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John Campbell Robertson

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Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. John C. Robertson & Daniel L. Thornton, 1997. "Using federal funds futures rates to predict Federal Reserve actions," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 45-53.

    Mentioned in:

    1. The risk of a collision between the Federal Reserve and the markets
      by zooeygoethe in Economic Objectorvism on 2007-11-17 23:42:21

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. John C. Robertson & Ellis W. Tallman, 1999. "Vector autoregressions: forecasting and reality," Economic Review, Federal Reserve Bank of Atlanta, vol. 84(Q1), pages 4-18.

    Mentioned in:

    1. > Econometrics > Forecasting

Working papers

  1. Hotchkiss, Julie L. & Pitts, M. Melinda & Robertson, John C., 2008. "The Push-Pull Effects of the Information Technology Boom and Bust," MPRA Paper 44800, University Library of Munich, Germany.

    Cited by:

    1. Julie L. Hotchkiss & Menbere Shiferaw, 2011. "Decomposing the education wage gap: everything but the kitchen sink," Review, Federal Reserve Bank of St. Louis, vol. 93(July), pages 243-272.

  2. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2006. "The push-pull effects of the information technology boom and bust: insight from matched employer-employee data," FRB Atlanta Working Paper 2006-01, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Julie L. Hotchkiss & Menbere Shiferaw, 2011. "Decomposing the education wage gap: everything but the kitchen sink," Review, Federal Reserve Bank of St. Louis, vol. 93(July), pages 243-272.

  3. Julie L. Hotchkiss & John C. Robertson, 2006. "Asymmetric labor force participation decisions over the business cycle: evidence from U.S. microdata," FRB Atlanta Working Paper 2006-08, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Mariola Piłatowska & Dorota Witkowska, 2022. "Gender Segregation at Work over Business Cycle—Evidence from Selected EU Countries," Sustainability, MDPI, vol. 14(16), pages 1-19, August.
    2. Katarzyna Budnik & Michal Greszta & Michal Hulej & Marcin Kolasa & Karol Murawski & Michal Rot & Bartosz Rybaczyk & Magdalena Tarnicka, 2009. "The new macroeconometric model of the Polish economy," NBP Working Papers 62, Narodowy Bank Polski.
    3. Julie L. Hotchkiss & M. Melinda Pitts, 2007. "Evidence of demand factors in the determination of the labor market intermittency penalty," FRB Atlanta Working Paper 2007-16, Federal Reserve Bank of Atlanta.
    4. John K. Dagsvik & Tom Kornstad & Terje Skjerpen, 2016. "Discouraged worker effects and barriers against employment for immigrant and non-immigrant women," Discussion Papers 845, Statistics Norway, Research Department.
    5. Julie Hotchkiss & M. Pitts & Mary Walker, 2011. "Labor force exit decisions of new mothers," Review of Economics of the Household, Springer, vol. 9(3), pages 397-414, September.
    6. Julie L. Hotchkiss & M. Melinda Pitts & Mary Beth Walker, 2010. "Assessing the impact of education and marriage on labor market exit decisions of women," FRB Atlanta Working Paper 2010-02, Federal Reserve Bank of Atlanta.
    7. Catalina Amuedo‐Dorantes & Jean Kimmel, 2009. "Moonlighting Over The Business Cycle," Economic Inquiry, Western Economic Association International, vol. 47(4), pages 754-765, October.
    8. Julie L. Hotchkiss & M. Melinda Pitts & Mary Beth Walker, 2008. "Working with children? the probability of mothers exiting the workforce at time of birth," FRB Atlanta Working Paper 2008-08, Federal Reserve Bank of Atlanta.
    9. Julie L. Hotchkiss & M. Melinda Pitts & Mary Beth Walker, 2011. "To work or not to work: the economics of a mother's dilemma," FRB Atlanta Working Paper 2011-02, Federal Reserve Bank of Atlanta.
    10. Néstor Iván GONZALEZ-QUINTERO & Nancy Aireth DAZA-BAEZ & Nidia Esperanza GARAVITO-CALDERON, 2014. "Determinantes y perfiles de la participación laboral en Colombia: 2002-2013," Archivos de Economía 11788, Departamento Nacional de Planeación.
    11. Jakob Madsen & Vinod Mishra & Russell Smyth, 2008. "Are Labour Force Participation Rates Non‐Stationary? Evidence From 130 Years For G7 Countries," Australian Economic Papers, Wiley Blackwell, vol. 47(2), pages 166-189, June.

  4. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2005. "Earnings on the information technology roller coaster: insight from matched employer-employee data," FRB Atlanta Working Paper 2005-11, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Hotchkiss, Julie L. & Pitts, M. Melinda & Robertson, John C., 2008. "The Push-Pull Effects of the Information Technology Boom and Bust," MPRA Paper 44800, University Library of Munich, Germany.
    2. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2006. "The push-pull effects of the information technology boom and bust: insight from matched employer-employee data," FRB Atlanta Working Paper 2006-01, Federal Reserve Bank of Atlanta.

  5. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2004. "Wage gains among job changers across the business cycle: insight from state administrative data," FRB Atlanta Working Paper 2004-19, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Julie Hotchkiss & M. Pitts & Mary Walker, 2011. "Labor force exit decisions of new mothers," Review of Economics of the Household, Springer, vol. 9(3), pages 397-414, September.
    2. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2005. "Earnings on the information technology roller coaster: insight from matched employer-employee data," FRB Atlanta Working Paper 2005-11, Federal Reserve Bank of Atlanta.
    3. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2006. "The push-pull effects of the information technology boom and bust: insight from matched employer-employee data," FRB Atlanta Working Paper 2006-01, Federal Reserve Bank of Atlanta.

  6. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2003. "The ups and downs of jobs in Georgia: what can we learn about employment dynamics from state administrative data?," FRB Atlanta Working Paper 2003-38, Federal Reserve Bank of Atlanta.

    Cited by:

    1. van der Klaauw, Wilbert, 2005. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 154-157, April.
    2. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2004. "Wage gains among job changers across the business cycle: insight from state administrative data," FRB Atlanta Working Paper 2004-19, Federal Reserve Bank of Atlanta.

