Details about Jonathan Wright

Homepage:	http://econ.jhu.edu/People/Wright/index.html
Workplace:	Department of Economics, Johns Hopkins University, (more information at EDIRC)

Access statistics for papers by Jonathan Wright.

Last updated 2024-12-10. Update your information in the RePEc Author Service.

Short-id: pwr25

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Working Papers

2024

1. Monetary Policy in Uncertain Times
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
2. Nonlinear Phillips Curves
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2023

3. Breaks in the Phillips Curve: Evidence from Panel Data
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2023) View citations (7)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)

2022

4. Market Effects of Central Bank Credit Markets Support Programs in Europe
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
5. The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under
   Staff Reports, Federal Reserve Bank of New York View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2022) View citations (5)
   See also Journal Article The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under, Journal of Finance, American Finance Association (2024) (2024)

2021

6. Reasonable Seasonals? Seasonal Echoes in Economic Data after COVID-19
   Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
7. Refining Set-Identification in VARs through Independence
   Working Papers, Federal Reserve Bank of Philadelphia View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (9)
   Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2021) View citations (9)
   See also Journal Article Refining set-identification in VARs through independence, Journal of Econometrics, Elsevier (2023) View citations (6) (2023)

2020

8. Event-day Options
   NBER Working Papers, National Bureau of Economic Research, Inc

2019

9. The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
   See also Journal Article The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment, International Journal of Central Banking, International Journal of Central Banking (2020) View citations (23) (2020)
10. The Sensitivity of Long-Term Interest Rates: A Tale of Two Frequencies
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)

2018

11. Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
    Also in CESifo Working Paper Series, CESifo (2018) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (15)
    See also Journal Article Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises, American Economic Review, American Economic Association (2020) View citations (24) (2020)
12. Seasonal Adjustment of NIPA data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2017

13. Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates
    Staff Reports, Federal Reserve Bank of New York View citations (1)
    See also Journal Article Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates*, The Quarterly Journal of Economics, President and Fellows of Harvard College (2021) View citations (10) (2021)

2016

14. Unconventional Monetary Policy and International Risk Premia
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
    See also Journal Article Unconventional Monetary Policy and International Risk Premia, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (91) (2018)

2015

15. Forward Guidance and Asset Prices
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan View citations (12)
16. Weather-adjusting employment data
    Working Papers, Federal Reserve Bank of Philadelphia View citations (6)

2014

17. Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (185)
18. Jumps in Bond Yields at Known Times
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (12)

2013

19. Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (207)
    See also Journal Article Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling, Journal of Economic Literature, American Economic Association (2013) View citations (206) (2013)
20. Identification and Inference Using Event Studies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (66)
    See also Journal Article Identification and Inference Using Event Studies, Manchester School, University of Manchester (2013) View citations (67) (2013)

2012

21. Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (16)
    See also Journal Article Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach, The Review of Economics and Statistics, MIT Press (2013) View citations (119) (2013)
22. Forecasting Interest Rates with Shifting Endpoints
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (7)
    See also Journal Article Forecasting interest rates with shifting endpoints, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (28) (2014)
23. The Economics of Options-Implied Inflation Probability Density Functions
    2012 Meeting Papers, Society for Economic Dynamics View citations (7)
    Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2012) View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (8)
    See also Journal Article The economics of options-implied inflation probability density functions, Journal of Financial Economics, Elsevier (2013) View citations (43) (2013)

2011

24. What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)
    See also Journal Article What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?, Economic Journal, Royal Economic Society (2012) View citations (408) (2012)

2010

25. Evaluating real-time VAR forecasts with an informative democratic prior
    Working Papers, Federal Reserve Bank of Philadelphia View citations (2)
    See also Journal Article EVALUATING REAL‐TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (40) (2013)
26. Macroeconomics and the Term Structure
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    See also Journal Article Macroeconomics and the Term Structure, Journal of Economic Literature, American Economic Association (2012) View citations (175) (2012)

2009

27. Confidence intervals for long-horizon predictive regressions via reverse regressions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2008

