James Hamilton : Citation Profile


Are you James Hamilton?

University of California-San Diego (UCSD)

41

H index

63

i10 index

12608

Citations

RESEARCH PRODUCTION:

66

Articles

52

Papers

2

Chapters

RESEARCH ACTIVITY:

   35 years (1983 - 2018). See details.
   Cites by year: 360
   Journals where James Hamilton has often published
   Relations with other researchers
   Recent citing documents: 1160.    Total self citations: 42 (0.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha60
   Updated: 2018-12-08    RAS profile: 2017-06-04    
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Relations with other researchers


Works with:

Wu, Jing Cynthia (5)

Bauer, Michael (4)

Baumeister, Christiane (4)

West, Kenneth (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with James Hamilton.

Is cited by:

GUPTA, RANGAN (160)

Kilian, Lutz (133)

Balcilar, Mehmet (107)

Ratti, Ronald (92)

Aguiar-Conraria, Luís (88)

Filis, George (76)

Owyang, Michael (73)

MORANA, CLAUDIO (72)

Nguyen, Duc Khuong (63)

Baumeister, Christiane (62)

Billio, Monica (60)

Cites to:

Swanson, Eric (30)

Rudebusch, Glenn (27)

Kilian, Lutz (26)

Gürkaynak, Refet (23)

Piazzesi, Monika (19)

Ang, Andrew (17)

Harvey, Andrew (14)

Zha, Tao (14)

Orphanides, Athanasios (14)

Sims, Christopher (12)

Wu, Jing Cynthia (11)

Main data


Where James Hamilton has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Money, Credit and Banking6
Journal of Monetary Economics6
Journal of Political Economy5
American Economic Review4
Journal of Economic Dynamics and Control3
Journal of Business & Economic Statistics3
Macroeconomic Dynamics2
Review2
Econometric Reviews2
Carnegie-Rochester Conference Series on Public Policy2
Econometrica2
Empirical Economics2
The Energy Journal2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego3

Recent works citing James Hamilton (2018 and 2017)


YearTitle of citing document
2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2017The Determinants of the Benchmark Interest Rates in China: A Discrete Choice Model Approach. (2017). Kim, Hyeongwoo ; Shi, Wen. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-04.

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2018Linkages Between Oil Price Shocks and Stock Returns Revisited. (2018). Masson, Virginie ; Doko Tchatoka, Firmin ; Parry, Sean. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-01.

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2018Do We Really Know that U.S. Monetary Policy was Destabilizing in the 1970s?. (2018). Weder, Mark ; Haque, Qazi ; Groshenny, Nicolas. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-03.

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2017Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Stock, James H ; Watson, Mark W. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86.

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2017International Monetary Relations: Taking Finance Seriously. (2017). Obstfeld, Maurice ; Taylor, Alan M. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:3:p:3-28.

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2017Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). Sévi, Benoît ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn.

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2017Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun.

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2017The Historical Roots of U.S. Energy Price Shocks. (2017). Huntington, Hillard. In: The Energy Journal. RePEc:aen:journl:ej38-5-huntington.

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2017Fossil Fuel Price Shocks and CO2 Emissions: The Case of Spain. (2017). perez, rafaela ; Blazquez, Jorge ; Ruiz, Jesus ; Martin-Moreno, Jose Maria . In: The Energy Journal. RePEc:aen:journl:ej38-6-martinmoreno.

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2017The Environmental Cost of Global Fuel Subsidies. (2017). Davis, Lucas. In: The Energy Journal. RePEc:aen:journl:ej38-si1-davis.

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2017THE IMPACT OF OIL SHOCK ON NIGERIA ECONOMY: ASYMMETRY EFFECT ANALYSIS. (2017). Adi, Agya ; Friday, Udoh. In: Journal of Social and Economic Statistics. RePEc:aes:jsesro:v:6:y:2017:i:1:p:60-74.

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2017An empirical assessment of fiscal sustainability for selected South Asian economies. (2017). Mohapatra, Geetilaxmi ; Giri, A K ; Shastri, Shruti. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(610):y:2017:i:1(610):p:163-178.

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2018Macroprudential stability indicators of financial systems: Analysis of Bosnia and Herzegovina and Croatia. (2018). Kasumovi, Merim ; Mei, Mirna. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(614):y:2018:i:1(614):p:41-54.

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2017An empirical assessment of fiscal sustainability for selected South Asian economies. (2017). Shastri, Shruti ; Mohapatra, Geetilaxmi ; Giri, A K. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:1(610):p:163-178.