  7. John C. Robertson & Ellis W. Tallman & Charles H. Whiteman, 2002. "Forecasting using relative entropy," FRB Atlanta Working Paper 2002-22, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Warne, Anders & Coenen, Günter & Christoffel, Kai, 2008. "The new area-wide model of the euro area: a micro-founded open-economy model for forecasting and policy analysis," Working Paper Series 944, European Central Bank.
    2. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank.
    3. Philip Hans Franses, 2021. "Modeling Judgment in Macroeconomic Forecasts," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 401-417, December.
    4. Davide Pettenuzzo & Konstantinos Metaxoglou & Aaron Smith, 2016. "Option-Implied Equity Premium Predictions via Entropic TiltinG," Working Papers 99R, Brandeis University, Department of Economics and International Business School, revised Aug 2016.
    5. Kupiec, Paul H., 2020. "Policy uncertainty and bank stress testing," Journal of Financial Stability, Elsevier, vol. 51(C).
    6. Giacomini, Raffaella & Ragusa, Giuseppe & Altavilla, Carlo, 2013. "Anchoring the Yield Curve Using Survey Expectations," CEPR Discussion Papers 9738, C.E.P.R. Discussion Papers.
    7. Gary Koop & Stuart McIntyre & James Mitchell, 2018. "UK Regional Nowcasting using a Mixed Frequency Vector Autoregressive Model," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-07, Economic Statistics Centre of Excellence (ESCoE).
    8. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    9. Giacomini, Raffaella, 2014. "Economic theory and forecasting: lessons from the literature," CEPR Discussion Papers 10201, C.E.P.R. Discussion Papers.
    10. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    11. Negro, Marco Del & Schorfheide, Frank, 2013. "DSGE Model-Based Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 57-140, Elsevier.
    12. Müller, Gernot & Georgiadis, Georgios & Schumann, Ben, 2021. "Global Risk and the Dollar," CEPR Discussion Papers 16245, C.E.P.R. Discussion Papers.
    13. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
    14. Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
    15. Tamás Kiss & Hoang Nguyen & Pär Österholm, 2021. "Modelling Returns in US Housing Prices—You’re the One for Me, Fat Tails," JRFM, MDPI, vol. 14(11), pages 1-17, October.
    16. Boneva, Lena & Fawcett, Nicholas & Masolo, Riccardo M. & Waldron, Matt, 2019. "Forecasting the UK economy: Alternative forecasting methodologies and the role of off-model information," International Journal of Forecasting, Elsevier, vol. 35(1), pages 100-120.
    17. Lee Tae-Hwy & Wang He & Xi Zhou & Zhang Ru, 2023. "Density Forecast of Financial Returns Using Decomposition and Maximum Entropy," Journal of Econometric Methods, De Gruyter, vol. 12(1), pages 57-83, January.
    18. Ganics, Gergely & Odendahl, Florens, 2021. "Bayesian VAR forecasts, survey information, and structural change in the euro area," International Journal of Forecasting, Elsevier, vol. 37(2), pages 971-999.
    19. Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
    20. Breitenlechner, Max & Georgiadis, Georgios & Schumann, Ben, 2022. "What goes around comes around: How large are spillbacks from US monetary policy?," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 45-60.
    21. Francesca Monti, 2008. "Forecast with judgment and models," Working Paper Research 153, National Bank of Belgium.
    22. Taeyoung Doh, 2017. "Trend and Uncertainty in the Long-Term Real Interest Rate: Bayesian Exponential Tilting with Survey Data," Research Working Paper RWP 17-8, Federal Reserve Bank of Kansas City.
    23. Haley, M. Ryan & McGee, M. Kevin, 2011. ""KLICing" there and back again: Portfolio selection using the empirical likelihood divergence and Hellinger distance," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 341-352, March.
    24. Fabian Krüger & Todd E. Clark & Francesco Ravazzolo, 2017. "Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 470-485, July.
    25. Salois, Matthew & Moss, Charles, 2010. "An Information Approach to the Dynamics in Farm Income: Implications for Farmland Markets," MPRA Paper 26850, University Library of Munich, Germany.
    26. Peter Stephensen, 2016. "Logit Scaling: A General Method for Alignment in Microsimulation models," International Journal of Microsimulation, International Microsimulation Association, vol. 9(3), pages 89-102.
    27. Junior Maih, 2010. "Conditional forecasts in DSGE models," Working Paper 2010/07, Norges Bank.
    28. Raffaella Giacomini & Barbara Rossi, 2015. "Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models," Working Papers 819, Barcelona School of Economics.
    29. Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
    30. Michael P. Clements, 2014. "Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment," ICMA Centre Discussion Papers in Finance icma-dp2014-02, Henley Business School, University of Reading.
    31. Tae-Hwy Lee & Millie Yi Mao & Aman Ullah, 2020. "Maximum Entropy Analysis of Consumption-based Capital Asset Pricing Model and Volatility," Working Papers 202015, University of California at Riverside, Department of Economics.
    32. Harrison, Richard & Taylor, Tim, 2012. "Non-rational expectations and the transmission mechanism," Bank of England working papers 448, Bank of England.
    33. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2014. "No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates," CEPR Discussion Papers 9848, C.E.P.R. Discussion Papers.
    34. Österholm, Pär, 2006. "Incorporating Judgement in Fan Charts," Working Paper Series 2006:30, Uppsala University, Department of Economics.
    35. Rhys M. Bidder & Andrew McKenna, 2015. "Robust stress testing," Working Paper Series 2015-13, Federal Reserve Bank of San Francisco.
    36. Todd E. Clark & Gergely Ganics & Elmar Mertens, 2022. "What is the Predictive Value of SPF Point and Density Forecasts?," Working Papers 22-37, Federal Reserve Bank of Cleveland.
    37. Petrella, Ivan & Antolin-Diaz, Juan & Rubio-Ramírez, Juan Francisco, 2018. "Structural Scenario Analysis with SVARs," CEPR Discussion Papers 12579, C.E.P.R. Discussion Papers.
    38. M. Ryan Haley & Todd B. Walker, 2010. "Alternative tilts for nonparametric option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 30(10), pages 983-1006, October.
    39. Stefania D'Amico & Thomas B. King, 2015. "What Does Anticipated Monetary Policy Do?," Working Paper Series WP-2015-10, Federal Reserve Bank of Chicago.
    40. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
    41. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
    42. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
    43. Paul H. Kupiec, 2018. "On the accuracy of alternative approaches for calibrating bank stress test models," AEI Economics Working Papers 980152, American Enterprise Institute.
    44. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
    45. Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021. "Does judgment improve macroeconomic density forecasts?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1247-1260.
    46. Christoffel, Kai & Coenen, Gunter & Warne, Anders, 2007. "Conditional versus unconditional forecasting with the New Area-Wide Model of the euro area," MPRA Paper 76759, University Library of Munich, Germany.
    47. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
    48. Nadiia Shapovalenko, 2021. "A BVAR Model for Forecasting Ukrainian Inflation," IHEID Working Papers 05-2021, Economics Section, The Graduate Institute of International Studies.
    49. Montes-Galdón, Carlos & Paredes, Joan & Wolf, Elias, 2022. "Conditional density forecasting: a tempered importance sampling approach," Working Paper Series 2754, European Central Bank.
    50. Shaun P Vahey & Elizabeth C Wakerly, 2013. "Moving towards probability forecasting," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 3-8, Bank for International Settlements.
    51. Kenneth Beauchemin & Saeed Zaman, 2011. "A medium scale forecasting model for monetary policy," Working Papers (Old Series) 1128, Federal Reserve Bank of Cleveland.
    52. Gökhan Ider & Alexander Kriwoluzky & Frederik Kurcz & Ben Schumann, 2023. "The Energy-Price Channel of (European) Monetary Policy," Discussion Papers of DIW Berlin 2033, DIW Berlin, German Institute for Economic Research.
    53. Ursel Baumann & David Lodge & Mirela S. Miescu, 2024. "Global growth on life support? The contributions of fiscal and monetary policy since the global financial crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 76-90, January.
    54. Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
    55. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
    56. Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J., 2003. "Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system," CFS Working Paper Series 2003/44, Center for Financial Studies (CFS).
    57. Parnes, Dror, 2024. "Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    58. Farooq Akram & Andrew Binning & Junior Maih, 2016. "Joint prediction bands for macroeconomic risk management," Working Paper 2016/7, Norges Bank.
    59. Andreas Tryphonides, 2018. "Tilting Approximate Models," Papers 1805.10869, arXiv.org, revised Mar 2024.
    60. Manzan, Sebastiano & Zerom, Dawit, 2009. "Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?," MPRA Paper 14387, University Library of Munich, Germany.
    61. Chalabi, Yohan & Wuertz, Diethelm, 2012. "Portfolio optimization based on divergence measures," MPRA Paper 43332, University Library of Munich, Germany.
    62. Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers 20/13, Institute for Fiscal Studies.
    63. Paul Ho, 2019. "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers 390, Society for Economic Dynamics.
    64. Andrew P Blake & Haroon Mumtaz, 2012. "Applied Bayesian econometrics for central bankers," Technical Books, Centre for Central Banking Studies, Bank of England, edition 1, number 4, April.
    65. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
    66. Bańbura, Marta & Brenna, Federica & Paredes, Joan & Ravazzolo, Francesco, 2021. "Combining Bayesian VARs with survey density forecasts: does it pay off?," Working Paper Series 2543, European Central Bank.
    67. Rhys M. Bidder & Raffaella Giacomini & Andrew McKenna, 2016. "Stress Testing with Misspecified Models," Working Paper Series 2016-26, Federal Reserve Bank of San Francisco.
    68. Dieppe, Alistair & van Roye, Björn & Legrand, Romain, 2016. "The BEAR toolbox," Working Paper Series 1934, European Central Bank.
    69. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers 41/14, Institute for Fiscal Studies.
    70. Giacomini, Raffaella & Ragusa, Giuseppe, 2014. "Theory-coherent forecasting," Journal of Econometrics, Elsevier, vol. 182(1), pages 145-155.
    71. Smimou, K. & Bector, C.R. & Jacoby, G., 2007. "A subjective assessment of approximate probabilities with a portfolio application," Research in International Business and Finance, Elsevier, vol. 21(2), pages 134-160, June.
    72. Andrey Zubarev & Daniil Lomonosov & Konstantin Rybak, 2022. "Estimation of the Impact of Global Shocks on the Russian Economy and GDP Nowcasting Using a Factor Model," Russian Journal of Money and Finance, Bank of Russia, vol. 81(2), pages 49-78, June.
    73. Francesca Monti, 2010. "Combining Judgment and Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(8), pages 1641-1662, December.

  8. John C. Robertson & Ellis W. Tallman, 1999. "Improving forecasts of the federal funds rate in a policy model," FRB Atlanta Working Paper 99-3, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Gossé, Jean-Baptiste & Guillaumin, Cyriac, 2013. "L’apport de la représentation VAR de Christopher A. Sims à la science économique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 89(4), pages 309-319, Décembre.
    2. Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
    3. John C. Robertson & Ellis W. Tallman, 1999. "Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models," FRB Atlanta Working Paper 99-13, Federal Reserve Bank of Atlanta.
    4. Kjellberg, David, 2006. "Measuring Expectations," Working Paper Series 2006:9, Uppsala University, Department of Economics.
    5. Nicholson, William B. & Matteson, David S. & Bien, Jacob, 2017. "VARX-L: Structured regularization for large vector autoregressions with exogenous variables," International Journal of Forecasting, Elsevier, vol. 33(3), pages 627-651.
    6. Peter Anker, 2001. "ECB monetary policy and the DM-dollar exchange rate: evidence from a Bayesian VAR," Applied Economics, Taylor & Francis Journals, vol. 33(12), pages 1553-1562.

