Research
Work in Progress
Inoue, Atsushi, Barbara Rossi and Yiru Wang (2022). “Has the Phillips Curve Flattened and Why?”.
Rogoff, Kenneth S., Barbara Rossi and Paul Schmelzing (2024). “Long-run Trends in Short-Maturity Rates and Term Spreads: 1704-2022''.
Rossi, Barbara (2024). “Inflation Forecasting”.
Working Papers
Rogoff, Kenneth S., Barbara Rossi and Paul Schmelzing. “Long-Run Trends in Long-Maturity Real Rates: 1311-2021”, NBER Working Paper 30475 , September 2022.
Inoue, Atsushi, Barbara Rossi and Yiru Wang (2022). “Local Projections in Unstable Environments”.
Rossi, Barbara, Tatevik Sekhposyan and Matthieu Soupre'. "Understanding the Sources of Macroeconomic Uncertainty." Download here the uncertainty indices and decomposition data for the US.
Rossi, Barbara (2024). “Recent Developments in Forecast Evaluation”.
Published Papers
52. F. Odendahl, M. Pagliari, A. Penalver, B. Rossi and G. Sestieri (2024). “Euro area monetary policy effects. Does the shape of the yield curve matter?”. Journal of Monetary Economics, forthcoming.
51. Hoesch, Lukas, Barbara Rossi and Tatevik Sekhposyan (2023). “Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence”, American Economic Journal: Macroeconomics 15(3), July 2023, 355-387.
50. Odendahl, Florens, Barbara Rossi and Tatevik Sekhposyan (2023). “Evaluating Forecast Performance with State Dependence”. Journal of Econometrics 237 (2 C), December.
49. Ganics, Gergely, Barbara Rossi and Tatevik Sekhposyan (2022). “From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts.” Journal of Money, Credit and Banking, forthcoming.
48. Odendahl, Florens, Barbara Rossi and Tatevik Sekhposyan (2023). “Regime Switching Rationality.” In: Chang, Y., Lee, S. and Miller, J.I. (Ed.) Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications. Advances in Econometrics, Vol. 45B. Emerald Publishing Limited, Bingley, pp. 35-64. https://doi.org/10.1108/S0731-90532023000045B002.
47. Inoue, Atsushi and Barbara Rossi (2021). "The Effects of Conventional and Unconventional Monetary Policy: A New Approach." Quantitative Economics 12(4): 1085-1138. Appendix
46. Rossi, Barbara (2021). "Forecasting in the Presence of Instabilities: How Do We Know Whether Economic Models Work and How to Improve Them." Journal of Economic Literature 59(4): 1135-90.
45. Rossi, Barbara (2021). "Identifying and Estimating the Effects of Unconventional Monetary Policy in the Data: How to Do It And What Have We Learned?" The Econometrics Journal 24(1): C1–C32.
44. Ganics, Gergely, Atsushi Inoue and Barbara Rossi (2021). "Confidence Intervals for Bias and Size Distortions in IV and Local Projections-IV Models." Journal of Business and Economic Statistics, 39(1): 307-324.† Appendix
43. Chung-Hun Kuo, Atsushi Inoue and Barbara Rossi (2020). "Identifying the Sources of Model Misspecification." Journal of Monetary Economics 110: 1-18.†
42. Atsushi Inoue and Barbara Rossi (2019). "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates." Journal of International Economics 118, 2019: 419-447. Link to replication codes
41. Rossi, Barbara and Tatevik Sekhposyan (2019). "Alternative Tests for Correct Specification of Conditional Forecast Densities." Journal of Econometrics 208: 638-657. *, ***
40. Ismailov, Adil and Barbara Rossi (2018). "Uncertainty and Deviations from Uncovered Interest Rate Parity." Journal of International Money and Finance 88: 242-259.