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2017An enquiry into the dynamics of real oil prices: A state space approach. (2017). Hazrana, Jaweriah ; Nazrana, Aaisha . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:197-212.

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2017Modeling of stock indices with HMM-SV models. (2017). Nkemnole, E B ; Wulu, J T. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:45-60.

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2017Identifying the Impact of Financialization in Commodity Futures Prices from Index Rebalancing. (2017). Yan, Lei ; Sanders, Dwight R ; Irwin, Scott H. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258504.

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2017Quality Forecasts: Predicting When and How Much Markets Value Higher Protein Wheat. (2017). Bekkerman, Anton. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259119.

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2017The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2017). Chavas, Jean-Paul ; Li, Jian. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259185.

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2018Does Economic Policy Uncertainty Affect Energy Market Volatility and Vice-Versa?. (2018). Scarcioffolo, Alexandre Ribeiro ; Etienne, Xiaoli L. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:273976.

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2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor N. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

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2018Is the Halloween Effect Present on the Markets for Agricultural Commodities?. (2018). Burakov, D ; Freidin, M. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276110.

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2017The impact of index funds on grain futures markets revisited. (2017). Steinhubel, Linda ; Will, Matthias Georg ; Pies, Ingo ; Brummer, Bernhard ; Prehn, Soren. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261428.

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2018The Effects of Private Stocks versus Public Stocks on Food Price Volatility. (2018). Chavas, J.-P., ; Li, J. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275976.

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2018The Bayesian MS-GARCH model and Value-at-Risk in South African agricultural commodity price markets. (2018). Shiferaw, Y. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275991.

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2018How Have China s Agricultural Price Support Policies Affected Market Prices?: A Quantile Regression Evaluation. (2018). Li, J ; Chavas, J.-P., . In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277557.

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2017Can U.S. EIA Retail Gasoline Price Forecasts Be Improved Upon?. (2017). Senia, Mark C ; Arunanondchai, Panit . In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252717.

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2017An analysis of the interdependence between cash crop and staple food futures prices. (2017). Heckelei, Thomas ; Grosche, Stephanie-Carolin ; Mamoun, EL. In: Discussion Papers. RePEc:ags:ubfred:265665.

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2017Was Colonialism Fiscally Sustainable? An Empirical Examination of the Colonial Finances of Spanish America.. (2017). Arnaut, Javier L. In: Documentos de Trabajo (DT-AEHE). RePEc:ahe:dtaehe:1703.

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2017Revisiting the Effect of Crude Oil Price Movements on US Stock Market Returns and Volatility. (2017). Sonenshine, Ralph ; Cauvel, Michael . In: Working Papers. RePEc:amu:wpaper:2017-01.

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2017Fiscal sustainability of the Visegrad Group countries in the aftermath of global economic crisis. (2017). Włodarczyk, Przemysław. In: Lodz Economics Working Papers. RePEc:ann:wpaper:2/2017.

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2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Staszewska-Bystrova, Anna ; Winker, Peter ; Lutkepohl, Helmut. In: Lodz Economics Working Papers. RePEc:ann:wpaper:4/2018.

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2018Measuring the Natural Rates of Interest in Germany and Italy. (2018). Victor, Bystrov. In: Lodz Economics Working Papers. RePEc:ann:wpaper:7/2018.

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2017Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence. (2017). Siddiqui, Sikandar ; Tyagi, Somya. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2017:p:61-67.

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2017Measuring the Stance of Monetary Policy in a Time-Varying. (2017). Pérez Forero, Fernando. In: Working Papers. RePEc:apc:wpaper:2017-102.

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2017Market Efficiency and Government Interventions in Prewar Japanese Rice Futures Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.1164.

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2017The Futures Premium and Rice Market Efficiency in Prewar Japan. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1404.5381.

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2017Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; Baruník, Jozef. In: Papers. RePEc:arx:papers:1603.07020.

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2017On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153.

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2018Optimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach. (2018). Pemy, Moustapha. In: Papers. RePEc:arx:papers:1611.02547.

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2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes. (2018). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1612.04932.

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2017Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model. (2017). Caccia, Massimo ; Bruno, . In: Papers. RePEc:arx:papers:1707.02019.

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2017Markov-Modulated Information Flows. (2017). Hoyle, Edward ; Menguturk, Levent A ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1708.06948.

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2017Multivariate Density Modeling for Retirement Finance. (2017). Rook, Christopher J. In: Papers. RePEc:arx:papers:1709.04070.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

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2018The determinants of bank loan recovery rates in good times and bad - new evidence. (2018). Wang, Hong ; Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S. In: Papers. RePEc:arx:papers:1804.07022.

