Publications

• "The Credit-Card-Services Augment Divisia Monetary Aggregates," with W.A. Barnnett, D. Leiva-Leon, L. Su,  Journal of Money, Credit and Banking, Forthcoming 2023.

• Nonlinear Relationship between Monetary Policy and Stock Returns: Evidence from the U.S., with C. Jian, Global Finance Journal, 2023, Vol 55, 100796.

• "Incomplete Price Adjustment and Inflation Persistence," with Insu Kim. (Formerly circulated as "Microfoundations of Inflation Persistence in the New Keynesian Phillips Curve"), Journal of Money, Credit and Banking, 2021. Vol. 53, 1337-1371.

• "International Stock Market Linkages," with B.Y. Chen, Handbook of Global Financial Market: Transformations, Dependence, and Risk Spillovers. Ed. S. Boubaker and D.K. Nguyen, World Scientific Publishing, March 2019. 

• "Assessment of Hybrid Phillips Curve Specifications,' with J. Hur and I. Kim, Economics Letters, Vol. 156, 53-57, 2017.

• "The End of the Brazilian Big Inflation: Lessons to Monetary Policy from a Standard New Keynesian Model," with L.S. Lopes and J.E. Lima, Empirical Economics, 2017, 1-31.

•  "Mortgage Default Risk: New Evidence from Internet Search Queries", with S. Gabriel and C. Lutz, Journal of Urban Economics. Vol. 96, November, 91-111, 2016.

• "Real-Time Nowcasting of Nominal GDP with Structural Breaks", with W. Barnett and D. Leiva-Leon, Journal of Econometrics. Vol. 191, April, 312-324, 2016.

• "A Dynamic Factor Model of the Yield Curve Components as a Predictor of the Economy", with Z. Senyuz, International Journal of Forecasting. Vol. 32, April-June 2016, 324-343, 2016.

• "What Does Financial Volatility Tell Us About Macroeconomic Fluctuations?", with Z. Senyuz, Z. and E. Yoldas, Journal of Economic Dynamics and Control. Vol. 52, March, 340–360, 2015.

• "Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy," B. Jones, R. Anderson, Econometrics Review, vol. 34:1-2, 228-254, 2014.

• "The Future of Oil: Geology versus Technology",  with Benes, J., Kamenik, O., Kumhof, M., Laxton, D., Mursula, S., Selody, J., International Journal of Forecasting, vol. 31:1, 207-221, 2014. Recipient of the 2015-2016 Outstanding Paper Award  from the International Journal of Forecasting

• "Monetary Policy Regimes and the Stock Market," with Chuanlei Sun, in Business Cycles in Economics: Types, Challenges and Impacts on Monetary Policies. Ed. Jason Hsu, Nova Science  Chapter 6, 87-1116, 2014

• "Chronology and Prediction of Business Cycles in Minas Gerais" ("Cronologia e Previsão de Ciclos Econômicos de Minas Gerais"). Cadernos BDMG. February, 7-44, 2013.

• "Nonstationarities and Markov Switching Models," with Y. Su, in Recent Advances in Estimating Nonlinear Models, Springer, 123-148, 2013.

• "Forecasting Output," with Simon Potter, in Handbook of Economic Forecasting, vol. 2, ed. A. Timmermann and G. Elliott, Elsevier/North Holland, 1-56, 2013.

• "Employment and the Business Cycle," with Jeremy Piger, Manchester School, Vol 81, S2, 16-42, 2013.

• "Leading Indicators of the Capital Goods Industry in Brazil," with Igor Morais, Brazilian Review of Econometrics, Vol. 31, No. 1, 137-171, 2011.  Recipient of Honor Award from the National Confederation of Industries of Brazil  - Confederacao Nacional das Industrias, CNI (LeadingCapital)  

• "How Better Monetary Statistics Could Have Signaled the Financial Crisis," with William Barnett, Journal of Econometrics, Vol. 161, No. 1, 6-23, 2011.

• "Business Cycle Monitoring with Structural Changes,” with Simon Potter, International Journal of Forecasting, Vol. 6, No. 4, 777-793, 2010 .

• "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach,” with William Barnett and Heather Tierney, Macroeconomic Dynamics, Vol 13, 381-412, 2009.

• “International Financial Aggregation and Index Number Theory: A Chronological Half-Century Empirical Overview,” with William Barnett, Open Economies Review, Vol. 20, No. 1, 2009.   

