Code

More information about some of the code posted below is available at sydney.edu.au/arts/open-economy-model-hub as part of the Global Perpectives on Economic Policy initiative at sydney.edu.au/arts/global-perspectives


“Trend-Cycle Decomposition after COVID” CAMA Working Paper and “Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter” Review of Economics and Statistics with Gunes Kamber and Benjamin Wong


“A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*” Journal of Business & Economic Statistics with Trung Duc Tran and Benjamin Wong


“Did Marginal Propensities to Consume Change with the Housing Boom and Bust?” Journal of Applied Econometrics with Yunho Cho and Aarti Singh


“Does the Survey of Professional Forecasters help predict the shape of recessions in real time?” Economics Letters with Yunjong Eo


“Nowcasting the Output Gap” Journal of Econometrics with Tino Berger and Benjamin Wong


“Why Has the U.S. Economy Stagnated since the Great Recession?” Review of Economics and Statistics with Yunjong Eo


“When Is Discretionary Fiscal Policy Effective?” Studies in Nonlinear Dynamics & Econometrics with Steve Fazzari and Irina Panovska


“Estimating Household Consumption Insurance” Journal of Applied Econometrics with Arpita Chatterjee and Aarti Singh


“Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?” Macroeconomic Dynamics with Irina Panovska


“A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting” The Economic Record with Luke Hartigan


“Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions” Journal of Applied Econometrics with Benjamin Wong


“Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples” Studies in Nonlinear Dynamics & Econometrics with Luiggi Donayre and Yunjong Eo


“Estimating Estimating DSGE Models with Zero Interest Rate Policy” Journal of Monetary Economics with Mariano Kulish and Tim Robinson


“Testing Stationarity with Unobserved Components Models” Macroeconomic Dynamics with Irina Panovska and Tara Sinclair


“Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks” Quantitative Economics with Yunjong Eo


“State-Dependent Effects of Fiscal Policy” Studies in Nonlinear Dynamics & Econometrics with Steve Fazzari and Irina Panovska


“Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?” Studies in Nonlinear Dynamics & Econometrics with Jeremy Piger and Pao-Lin Tien


“The Asymmetric Business Cycle” Review of Economics and Statistics with Jeremy Piger


“Changes in U.S. Inflation Persistence,” Studies in Nonlinear Dynamics & Econometrics with Kyu Ho Kang and Chang-Jin Kim


“The Slow Adjustment of Aggregate Consumption to Permanent Income,” Journal of Money, Credit, and Banking


“Detecting Shift-Contagion in Currency and Bond Markets,” Journal of International Economics with Toni Gravelle and Maral Kichian


“Nonlinearity and the Permanent Effects of Recessions,” Journal of Applied Econometrics with Chang-Jin Kim and Jeremy Piger


“Is There A Positive Relationship between Stock Market Volatility and the Equity Premium?” Journal of Money, Credit, and Banking with Chang-Jin Kim and Charles R. Nelson


“Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?” Review of Economics and Statistics with Charles R. Nelson and Eric Zivot


“Does an Intertemporal Tradeoff Between Risk and Return Explain Mean Reversion in Stock Prices?” Journal of Empirical Finance with Chang-Jin Kim and Charles R. Nelson  

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