28. Efficient Prediction of Excess Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Efficient Prediction of Excess Returns, The Review of Economics and Statistics, MIT Press (2011) View citations (10) (2011)
29. Term premiums and inflation uncertainty: empirical evidence from an international panel dataset
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
30. The TIPS yield curve and inflation compensation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (38)
    See also Journal Article The TIPS Yield Curve and Inflation Compensation, American Economic Journal: Macroeconomics, American Economic Association (2010) View citations (141) (2010)
31. The high-frequency impact of news on long-term yields and forward rates: Is it real?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
    See also Journal Article The high-frequency impact of news on long-term yields and forward rates: Is it real?, Journal of Monetary Economics, Elsevier (2009) View citations (99) (2009)

2007

32. Bond risk premia and realized jump volatility
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
33. Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)
    See also Journal Article Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (199) (2009)
34. Cracking the Conundrum
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (27)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (77)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (34)
    See also Journal Article Cracking the Conundrum, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2007) View citations (76) (2007)
35. Rounding and the impact of news: a simple test of market rationality
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
36. Trading activity and exchange rates in high-frequency EBS data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)

2006

37. Forecasting professional forecasters
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
    See also Journal Article Forecasting Professional Forecasters, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (89) (2009)
38. Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
    See also Journal Article Order flow and exchange rate dynamics in electronic brokerage system data, Journal of International Economics, Elsevier (2008) View citations (120) (2008)
39. Predicting sharp depreciations in industrial country exchange rates
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
40. The U.S. Treasury yield curve: 1961 to the present
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (21)
    See also Journal Article The U.S. Treasury yield curve: 1961 to the present, Journal of Monetary Economics, Elsevier (2007) View citations (258) (2007)
41. The yield curve and predicting recessions
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (62)

2005

42. An arbitrage-free three-factor term structure model and the recent behavior of long-term yields and distant-horizon forward rates
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (131)

2004

43. The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (29)

2003

44. Bayesian Model Averaging and exchange rate forecasts
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (24)
    See also Journal Article Bayesian Model Averaging and exchange rate forecasts, Journal of Econometrics, Elsevier (2008) View citations (151) (2008)
45. Forecasting U.S. inflation by Bayesian Model Averaging
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (19)
    See also Journal Article Forecasting US inflation by Bayesian model averaging, Journal of Forecasting, John Wiley & Sons, Ltd. (2009) View citations (65) (2009)
46. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (89)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2002) View citations (8)
    Working Paper Series, European Central Bank (2002) View citations (21)
    See also Journal Article Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data, Journal of the European Economic Association, MIT Press (2003) View citations (92) (2003)
47. The high-frequency response of exchange rates and interest rates to macroeconomic announcements
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (42)
    See also Journal Article The high-frequency response of exchange rates and interest rates to macroeconomic announcements, Journal of Monetary Economics, Elsevier (2007) View citations (291) (2007)
48. Uncovered interest parity: it works, but not for long
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
    See also Journal Article Uncovered interest parity: it works, but not for long, Journal of International Economics, Elsevier (2005) View citations (100) (2005)

2002

49. Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (4)
50. Identifying vars based on high frequency futures data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (15)
    See also Journal Article Identifying VARS based on high frequency futures data, Journal of Monetary Economics, Elsevier (2004) View citations (223) (2004)
51. Testing the null of identification in GMM
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2001

52. An empirical comparison of Bundesbank and ECB monetary policy rules
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (60)
53. Exchange rate forecasting: the errors we've really made
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (17)
    See also Journal Article Exchange rate forecasting: the errors we've really made, Journal of International Economics, Elsevier (2003) View citations (144) (2003)

2000

54. Detecting lack of identification in GMM
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article DETECTING LACK OF IDENTIFICATION IN GMM, Econometric Theory, Cambridge University Press (2003) View citations (49) (2003)
55. Exact confidence intervals for impulse responses in a Gaussian vector autoregression
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
56. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    See also Journal Article LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS, Econometric Reviews, Taylor & Francis Journals (2002) View citations (15) (2002)
57. News and noise in G-7 GDP announcements
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (69)
    See also Journal Article News and Noise in G-7 GDP Announcements, Journal of Money, Credit and Banking, Blackwell Publishing (2005) View citations (138) (2005)

