Research Summary
Business Cycles
“An Econometric Characterization of Business Cycle Dynamics with Factor Structure and Regime Switches,” International Economic Review, Vol. 39, No. 4, 969-96, 1998. (Abstract or download: Working Paper or IER)
“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. (Abstract or download DatingBC)
“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. (Abstract or download Repec or BC_RealTime)
“Identifying Business Cycle Turning Points in Real Time,” with Jeremy Piger, Federal Reserve Bank of Saint Louis Review, March/April, 47-62, 2003.(Abstract or download Repec or TPrealtime)
"Business Cycle Monitoring with Structural Changes,” with Simon Potter, International Journal of Forecasting, Vol. 6, No. 4, 777-793, 2010 (Abstract or download Repec or MonitorBreaks).
“Increased Stabilization and the G7 Business Cycles” with Fang Dong, in Business Fluctuations and Cycles, ed. T. Nagakawa, 265-283, 2007. (Abstract or download StableG7 or here)
“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.(Abstract or download Repec or Bc_G7OECD)
"Maturing Capitalism and Stabilization: International Evidence,” with G. Popli in Journal of Business and Economics, Vol. 1, No. 12, 5-22, 2003. (Abstract or Download or JBE)
"Markov Switching in Disaggregate Unemployment Rates,” with C. Juhn and S. Potter, Empirical Economics, Vol. 27, No.2, 205-232, 2002.(Abstract or download Repec or MSunemployment). Reprint in: Advances in Markov Switching Models, ed. J.D. Hamilton and B. Raj. Studies in Empirical Economics. Physica-Verlag, 61- 88, 2002.
"Employment and the Business Cycle," with Jeremy Piger, Manchester School, Vol 81, S2, 16-42, 2013. (Abstract or download Repec, Working Paper or Manchester )
“Sunspots, Animal Spirits, and Economic Fluctuations,” with J.T. Guo, Macroeconomic Dynamics, Vol. 7, No. 1, February 2003. (Abstract or download SSRN or sunspots)
“The Brazilian Business Cycle and Growth Cycle,” Brazilian Economic Journal (Revista Brasileira de Economia), Vol. 56 nº 1, 75-106, 2002. (Abstract or download BrazilBCGC or Repec )
“Recent Changes in the U.S. Business Cycle,” with S. Potter, Manchester School, Vol. 69, No. 5, 481-508, 2001. (Abstract or download Repec , Working Paper or ChangesBC).
Financial Markets and Economic Activity
"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. (Abstract or Download )
"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. (Abstract or Download )
"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. (Abstract or Working Paper or JEDC)
“Nonlinear Risk,” with S. Potter, Macroeconomic Dynamics, Vol. 5, No. 4, 621-646, 2001.(Abstract or download Repec or Nonlinearrisk)
“Stock Market Fluctuations and the Business Cycle,” Journal of Economic and Social Measurement, Vol. 25, No. 3, 235-258, 1998/1999.(Abstract or download SSRN or SMBC)
“Coincident and Leading Indicators of the Stock Market,” with S. Potter, Journal of Empirical Finance, Vol. 7, No. 1, 87-111, 2000.(Abstractor download Repec or CoinleadSM)
"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 (Abstract or download )
Leading and Coincident Indicators
“Coincident and Leading Indicators of the Stock Market,” with S. Potter, Journal of Empirical Finance, Vol. 7, No. 1, 87-111, 2000.(Abstract or download Repec or CoinleadSM)
"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.(Abstract or download Repec or CountryRisk)
"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 (Abstractact or download LeadingCapital)
“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. (Abstract or download Repec or BrazilIndicatorGDP)
“Leading Indicators of the Brazilian Inflation,” Economic Research and Planning (Pesquisa e Planejamento Economico), Vol. 31, 1, 323-354, 2001 (Abstract or download Repec - English or BrazilLeadingInflation-Portuguese).