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2018Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms. (2018). Ocejo, Adriana. In: Papers. RePEc:arx:papers:1804.08442.

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2018Application of Probabilistic Graphical Models in Forecasting Crude Oil Price. (2018). Alvi, Danish A. In: Papers. RePEc:arx:papers:1804.10869.

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2018Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Explicit Solutions for Optimal Resource Extraction Problems under Regime Switching L\evy Models. (2018). Pemy, Moustapha. In: Papers. RePEc:arx:papers:1806.06105.

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2018Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Das, Milan Kumar ; Goswami, Anindya. In: Papers. RePEc:arx:papers:1807.04393.

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2018Entropy Analysis of Financial Time Series. (2018). Schwill, Stephan. In: Papers. RePEc:arx:papers:1807.09423.

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2018A Predictive Model for Oil Market under Uncertainty: Data-Driven System Dynamics Approach. (2018). Aghaei, Sina ; Fekri, Masoud ; Langroudi, Amirreza Safari. In: Papers. RePEc:arx:papers:1808.04150.

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2018Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Gyamerah, Samuel Asante ; Ikpe, Dennis ; Ngare, Philip. In: Papers. RePEc:arx:papers:1808.04710.

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2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382.

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2018Nonparametric Analysis of Finite Mixtures. (2018). Kitamura, Yuichi ; Laage, Louise. In: Papers. RePEc:arx:papers:1811.02727.

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2017Are Tunisian and Egyptian Share IPO Markets Hot or Cold?. (2017). kammoun, aida ; Zaier, Hedhili L ; Abdelmoula, Kammoun A. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:133-151.

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2017Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression. (2017). Hsu, Tzu-Kuang ; Tsai, Chin-Chang . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:15-26.

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2017The Power of a Leading Indicators Fluctuation Trend for Forecasting Taiwans Real Estate Business Cycle: An Application of a Hidden Markov Model. (2017). Wu, Yun-Ling ; Lee, Chun-Chang ; Tung, Cheng-Huang . In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:81-98.

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2018Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode. (2018). Sun, Yunpeng ; Wang, Xueying. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2018:p:745-761.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886.

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2017A Mixtured Localized Likelihood Method for GARCH Models with Multiple Change-points. (2017). Xing, Haipeng ; Zhou, Sichen ; Yuan, Hongsong . In: Review of Economics & Finance. RePEc:bap:journl:170204.

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2017Posterior Means and Precisions of the Coefficients in Linear Models with Highly Collinear Regressors. (2017). Smith, Ronald ; Pesaran, M. In: BCAM Working Papers. RePEc:bbk:bbkcam:1707.

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2018Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data. (2018). Wohlfarth, Paul. In: Birkbeck Working Papers in Economics and Finance. RePEc:bbk:bbkefp:1803.

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2017Business cycle phases in Spain. (2017). Camacho, Maximo ; Ulloa, Camilo ; Pacce, Matias. In: Working Papers. RePEc:bbv:wpaper:1720.

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2018Consumer confidence’s boom and bust in Latin America. (2018). Camacho, Maximo ; Soto, Fernando. In: Working Papers. RePEc:bbv:wpaper:1802.

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2018Natural interest rates in the U.S., Canada and Mexico. (2018). Chen, Kan ; Karp, Nathaniel . In: Working Papers. RePEc:bbv:wpaper:1807.

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2017What Explains Month-End Funding Pressure in Canada?. (2017). Sutherland, Christopher S. In: Discussion Papers. RePEc:bca:bocadp:17-9.

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2018Assessing the Impact of Demand Shocks on the US Term Premium. (2018). Barnett, Russell ; Zmitrowicz, Konrad. In: Discussion Papers. RePEc:bca:bocadp:18-7.

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2018The Government of Canada Debt Securities Data Set. (2018). Rivadeneyra, Francisco ; Rondon, Gabriel Rodriguez ; Gao, Jeffrey. In: Technical Reports. RePEc:bca:bocatr:112.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2017Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Diez de los Rios, Antonio ; Shamloo, Maral . In: Staff Working Papers. RePEc:bca:bocawp:17-26.

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2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

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2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard. In: Staff Working Papers. RePEc:bca:bocawp:17-35.

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2017Policy Rules for Capital Controls. (2017). Pasricha, Gurnain. In: Staff Working Papers. RePEc:bca:bocawp:17-42.

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2017Which Model to Forecast the Target Rate?. (2017). van Oordt, Maarten . In: Staff Working Papers. RePEc:bca:bocawp:17-60.

