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Details about Robert John Vigfusson

E-mail:
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 2022-01-27. Update your information in the RePEc Author Service.

Short-id: pvi18


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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.) Downloads

2020

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

2018

  1. 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.) Downloads
  2. Oil, Equities, and the Zero Lower Bound
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    Also in BIS Working Papers, Bank for International Settlements (2017) Downloads View citations (14)

    See also Journal Article Oil, Equities, and the Zero Lower Bound, American Economic Journal: Macroeconomics, American Economic Association (2021) Downloads View citations (8) (2021)
  3. Should We Be Concerned Again About U.S. Current Account Sustainability?
    IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)

2016

  1. 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 (10)
  2. The Relationship Between Oil Prices and Inflation Compensation
    IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)
  3. The Role of Oil Price Shocks in Causing U.S. Recessions
    CESifo Working Paper Series, CESifo Downloads View citations (2)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2014) Downloads View citations (11)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) Downloads View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads 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) Downloads View citations (71) (2017)

2013

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

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 (3)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2012) Downloads 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) Downloads View citations (97) (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 (7)
    See also Journal Article INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES, Macroeconomic Dynamics, Cambridge University Press (2018) Downloads View citations (9) (2018)
  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 Missing Import Price Changes and Low Exchange Rate Pass-Through, American Economic Journal: Macroeconomics, American Economic Association (2014) Downloads View citations (32) (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 (2)

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 (20)
  2. Forecasting the Price of Oil
    Staff Working Papers, Bank of Canada Downloads View citations (78)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) Downloads View citations (29)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) Downloads View citations (103)

    See also Chapter Forecasting the Price of Oil, Handbook of Economic Forecasting, Elsevier (2013) Downloads View citations (368) (2013)
  3. Nonlinearities in the Oil Price-Output Relationship
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (145)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2011) Downloads View citations (153)

    See also Journal Article NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP, Macroeconomic Dynamics, Cambridge University Press (2011) Downloads View citations (69) (2011)

2010

  1. Entry dynamics and the decline in exchange-rate pass-through
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    Also in Working Paper Series, Federal Reserve Bank of San Francisco (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 (39)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2009) Downloads View citations (18)
  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 (20)
  2. The Power of Long-Run VARs
    2007 Meeting Papers, Society for Economic Dynamics View citations (1)

2006

  1. Assessing Structural VARs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (179)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (77)

    See also Chapter Assessing Structural VARs, NBER Chapters, National Bureau of Economic Research, Inc (2007) Downloads View citations (66) (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 Trade integration, competition, and the decline in exchange-rate pass-through, Journal of Monetary Economics, Elsevier (2010) Downloads View citations (138) (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 (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) Downloads View citations (23) (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 (117)

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 (135)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) Downloads 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) Downloads View citations (128) (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 (16)

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 How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries, The Review of Economics and Statistics, MIT Press (2008) Downloads View citations (4) (2008)
  3. What Happens After a Technology Shock?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (402)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2003) Downloads View citations (237)

2001

  1. Maximum likelihood in the frequency domain: the importance of time-to-plan
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads 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) Downloads View citations (53) (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 Papers, London School of Economics - Centre for Labour Economics (1999) View citations (5)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (1999) Downloads View citations (4)

1996

  1. Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
    Meeting papers, University Library of Munich, Germany Downloads View citations (9)
    Also in Staff Working Papers, Bank of Canada (1996) Downloads View citations (9)
  2. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?
    Technical Reports, Bank of Canada Downloads View citations (12)
  3. Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures
    Staff Working Papers, Bank of Canada Downloads View citations (14)
    Also in Econometrics, University Library of Munich, Germany (1996) Downloads View citations (8)
  4. Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
    Staff Working Papers, Bank of Canada Downloads View citations (15)
    Also in International Finance, University Library of Munich, Germany (1996) Downloads View citations (10)

    See also Journal Article Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (1997) Downloads View citations (67) (1997)