• “A Comparison of the Real-Time Performance of Business Cycle Dating Methods,” with Jeremy Piger, Journal of Business Economics and Statistics, Vol. 26, No. 1,  42-49, 2008. 

• “Increased Stabilization and the G7 Business Cycles” with Fang Dong, in Business Fluctuations and Cycles, ed. T. Nagakawa, 265-283, 2007.

• “Dating Business Cycle Turning Points in Real Time,” with James D. Hamilton, “Nonlinear Time Series Analysis of Business Cycles,” ed. Van Dijk, Milas, and Rothman, Elsevier’s Contributions to Economic Analysis series, 1-54, 2006.

• “International Business Cycles: G7 and OECD Countries,” with Chengxuan Yu; Economic Review, Federal Reserve Bank of Atlanta, First Quarter, Vol. 91 No. 1, 43-54, 2006.

• "Forecasting Brazilian Output and its Turning Points in the Presence of Breaks: A Comparison of Linear and Nonlinear Models,” with E. Lima, G. Domingues, and B. Vasquez, Economic Studies (Estudos Economicos), Vol. 36, No.1, 5-46, 2006. 

• "Forecasting Recessions Using the Yield Curve,” with S. Potter, Journal of Forecasting, 24, 2, 77-103, 2005. 

• "Leading Indicators of Country Risk and Currency Crises “ The Asian Experience,” with Fang Dong , Economic Review, Federal Reserve Bank of Atlanta, First Quarter, Vol. 89, No. 1, 26-37, 2004.

• “Identifying Business Cycle Turning Points in Real Time,” with Jeremy Piger, Federal Reserve Bank of Saint Louis Review, March/April, 47-62, 2003.

            Cited in Boston Globe and Dow Jones Newswires 12/12/2002

• “Sunspots, Animal Spirits, and Economic Fluctuations,” with J.T. Guo, Macroeconomic Dynamics, Vol. 7, No. 1, February 2003.

• "Maturing Capitalism and Stabilization: International Evidence,” with G. Popli in Journal of Business and Economics, Vol. 1, No. 12, 5-22, 2003.

• "Markov Switching in Disaggregate Unemployment Rates,” with C.  Juhn and S. Potter, Empirical Economics, Vol. 27, No.2, 205-232, 2002.

• Reprint in: Advances in Markov Switching Models, ed. J.D. Hamilton and B. Raj. Studies in Empirical Economics. Physica-Verlag, 61-88, 2002.

• “Predicting Recessions: Evidence from the Yield Curve in the Presence of Structural Breaks,” with S. Potter, Economics Letters, Vol. 77, No. 2, 245-253, 2002. 

• “The Brazilian Business Cycle and Growth Cycle,” Brazilian Economic Journal (Revista Brasileira de Economia), Vol. 56 nº 1, 75-106, 2002. 

• “Nonlinear Risk,” with S. Potter, Macroeconomic Dynamics, Vol. 5, No. 4, 621-646, 2001.

• “Recent Changes in the U.S. Business Cycle,” with S. Potter, Manchester School, Vol. 69, No. 5, 481-508, 2001. 

         Cited in Wall Street Journal and Dow Jones Newswires May 9, 2001

           Cited in Folha de São Paulo (Brazil) June 26, 2001

• “A Monthly Indicator of Brazilian GDP,” in Brazilian Review of Econometrics Vol. 21, No. 1, 1-15, 2001 – Recipient of Honor Award from the Brazilian Econometric Society. 

• “Leading Indicators of the Brazilian Inflation,” Economic Research and Planning (Pesquisa e Planejamento Economico), Vol. 31, 1, 323-354, 2001.

• “Coincident and Leading Indicators of the Stock Market,” with S. Potter, Journal of Empirical Finance, Vol. 7, No. 1, 87-111, 2000.

• “Stock Market Fluctuations and the Business Cycle,” Journal of Economic and Social Measurement, Vol. 25, No. 3, 235-258, 1998/1999.

• “An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switches,” International Economic Review, Vol. 39, No. 4, 969-96, 1998. 

            Cited in Folha de São Paulo (Brazil) June 28, 2008 

            Cited in Folha de São Paulo (Brazil) February 6, 2008

            Cited in Washington Post January 20, 2008

            Cited in Wall Street Journal and Dow Jones Newswires March 28, 2002   

 Books

• “Financial Aggregation and Index Number Theory: Implication for Monetary Policy and Financial Modeling, A Survey,” with W.A. Barnett, World Scientific Publishing, 2011.

•  “Calling the Business Cycle,” with James Hamilton and Kevin Hassett, The American Enterprise Institute Press, forthcoming.