  9. John C. Robertson & Ellis W. Tallman, 1999. "Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models," FRB Atlanta Working Paper 99-13, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Summers, Peter M., 2001. "Forecasting Australia's economic performance during the Asian crisis," International Journal of Forecasting, Elsevier, vol. 17(3), pages 499-515.
    2. Kaabia, Olfa & Abid, Ilyes & Mkaouar, Farid, 2016. "The dark side of the black gold shock onto Europe: One stock's joy is another stock's sorrow," Economic Modelling, Elsevier, vol. 58(C), pages 642-654.
    3. Carriero, Andrea & Mumtaz, Haroon & Theophilopoulou, Angeliki, 2015. "Macroeconomic information, structural change, and the prediction of fiscal aggregates," International Journal of Forecasting, Elsevier, vol. 31(2), pages 325-348.
    4. Omar Barroso Khodr & Mathias Schneid Tessmann & Humberto Nunes Alencar & Alex Cerqueira Pinto, 2024. "Identifying the Temporal Dynamics and Macroeconomic Interactions of the US Economy," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 16(8), pages 1-1, August.
    5. Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," EconomiX Working Papers 2012-46, University of Paris Nanterre, EconomiX.
    6. Nurmakhanova Mira, 2016. "Oil and Growth Challenge in Kazakhstan," EERC Working Paper Series 16/06e, EERC Research Network, Russia and CIS.
    7. Andrea Brischetto & Graham Voss, 1999. "A Structural Vector Autoregression Model of Monetary Policy in Australia," RBA Research Discussion Papers rdp1999-11, Reserve Bank of Australia.

  10. Pagan, A.R. & Robertson, J.C., 1995. "Structural Models of the Liquidity Effect," Papers 283, Australian National University - Department of Economics.

    Cited by:

    1. Bataa, Erdenebat & Park, Cheolbeom, 2017. "Is the recent low oil price attributable to the shale revolution?," Energy Economics, Elsevier, vol. 67(C), pages 72-82.
    2. Stan Hurn & Ralf Becker, 2007. "Testing for nonlinearity in mean in the presence of heteroskedasticity. Working paper #8," NCER Working Paper Series 8, National Centre for Econometric Research.
    3. Shawn Chen-Yu Leu, 2006. "A New Keynesian Perspective of Monetary Policy in Australia," Working Papers 2006.01, School of Economics, La Trobe University.
    4. Benjamin M. Friedman & Kenneth N. Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," NBER Working Papers 16165, National Bureau of Economic Research, Inc.
    5. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387.
    6. W. Douglas McMillin, 2001. "The Effects of Monetary Policy Shocks: Comparing Contemporaneous versus Long‐Run Identifying Restrictions," Southern Economic Journal, John Wiley & Sons, vol. 67(3), pages 618-636, January.
    7. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
    8. Hanson, Michael S., 2004. "The "price puzzle" reconsidered," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1385-1413, October.
    9. Luis Catão & Adrian Pagan, 2010. "The Credit Channel and Monetary Transmission in Brazil and Chile: A Structured VAR Approach," NCER Working Paper Series 53, National Centre for Econometric Research.
    10. Hjortsø, Ida & Forbes, Kristin & Nenova, Tsvetelina, 2018. "The Shocks Matter: Improving our Estimates of Exchange Rate Pass-Through," CEPR Discussion Papers 13037, C.E.P.R. Discussion Papers.
    11. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics.
    12. Antonis Michis, 2011. "Multiscale Analysis of the Liquidity Effect," Working Papers 2011-5, Central Bank of Cyprus.
    13. Antonis Michis, 2015. "Multiscale Analysis of the Liquidity Effect in the UK Economy," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 615-633, April.
    14. Don Bredin & Gerard O'Reilly, 2004. "An analysis of the transmission mechanism of monetary policy in Ireland," Applied Economics, Taylor & Francis Journals, vol. 36(1), pages 49-58.
    15. Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
    16. Danielsson, Jon & Love, Ryan, 2004. "Feedback trading," LSE Research Online Documents on Economics 24760, London School of Economics and Political Science, LSE Library.
    17. Lastrapes, William D. & Potts, Todd B., 2006. "Durable goods and the forward-looking theory of consumption: Estimates implied by the dynamic effects of money," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1409-1430, August.
    18. Jinill Kim, 1998. "Monetary policy in a stochastic equilibrium model with real and nominal rigidities," Finance and Economics Discussion Series 1998-02, Board of Governors of the Federal Reserve System (U.S.).
    19. W. Douglas McMillin & Keuk-soo Kim, 2002. "Estimating the Effects of Monetary Policy Shocks: Does Lag Structure Matter?," Departmental Working Papers 2002-04, Department of Economics, Louisiana State University.
    20. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    21. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, April.
    22. Daniel Buncic, 2019. "Identification and Estimation Issues in Exponential Smooth Transition Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 667-685, June.
    23. Kristin Forbes & Ida Hjortsoe & Tsvetelina Nenova, 2020. "International Evidence on Shock-Dependent Exchange Rate Pass-Through," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(4), pages 721-763, December.
    24. Jón Daníelsson & Ryan Love, 2006. "Feedback trading This paper is also available at www.riskresearch.org," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 35-53.
    25. Adrian Pagan & M. Hashem Pesaran, 2007. "On Econometric Analysis of Structural Systems with Permanent and Transitory Shocks and Exogenous Variables," CESifo Working Paper Series 1924, CESifo.
    26. Daniel L. Thornton, 1998. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Working Papers 1998-009, Federal Reserve Bank of St. Louis.
    27. W. Douglas McMillin & William D. Lastrapes, 2001. "Cross-Country Variation in the Liquidity Effect," Departmental Working Papers 2001-04, Department of Economics, Louisiana State University.
    28. Alasdair Scott & George Kapetanios & Adrian Pagan, 2005. "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005 462, Society for Computational Economics.
    29. S. G. B Henry & A. R. Pagan, 2004. "The Econometrics of the New Keynesian Policy Model: Introduction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 581-607, September.
    30. Sam Ouliaris & Adrian Pagan, 2016. "A Method for Working with Sign Restrictions in Structural Equation Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(5), pages 605-622, October.
    31. Miyao, Ryuzo, 2000. "The Role of Monetary Policy in Japan: A Break in the 1990s?," Journal of the Japanese and International Economies, Elsevier, vol. 14(4), pages 366-384, December.
    32. William D. Lastrapes & W. Douglas McMillin, 2004. "Cross-Country Variation in the Liquidity Effect: The Role of Financial Markets," Economic Journal, Royal Economic Society, vol. 114(498), pages 890-915, October.
    33. Adrian R. Pagan & M. Hashem Pesaran, 2008. "Econometric Analysis of Structural Systems with Permanent and Transitory Shocks," Discussion Papers 2008-04, School of Economics, The University of New South Wales.
    34. Ni, Shawn & Sun, Dongchu, 2003. "Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models," Journal of Econometrics, Elsevier, vol. 115(1), pages 159-197, July.
    35. Firmin Doko Tchatoka & Lauren Slinger & Virginie Masson, 2020. "Revisiting empirical studies on the liquidity effect: An identication-robust approach," School of Economics and Public Policy Working Papers 2020-02, University of Adelaide, School of Economics and Public Policy.
    36. Stephen G. Cecchetti & Robert W. Rich, 1999. "Structural estimates of the U.S. sacrifice ratio," Staff Reports 71, Federal Reserve Bank of New York.
    37. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    38. Roberto ESPOSTI, 2007. "On the Decline of Agriculture. Evidence from Italian Regions in the Post-WWII Period," Working Papers 300, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    39. Andrea Brischetto & Graham Voss, 1999. "A Structural Vector Autoregression Model of Monetary Policy in Australia," RBA Research Discussion Papers rdp1999-11, Reserve Bank of Australia.
    40. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
    41. Kilian, Lutz, 2011. "Structural Vector Autoregressions," CEPR Discussion Papers 8515, C.E.P.R. Discussion Papers.
    42. Halabi, Claudia E. & Lastrapes, William D., 2003. "Estimating the liquidity effect in post-reform Chile: do inflationary expectations matter?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 813-833, November.
    43. Adrian Pagan, 2007. "Weak Instruments: A Guide to the Literature," NCER Working Paper Series 13, National Centre for Econometric Research.
    44. W. Douglas McMillin & Keuk-Soo Kim, 2001. "Symmetric versus Asymmetric Lag Structures in Vector Autoregressive Models: A Monte Carlo Analysis with an Application to Estimating the Effects of Monetary Policy Shocks," Departmental Working Papers 2001-01, Department of Economics, Louisiana State University.
    45. Esposti, Roberto, 2014. "On why and how agriculture declines," Structural Change and Economic Dynamics, Elsevier, vol. 31(C), pages 73-88.
    46. Benjamin Friedman & Kenneth Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," Department of Economics Working Papers 2010-03, Department of Economics, Williams College.

  11. Pagan, A.R. & Robertson, J.C., 1994. "Resolving the Liquidity Effect," Papers 277, Australian National University - Department of Economics.