39. Rossi, Barbara and Tatevik Sekhposyan (2017). "Macroeconomic Uncertainty Indices for the Euro Area and its Individual Member Countries." Empirical Economics 53 (1): 41-62. Download here the uncertainty index for the Euro Area
38. Atsushi Inoue, Lu Jin and Barbara Rossi (2017). "Optimal Window Selection in the Presence of Possible Instabilities." Journal of Econometrics 196(1): 55-67.†
37. Carrasco, Marine and Barbara Rossi (2016). "In-sample Inference and Forecasting in Misspecified Factor Models." Journal of Business and Economic Statistics (3): 313-338. *** Rejoinder
36. Anderson, Emily, Atsushi Inoue, and Barbara Rossi (2016). "Heterogeneous Consumers and Policy Shocks." Journal of Money Credit and Banking 48(8): 1877-1888. †
35. Giacomini, Raffaella and Barbara Rossi (2016). "Model Comparisons in Unstable Environments." International Economic Review 57(2): 369-392.
34. Rossi, Barbara and Tatevik Sekhposyan (2016). "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts." Journal of Applied Econometrics 31(3): 507-532. (*, ***) Appendix
33. Giacomini, Raffaella and Barbara Rossi (2015). "Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models." Annual Review of Economics 7: 207-229.
32. Ferraro, Domenico, Kenneth Rogoff and Barbara Rossi (2015). "Can Oil Prices Forecast Exchange Rates?" Journal of International Money and Finance 54: 116-141.
31. Rossi, Barbara and Tatevik Sekhposyan (2015). "Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions." American Economic Review Papers & Proceedings 105(5): 650-55. (Download the US Uncertainty Index here). Matlab codes for updating the series as new data become available. Appendix. Data and Codes.
30. Rossi, Barbara and Tatevik Sekhposyan (2014). "Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set." International Journal of Forecasting 30(3): 662-682. Matlab codes. Comment. *
29. Rossi, Barbara (2013). "Advances in Forecasting Under Model Instability." In: G. Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting, Volume 2B, Elsevier Publications), 1203-1324. Appendix.
28. Rossi, Barbara (2013). "Exchange Rate Predictability." Journal of Economic Literature 51(4): 1063-1119. Matlab codes. Appendix.
27. Rossi, Barbara and Tatevik Sekhposyan (2013). "Conditional Predictive Density Evaluation in the Presence of Instabilities." (*) Journal of Econometrics 177(2): 199-212.
26. Gürkaynak, Refet, Burçin Kısacıkoğlu and Barbara Rossi (2013). "Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?" In: T. Fomby, L. Kilian and A. Murphy (eds.), VAR Models in Macroeconomics - New Developments and Applications: Essays in Honor of Christopher A. Sims, Advances in Econometrics vol. 32, 2013, 27-80.
25. Giacomini, Raffaella and Barbara Rossi (2013). "Forecasting in Macroeconomics." In: N. Hashimzade and M.A. Thornton (eds.), Handbook of Research Methods and Applications on Empirical Macroeconomics, Cheltenham, UK: Edward Elgar, 618-658.
24. Rossi, Barbara (2012), "The Changing Relationship between Commodity Prices and Equity Prices in Commodity Exporting Countries." IMF Economic Review 60: 533-569.
23. Inoue, Atsushi and Barbara Rossi (2012). "Out-of-sample Forecast Tests Robust to the Window Size Choice." Journal of Business and Economics Statistics 30(3): 432-453. *
22. Inoue, Atsushi and Barbara Rossi (2011). "Testing for Weak Identification in Possibly Nonlinear Models." Journal of Econometrics 161: 246-261. †
21. Zubairy, Sarah and Barbara Rossi (2011). "What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?" Journal of Money, Credit and Banking 43(6): 1247-1270. Not-for-Publication Appendix. Download Rossi and Zubairy’s Monetary Policy Shock Series
20. Hall, Alastair, Atsushi Inoue, James Nason and Barbara Rossi (2012). "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models." Journal of Econometrics 170(2): 499-518. Matlab codes †
19. Inoue, Atsushi, Lu Jin and Barbara Rossi (2013). "Consistent Model Selection Over Rolling Windows." In: N.R. Swanson and X. Chen (eds.), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis, Springer: New York, 2013.