1999

58. A simple approach to robust inference in a cointegrating system
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
59. High frequency data, frequency domain inference and volatility forecasting
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
    See also Journal Article High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting, The Review of Economics and Statistics, MIT Press (2001) View citations (67) (2001)
60. Long memory in emerging market stock returns
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

1996

61. Asymptotics for GMM Estimators with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (2)

Journal Articles

2024

1. Comment on “The long and variable lags of monetary policy: Evidence from disaggregated price indices” by S. Borağan Aruoba and Thomas Drechsel
   Journal of Monetary Economics, 2024, 148, (S)
2. The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under
   Journal of Finance, 2024, 79, (2), 1055-1085
   See also Working Paper The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under, Staff Reports (2022) View citations (3) (2022)

2023

3. Refining set-identification in VARs through independence
   Journal of Econometrics, 2023, 235, (2), 1827-1847 View citations (6)
   See also Working Paper Refining Set-Identification in VARs through Independence, Working Papers (2021) View citations (3) (2021)

2022

4. Analyzing cross-validation for forecasting with structural instability
   Journal of Econometrics, 2022, 226, (1), 139-154 View citations (1)
5. The Extent and Consequences of Federal Reserve Balance Sheet Shrinkage
   Brookings Papers on Economic Activity, 2022, 53, (2 (Fall)), 259-275 View citations (1)

2021

6. Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates*
   The Quarterly Journal of Economics, 2021, 136, (3), 1719-1781 View citations (10)
   See also Working Paper Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates, Staff Reports (2017) View citations (1) (2017)

2020

7. Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises
   American Economic Review, 2020, 110, (12), 3871-3912 View citations (24)
   See also Working Paper Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises, CEPR Discussion Papers (2018) View citations (16) (2018)
8. The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment
   International Journal of Central Banking, 2020, 16, (1), 5-71 View citations (23)
   See also Working Paper The Federal Reserve’s Current Framework for Monetary Policy: A Review and Assessment, NBER Working Papers (2019) View citations (28) (2019)

2019

9. Comment on “Measuring euro area monetary policy” by Carlo Altavilla, Luca Brugnolini, Refet Gürkaynak, Giuseppe Ragusa and Roberto Motto
   Journal of Monetary Economics, 2019, 108, (C), 180-184 View citations (11)
10. Some observations on forecasting and policy
    International Journal of Forecasting, 2019, 35, (3), 1186-1192 View citations (8)

2018

11. Risk Premia in the 8:30 Economy
    Quarterly Journal of Finance (QJF), 2018, 08, (03), 1-19 View citations (4)
12. Unconventional Monetary Policy and International Risk Premia
    Journal of Money, Credit and Banking, 2018, 50, (8), 1827-1850 View citations (91)
    See also Working Paper Unconventional Monetary Policy and International Risk Premia, International Finance Discussion Papers (2016) View citations (9) (2016)

2017

13. Forecasting With Model Uncertainty: Representations and Risk Reduction
    Econometrica, 2017, 85, 617-643 View citations (17)
14. Forward-Looking Estimates of Interest-Rate Distributions
    Annual Review of Financial Economics, 2017, 9, (1), 333-351

2016

15. Options-Implied Probability Density Functions for Real Interest Rates
    International Journal of Central Banking, 2016, 12, (3), 129-149 View citations (3)

2015

16. Comment
    Journal of Business & Economic Statistics, 2015, 33, (1), 12-13
17. Weather-Adjusting Economic Data
    Brookings Papers on Economic Activity, 2015, 46, (2 (Fall)), 227-278 View citations (16)

2014

18. Evaluating asset-market effects of unconventional monetary policy: a multi-country review
    (Uncertainty of interest rate path as a monetary policy instrument)
    Economic Policy, 2014, 29, (80), 749-799 View citations (198)
19. Forecasting interest rates with shifting endpoints
    Journal of Applied Econometrics, 2014, 29, (5), 693-712 View citations (28)
    See also Working Paper Forecasting Interest Rates with Shifting Endpoints, Tinbergen Institute Discussion Papers (2012) View citations (7) (2012)
20. Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply
    American Economic Review, 2014, 104, (1), 338-41 View citations (20)