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2018Could a Higher Inflation Target Enhance Macroeconomic Stability?. (2018). Mendes, Rhys ; Lepetyuk, Vadym ; Labelle, Nicholas ; Dorich, Jose. In: Staff Working Papers. RePEc:bca:bocawp:18-17.

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2018Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement. (2018). Goldman, Elena ; Shen, Xiangjin . In: Staff Working Papers. RePEc:bca:bocawp:18-21.

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2017Regional business cycles across europe. (2017). Gómez-Loscos, Ana ; Gadea, María ; Bandres, Eduardo ; Gomez-Loscos, Ana ; Gadea-Rivas, Maria Dolores . In: Occasional Papers. RePEc:bde:opaper:1702.

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2017The evolution of regional economic interlinkages in Europe. (2017). Leiva-Leon, Danilo ; Gómez-Loscos, Ana ; Gadea, María ; Gadea-Rivas, Maria Dolores ; Gomez-Loscos, Ana . In: Working Papers. RePEc:bde:wpaper:1705.

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2017The eurozone (expected) inflation: an option’s eyes view.. (2017). Ibáñez, Alfredo ; Gimeno, Ricardo ; Ibaez, Alfredo . In: Working Papers. RePEc:bde:wpaper:1722.

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2017Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework. (2017). Leiva-Leon, Danilo. In: Working Papers. RePEc:bde:wpaper:1726.

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2017The propagation of industrial business cycles. (2017). Leiva-Leon, Danilo ; Camacho, Maximo. In: Working Papers. RePEc:bde:wpaper:1728.

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2017Clustering regional business cycles. (2017). Gómez-Loscos, Ana ; Gadea, María ; Bandres, Eduardo ; Gomez-Loscos, Ana ; Gadea-Rivas, M D. In: Working Papers. RePEc:bde:wpaper:1744.

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2018The rise and fall of the natural interest rate. (2018). Sentana, Enrique ; Galesi, Alessandro ; Fiorentini, Gabriele ; Perez-Quiros, Gabriel. In: Working Papers. RePEc:bde:wpaper:1822.

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2018Analyzing the structural transformation of commodity markets: financialization revisited. (2018). Natoli, Filippo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_419_18.

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2018Financial markets effects of ECB unconventional monetary policy announcements. (2018). Bulligan, Guido ; delle Monache, Davide. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_424_18.

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2018A Survey of Systemic Risk Indicators. (2018). Di Cesare, Antonio ; Picco, Anna Rogantini . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

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2017Low frequency drivers of the real interest rate: a band spectrum regression approach. (2017). Busetti, Fabio ; Caivano, Michele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1132_17.

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2017Natural rates across the Atlantic. (2017). Neri, Stefano ; Gerali, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1140_17.

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2017A quantitative analysis of risk premia in the corporate bond market. (2017). Cecchetti, Sara . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1141_17.

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2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1189_18.

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2017Explaining Inflation with a Classical Dichotomy Model and Switching Monetary Regimes: Mexico 1932-2013. (2017). Daniel, Garces Diaz . In: Working Papers. RePEc:bdm:wpaper:2017-20.

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2018TIIE-28 Swaps as Risk-Adjusted Forecasts of Monetary Policy in Mexico. (2018). Santiago, Garcia-Verdu ; Manuel, Sanchez-Martinez. In: Working Papers. RePEc:bdm:wpaper:2018-16.

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2018Non-Linear Fiscal Multipliers for Public Expenditure and Tax Revenue in Colombia. (2018). Pinchao-Rosero, Andres ; Rodriguez-Nio, Norberto ; Lopez-Vera, Alejandro. In: Revista ESPE - Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:36:y:2018:i:85:p:48-64.

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2018ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:62:y:2018:i:216:p:35-62.

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2018ECONOMETRIC TESTING OF UNCOVERED INTEREST RATE PARITY IN SERBIA. (2018). Mladenovi, Zorica ; Rakovi, Jelena. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:216:p:35-62.

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2018STRUCTURAL AND CYCLICAL FACTORS OF SERBIA’S CURRENT ACCOUNT. (2018). Kovaevi, Radovan. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:217:p:75-98.

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2017Price impact of bond supply shocks: Evidence from the Eurosystems asset purchase program.. (2017). Nguyen, Benoît ; Arrata, W. In: Working papers. RePEc:bfr:banfra:623.

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More than 100 citations found, this list is not complete...

