Details about Robert John Vigfusson

Access statistics for papers by Robert John Vigfusson.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pvi18

Working Papers

2024

1. 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

2. 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

3. Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (3)
   Also in CIRANO Working Papers, CIRANO (2016) View citations (13)
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2016) View citations (9)
   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

4. 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.)
5. 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)
6. 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

7. 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)
8. The Relationship Between Oil Prices and Inflation Compensation
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
9. 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 The Role of Oil Price Shocks in Causing U.S. Recessions, Journal of Money, Credit and Banking, Blackwell Publishing (2017) View citations (94) (2017)

2013

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

2012

11. 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)
12. 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 (14) (2018)
13. 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)
14. The hitchhiker’s guide to missing import price changes and pass-through
    Staff Reports, Federal Reserve Bank of New York View citations (2)

2011

15. 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)
16. Forecasting the Price of Oil
    Staff Working Papers, Bank of Canada View citations (78)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (103)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (29)
    See also Chapter Forecasting the Price of Oil, Handbook of Economic Forecasting, Elsevier (2013) View citations (389) (2013)
17. Nonlinearities in the Oil Price-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (150)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) View citations (158)
    See also Journal Article NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP, Macroeconomic Dynamics, Cambridge University Press (2011) View citations (75) (2011)

2010

18. 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

19. 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)
20. 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

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

2006

23. 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)
24. 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 (140) (2010)

2005

25. 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)
26. 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

27. 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)
28. 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

29. 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)
30. 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)
31. 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

32. 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

33. 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 Paper Series, Federal Reserve Bank of Chicago (1999) View citations (6)
    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)

1996

34. 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)
35. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?
    Technical Reports, Bank of Canada View citations (12)
36. 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)
37. 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

38. 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

1. 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

2. 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)
3. The Evolving Link between Oil Prices and U.S. Consumer Spending
   Economic Review, 2021, v.106, (no.1), 41-55 View citations (2)

2018

4. INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES
   Macroeconomic Dynamics, 2018, 22, (3), 600-619 View citations (14)
   See also Working Paper Interest rates and the volatility and correlation of commodity prices, International Finance Discussion Papers (2012) View citations (7) (2012)

2017

5. Forecasting China's Role in World Oil Demand
   FRBSF Economic Letter, 2017 View citations (1)
6. The Role of Oil Price Shocks in Causing U.S. Recessions
   Journal of Money, Credit and Banking, 2017, 49, (8), 1747-1776 View citations (94)
   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

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

2014

8. 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

9. 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

10. Are the responses of the U.S. economy asymmetric in energy price increases and decreases?
    Quantitative Economics, 2011, 2, (3), 419-453 View citations (359)
11. NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2011, 15, (S3), 337-363 View citations (75)
    See also Working Paper Nonlinearities in the Oil Price-Output Relationship, CEPR Discussion Papers (2011) View citations (150) (2011)

2010

12. Trade integration, competition, and the decline in exchange-rate pass-through
    Journal of Monetary Economics, 2010, 57, (3), 309-324 View citations (140)
    See also Working Paper Trade Integration, Competiton, and the Decline in Exchange-rate Pass-through, 2006 Meeting Papers (2006) View citations (7) (2006)

2009

13. Exchange Rate Passthrough to Export Prices: Assessing Cross‐Country Evidence*
    Review of International Economics, 2009, 17, (1), 17-33 View citations (20)

2008

14. 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

15. 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

16. 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

17. 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

18. Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
    Studies in Nonlinear Dynamics & Econometrics, 1998, 3, (1), 24 View citations (51)

1997

19. 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)
20. 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

1. Forecasting the Price of Oil
   Elsevier View citations (389)
   See also Working Paper Forecasting the Price of Oil, Bank of Canada (2011) View citations (78) (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 Assessing Structural VARs, National Bureau of Economic Research, Inc (2006) View citations (179) (2006)

Software Items

1995

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