Research

Current Working Papers

• Trend-cycle decomposition in the presence of large shocks, with Güneş Kamber and James Morley, revise and resubmit [Code to implement refined BN filter: MATLAB R] [BNfiltering.com] [EViews add-in]

• Disentangling structural breaks in factor models for macroeconomic data, with Bonsoo Koo and Ze-Yu Zhong, revise and resubmit

Journal Articles

• Random subspace local projections, with Viet Hoang Dinh and Didier Nibbering, Review of Economics and Statistics, forthcoming [Replication Files]

• A simple correction for misspecification in trend-cycle decompositions with an application to estimating r*, with James Morley and Trung Duc Tran, Journal of Business & Economic Statistics, 2024, vol.42(2), pg.665-680 [Replication Files and online appendix] [Apply Correction] [Apply Correction via just MLE] [Youtube video of VTSS Talk]

• Understanding trend inflation through the lens of the goods and services sectors, with Yunjong Eo and Luis Uzeda, Journal of Applied Econometrics, 2023, vol.38(5), pg.751-766 [Replication Files] [Online Appendix] [VoxEU] [CAMA blog] [Bank of Canada Staff Working Paper 2020-45]

• Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic, with James Morley, Diego Rodriguez Palenzuela and Yiqiao Sun, European Economic Review, 2023, vol.153(C), 104385 [Replication Files] [ECB Working Paper 2716]

• Nowcasting the output gap, with Tino Berger and James Morley, Journal of Econometrics, 2023, vol.232(1), pg.18-34 [Code: Replication Files, Nowcast with updated data] [outputgapnow.com]

• Cyclical signals from the labor market, with Tino Berger, Paul David Boll and James Morley, Oxford Open Economics, 2022, vol.1 (lead article) 

• A unified approach for jointly estimating the business and financial cycle, and the role of financial factors, with Tino Berger and Julia Richter, Journal of Economic Dynamics and Control, 2022, vol.136(C), 104315 [Online Appendix and Replication Files]

• Global factors and trend inflation, with Güneş Kamber, Journal of International Economics, 2020, vol.122(C), 103265 [Data, Replication Files and Online Appendix] [CentralBanking.com] [Bloomberg Quint] [BIS Working Paper 688]

• Estimating and accounting for the output gap with large Bayesian vector autoregressions, with James Morley, Journal of Applied Econometrics, 2020, vol.35(1), pg.1-18 (lead article) [Data, Replication Files and Online Appendix] [EViews add-in]

• Intuitive and reliable estimates of the output gap from a Beveridge-Nelson filter, with Güneş Kamber and James Morley, Review of Economics and Statistics, 2018, vol.100(3), pg.550-566 [Online Appendix] [Replication Files] [CentralBanking.com] [EViews add-in and blog post] 

• Structural VARs, deterministic and stochastic trends: How much detrending matters for shock identification, with Varang Wiriyawit, Studies in Nonlinear Dynamics and Econometrics, 2016, vol.20(2), pg.141-157 [Replication Files and Online Appendix]

• Do inflation expectations propagate the inflationary impact of real oil price shocks?: Evidence from the Michigan survey, Journal of Money, Credit and Banking, 2015, vol.47(8), pg.1673-1689 [Online Appendix] [Replication Files] [CentralBanking.com]

• Do ageing economies save less? Evidence from OECD data, with Kam Ki Tang, International Journal of Social Economics, 2013, vol.40(6), pg.591-605 [Replication Files] 

Invited and/or Non Refereed Publications, Policy Notes, Miscellaneous

• Inflation may be finally falling, but it is not clear trend inflation has peaked, CAMA macroeconomics blog, 15 February 2023

• Goods inflation is likely transitory, but upside risk to inflation remains, with Yunjong Eo and Luis Uzeda, VoxEU.org, 29 April 2022 [based on this paper] 

• Sectoral employment dynamics in Australia and the Covid-19 pandemic, with Heather Anderson, Giovanni Caggiano and Farshid Vahid, Australian Economic Review, Policy Forum Section, 2020, vol.53(3), pg.402-414 [Associated App]

• Beveridge-Nelson filter, blog-post for EViews, 2020, with Davaajargal Luvsannyam

• Time series econometrics (2016) by Klaus Neusser, Springer International Publishing, Switzerland, Economic Record, 2019, vol.95(310), pg.399-400 (book review)

• Measuring uncertainty for New Zealand using data-rich approach, Australian Economic Review, Policy Forum Section, with Trung Duc Tran and Tuğrul Vehbi, 2019, vol.52(3), pp.344 - 352

• Opening the toolbox: How does the Reserve Bank analyse the world?, Reserve Bank of New Zealand Bulletin, with Michael Callaghan, Enzo Cassino and Tuğrul Vehbi, 2019, vol.82(4)

• Measuring uncertainty and its impact on the New Zealand economy, with Amy Rice and Tuğrul Vehbi, 2018, Reserve Bank of New Zealand Analytical Note 2018/01; reprinted as "Measuring Uncertainty and its Impact on a Small Open Economy," with Lucy Greig, Amy Rice and Tuğrul Vehbi, Australian Economic Review, Policy Forum Section, 2018, vol.51(1), pg.87–98

• Testing an interpretation of core inflation measures in New Zealand, with Güneş Kamber, 2016, Reserve Bank of New Zealand Analytical Note 2016/06

• The impact of commodity price movements on the New Zealand Economy, with Güneş Kamber and Gabriela Nodari, 2016, Reserve Bank of New Zealand Analytical Note 2016/5

• Monetary policy and funding spread, with Anella Munro, 2014, Reserve Bank of New Zealand Analytical Note 2014/07

• Exchange rate and commodity price pass-through in New Zealand, with Miles Parker, 2014, Reserve Bank of New Zealand Analytical Note 2014/01

Dormant Working Papers

• Historical decompositions for nonlinear vector autoregression models

• Incorporating relevant multivariate information for characterizing half-life with an application to purchasing power parity

• The evolution of the U.S. output-inflation tradeoff

• Inflation dynamics and the role of oil shocks: What has changed since the 1970s?