    Cited by:

    1. Michael J. Dueker & Apostolos Serletis, 1996. "The sensitivity of empirical studies to alternative measures of the monetary base and reserves," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 51-69.
    2. Eichenbaum, Martin, 1995. "Some Comments on the Role of Econometrics in Economic Theory," Economic Journal, Royal Economic Society, vol. 105(433), pages 1609-1621, November.
    3. Ben S. Bernanke & Ilian Mihov, 1998. "The Liquidity Effect and Long-Run Neutrality," NBER Working Papers 6608, National Bureau of Economic Research, Inc.
    4. Daniel L. Thornton, 1996. "The information content of discount rate announcements: what's behind the announcement effect?," Working Papers 1994-032, Federal Reserve Bank of St. Louis.
    5. Charles L. Evans & Kenneth N. Kuttner, 1998. "Can VARs describe monetary policy?," Research Paper 9812, Federal Reserve Bank of New York.
    6. G. Peersman, 2014. "The Effectiveness of Unconventional Monetary Policies," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/875, Ghent University, Faculty of Economics and Business Administration.
    7. Michel Normandin & Louis Phaneuf, 2003. "Monetary Policy Shocks: Testing Identification Conditions Under Time-Varying Conditional Volatility," Cahiers de recherche 03-04, HEC Montréal, Institut d'économie appliquée.
    8. Huh, Chan G. & Lansing, Kevin J., 2000. "Expectations, credibility, and disinflation in a small macroeconomic model," Journal of Economics and Business, Elsevier, vol. 52(1-2), pages 51-86.
    9. Benjamin M. Friedman & Kenneth N. Kuttner, 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," NBER Working Papers 16165, National Bureau of Economic Research, Inc.
    10. Verónica Mies & Felipe Morandé & Matías Tapia, 2002. "Política Monetaria y Mecanismos de Transmisión: Nuevos Elementos para una Vieja Discusión," Working Papers Central Bank of Chile 181, Central Bank of Chile.
    11. Jon Faust & John H. Rogers, 1999. "Monetary policy's role in exchange rate behavior," International Finance Discussion Papers 652, Board of Governors of the Federal Reserve System (U.S.).
    12. Daniel L. Thornton, 2007. "The daily and policy-relevant liquidity effects," Working Papers 2007-001, Federal Reserve Bank of St. Louis.
    13. Oscar Jorda & Selva Demiralp, 2003. "The Pavlovian Response of Term Rates to Fed Announcements," Working Papers 192, University of California, Davis, Department of Economics.
    14. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
    15. Bouakez, Hafedh & Normandin, Michel, 2010. "Fluctuations in the foreign exchange market: How important are monetary policy shocks?," Journal of International Economics, Elsevier, vol. 81(1), pages 139-153, May.
    16. Daniel L. Thornton, 2005. "Open market operations and the federal funds rate," Working Papers 2005-063, Federal Reserve Bank of St. Louis.
    17. Daniel L. Thornton, 1996. "Identifying the liquidity effect: the case of nonborrowed reserves," Working Papers 1996-002, Federal Reserve Bank of St. Louis.
    18. Ariff, Mohamed & Chung, Tin-fah & M., Shamsher, 2012. "Money supply, interest rate, liquidity and share prices: A test of their linkage," Global Finance Journal, Elsevier, vol. 23(3), pages 202-220.
    19. Mark Dwyer, 1998. "Impulse Response Priors for Discriminating Structural Vector Autoregressions," UCLA Economics Working Papers 780, UCLA Department of Economics.
    20. Chung, Tin-fah & Ariff, M., 2016. "A test of the linkage among money supply, liquidity and share prices in Asia," Japan and the World Economy, Elsevier, vol. 39(C), pages 48-61.
    21. John C. Robertson & Ellis W. Tallman, 1999. "Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models," FRB Atlanta Working Paper 99-13, Federal Reserve Bank of Atlanta.
    22. Chan Guk Huh, 1995. "Regime switching in the dynamic relationship between the federal funds rate and nonborrowed reserves," Working Papers in Applied Economic Theory 95-11, Federal Reserve Bank of San Francisco.
    23. Seth B. Carpenter & Selva Demiralp, 2004. "The liquidity effect in the federal funds market: evidence from daily open market operations," Finance and Economics Discussion Series 2004-61, Board of Governors of the Federal Reserve System (U.S.).
    24. David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," FRB Atlanta Working Paper 95-7, Federal Reserve Bank of Atlanta.
    25. Tao Zha, 1996. "Identification, vector autoregression, and block recursion," FRB Atlanta Working Paper 96-8, Federal Reserve Bank of Atlanta.
    26. Verónica Mies M. & Felipe Morandé L. & Matías Tapia G., 2002. "Monetary Policy and Transmission Mechanisms: New Elements for an old Debate," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 5(3), pages 29-66, December.
    27. Asea, P.K. & Blomberg, S.B., 1997. "Lending Cycles," Papers 97-01, Wellesley College - Department of Economics.
    28. Faust, Jon, 1998. "The robustness of identified VAR conclusions about money," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 207-244, December.
    29. W. Douglas McMillin & Keuk-soo Kim, 2002. "Estimating the Effects of Monetary Policy Shocks: Does Lag Structure Matter?," Departmental Working Papers 2002-04, Department of Economics, Louisiana State University.
    30. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June.
    31. Noritaka Kudoh, 2009. "A global analysis of liquidity effects, interest rate rules, and deflationary traps," Economics Bulletin, AccessEcon, vol. 29(2), pages 1492-1498.
    32. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
    33. Peersman, Gert, 2011. "Macroeconomic effects of unconventional monetary policy in the euro area," Working Paper Series 1397, European Central Bank.
    34. Lawrence J. Christiano, 1996. "Identification and the liquidity effect: a case study," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 20(May), pages 2-13.
    35. Shen, Chung-Hua & Chiang, Thomas Chi-Nan, 1999. "Retrieving the vanishing liquidity effect--a threshold vector autoregressive model," Journal of Economics and Business, Elsevier, vol. 51(3), pages 259-277, May.
    36. Michel Normandin & Louis Phaneuf, 1996. "The Liquidity Effect: Testing Identification Conditions Under Time-Varying Conditional Volatility," Econometrics 9607001, University Library of Munich, Germany.
    37. Daniel L. Thornton, 1998. "The Federal Reserve's operating procedure, nonborrowed reserves, borrowed reserves and the liquidity effect," Working Papers 1998-009, Federal Reserve Bank of St. Louis.
    38. Daniel L. Thornton, 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?," Working Papers 1999-022, Federal Reserve Bank of St. Louis.
    39. Hamilton, James D., 1998. "The supply and demand for Federal Reserve deposits," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 1-44, December.
    40. W. Douglas McMillin & William D. Lastrapes, 2001. "Cross-Country Variation in the Liquidity Effect," Departmental Working Papers 2001-04, Department of Economics, Louisiana State University.
    41. Vilasuso, Jon, 1999. "The Liquidity Effect and the Operating Procedure of the Federal Reserve," Journal of Macroeconomics, Elsevier, vol. 21(3), pages 443-461, July.
    42. Harold L. Cole & Lee E. Ohanian, 1997. "Shrinking money and monetary business cycles," Working Papers 579, Federal Reserve Bank of Minneapolis.
    43. Benjamin Kim & Noor Ghazali, 1998. "The Liquidity Effect of Money Shocks on Short-Term Interest Rates: Some International Evidence," International Economic Journal, Taylor & Francis Journals, vol. 12(4), pages 49-63.
    44. Sumner, Scott & Gulley, O. David & Newman, Ross, 1998. "Money Demand and Nominal Debt: An Equilibrium Model of the Liquidity Effect," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 267-293, April.
    45. William D. Lastrapes & W. Douglas McMillin, 2004. "Cross-Country Variation in the Liquidity Effect: The Role of Financial Markets," Economic Journal, Royal Economic Society, vol. 114(498), pages 890-915, October.
    46. McKibbin, Warwick J. & Pagan, Adrian R. & Robertson, John C., 1998. "Some experiments in constructing a hybrid model for macroeconomic analysis," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 113-142, December.
    47. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November.
    48. Michel Normandin, 2006. "The Effects of Monetary-Policy Shocks on Real Wages: A Multi-Country Investigation The Effects of Monetary-Policy Shocks on Real Wages: A Multi-Country Investigationv," Cahiers de recherche 06-04, HEC Montréal, Institut d'économie appliquée.
    49. Cooley, Thomas F. & Dwyer, Mark, 1998. "Business cycle analysis without much theory A look at structural VARs," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 57-88.
    50. Chan Guk Huh, 1996. "Regime switching in the dynamic relationship between the federal funds rate and innovations in nonborrowed reserves," International Finance Discussion Papers 536, Board of Governors of the Federal Reserve System (U.S.).
    51. J. Weymark & H. König & J. Backhaus & B. Hayo & A. Gabriele, 2001. "Book reviews," Journal of Economics, Springer, vol. 73(3), pages 348-368, October.