2013

21. Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach
    The Review of Economics and Statistics, 2013, 95, (5), 1501-1519 View citations (119)
    See also Working Paper Credit spreads as predictors of real-time economic activity: a Bayesian Model-Averaging approach, Finance and Economics Discussion Series (2012) View citations (5) (2012)
22. EVALUATING REAL‐TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR
    Journal of Applied Econometrics, 2013, 28, (5), 762-776 View citations (40)
    See also Working Paper Evaluating real-time VAR forecasts with an informative democratic prior, Working Papers (2010) View citations (2) (2010)
23. Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
    Journal of Economic Literature, 2013, 51, (4), 1120-54 View citations (206)
    See also Working Paper Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling, NBER Working Papers (2013) View citations (207) (2013)
24. Identification and Inference Using Event Studies
    Manchester School, 2013, 81, 48-65 View citations (67)
    See also Working Paper Identification and Inference Using Event Studies, CEPR Discussion Papers (2013) View citations (66) (2013)
25. REVERSE REGRESSIONS AND LONG‐HORIZON FORECASTING
    Journal of Applied Econometrics, 2013, 28, (3), 353-371 View citations (20)
26. State Space Models and MIDAS Regressions
    Econometric Reviews, 2013, 32, (7), 779-813 View citations (70)
27. The economics of options-implied inflation probability density functions
    Journal of Financial Economics, 2013, 110, (3), 696-711 View citations (43)
    See also Working Paper The Economics of Options-Implied Inflation Probability Density Functions, 2012 Meeting Papers (2012) View citations (7) (2012)
28. Unseasonal Seasonals?
    Brookings Papers on Economic Activity, 2013, 44, (2 (Fall)), 65-126 View citations (4)

2012

29. Macroeconomics and the Term Structure
    Journal of Economic Literature, 2012, 50, (2), 331-67 View citations (175)
    See also Working Paper Macroeconomics and the Term Structure, CEPR Discussion Papers (2010) View citations (11) (2010)
30. What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?
    Economic Journal, 2012, 122, (564), F447-F466 View citations (408)
    See also Working Paper What does Monetary Policy do to Long-Term Interest Rates at the Zero Lower Bound?, NBER Working Papers (2011) View citations (66) (2011)

2011

31. Editors' Report 2011
    Journal of Business & Economic Statistics, 2011, 29, (4), 597-597
32. Editors’ Report 2011
    Journal of Business & Economic Statistics, 2011, 29, (4), 597-597
33. Efficient Prediction of Excess Returns
    The Review of Economics and Statistics, 2011, 93, (2), 647-659 View citations (10)
    See also Working Paper Efficient Prediction of Excess Returns, NBER Working Papers (2008) View citations (2) (2008)
34. Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
    American Economic Review, 2011, 101, (4), 1514-34 View citations (284)

2010

35. Editors’ Report 2009
    Journal of Business & Economic Statistics, 2010, 28, (4), 574-574
36. Testing the adequacy of conventional asymptotics in GMM
    Econometrics Journal, 2010, 13, (2), 205-217
37. The TIPS Yield Curve and Inflation Compensation
    American Economic Journal: Macroeconomics, 2010, 2, (1), 70-92 View citations (141)
    See also Working Paper The TIPS yield curve and inflation compensation, Finance and Economics Discussion Series (2008) View citations (38) (2008)

