also Journal Article in Computational Economics (1997)

Journal Articles

2017

  1. Forecasting China's Role in World Oil Demand
    FRBSF Economic Letter, 2017 Downloads

2016

  1. The elusive boost from cheap oil
    FRBSF Economic Letter, 2016 Downloads

2014

  1. Missing Import Price Changes and Low Exchange Rate Pass-Through
    American Economic Journal: Macroeconomics, 2014, 6, (2), 156-206 Downloads View citations (16)
    See also Working Paper (2012)

2013

  1. 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 Downloads View citations (19)
    See also Working Paper (2012)

2011

  1. Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
    Quantitative Economics, 2011, 2, (3), 419-453 Downloads View citations (93)
  2. NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2011, 15, (S3), 337-363 Downloads View citations (25)
    See also Working Paper (2011)

2010

  1. Trade integration, competition, and the decline in exchange-rate pass-through
    Journal of Monetary Economics, 2010, 57, (3), 309-324 Downloads View citations (73)
    See also Working Paper (2006)

2009

  1. Exchange Rate Passthrough to Export Prices: Assessing Cross-Country Evidence
    Review of International Economics, 2009, 17, (1), 17-33 Downloads View citations (5)

2008

  1. How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries
    The Review of Economics and Statistics, 2008, 90, (1), 49-64 Downloads View citations (4)
    See also Working Paper (2003)

2006

  1. Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions
    Journal of the European Economic Association, 2006, 4, (2-3), 475-483 Downloads View citations (9)
    See also Working Paper (2005)

2004

  1. 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 Downloads View citations (77)
    See also Working Paper (2004)

2003

  1. Maximum likelihood in the frequency domain: the importance of time-to-plan
    Journal of Monetary Economics, 2003, 50, (4), 789-815 Downloads View citations (37)
    See also Working Paper (2001)

1998

  1. Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (1), 1-24 Downloads View citations (31)

1997

  1. Analytical Derivatives for Markov Switching Models
    Computational Economics, 1997, 10, (2), 187-94 Downloads View citations (2)
    See also Working Paper (1995)
  2. Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach
    International Journal of Finance & Economics, 1997, 2, (4), 291-305 Downloads View citations (49)
    See also Working Paper (1996)

Chapters

2013

  1. Forecasting the Price of Oil
    Elsevier Downloads View citations (32)
    See also Working Paper (2011)

2007

  1. Assessing Structural VARs
    A chapter in NBER Macroeconomics Annual 2006, Volume 21, 2007, pp 1-106 Downloads View citations (17)
    See also Working Paper (2006)

Software Items

1995

  1. GAUSS code for the Hodrick-Prescott filter
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
 
Page updated 2017-10-23