  12. Robertson, John & Orden, David, 1988. "Cointegration And Long-Run Monetary Neutrality: A Vector Error-Correction Model Of Money And Price Dynamics In New Zealand," 1988 Annual Meeting, August 1-3, Knoxville, Tennessee 270149, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

    Cited by:

    1. Kitchen, John & LeBlanc, Michael & Conway, Roger, 1989. "Commodity Prices in Monetary Policy: The Potential Role of Agricultural Commodity Prices," 1989 Annual Meeting, July 30-August 2, Baton Rouge, Louisiana 270491, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).

Articles

  1. Taelim Choi & Anil Rapusinga & John C. Robertson & Nancy Green Leigh, 2017. "The Effects of High Growth on New Business Survival," The Review of Regional Studies, Southern Regional Science Association, vol. 47(1), pages 1-23, Winter.

    Cited by:

    1. Ismaëlh Cissé & Jean Dubé, 2024. "Survival of new and small retail businesses facing mega‐retailers in non‐metropolitan areas—The case of Walmart in the province of Quebec," Growth and Change, Wiley Blackwell, vol. 55(1), March.
    2. Márta Bisztray & Francesca de Nicola & Balázs Muraközy, 2023. "High-growth firms’ contribution to aggregate productivity growth," Small Business Economics, Springer, vol. 60(2), pages 771-811, February.
    3. Alex Coad & Gregory Scott, 2018. "High-growth firms in Peru," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 37(75), pages 671-696, May.
    4. Cuéllar-Fernández, Beatriz & Fuertes-Callén, Yolanda & Serrano-Magdalena, Adriana, 2024. "Factors behind the resilience of rural startups," Technological Forecasting and Social Change, Elsevier, vol. 206(C).

  2. Julie L. Hotchkiss & John C. Robertson, 2012. "Asymmetric labour force participation decisions," Applied Economics, Taylor & Francis Journals, vol. 44(16), pages 2065-2073, June.

    Cited by:

    1. Julie L. Hotchkiss & Robert E. Moore, 2022. "Some Like it Hot: Assessing Longer-Term Labor Market Benefits from a High-Pressure Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 18(2), pages 193-243, June.
    2. Bod’a, Martin & Považanová, Mariana, 2021. "Output-unemployment asymmetry in Okun coefficients for OECD countries," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 307-323.
    3. Paraskevi Salamaliki & Ioannis Venetis, 2014. "Smooth transition trends and labor force participation rates in the United States," Empirical Economics, Springer, vol. 46(2), pages 629-652, March.
    4. Mercè Sala-Rios & Teresa Torres-Solé & Mariona Farré-Perdiguer, 2018. "Immigrants’ employment and the business cycle in Spain: taking account of gender and origin," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 35(2), pages 463-490, August.
    5. Jorge Belaire-Franch & Amado Peiró, 2015. "Asymmetry in the relationship between unemployment and the business cycle," Empirical Economics, Springer, vol. 48(2), pages 683-697, March.
    6. Peiró, Amado & Belaire-Franch, Jorge & Gonzalo, Maria Teresa, 2012. "Unemployment, cycle and gender," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1167-1175.
    7. Brincikova Zuzana & Darmo Lubomir, 2015. "The Impact of Economic Growth on Gender Specific Unemployment in the EU," Scientific Annals of Economics and Business, Sciendo, vol. 62(3), pages 383-390, November.

  3. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2008. "The Push-Pull Effects of the Information Technology Boom and Bust," Economic Development Quarterly, , vol. 22(3), pages 200-212, August.
    See citations under working paper version above.
  4. Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2006. "Earnings on the Information Technology Roller Coaster: Insight from Matched Employer‐Employee Data," Southern Economic Journal, John Wiley & Sons, vol. 73(2), pages 342-361, October.
    See citations under working paper version above.
  5. Robertson, John C & Tallman, Ellis W & Whiteman, Charles H, 2005. "Forecasting Using Relative Entropy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 383-401, June.
    See citations under working paper version above.
  6. Jason M. DeBacker & Julie L. Hotchkiss & M. Melinda Pitts & John C. Robertson, 2005. "It's who you are and what you do: explaining the IT industry wage premium," Economic Review, Federal Reserve Bank of Atlanta, vol. 90(Q 3), pages 37-45.

    Cited by:

    1. Hotchkiss, Julie L. & Pitts, M. Melinda & Robertson, John C., 2008. "The Push-Pull Effects of the Information Technology Boom and Bust," MPRA Paper 44800, University Library of Munich, Germany.

  7. Robertson, John C & Tallman, Ellis W, 2001. "Improving Federal-Funds Rate Forecasts in VAR Models Used for Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 324-330, July.

    Cited by:

    1. James M. Nason & Ellis W. Tallman, 2012. "Business cycles and financial crises: the roles of credit supply and demand shocks," Working Papers 12-24, Federal Reserve Bank of Philadelphia.
    2. Pär Österholm, 2008. "Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 41-51.
    3. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    4. Chew Lian Chua & Sarantis Tsiaplias, 2008. "Can Consumer Sentiment and Its Components Forecast Australian GDP and Consumption?," Melbourne Institute Working Paper Series wp2008n03, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    5. Michael Dueker & Katrin Assenmacher-Wesche, 2010. "Forecasting macro variables with a Qual VAR business cycle turning point index," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 2909-2920.
    6. Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
    7. Robertson, John C & Tallman, Ellis W & Whiteman, Charles H, 2005. "Forecasting Using Relative Entropy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 383-401, June.
    8. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    9. P. Geoffrey Allen & Robert Fildes, 2005. "Levels, Differences and ECMs – Principles for Improved Econometric Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 881-904, December.
    10. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
    11. Schüler, Yves S. & Fink, Fabian, 2013. "The Transmission of US Financial Stress: Evidence for Emerging Market Economies," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79692, Verein für Socialpolitik / German Economic Association.
    12. Fernando J. Pérez Forero & Fabio Canova, 2015. "Estimating Overidentified, Nonrecursive Time-Varying Coefficients Structural VARs," Working Papers 637, Barcelona School of Economics.
    13. Zachary F. Fisher & Younghoon Kim & Barbara L. Fredrickson & Vladas Pipiras, 2022. "Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data," Psychometrika, Springer;The Psychometric Society, vol. 87(2), pages 1-29, June.
    14. Andrew Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2006. "Transparency, expectations, and forecasts," FRB Atlanta Working Paper 2006-03, Federal Reserve Bank of Atlanta.
    15. Faust, Jon & Swanson, Eric T. & Wright, Jonathan H., 2004. "Identifying VARS based on high frequency futures data," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1107-1131, September.
    16. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
    17. Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," FRB Atlanta Working Paper 2006-22, Federal Reserve Bank of Atlanta.
    18. Erdem, Ergin & Shi, Jing, 2011. "ARMA based approaches for forecasting the tuple of wind speed and direction," Applied Energy, Elsevier, vol. 88(4), pages 1405-1414, April.
    19. Bondarenko, Yevheniia & Lewis, Vivien & Rottner, Matthias & Schüler, Yves, 2023. "Geopolitical Risk Perceptions," CEPR Discussion Papers 18123, C.E.P.R. Discussion Papers.
    20. John H. Huston & Roger W. Spencer, 2009. "Speculative excess and the Federal Reserve's response," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(1), pages 46-61, March.
    21. John B. Carlson & Ben R. Craig & William R. Melick, 2005. "Recovering market expectations of FOMC rate changes with options on federal funds futures," Working Papers (Old Series) 0507, Federal Reserve Bank of Cleveland.
    22. Fink, Fabian & Schüler, Yves S., 2015. "The transmission of US systemic financial stress: Evidence for emerging market economies," Journal of International Money and Finance, Elsevier, vol. 55(C), pages 6-26.
    23. Higgins, Patrick & Zha, Tao & Zhong, Wenna, 2016. "Forecasting China's economic growth and inflation," China Economic Review, Elsevier, vol. 41(C), pages 46-61.
    24. Christopher A. Sims & Tao Zha, 2005. "Were There Regime Switches in U.S. Monetary Policy?," Working Papers 92, Princeton University, Department of Economics, Center for Economic Policy Studies..
    25. Moen, Jon R. & Tallman, Ellis W., 2000. "Clearinghouse Membership and Deposit Contraction during the Panic of 1907," The Journal of Economic History, Cambridge University Press, vol. 60(1), pages 145-163, March.
    26. Eric M. Leeper & Tao Zha, 2002. "Empirical analysis of policy interventions," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    27. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
    28. Paul Viefers, 2011. "Bayesian Inference for the Mixed-Frequency VAR Model," Discussion Papers of DIW Berlin 1172, DIW Berlin, German Institute for Economic Research.
    29. Par Osterholm, 2008. "A structural Bayesian VAR for model-based fan charts," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1557-1569.

  8. John C. Robertson, 2000. "Central bank forecasting: an international comparison," Economic Review, Federal Reserve Bank of Atlanta, vol. 85(Q2), pages 21-32.