18. Rossi, Barbara and Tatevik Sekhposyan (2011). "Understanding Models’ Forecasting Performance." Journal of Econometrics 164(1): 158-172. Matlab codes ‡
17. Inoue, Atsushi and Barbara Rossi (2011). "Identifying the Sources of Instabilities in Macroeconomic Fluctuations." The Review of Economics and Statistics 93(4): 1186-1204. Additional Not-for-Publication Appendix Matlab codes: Main empirical results. †
16. Chen, Yu-Chin, Kenneth Rogoff and Barbara Rossi (2010). "Can Exchange Rates Forecast Commodity Prices?" Quarterly Journal of Economics 125(3): 1145-1194. Matlab codes. 2014 Updated paper. Additional table. NBER digest.
15. Sekhposyan, Tatevik and Barbara Rossi (2010). "Have Models’ Forecasting Performance Changed Over Time, and When?" International Journal of Forecasting 26(4): 808-835. Matlab codes Additional Appendix.
14. Giacomini, Raffaella and Barbara Rossi (2010). "Forecast Comparisons in Unstable Environments." Journal of Applied Econometrics 25(4): 595-620. Matlab codes: Empirical and Monte Carlo. ‡
13. Giacomini, Raffaella and Barbara Rossi (2009). "Detecting and Predicting Forecast Breakdowns." The Review of Economic Studies 76(2): 669-705. Matlab codes: Wald test variance, Empirical, some Monte Carlos, main codes. ‡
12. Marcellino, Massimiliano and Barbara Rossi (2008). "Model Selection for Nested and Overlapping Non-Linear Dynamic and Possibly Misspecified Models." Oxford Bulletin of Economics and Statistics 70(s1): 867-893.
11. Inoue, Atsushi and Barbara Rossi (2008). "Monitoring and Forecasting Currency Crises." Journal of Money Credit and Banking 40(2-3): 523-534. Appendix **
10. Rossi, Barbara (2007). "Expectations Hypotheses Tests at Long Horizons." The Econometrics Journal 10(3): 1-26. Matlab codes: Code to implement the procedure; Replication codes: Monte Carlo & Empirical.
9. Giacomini, Raffaella and Barbara Rossi (2006). "How Stable is the Forecasting Performance of the Yield Curve for Output Growth?" Oxford Bulletin of Economics and Statistics 68(s1): 783-795.
8. Pesavento, Elena and Barbara Rossi (2007). "Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?" Journal of Economic Dynamics and Control 31: 2398-2412. Matlab codes.
7. Rossi, Barbara (2006). "Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability." Macroeconomic Dynamics 10(1): 20-38. Matlab codes and Additional Matlab codes.
6. Pesavento, Elena and Barbara Rossi (2006). "Small Sample Confidence Intervals for Multivariate IRF at Long Horizons." Journal of Applied Econometrics 21(8): 1135-1155. Additional Appendix. Matlab Codes.
5. Inoue, Atsushi and Barbara Rossi (2005). "Recursive Predictability Tests for Real-Time Data." Journal of Business and Economic Statistics 23(3), 336-345. Matlab codes.
4. Pesavento, Elena and Barbara Rossi (2005), "Do Technology Shocks Drive Hours Up or Down?" Macroeconomic Dynamics 9(4): 478-488. Gauss codes.
3. Rossi,Barbara (2005). "Confidence Intervals for Half-Life Deviations from Purchasing Power Parity." Journal of Business and Economic Statistics 23(4): 432-442. Matlab codes. Additional figures.
2. Rossi, Barbara (2005). "Optimal Tests for Nested Model Selection with Underlying Parameter Instability." Econometric Theory 21(5): 962-990. Matlab codes.
1. Rossi, Barbara (2005). "Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle." International Economic Review 46(1): 61-92.
Other Publications
13. Rossi, Barbara and Yiru Wang (2019). "VAR-based Granger-causality Tests in the Presence of Instabilities." The Stata Journal 19(4): 883-899. doi:10.1177/1536867X19893631. Link to Stata Codes (maintained by Y. Wang)
12. Rossi, Barbara and Matthieu Soupre' (2017). “Implementing Tests For Forecast Evaluation in the Presence of Instabilities.” The Stata Journal 17(4): 850-865. doi:10.1177/1536867X1801700405
11. Rossi, Barbara (2016). “A Review of Economic Forecasting.” Econometrics Journal 19(3): B1-B3.
10. Rossi, Barbara (2012). “Comment on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings”, Journal of the Royal Statistical Society B: 553.