2009

38. Bond risk premia and realized jump risk
    Journal of Banking & Finance, 2009, 33, (12), 2333-2345 View citations (66)
39. Comment
    Journal of Business & Economic Statistics, 2009, 27, (3), 323-326
40. Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset
    Journal of Business & Economic Statistics, 2009, 27, (4), 468-479 View citations (199)
    See also Working Paper Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset, NBER Working Papers (2007) View citations (43) (2007)
41. Forecasting Professional Forecasters
    Journal of Business & Economic Statistics, 2009, 27, (4), 504-516 View citations (89)
    See also Working Paper Forecasting professional forecasters, Finance and Economics Discussion Series (2006) View citations (6) (2006)
42. Forecasting US inflation by Bayesian model averaging
    Journal of Forecasting, 2009, 28, (2), 131-144 View citations (65)
    See also Working Paper Forecasting U.S. inflation by Bayesian Model Averaging, International Finance Discussion Papers (2003) View citations (19) (2003)
43. The high-frequency impact of news on long-term yields and forward rates: Is it real?
    Journal of Monetary Economics, 2009, 56, (4), 535-544 View citations (99)
    See also Working Paper The high-frequency impact of news on long-term yields and forward rates: Is it real?, Finance and Economics Discussion Series (2008) View citations (6) (2008)

2008

44. Bayesian Model Averaging and exchange rate forecasts
    Journal of Econometrics, 2008, 146, (2), 329-341 View citations (151)
    See also Working Paper Bayesian Model Averaging and exchange rate forecasts, International Finance Discussion Papers (2003) View citations (24) (2003)
45. Efficient forecast tests for conditional policy forecasts
    Journal of Econometrics, 2008, 146, (2), 293-303 View citations (38)
46. Order flow and exchange rate dynamics in electronic brokerage system data
    Journal of International Economics, 2008, 75, (1), 93-109 View citations (120)
    See also Working Paper Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data, International Finance Discussion Papers (2006) View citations (12) (2006)
47. Trading Activity and Macroeconomic Announcements in High-Frequency Exchange Rate Data
    Journal of the European Economic Association, 2008, 6, (2-3), 589-596 View citations (21)

2007

48. Cracking the Conundrum
    Brookings Papers on Economic Activity, 2007, 38, (1), 293-329 View citations (76)
    See also Working Paper Cracking the Conundrum, Working Papers (2007) View citations (27) (2007)
49. The U.S. Treasury yield curve: 1961 to the present
    Journal of Monetary Economics, 2007, 54, (8), 2291-2304 View citations (258)
    See also Working Paper The U.S. Treasury yield curve: 1961 to the present, Finance and Economics Discussion Series (2006) View citations (21) (2006)
50. The high-frequency response of exchange rates and interest rates to macroeconomic announcements
    Journal of Monetary Economics, 2007, 54, (4), 1051-1068 View citations (291)
    See also Working Paper The high-frequency response of exchange rates and interest rates to macroeconomic announcements, International Finance Discussion Papers (2003) View citations (42) (2003)

2005

51. News and Noise in G-7 GDP Announcements
    Journal of Money, Credit and Banking, 2005, 37, (3), 403-19 View citations (138)
    See also Working Paper News and noise in G-7 GDP announcements, International Finance Discussion Papers (2000) View citations (69) (2000)
52. Uncovered interest parity: it works, but not for long
    Journal of International Economics, 2005, 66, (2), 349-362 View citations (100)
    See also Working Paper Uncovered interest parity: it works, but not for long, International Finance Discussion Papers (2003) View citations (12) (2003)

2004

53. Do Federal Reserve Policy Surprises Reveal Superior Information about the Economy?
    The B.E. Journal of Macroeconomics, 2004, 4, (1), 31 View citations (96)
54. Identifying VARS based on high frequency futures data
    Journal of Monetary Economics, 2004, 51, (6), 1107-1131 View citations (223)
    See also Working Paper Identifying vars based on high frequency futures data, International Finance Discussion Papers (2002) View citations (15) (2002)

2003

55. DETECTING LACK OF IDENTIFICATION IN GMM
    Econometric Theory, 2003, 19, (2), 322-330 View citations (49)
    See also Working Paper Detecting lack of identification in GMM, International Finance Discussion Papers (2000) (2000)
56. Exchange rate forecasting: the errors we've really made
    Journal of International Economics, 2003, 60, (1), 35-59 View citations (144)
    See also Working Paper Exchange rate forecasting: the errors we've really made, International Finance Discussion Papers (2001) View citations (17) (2001)
57. Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data
    Journal of the European Economic Association, 2003, 1, (5), 1031-1057 View citations (92)
    See also Working Paper Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data, NBER Working Papers (2003) View citations (89) (2003)