Energy Economics
"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. (Abstract or Download or IJF)
"vOILatility: Forecasting Oil Prices under Uncertainty," mimeo, University of California Riverside, 2018. (Abstract)
Monetary Economics
"Incomplete Price Adjustment and Inflation Persistence," with Insu Kim. (Formerly circulated as "Microfoundations of Inflation Persistence in the New Keynesian Phillips Curve"). Forthcoming, Journal of Money, Credit, and Banking. (Abstract or Donwload Repec)
"Real-Time Indicator of Weekly Inflation with a Mixed-Frequency Unobserved Component Model with Stochastic Volatility," with Mingyuan Jia, mimeo, University of California Riverside (Abstract)
"Asset Prices and Optimal Monetary Policy," with S. d'Addona and V. Kakar. Submitted.(Abstract or Download)
"Quantifying the Monetary Transmission Mechanism: A Mixed-Frequency Factor-Augmented Vector Autoregressive Regression Approach," with Z. Zhao, Working Paper, University of California Riverside (Abstract)
"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 (Abstract or Download )
"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. (Abstract or Working Paper or ER)
"Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach,” with William Barnett and Heather Tierney, Macroeconomic Dynamics, Vol 13, 381-412, 2009. (Abstract or download Repec or MeasErrMoney)
"How Better Monetary Statistics Could Have Signaled the Financial Crisis," with William Barnett, Journal of Econometrics,Vol. 161, No. 1, 6-23, 2011. (Abstract or Repec or JE)
“Real Time Changes in Monetary Policy: A Nonparametric Approach,” in Proceedings of the 27th International Forecasting Symposium, New York, June 2007 (Abstract or download).
Forecasting and Nowcasting
"Forecasting Output," with Simon Potter, in Handbook of Economic Forecasting, vol. 2, ed. A. Timmermann and G. Elliott, Elsevier/North Holland, 1-56, 2013. (Abstract or Working Paper or Handbook)
"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. (Abstract or Download or JE)
"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. (Abstract or Download)
"Forecasting Recessions Using the Yield Curve,” with S. Potter, Journal of Forecasting, 24, 2, 77-103, 2005. (Abstract or download Repec or ForecYield)
“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. (Abstract or download Working Paper, Repec or PredicBreaks)
"Nonstationarities and Markov Switching Models," with Y. Su, in Recent Advances in Estimating Nonlinear Models, Springer, 123-148, 2013. (Abstract or Download)
"Predicting Recessions in Brazil," with I. Morais, Latin American Meetings of the Econometric Society and Latin American and Caribbean Economic Association Meetings, Rio de Janeiro, Brazil, 2008 (Abstract or Download ).
Big Data and Machine Learning
Brazilian Economy
“The Brazilian Business Cycle and Growth Cycle,” Brazilian Economic Journal (Revista Brasileira de Economia), Vol. 56 nº 1, 75-106, 2002. (Abstract or download BrazilBCGC or Repec )
"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 (Abstract or download LeadingCapital)
“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. (Abstract or download BrazilIndicatorGDP)
“Leading Indicators of the Brazilian Inflation,” Economic Research and Planning (Pesquisa e Planejamento Economico), Vol. 31, 1, 323-354, 2001 (Abstract or download Repec - English or BrazilLeadingInflation-Portuguese).
"Trend-Cycle Decomposition of the Brazilian GDP: New Facts for the period between 1947 and 2012." with L.S. Lopes and J.E. Lima. Proceedings of the 45th National Economic Meeting (ANPEC). 2017, Natal, RN, Brazil. (Abstract or Download)
“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. (Abstract or in Portuguese Download)
"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 (Abstract or Download)
"Chronology and Prediction of Business Cycles in Minas Gerais" ("Cronologia e Previsão de Ciclos Econômicos de Minas Gerais"). Cadernos BDMG. February, 7-44, 2013. (Abstract or Portuguese Download)
"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. (Abstract or download BR_TPBreak)
Economic Outlook
“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.