    Cited by:

    1. Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand.
    2. Carola Conces Binder & Rodrigo Sekkel, 2023. "Central Bank Forecasting: A Survey," Staff Working Papers 23-18, Bank of Canada.
    3. Shahzad Ahmad & Farooq Pasha, 2015. "A Pragmatic Model for Monetary Policy Analysis I: The Case of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 11, pages 1-42.
    4. Muhammad Nadim Hanif & Muhammad Jahanzeb Malik, 2015. "Evaluating the Performance of Inflation Forecasting Models of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 11, pages 43-78.
    5. Christopher Gibbs, 2015. "Forecast Combination, Non-linear Dynamics, and the Macroeconomy," Discussion Papers 2015-05, School of Economics, The University of New South Wales.
    6. Katerina Smidkova, 2003. "Methods Available to Monetary Policy Makers to Deal with Uncertainty," Macroeconomics 0310002, University Library of Munich, Germany.

  9. John C. Robertson & Ellis W. Tallman, 1999. "Vector autoregressions: forecasting and reality," Economic Review, Federal Reserve Bank of Atlanta, vol. 84(Q1), pages 4-18.

    Cited by:

    1. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Open Access publications 10197/7588, School of Economics, University College Dublin.
    2. David E. Bloom & David Canning & Günther Fink & Jocelyn E. Finlay, 2007. "Does Age Structure Forecast Economic Growth?," NBER Working Papers 13221, National Bureau of Economic Research, Inc.
    3. Kilian, L. & Zha, T., 1999. "Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors," Papers 99-08, Michigan - Center for Research on Economic & Social Theory.
    4. Berg, Tim O. & Henzel, Steffen R., 2015. "Point and density forecasts for the euro area using Bayesian VARs," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
    5. Tallman, Ellis W. & Zaman, Saeed, 2020. "Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy," International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
    6. Paul Crompton & Yanrui Wu, 2004. "Energy Consumption in China: Past Trends and Future Directions," Economics Discussion / Working Papers 04-22, The University of Western Australia, Department of Economics.
    7. Per Jansson & Anders Vredin, 2001. "Forecast-based monetary policy in Sweden 1992-98: a view from within," BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 204-226, Bank for International Settlements.
    8. Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2002. "Evaluating Wall Street Journal survey forecasters: a multivariate approach," FRB Atlanta Working Paper 2002-8, Federal Reserve Bank of Atlanta.
    9. Berger, Tino & Richter, Julia & Wong, Benjamin, 2021. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," University of Göttingen Working Papers in Economics 415, University of Goettingen, Department of Economics.
    10. Heather Anderson & Giovanni Caggiano & Farshid Vahid & Benjamin Wong, 2020. "Sectoral employment dynamics in Australia," CAMA Working Papers 2020-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Per Jansson & Anders Vredin, 2003. "Forecast‐Based Monetary Policy: The Case of Sweden," International Finance, Wiley Blackwell, vol. 6(3), pages 349-380, November.
    12. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
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    1. Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010. "Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy," Journal of Econometrics, Elsevier, vol. 158(1), pages 108-116, September.
    2. Michael R. Wickens & Roberto Motto, 2001. "Estimating shocks and impulse response functions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 371-387.
    3. Fielding, David & Shields, Kalvinder, 2003. "A nation divided? Price and output dynamics in English regions," Economic Modelling, Elsevier, vol. 20(3), pages 651-677, May.
    4. Guglielmo Maria Caporale & Alessandro Girardi, 2011. "Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System," CESifo Working Paper Series 3525, CESifo.
    5. Antonio Ribba, 2006. "Permanent Disinflationary Effects on Unemployment in a Small Open Economy: Italy 1979-1995," EcoMod2006 272100073, EcoMod.
    6. Hoffman, Mathias, 2001. "The Relative Dynamics of Investment and the Current Account in the G7-Economies," Economic Journal, Royal Economic Society, vol. 111(471), pages 148-163, May.
    7. Adrian Pagan, 2001. "The Getting of Macroeconomic Wisdom," International Economic Association Series, in: Jacques Drèze (ed.), Advances in Macroeconomic Theory, chapter 11, pages 219-235, Palgrave Macmillan.
    8. Centoni, Marco & Cubadda, Gianluca, 2003. "Measuring the business cycle effects of permanent and transitory shocks in cointegrated time series," Economics Letters, Elsevier, vol. 80(1), pages 45-51, July.
    9. Fisher, Lance A. & Huh, Hyeon-Seung & Summers, Peter M., 2000. "Structural Identification of Permanent Shocks in VEC Models: A Generalization," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 53-68, January.
    10. Mario J. Crucini & Mototsugu Shintani, 2010. "Measuring business cycles by saving for a rainy day," Globalization Institute Working Papers 50, Federal Reserve Bank of Dallas.
    11. Katrin Assenmacher-Wesche, 2008. "Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(II), pages 197-246, June.
    12. Brüggemann, Ralf, 2006. "Finite sample properties of impulse response intervals in SVECMs with long-run identifying restrictions," SFB 649 Discussion Papers 2006-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    13. Antonio Ribba, 2006. "The joint dynamics of inflation, unemployment and interest rate in the United States since 1980," Empirical Economics, Springer, vol. 31(2), pages 497-511, June.
    14. Garratt, Anthony & Lee, Kevin C & Pesaran, M. Hashem & Shin, Yongcheol, 1998. "A Structural Cointegrating VAR Approach to Macroeconometric Modelling," Cambridge Working Papers in Economics 9823, Faculty of Economics, University of Cambridge.
    15. Anthony Garratt & Kevin Lee & M. Hashem Pesaran & Yongcheol Shin, 2003. "A Long run structural macroeconometric model of the UK," Economic Journal, Royal Economic Society, vol. 113(487), pages 412-455, April.
    16. Mardi Dungey & Denise R Osborn, 2009. "Modelling International Linkages for Large Open Economies: US and Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 121, Economics, The University of Manchester.
    17. David Fielding & Kevin Lee & Kalvinder Shields, 2004. "The Characteristics of Macroeconomic Shocks in the CFA Franc Zone," WIDER Working Paper Series RP2004-21, World Institute for Development Economic Research (UNU-WIDER).
    18. Dungey, Mardi & Fry, Renée, 2009. "The identification of fiscal and monetary policy in a structural VAR," Economic Modelling, Elsevier, vol. 26(6), pages 1147-1160, November.
    19. Alessio Moneta & Doris Entner & Patrik O. Hoyer & Alex Coad, 2013. "Causal Inference by Independent Component Analysis: Theory and Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 705-730, October.
    20. Jeon, Yongil & Shields, Michael P., 2008. "The Impact of Relative Cohort Size on U.S. Fertility, 1913-2001," IZA Discussion Papers 3587, Institute of Labor Economics (IZA).
    21. McKibbin, Warwick J. & Pagan, Adrian R. & Robertson, John C., 1998. "Some experiments in constructing a hybrid model for macroeconomic analysis," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 113-142, December.
    22. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin, 2015. "Addressing important econometric issues on how to construct theoretical based exchange rate misalignment estimates," Textos para discussão 401, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    23. Zulkefly Abdul Karim & Bakri Abdul Karim, 2016. "Foreign Shocks, Monetary Policy, and Macroeconomic Fluctuations in a Small Open Economy: A SVAR Study of Malaysia," EuroEconomica, Danubius University of Galati, issue 3(12), pages 45-67, JUNE.
    24. Zulkefly Abdul Karim & Bakri Abdul Karim, 2016. "Foreign Shocks, Monetary Policy, and Macroeconomic Fluctuations in a Small Open Economy: A SVAR Study of Malaysia," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 12(3), pages 45-67, JUNE.

  11. John C. Robertson & Ellis W. Tallman, 1998. "Data vintages and measuring forecast model performance," Economic Review, Federal Reserve Bank of Atlanta, vol. 83(Q 4), pages 4-20.