1995

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

    See also Journal Article Analytical Derivatives for Markov Switching Models, Computational Economics, Springer (1997) Downloads View citations (3) (1997)

Journal Articles

2021

  1. Oil, Equities, and the Zero Lower Bound
    American Economic Journal: Macroeconomics, 2021, 13, (2), 214-53 Downloads View citations (8)
    See also Working Paper Oil, Equities, and the Zero Lower Bound, Finance and Economics Discussion Series (2018) Downloads View citations (4) (2018)
  2. The Evolving Link between Oil Prices and U.S. Consumer Spending
    Economic Review, 2021, v.106, (no.1), 41-55 Downloads View citations (1)

2018

  1. INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES
    Macroeconomic Dynamics, 2018, 22, (3), 600-619 Downloads View citations (9)
    See also Working Paper Interest rates and the volatility and correlation of commodity prices, International Finance Discussion Papers (2012) Downloads View citations (7) (2012)

2017

  1. Forecasting China's Role in World Oil Demand
    FRBSF Economic Letter, 2017 Downloads View citations (1)
  2. The Role of Oil Price Shocks in Causing U.S. Recessions
    Journal of Money, Credit and Banking, 2017, 49, (8), 1747-1776 Downloads View citations (71)
    See also Working Paper The Role of Oil Price Shocks in Causing U.S. Recessions, CESifo Working Paper Series (2016) Downloads View citations (2) (2016)

2016

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

2014

  1. Missing Import Price Changes and Low Exchange Rate Pass-Through
    American Economic Journal: Macroeconomics, 2014, 6, (2), 156-206 Downloads View citations (32)
    See also Working Paper Missing Import Price Changes and Low Exchange Rate Pass-Through, International Finance Discussion Papers (2012) Downloads View citations (8) (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 (97)
    See also Working Paper Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries, CEPR Discussion Papers (2012) Downloads View citations (3) (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 (327)
  2. NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP
    Macroeconomic Dynamics, 2011, 15, (S3), 337-363 Downloads View citations (69)
    See also Working Paper Nonlinearities in the Oil Price-Output Relationship, CEPR Discussion Papers (2011) Downloads View citations (145) (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 (138)
    See also Working Paper Trade Integration, Competiton, and the Decline in Exchange-rate Pass-through, 2006 Meeting Papers (2006) Downloads View citations (7) (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 (20)

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 How does the border affect productivity? evidence from American and Canadian manufacturing industries, International Finance Discussion Papers (2003) Downloads View citations (1) (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 (23)
    See also Working Paper Alternative procedures for estimating vector autoregressions identified with long-run restrictions, International Finance Discussion Papers (2005) Downloads View citations (4) (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 (128)
    See also Working Paper The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology, NBER Working Papers (2004) Downloads View citations (135) (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 (53)
    See also Working Paper Maximum likelihood in the frequency domain: the importance of time-to-plan, Working Papers (Old Series) (2001) Downloads View citations (4) (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 (51)

1997

  1. Analytical Derivatives for Markov Switching Models
    Computational Economics, 1997, 10, (2), 187-94 Downloads View citations (3)
    See also Working Paper Analytical Derivatives for Markov Switching Models, GE, Growth, Math methods (1995) Downloads View citations (5) (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 (67)
    See also Working Paper Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach, Staff Working Papers (1996) Downloads View citations (15) (1996)

Chapters

2013

  1. Forecasting the Price of Oil
    Elsevier Downloads View citations (368)
    See also Working Paper Forecasting the Price of Oil, Bank of Canada (2011) Downloads View citations (78) (2011)

2007

  1. Assessing Structural VARs
    A chapter in NBER Macroeconomics Annual 2006, Volume 21, 2007, pp 1-106 Downloads View citations (66)
    See also Working Paper Assessing Structural VARs, National Bureau of Economic Research, Inc (2006) Downloads View citations (179) (2006)

Software Items

1995

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