9. Giannone, Domenico, Refet Gürkaynak, Monika Merz, Richard Portes, Lucrezia Reichlin, Albert Ritschl, Barbara Rossi, Philippe Weil and Karl Whelan (2012). “Eurozone Mired in Recession Pause”. Vox. http://www.voxeu.org/article/ eurozone-mired-recession-pause.
8. Rossi, Barbara (2014). "Comment on: Central Bank Macroeconomic Forecasting During the Global Financial Crisis: the European Central Bank and Federal Reserve Bank of New York Experiences”, by L. Alessi, E. Ghysels, L. Onorante, R. Peach and S. Potter. Journal of Business and Economic Statistics 32(4): 510-514.
7. Rossi, Barbara (2014). “Density Forecasts in Economics, Forecasting and Policymaking”. Els Opuscles del CREI No. 37.
6. Rossi, Barbara (2013). “Are Exchange Rates Predictable?”. Vox. https://voxeu.org/article/are-exchange-rates-predictable.
5. Rossi, Barbara (2013). “Comment on: Taylor Rule Exchange Rate Forecasting During the Financial Crisis”, by T. Molodtsova and D. Papell. NBER International Seminar in Macroeconomics, University of Chicago Press.
4. Rossi, Barbara (2012). “Comment on: Forecast Rationality Tests Based on Multi-Horizon Bounds”. Journal of Business and Economic Statistics 30(1), 25-29.
3. Yu-Chin Chen, Kenneth Rogoff and Barbara Rossi (2011). “Predicting Agri-Commodity Prices: An Asset Pricing Approach.” World Uncertainty and the Volatility of Commodity Markets, ed. B. Munier, IOS: 45-71. doi 10.3233/978-1-61499-037-6-45.
2. Yu-Chin Chen, Kenneth Rogoff and Barbara Rossi (2012). “Where Are Commodity Prices Headed Next? Look at Exchange Rates.” Vox. https://voxeu.org/article/exchange-rates-forecast-commodity-prices.
1. Rossi, Barbara (2007). “Comment on: Exchange Rate Models Are Not as Bad as You Think”, by C. Engel, N. Mark and K.D. West. In: Daron Acemoglu, Kenneth Rogoff and Michael Woodford (eds.), NBER Macroeconomics Annual, MIT Press.
Other Research Activities
Check out the latest news from the Euro Area Business Cycle Dating Committee (CEPR)
Check out the latest news from the International Association for Applied Econometrics
Codes to Implement the Tests in Stata or Other Packages
Freely download STATA files that implement the Giacomini and Rossi (JAE 2010) and the Rossi and Sekhposyan (JAE 2016) tests here: https://ideas.repec.org/c/boc/bocode/s458245.html
Also you can download the STATA files for the Rossi (Econometric Theory, 2005) Granger Causality test in the presence of instability here: Link (these codes correspond to the Stata Journal article with Yiru Wang)
(‡) Financial support from NSF through Grant #0647627 is gratefully acknowledged.
(†) Financial support from NSF through Grant #1022125 is gratefully acknowledged.
(*) Financial support from Marie Curie Fellowship is gratefully acknowledged.
(***) Financial support from ERC through Grant 615608 is gratefully acknowledged.
I thank the Spanish Ministry of Research for supporting my overall research since 2012.
(*) In case you experience problems in reading the papers because some characters are not displayed, you should check that you have Adobe Acrobat installed in your computer and that you optimized its font settings (you may follow the instructions in http://www.tcisoft.com/techtalk/v30/30ts58.htm). Most papers are available also as Duke Working Papers at: http://www.econ.duke.edu/working_papers/working_papers.php.
(**) Please send an email for the codes: the files and data are too big to be posted.