  Conference Proceedings

• "Nonlinear Measurement Errors in Monetary Aggregates," with W.A. Barnett and H. Tierney in American Statistical Association, JSM Proceedings of Business and Economics, 2009 (invited).

• "The End of the Great Moderation? How Better Monetary Statistics Could Have Signaled the Systemic Risk Precipitating the Financial Crisis," with W.A. Barnett in American Statistical Association, JSM Proceedings of Business and Economics, 2009 (invited).

• "Predicting Recessions in Brazil," Latin American Meetings of the Economeric Society and Latin American and Caribbean Economic Association Meetings, Rio de Janeiro, Brazil, 2008 (electronic).

• “Real Time Changes in Monetary Policy: A Nonparametric Approach,” in Proceedings of the 27th International Forecasting Symposium, New York, June 2007 (electronic).

• “Leading Indicators of Recession for the Brazilian Economy,” with Jose A. B. da Silva, in Proceedings of the XXVI Meetings of the Brazilian Econometric Society, 2004, Joao Pessoa, Paraiba, Brazil.

• “International Economic Stabilization: Empirical Evidence,” with G. Popli, in Proceedings of the XXIV Meetings of the Brazilian Econometric Society, 2002, Nova Friburgo, Rio de Janeiro, Brazil.

• “Forecasting Brazilian Output in the Presence of Structural Breaks – A Comparison of Linear and Nonlinear Models,” with E. Lima and B. Vasquez, in Proceedings of the XXIV Meetings of the Brazilian Econometric Society, 2002, Nova Friburgo, Rio de Janeiro, Brazil, 1-20.

• “Coincident Indicators of the Brazilian Business Cycle,” in Proceedings of the 2001 Meeting of the Brazilian Econometric Society (SBE), Brazil, December 2001.

• “The Brazilian Economic Fluctuations,” in Proceedings of the 2001 Meeting of the Brazilian Economic Association (ANPEC), Brazil, December 2001.

• “Recessions and the Term Structure of Interest Rates,” with S. Potter, in Proceedings of the 2001 Meeting of the Brazilian Finance Society, Brazil, October 2001.

• “Forecasting in the Presence of Structural Breaks” with S. Potter, in Proceedings of the 2001 International Business & Economics Research Conference, Reno, Nevada, October 2001, Refereed.

• “Real Time Leading Indicators of the Brazilian Inflation,” Proceedings of the XXII Meetings of the Brazilian Econometric Society, Vol. 1, December 2000, Rio de Janeiro, Brazil.

• “An Empirical Analysis of Sunspots and the Business Cycles,” with J.T. Guo, in Proceedings of the II International Colloquium in Economic Dynamics and Economic Policy, ed. J.R. Teixeira and F.G. Carneiro, Brasilia, Brazil, 1999, 193-214.

• "Trend-Cycle Decomposition of the Brazilian GDP: New Facts for the period between 1947 and 2012."  Anais of the 45th National Economic Meeting (ANPEC). 2017, Natal, RN, Brazil. 

• “Tumbling Dice,” Op-ed article on New York Times, Feb 28 2009, with Kevin Hassett. (dice)

• “The Facts Say No,” Op-ed article on New York Times, Dec 16 2007, with Kevin Hassett. ( NoRecessionYet)

• “Is the U.S. Recession Over Yet?” CREFC Economic Letter, March No. 2002-01. (Recession2001)

• “Recuperacao Lenta ou Risco de Recessao?”, International Economic Conditions, August 2002, 1-4, International Relation Secretary (SAIN), Ministry of Finance of Brazil (Fazenda).

• “Slow Recovery or a Double Dip Recession?” CREFC Economic Letter, November No. 2002-02.

• Master's Thesis (MSc in Economic Policy):  Analysis of Taxation Policy in the Rice Market of Sao Paulo, University of Brasilia (under  fellowship from CNPq and PNPE/IPEA).

• Master's Thesis:  The Economic Impact of Changes in Value-Added Tax on Basic Food, University of Pennsylvania (under fellowship from OAS - Organization of American States)

• Comparative Experience in the Electricity Sector of Selected Countries, (prepared for the World Bank, Africa Division)

• Analysis of Economic Policy in Brazil: 1979-1988, (prepared for the Ministry of Industry, Brazil)

• Financial Simulation Models for Measuring Performance and Decision Making, (prepared for the Ministry of Industry, Brazil)

• The Liquidity Question in the Cruzado Plan, (under a grant from the University of Brasilia)