    Cited by:

    1. Adam J. Check & Anna K Nolan & Tyler C. Schipper, 2019. "Forecasting GDP Growth using Disaggregated GDP Revisions," Economics Bulletin, AccessEcon, vol. 39(4), pages 2580-2588.
    2. Andres Fernandez & Norman R. Swanson, 2009. "Real-time datasets really do make a difference: definitional change, data release, and forecasting," Working Papers 09-28, Federal Reserve Bank of Philadelphia.
    3. Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
    4. Rusnák, Marek, 2016. "Nowcasting Czech GDP in real time," Economic Modelling, Elsevier, vol. 54(C), pages 26-39.
    5. Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
    6. Jon Faust & John H. Rogers & Jonathan H. Wright, 2000. "News and noise in G-7 GDP announcements," International Finance Discussion Papers 690, Board of Governors of the Federal Reserve System (U.S.).
    7. Clements, Michael P. & Galvão, Ana Beatriz, 2010. "Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions," The Warwick Economics Research Paper Series (TWERPS) 953, University of Warwick, Department of Economics.
    8. Fang, Tong & Lee, Tae-Hwy & Su, Zhi, 2020. "Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 36-49.
    9. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36, March.
    10. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Ravazzolo, F., 2007. "Evaluating real-time forecasts in real-time," Econometric Institute Research Papers EI 2007-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics.
    12. Michael Pedersen, 2010. "Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data," Working Papers Central Bank of Chile 595, Central Bank of Chile.
    13. Michael P. Clements & Ana Beatriz Galvão, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206, November.
    14. Dean Croushore, 2011. "Frontiers of Real-Time Data Analysis," Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
    15. John C. Robertson & Ellis W. Tallman, 1999. "Vector autoregressions: forecasting and reality," Economic Review, Federal Reserve Bank of Atlanta, vol. 84(Q1), pages 4-18.
    16. Michael P. Clements, 2017. "Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 420-433, July.
    17. John C. Robertson & Ellis W. Tallman, 1999. "Improving forecasts of the federal funds rate in a policy model," FRB Atlanta Working Paper 99-3, Federal Reserve Bank of Atlanta.
    18. Sheila Dolmas & Evan F. Koenig & Jeremy M. Piger, 2000. "The use and abuse of \"real-time\" data in economic forecasting," Working Papers 0004, Federal Reserve Bank of Dallas.
    19. Marek RUSNAK, 2013. "Revisions to the Czech National Accounts: Properties and Predictability," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(3), pages 244-261, July.
    20. Todd E. Clark & Michael W. McCracken, 2008. "Tests of equal predictive ability with real-time data," Working Papers 2008-029, Federal Reserve Bank of St. Louis.
    21. Andrew J. Filardo, 1999. "How reliable are recession prediction models?," Economic Review, Federal Reserve Bank of Kansas City, vol. 84(Q II), pages 35-55.
    22. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
    23. Kitchen, John & Monaco, Ralph, 2003. "Real-Time Forecasting in Practice: The U.S. Treasury Staff's Real-Time GDP Forecast System," MPRA Paper 21068, University Library of Munich, Germany, revised Oct 2003.
    24. Mr. Jens R Clausen & Bianca Clausen, 2010. "Simulating Inflation Forecasting in Real-Time: How Useful Is a Simple Phillips Curve in Germany, the UK, and the US?," IMF Working Papers 2010/052, International Monetary Fund.
    25. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
    26. Jean-Philippe Cayen & Simon van Norden, 2002. "La fiabilité des estimations de l'écart de production au Canada," Staff Working Papers 02-10, Bank of Canada.
    27. Dean Croushore & Tom Stark, 2000. "A real-time data set for macroeconomists: does data vintage matter for forecasting?," Working Papers 00-6, Federal Reserve Bank of Philadelphia.
    28. Dean Croushore & Tom Stark, 1999. "Does data vintage matter for forecasting?," Working Papers 99-15, Federal Reserve Bank of Philadelphia.
    29. Peter Tulip, 2009. "Has the Economy Become More Predictable? Changes in Greenbook Forecast Accuracy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1217-1231, September.
    30. Scott Schuh, 2001. "An evaluation of recent macroeconomic forecast errors," New England Economic Review, Federal Reserve Bank of Boston, pages 35-56.
    31. Vogt Gerit, 2007. "Analyse der Prognoseeigenschaften von ifo-Konjunkturindikatoren unter Echtzeitbedingungen / The Forecasting Performance of ifo-indicators Under Real-time Conditions," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 227(1), pages 87-101, February.

  12. A. R. Pagan & J. C. Robertson, 1998. "Structural Models Of The Liquidity Effect," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 202-217, May.
    See citations under working paper version above.
  13. McKibbin, Warwick J. & Pagan, Adrian R. & Robertson, John C., 1998. "Some experiments in constructing a hybrid model for macroeconomic analysis," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 113-142, December.

    Cited by:

    1. Peter Ireland, 1999. "A Method for Taking Models to the Data," Computing in Economics and Finance 1999 1233, Society for Computational Economics.
    2. Warwick J. McKibbin & Kanhaiya Singh, 2003. "Issues in the Choice of a Monetary Regime for India," Chapters, in: Kaliappa Kalirajan & Ulaganathan Sankar (ed.), Economic Reform and the Liberalisation of the Indian Economy, chapter 10, pages 221-274, Edward Elgar Publishing.
    3. Philip Liu, 2007. "Stabilizing The Australian Business Cycle: Good Luck Or Good Policy?," CAMA Working Papers 2007-24, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. James B. Ang, 2008. "A Survey Of Recent Developments In The Literature Of Finance And Growth," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 536-576, July.
    5. McKibbin, Warwick J. & Wilcoxen, Peter J., 2013. "A Global Approach to Energy and the Environment," Handbook of Computable General Equilibrium Modeling, in: Peter B. Dixon & Dale Jorgenson (ed.), Handbook of Computable General Equilibrium Modeling, edition 1, volume 1, chapter 0, pages 995-1068, Elsevier.

  14. John C. Robertson & Daniel L. Thornton, 1997. "Using federal funds futures rates to predict Federal Reserve actions," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 45-53.

    Cited by:

    1. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356, HAL.
    2. Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007. "Market-Based Measures of Monetary Policy Expectations," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
    3. Amir KIA, 2009. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," EcoMod2009 21500052, EcoMod.
    4. Mr. Kevin Ross, 2002. "Market Predictability of ECB Policy Decisions: A Comparative Examination," IMF Working Papers 2002/233, International Monetary Fund.
    5. Jorge Inigo, 2017. "Pricing of Mexican Interest Rate Swaps in Presence of Multiple Collateral Currencies," Papers 1703.00923, arXiv.org.
    6. William Poole & Robert Rasche, 2000. "Perfecting the Market's Knowledge of Monetary Policy," Journal of Financial Services Research, Springer;Western Finance Association, vol. 18(2), pages 255-298, December.
    7. Lucio Sarno & Daniel L. Thornton, 2002. "The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation," Working Papers 2000-032, Federal Reserve Bank of St. Louis.
    8. Söderström, Ulf, 1999. "Predicting monetary policy using federal funds futures prices," SSE/EFI Working Paper Series in Economics and Finance 307, Stockholm School of Economics.
    9. Dunbar, Kwamie & Amin, Abu S., 2015. "The nature and impact of the market forecasting errors in the Federal funds futures market," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 174-192.
    10. Martin Hlusek, 2002. "Estimating Market Probabilities of Future Interest Rate Changes," Working Papers 2002/02, Czech National Bank.
    11. Pérez Quirós, Gabriel & Sicilia, Jorge, 2002. "Is the European Central Bank (and the United States Federal Reserve) predictable?," Working Paper Series 192, European Central Bank.
    12. Adrienne Kearney & Raymond Lombra, 2003. "Fed funds futures and the news," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(4), pages 330-337, December.
    13. Teik-Khim Ooi & Wee-Yeap Lau, 2021. "Impact of Market Expectations on the U.S. Interest Rate Lift-Off in ASEAN-5 Financial System," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 243-271, June.
    14. Richard Austin & Jeff Moore, 2002. "The behavior of federal funds futures prices over the monetary policy cycle," Economic Review, Federal Reserve Bank of Atlanta, vol. 87(Q2), pages 45-61.
    15. Daniel L. Thornton, 2000. "The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?," Working Papers 1999-022, Federal Reserve Bank of St. Louis.
    16. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," PSE-Ecole d'économie de Paris (Postprint) halshs-00368356, HAL.
    17. N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
    18. Daniel L. Thornton, 1998. "Tests of the market's reaction to federal funds rate target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-36.
    19. John S. Lapp & Douglas K. Pearce & Surachit Laksanasut, 2003. "The Predictability of FOMC Decisions: Evidence from the Volcker and Greenspan Chairmanships," Southern Economic Journal, John Wiley & Sons, vol. 70(2), pages 312-327, October.
    20. Amir Kia, 2011. "Developing a Market-Based Monetary Policy Transparency Index: Evidence from the United States," Economic Issues Journal Articles, Economic Issues, vol. 16(2), pages 53-80, September.
    21. Nicholas Taylor, 2010. "The Determinants of Future U.S. Monetary Policy: High-Frequency Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 399-420, March.
    22. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
    23. Raymond E. Owens & Roy H. Webb, 2001. "Using the federal funds futures market to predict monetary policy actions," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 69-77.
    24. Dominique Guegan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Post-Print halshs-00188247, HAL.
    25. Kim, Hyerim & Kang, Kyu Ho, 2022. "The Bank of Korea watch," Journal of International Money and Finance, Elsevier, vol. 126(C).
    26. V. Vance Roley & Gordon H. Sellon, 1998. "Market reaction to monetary policy nonannouncements," Research Working Paper 98-06, Federal Reserve Bank of Kansas City.
    27. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Post-Print halshs-00368356, HAL.
    28. Sébastien Wälti, 2003. "Contagion and interdependence among Central European economies: the impact of common external shocks," IHEID Working Papers 02-2003, Economics Section, The Graduate Institute of International Studies.
    29. Brian P. Sack, 2002. "Extracting the expected path of monetary policy from futures rates," Finance and Economics Discussion Series 2002-56, Board of Governors of the Federal Reserve System (U.S.).

