Research

Current Working Papers

• “Trend-Cycle Decomposition after COVID” with Gunes Kamber and Ben Wong (go to bnfiltering.com to implement BN filter for any time series)

• “Unemployment in a Commodity-Rich Economy: How Relevant Is Dutch Disease?” with Mariano Kulish, Nadine Yamout, and Francesco Zanetti (slides)

• “A Structural Measure of the Shadow Federal Funds Rate” with Callum Jones and Mariano Kulish [earlier FEDS Working Paper 2021-064 version] (click here for latest structural shadow rate data available for download)

• “Have the Driving Forces of Inflation Changed in Advanced and Emerging Market Economies?” with Gunes Kamber and Madhusudan Mohanty [BIS Working Paper No. 896] 

• “Measuring the Fiscal Multiplier when Plans Take Time to Implement” with Kevin Lee, Kian Ong, and Kalvinder Shields

Refereed Journal Articles and Book Chapters

• “A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*” Journal of Business & Economic Statistics (April 2024, vol. 42, pp. 665-680, available open access) with Trung Duc Tran and Benjamin Wong (click here for code)

• “Did Marginal Propensities to Consume Change with the Housing Boom and Bust?” Journal of Applied Econometrics (January/February 2024, vol. 39, pp. 174-199, available open access) with Yunho Cho and Aarti Singh (click here for code and here for online appendix)

• “Does the Survey of Professional Forecasters Help Predict the Shape of Recessions in Real Time?” Economics Letters (December 2023, vol. 233, 111419, available open access) with Yunjong Eo (click here for code)

• “Estimating the Euro Area Output Gap Using Multivariate Information and Addressing the COVID-19 Pandemic” European Economic Review (April 2023, vol. 153, 104385, available open access) with Diego Rodriguez Palenzuela, Yiqiao Sun, and Benjamin Wong

• “Nowcasting the Output Gap” Journal of Econometrics (January 2023, vol. 232, pp. 18-34, available open access) with Tino Berger and Benjamin Wong (click here for code)

• “Cyclical Signals from the Labor Market” Oxford Open Economics (2022, vol. 1, pp. 1-16, lead article, available open access) with Tino Berger, Paul David Boll, and Benjamin Wong

• “Debt and Financial Market Contagion” Empirical Economics (April 2022, vol. 62, pp. 1599-1648, publicly available) with Cody Yu-Ling Hsiao

• “Why Has the U.S. Economy Stagnated Since the Great Recession?” Review of Economics and Statistics (March 2022, vol. 104, pp. 246-258, available open access) with Yunjong Eo (click here for code)

• “When Is Discretionary Fiscal Policy Effective?” Studies in Nonlinear Dynamics and Econometrics (September 2021, vol. 25, pp. 229-254, available open access) with Steve Fazzari and Irina Panovska (click here for code and here for online appendix)

• “Estimating Household Consumption Insurance” Journal of Applied Econometrics (August 2021, vol. 36, pp. 628-635, available open access) with Arpita Chatterjee and Aarti Singh (click here or here for code and online appendix)

• “Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?” Macroeconomic Dynamics (September 2020, vol. 24, pp. 1403-1436) with Irina Panovska (click here for code and here for online appendix) 

• “A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting” The Economic Record (September 2020, Special Issue Dedicated to the Memory of Mardi Dungey, vol. 96, pp. 271-293) with Luke Hartigan (click here for code and here for online appendix)

• “The Australian Real-Time Fiscal Database: An Overview and an Illustration of its Use in Analysing Planned and Realised Fiscal Policies” The Economic Record (March 2020, vol. 96, pp. 87-106) with Kevin Lee, Kalvinder Shields, and Madeleine Sui-Lay Tan (click here for data)

• “Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions” Journal of Applied Econometrics (January/February 2020, vol. 35, pp. 1-18, lead article, available open access) with Benjamin Wong (click here for code and online appendix)

• “Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter” Review of Economics and Statistics (July 2018, vol. 100, pp. 550-566, available open access) with Gunes Kamber and Benjamin Wong (click here for code and here or here for online appendix)

• “The Changing Transmission Mechanism of U.S. Monetary Policy” Empirical Economics (May 2018, vol. 54, pp. 959-987) with Norhana Endut and Pao-Lin Tien

• “Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples” Studies in Nonlinear Dynamics and Econometrics (February 2018, vol. 22, pp. 1-11, publicly available) with Luiggi Donayre and Yunjong Eo (Awarded Best Paper in 2018 for Studies in Nonlinear Dynamics and Econometrics) (click here for code)

• “Estimating DSGE Models with Zero Interest Rate Policy” Journal of Monetary Economics (June 2017, vol. 88, pp. 35-49) with Mariano Kulish and Tim Robinson (click here for code and here for online appendix)