2002

58. A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
    Journal of Business & Economic Statistics, 2002, 20, (4), 518-29 View citations (2185)
59. LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
    Econometric Reviews, 2002, 21, (4), 397-417 View citations (15)
    See also Working Paper Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns, International Finance Discussion Papers (2000) View citations (4) (2000)

2001

60. High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting
    The Review of Economics and Statistics, 2001, 83, (4), 596-602 View citations (67)
    See also Working Paper High frequency data, frequency domain inference and volatility forecasting, International Finance Discussion Papers (1999) (1999)

2000

61. Alternative Variance-Ratio Tests Using Ranks and Signs
    Journal of Business & Economic Statistics, 2000, 18, (1), 1-9 View citations (182)
62. Confidence Intervals for Univariate Impulse Responses with a Near Unit Root
    Journal of Business & Economic Statistics, 2000, 18, (3), 368-73 View citations (17)
63. Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests
    Journal of Business & Economic Statistics, 2000, 18, (2), 211-22 View citations (23)
64. GMM with Weak Identification
    Econometrica, 2000, 68, (5), 1055-1096 View citations (393)
65. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
    Journal of Econometrics, 2000, 98, (1), 81-106 View citations (84)

1999

66. A New Test for Structural Stability Based on Recursive Residuals
    Oxford Bulletin of Economics and Statistics, 1999, 61, (1), 109-119 View citations (1)
67. A new estimator of the fractionally integrated stochastic volatility model
    Economics Letters, 1999, 63, (3), 295-303 View citations (9)
68. Frequency domain inference for univariate impulse responses
    Economics Letters, 1999, 63, (3), 269-277 View citations (1)
69. THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION
    Econometric Theory, 1999, 15, (5), 704-709 View citations (3)
70. Testing for a Unit Root in the Volatility of Asset Returns
    Journal of Applied Econometrics, 1999, 14, (3), 309-18 View citations (9)
    Also in Journal of Applied Econometrics, 1999, 14, (3), 309-318 (1999)

1998

71. Testing for a Structural Break at Unknown Date with Long‐memory Disturbances
    Journal of Time Series Analysis, 1998, 19, (3), 369-376 View citations (22)

1997

72. The Limiting Distribution of Post-sample Stability Tests for GMM Estimation When the Potential Break Date Is Unknown
    Oxford Bulletin of Economics and Statistics, 1997, 59, (2), 299-303 View citations (5)

1996

73. Structural stability tests in the linear regression model when the regressors have roots local to unity
    Economics Letters, 1996, 52, (3), 257-262 View citations (2)

1995

74. HERMIN Ireland
    Economic Modelling, 1995, 12, (3), 249-274 View citations (16)
75. STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO‐STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS
    Journal of Time Series Analysis, 1995, 16, (1), 119-125

1993

76. The CUSUM test based on least squares residuals in regressions with integrated variables
    Economics Letters, 1993, 41, (4), 353-358 View citations (4)

Books

1993

1. Growth and Development in the Two Economies of Ireland: An Overview (Proceedings of NIERC/ESRI Conference)
   Research Series, Economic and Social Research Institute (ESRI)

Edited books

2023

1. Research Handbook of Financial Markets
   Books, Edward Elgar Publishing

Chapters

2024

1. Comment on "The Long and Variable Lags of Monetary Policy: Evidence from Disaggregated Price Indices"
   A chapter in Inflation in the COVID Era and Beyond, 2024

2023

2. Banks
   Chapter 6 in Research Handbook of Financial Markets, 2023, pp 126-146
3. Futures and options
   Chapter 22 in Research Handbook of Financial Markets, 2023, pp 490-508

2013

4. Forecasting Inflation
   Elsevier View citations (80)

Editor

1. Journal of Business & Economic Statistics
   American Statistical Association