  15. T. S. Breusch & J. C. Robertson & A. H. Welsh, 1997. "The emperor's new clothes: a critique of the multivariate t regression model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 51(3), pages 269-286, November.

    Cited by:

    1. Enzo D'Innocenzo & Alessandra Luati & Mario Mazzocchi, 2020. "A Robust Score-Driven Filter for Multivariate Time Series," Papers 2009.01517, arXiv.org, revised Aug 2022.
    2. Reinaldo Arellano-Valle & Marc Genton, 2010. "An invariance property of quadratic forms in random vectors with a selection distribution, with application to sample variogram and covariogram estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(2), pages 363-381, April.
    3. Shuangzhe Liu & Chris Heyde, 2008. "On estimation in conditional heteroskedastic time series models under non-normal distributions," Statistical Papers, Springer, vol. 49(3), pages 455-469, July.
    4. Castilla, Elena & Zografos, Konstantinos, 2022. "On distance-type Gaussian estimation," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

  16. Adrian R. Pagan & John C. Robertson, 1995. "Resolving the liquidity effect," Proceedings, Federal Reserve Bank of St. Louis, issue May, pages 33-54.
    See citations under working paper version above.
  17. John C. Robertson & David Orden, 1990. "Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 160-171.

    Cited by:

    1. Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Asjaha, T.A. & Jooste, Andre, 2007. "The Effect of Monetary Changes on Relative Agricultural Prices," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 46(4), pages 1-15, December.
    3. Lai, Ching-Chong & Hu, Shih-Wen & Fan, Chih-Ping, 2005. "The Overshooting Hypothesis of Agricultural Prices: The Role of Asset Substitutability," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 30(01), pages 1-23, April.
    4. Khalid Mushtaq & Abdul Ghafoor & Abedullah & Farhan Ahmad, 2011. "Impact of Monetary and Macroeconomic Factors on Wheat Prices in Pakistan: Implications for Food Security," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(1), pages 95-110, Jan-Jun.
    5. Juan Carlos Echeverry, 1993. "Indicadores de política y canales de transmisión monetaria. Colombia: 1975-1991," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 12(24), pages 7-41, December.
    6. Saghaian, Sayed H. & Reed, Michael R., 2014. "The Impact Of The Recent Federal Reserve Large-Scale Asset Purchases On The Agricultural Commodity Prices: A Historical Decomposition," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 2(2), pages 1-16, April.
    7. Devadoss, Stephen, 1991. "Tests Of Monetary Neutrality On Farm Output," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 16(01), pages 1-1, July.
    8. Burakov, D., 2016. "Oil Prices, Exchange Rate and Prices for Agricultural Commodities: Empirical Evidence from Russia," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 8(2), pages 1-15, June.
    9. Saghaian, Sayed & Reed, Michael, 2015. "Spillover Effects Of U.S. Federal Reserve’S Recent Quantitative Easing On Canadian Commodity Prices," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 3(01), pages 1-33, January.
    10. Christophe C. Gouel, 2012. "Agricultural price instability: a survey of competing explanations and remedies," Post-Print hal-01001218, HAL.
    11. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," 2004 Annual meeting, August 1-4, Denver, CO 20141, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    12. Michael T. Belongia, 1991. "Monetary policy and the farm/nonfarm price ratio: a comparison of effects," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 30-46.
    13. Ziotis, Nikolaos & Papadas, Christos T., 2011. "Supply of Money and Food Prices: The Case of Greece," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 12(01).
    14. Jiawu Dai & Liurui Deng & Lan Yang, 2021. "Testing the absorber hypothesis of exchange rates for the overshooting of agricultural prices in China," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(8), pages 327-336.
    15. Ioanna Apostolidou & Achilleas Kontogeorgos & Anastasios Michailidis & Efstratios Loizou, 2014. "The Role of Agriculture in Economic Growth: A Comparison of Mediterranean and Northern Views in Europe," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 7(3), pages 81-102, December.
    16. Verheyen, Florian, 2010. "Monetary Policy, Commodity Prices and Infl ation – Empirical Evidence from the US," Ruhr Economic Papers 216, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    17. Masih, Abul M. M. & Masih, Rumi, 1997. "Dynamic linkages and the propagation mechanism driving major international stock markets: An analysis of the pre- and post-crash eras," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(4), pages 859-885.
    18. Dmitry Burakov, 2016. "Elasticity of Agricultural Prices in Russia: An Empirical Study of Energy and Monetary Channels," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 551-562.
    19. Nikolaos Dritsakis & Antonios Adamopoulos, 2004. "The Causal Relationship Between Domestic Private Consumption and Wholesale Prices: The Case of European Union," European Research Studies Journal, European Research Studies Journal, vol. 0(3-4), pages 53-64.
    20. Liu, Donald J. & Chung, Pin J. & Meyers, William H., 1993. "Impact of Domestic and Foreign Macroeconomic Variables on U.S. Meat Exports (The)," Staff General Research Papers Archive 646, Iowa State University, Department of Economics.
    21. Masih, Abul M. M. & Masih, Rumi, 1996. "Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach," Journal of Policy Modeling, Elsevier, vol. 18(5), pages 531-560, October.
    22. Huchet Bourdon, Marilyne & Laroche Dupraz, Catherine & Sénadin, Anned-Linz, 2013. "Impact du taux de change sur la sécurité alimentaire des pays en développement," Working Papers 207856, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
    23. Shahnoushi, Naser & Henneberry, Shida Rastegari & Manssori, Hooman, 2009. "An Examination of the Relationship between Food Prices and Government Monetary Policies in Iran," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46078, Southern Agricultural Economics Association.
    24. Masih, A. Mansur M. & Masih, Rumi, 2002. "Propagative causal price transmission among international stock markets: evidence from the pre- and postglobalization period," Global Finance Journal, Elsevier, vol. 13(1), pages 63-91.
    25. Jahantigh , Forough & Rahmi Ghasemabadi , Mohammad & Jalali , Omolbanin, 2018. "The Impact of Monetary Policy Shock on the Price of Storable Goods: A Case Study of Food," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(4), pages 471-490, October.
    26. Zhengwei MA & Rui XU & Xiucheng DONG, 2015. "World oil prices and agricultural commodity prices: The evidence from China," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 61(12), pages 564-576.
    27. Masih, Rumi & Masih, Abul M. M., 1996. "Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis," Economic Modelling, Elsevier, vol. 13(3), pages 407-426, July.
    28. Bakucs, Lajos Zoltan & Ferto, Imre, 2005. "The Influence of Macroeconomic Variables on the Hungarian Agriculture," 2005 Annual meeting, July 24-27, Providence, RI 19232, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    29. Triantafyllou, Athanasios & Dotsis, George, 2017. "Option-implied expectations in commodity markets and monetary policy," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 1-17.
    30. Bliska, Flávia Maria de Mello & Guilhoto, Joaquim José Martins, 2000. "Impactos de alterações nas exportações brasileiras de carnes sobre a economia brasileira [Impacts of changes in the Brazilian meat exports on the Brazilian economy]," MPRA Paper 54231, University Library of Munich, Germany.
    31. Gong, Li & Kinnucan, Henry, 2015. "Effects of Recession and Dollar Weakening on the U.S. Agricultural Trade Balance," 2015 Annual Meeting, January 31-February 3, 2015, Atlanta, Georgia 196612, Southern Agricultural Economics Association.
    32. Koo, Won W. & Cho, Guedae & Kim, MinKyoung, 2005. "Macro Effects on Agricultural Prices in Different Time Horizons," 2005 Annual meeting, July 24-27, Providence, RI 19349, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    33. Efstratios Loizou & Kostandinos Mattas & Angelos Pagoulatos, 1997. "Macro-monetary effects on agricultural prices: the case of Greek agriculture," Applied Economics Letters, Taylor & Francis Journals, vol. 4(7), pages 397-400.
    34. Bakucs, Lajos Zoltan & Ferto, Imre, 2005. "Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24711, European Association of Agricultural Economists.
    35. Tabakis, Nikolaos M., 2001. "A Multivariate Model for the Relationship Between Agricultural Prices and Inflation Uncertainty: Evidence Using Greek Data," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 2(01), pages 1-11, January.
    36. Abul Masih & Rumi Masih, 1997. "A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 59-74.
    37. Yu, Xiaohua, 2014. "Monetary easing policy and long-run food prices: Evidence from China," Economic Modelling, Elsevier, vol. 40(C), pages 175-183.
    38. Wang, Dabin & Tomek, William G., 2004. "Commodity Prices And Unit Root Tests," Working Papers 127145, Cornell University, Department of Applied Economics and Management.
    39. Bakucs, Lajos Zoltan & Ferto, Imre, 2009. "Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy: The Case of Hungary," 2009 Conference, August 16-22, 2009, Beijing, China 51798, International Association of Agricultural Economists.

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