• “Testing Stationarity with Unobserved Components Models” Macroeconomic Dynamics (January 2017, vol. 21, pp. 160-182) with Irina Panovska and Tara Sinclair (click here for code)

• “Macro-Finance Linkages” Journal of Economic Surveys (September 2016, vol. 30, pp. 698-711)

• “Inventory Shocks and the Great Moderation” Journal of Money, Credit, and Banking (June 2016, vol. 48, pp. 699-728, available on JSTOR) with Aarti Singh

• “What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Analysis” Journal of Economic Dynamics and Control (September 2015, vol. 58, 235-249) with Narayan K. Kishor

• “Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks” Quantitative Economics (July 2015, vol. 6, pp. 463-497, available open access) with Yunjong Eo (click here for code)

• “State-Dependent Effects of Fiscal Policy” Studies in Nonlinear Dynamics and Econometrics (June 2015, vol. 19, pp. 285-315, available open access) with Steven Fazzari and Irina Panovska (click here for code)

• “Inflation in the G7: Mind the Gap(s)?” Macroeconomic Dynamics (June 2015, vol. 19, 883-912) with Jeremy Piger and Robert Rasche

• “Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle” Journal of International Money and Finance (March 2015, vol. 51, pp. 285-302) with Ming Lo

• “The Meta Taylor Rule” Journal of Money, Credit, and Banking (February 2015, vol. 47, pp. 73-98, available on JSTOR) with Kevin Lee and Kalvinder Shields

• “Structural Evolution of the Postwar U.S. Economy” Journal of Economic Dynamics and Control (May 2014, vol. 42, pp. 50-68) with Yuelin Liu

• “Daily Bathing with Chlorhexidine-Based Soap and the Prevention of Staphylococcus aureus Transmission and Infection” Infection Control and Hospital Epidemiology (March 2014, vol. 35, no. 3, pp. 243-250) with Melissa A. Viray, Craig M. Coopersmith, Marin H. Kollef, Victoria J. Fraser, and David K. Warren 

• “Testing for a Markov-Switching Mean in Serially Correlated Data” in J. Ma and M. Wohar (eds.), Recent Advances in Estimating Nonlinear Models (Springer, Berlin, 2014, pp. 85-97) with Zohra Rabah

• “Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?” Studies in Nonlinear Dynamics and Econometrics (December 2013, vol. 17, issue 5, 483-498, lead article) with Jeremy Piger and Pao-Lin Tien (click here for code)

• “The Asymmetric Business Cycle” Review of Economics and Statistics (February 2012, vol. 94, pp. 208-221, available on JSTOR) with Jeremy Piger (click  here for code)

• “Time Variation of CAPM Betas across Market Volatility Regimes” Applied Financial Economics (June 2011, vol. 21, no. 19, pp. 1463-1478) with Azamat Abdymomunov

• “The Two Interpretations of the Beveridge-Nelson Decomposition” Macroeconomic Dynamics (June 2011, vol. 15, 419-439)

• “Peripherally Inserted Central Venous Catheter-Associated Bloodstream Infections in Hospitalized Adult Patients” Infection Control and Hospital Epidemiology (February 2011, vol. 32, no. 2, pp. 125-130) with M. Cristina Ajenjo, Anthony J. Russo, Kathleen M. McMullen, Catherine Robinson, Robert C. Williams, and David K. Warren 

• “The Effects of Oil Price Shocks on Output” Business Economics (October 2009, vol. 44, no. 4, pp. 220-228) with Neal Ghosh and Chris Varvares

• “Changes in U.S. Inflation Persistence” Studies in Nonlinear Dynamics and Econometrics (September 2009, vol. 13, issue 4, lead article) with Kyu Ho Kang and Chang-Jin Kim (click here for code)

• “Nonlinear Time Series in Macroeconomics” in R.A. Meyers (ed.), Encyclopedia of Complexity and System Science (Springer, Berlin, 2009) (pdf available here)

• “Trend/Cycle Decomposition of Regime-Switching Processes” Journal of Econometrics (October 2008, vol. 146, pp. 220-226) with Jeremy Piger

• “Bayesian Counterfactual Analysis of the Sources of the Great Moderation” Journal of Applied Econometrics (March 2008, vol. 23, pp. 173-191, available on JSTOR) with Chang-Jin Kim and Jeremy Piger

• “The Slow Adjustment of Aggregate Consumption to Permanent Income” Journal of Money, Credit, and Banking (March-April 2007, vol. 39, pp. 615-638, available on JSTOR) (click here for code)

• “In Search of the Natural Rate of Unemployment” Journal of Monetary Economics (March 2007, vol. 54, pp. 550-564) with Thomas King

• “Detecting Shift-Contagion in Currency and Bond Markets” Journal of International Economics (March 2006, vol. 68, pp. 409-423) with Toni Gravelle and Maral Kichian (click here for code)

• “The Importance of Nonlinearity in Reproducing Business Cycle Features” in C. Milas, P. Rothman, and D. van Dijk (eds.), Nonlinear Time Series Analysis of Business Cycles (Elsevier Science, Amsterdam, 2006, pp. 75-95, available from Google Books) with Jeremy Piger

• “A Kalman Filter Approach to Characterizing the Canadian Term Structure of Interest Rates” Applied Financial Economics (June 2005, vol. 15, no. 10, pp. 691-705) with Toni Gravelle

• “The Structural Break in the Equity Premium” Journal of Business & Economic Statistics (April 2005, vol. 23, pp. 181-191, available on JSTOR) with Chang-Jin Kim and Charles R. Nelson

• “Nonlinearity and the Permanent Effects of Recessions” Journal of Applied Econometrics (Special Issue on "Recent Developments in Business Cycle Analysis" 2005, vol. 20, pp. 291-309, available on JSTOR) with Chang-Jin Kim and Jeremy Piger (click here for code)

• “Is There A Positive Relationship between Stock Market Volatility and the Equity Premium?” Journal of Money, Credit, and Banking (June 2004, part 1, vol. 36, no. 3, pp. 339-360, available on JSTOR) with Chang-Jin Kim and Charles R. Nelson (click here for code)

• “Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?” Review of Economics and Statistics (May 2003, vol. 85, no. 2, pp. 235-243, lead article, available on JSTOR) with Charles R. Nelson and Eric Zivot (click here for code)

• “A State-Space Approach to Calculating the Beveridge-Nelson Decomposition” Economics Letters (March 2002, vol. 75, no. 1, pp. 123-127)

• “Does an Intertemporal Tradeoff Between Risk and Return Explain Mean Reversion in Stock Prices?” Journal of Empirical Finance (September 2001, vol. 8, no. 4, pp. 403-426) with Chang-Jin Kim and Charles R. Nelson (click here for code) 

Conference Papers, Overviews, Discussions, and Reviews

• “Zero Interest Policy & the New Abnormal: A Critique, by Michael Beenstock (Oxford University Press, Oxford, UK, 2022)” The Economic Record (forthcoming, available open access)

• “What Drives Inflation in Advanced and Emerging Market Economies?” BIS Papers (March 2020, no. 11, Inflation Dynamics in Asia and the Pacific, pp. 21-36)

• “The Business Cycle: Periodic Pandemic or Rollercoaster Ride?” International Journal of Economic Policy Studies (August 2019, vol. 13, 425-431)

• “Australia, the Safe” Journal & Proceedings of the Royal Society of New South Wales (June 2019, vol. 152, 102-106)

• “The Econometric Analysis of Recurrent Events in Macroeconomics and Finance, by Don Harding and Adrian Pagan (Princeton University Press, Princeton, NJ, 2016)” The Economic Record (September 2018, vol. 94, 338-340)

• “Discussion of "Trend Inflation in Advanced Economies"” International Journal of Central Banking (September 2015, vol. 11, 137-143, publicly available)

• “Introduction to Special Issue on the Empirical Analysis of Business Cycles, Financial Markets, and Inflation: Essays in Honor of Charles Nelson” Macroeconomic Dynamics (June 2015, vol. 19, 723-727, publicly available) with Chang-Jin Kim and Jeremy Piger

• “Discussion” of “Capital Flow Policies, Monetary Policy and Coordination” by Marcel Fratzscher, presented at the 2014 RBA conference on Financial Flows and Infrastructure Financing

• “Measuring Economic Slack in Asia and the Pacific” BIS Papers (March 2014, no. 77, Globalisation, Inflation and Monetary Policy in Asia and the Pacific, pp. 35-50)

Essays

• “The Emperor Has No Clothes” Macroeconomic Advisers’ Macro Focus (June 2010, vol. 5, no. 2, pp. 1-14)

• “The Great Moderation: What Caused It and Is It Over?” Macroeconomic Advisers’ Macro Focus (December 2009, vol. 4, no. 8, pp. 1-11) 

• “The Shape of Things to Come” Macroeconomic Advisers’ Macro Focus (April 2009, vol. 4, no. 6, pp. 1-11)

• “A New Fed-Treasury Accord” December 2008

Dormant Working Papers and Other Miscellanea

• “Measuring Economic Slack: A Forecast-Based Approach with Applications to Economies in Asia and the Pacific” [BIS Working Paper No. 451] (early version of “Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?” with focus on Asia-Pacific economies)

• “The Adjustment of Prices and the Adjustment of the Exchange Rate” with Charles Engel  [NBER Working Paper #8550]

• “A Note on Constraining AR(2) Parameters in Estimation” (Followup note on derivation of constraints by my former PhD student Xiao Chun Xu)

• “Essays in Empirical Finance” Ph.D. Dissertation from 1999 (Committee: Charles Nelson (chair), Charles Engel, Chang-Jin Kim, Richard Startz, and Eric Zivot)

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