Works by James Hamilton:


YearTitleTypeCited
1986On the Limitations of Government Borrowing: A Framework for EmpiricalTesting. In: American Economic Review.
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article378
1985On the Limitations of Government Borrowing: A Framework for Empirical Testing.(1985) In: NBER Working Papers.
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This paper has another version. Agregated cites: 378
paper
1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It? In: American Economic Review.
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article446
1992Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market. In: American Economic Review.
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article43
1997Measuring the Liquidity Effect. In: American Economic Review.
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article105
1996Measuring the liquidity effect.(1996) In: Working Papers in Applied Economic Theory.
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This paper has another version. Agregated cites: 105
paper
2011Estimating the Market-Perceived Monetary Policy Rule In: American Economic Journal: Macroeconomics.
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article15
2010Estimating the Market-Perceived Monetary Policy Rule.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 15
paper
1985Historical Causes of Postwar Oil Shocks and Recessions In: The Energy Journal.
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article70
2009Understanding Crude Oil Prices In: The Energy Journal.
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article412
2008Understanding Crude Oil Prices.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 412
paper
1986Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering. In: Journal of Business & Economic Statistics.
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article23
1991A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions. In: Journal of Business & Economic Statistics.
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article43
1991The Quantitative Significance of the Lucas Critique: Comment. In: Journal of Business & Economic Statistics.
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article0
2009Causes and Consequences of the Oil Shock of 2007-08 In: Brookings Papers on Economic Activity.
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article324
2010Causes and consequences of the oil shock of 2007–08.(2010) In: FRB Atlanta CQER Working Paper.
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This paper has another version. Agregated cites: 324
paper
2009Causes and Consequences of the Oil Shock of 2007-08.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 324
paper
1988ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION In: Contemporary Economic Policy.
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article18
2005Comment on Investigating Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2003A model for the federal funds rate target. In: Working Papers.
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paper142
1999A model for the federal funds rate target.(1999) In: Department of Economics.
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This paper has another version. Agregated cites: 142
paper
2000A Model for the Federal Funds Rate Target.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 142
paper
2002A Model of the Federal Funds Rate Target.(2002) In: Journal of Political Economy.
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This paper has another version. Agregated cites: 142
article
2001Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy In: University of California at San Diego, Economics Working Paper Series.
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paper23
1999A Parametric Approach to Flexible Nonlinear Inference In: University of California at San Diego, Economics Working Paper Series.
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paper115
2001A Parametric Approach to Flexible Nonlinear Inference..(2001) In: Econometrica.
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This paper has another version. Agregated cites: 115
article
2000A Re-examination of the Predictability of Economic Activity Using the Yield Spread In: University of California at San Diego, Economics Working Paper Series.
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paper148
2002A Reexamination of the Predictability of Economic Activity Using the Yield Spread..(2002) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 148
article
2000A Re-examination of the Predictability of Economic Activity Using the Yield Spread.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 148
paper
2015Robust Bond Risk Premia In: CESifo Working Paper Series.
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paper2
2015Robust bond risk premia.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 2
paper
2017Robust Bond Risk Premia.(2017) In: NBER Working Papers.
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This paper has another version. Agregated cites: 2
paper
2008INSIDE THE ECONOMISTS MIND In: Macroeconomic Dynamics.
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article0
2011NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES In: Macroeconomic Dynamics.
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article125
2010Nonlinearities and the Macroeconomic Effects of Oil Prices.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 125
paper
1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. In: Econometrica.
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article2883
1988Are the macroeconomic effects of oil-price changes symmetric? : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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article12
1998The supply and demand for Federal Reserve deposits In: Carnegie-Rochester Conference Series on Public Policy.
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article9
1988Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates In: Journal of Economic Dynamics and Control.
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article331
2002On the interpretation of cointegration in the linear-quadratic inventory model In: Journal of Economic Dynamics and Control.
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article7
2003Comment on A comparison of two business cycle dating methods In: Journal of Economic Dynamics and Control.
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article22
1986State-space models In: Handbook of Econometrics.
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chapter11
2003What is an oil shock? In: Journal of Econometrics.
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article873
2000What is an Oil Shock?.(2000) In: NBER Working Papers.
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This paper has another version. Agregated cites: 873
paper
2012Identification and estimation of Gaussian affine term structure models In: Journal of Econometrics.
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article61
2012Identification and Estimation of Gaussian Affine Term Structure Models.(2012) In: NBER Working Papers.
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This paper has another version. Agregated cites: 61
paper
2014Testable implications of affine term structure models In: Journal of Econometrics.
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article17
2011Testable Implications of Affine Term Structure Models.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 17
paper
1986A standard error for the estimated state vector of a state-space model In: Journal of Econometrics.
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article74
1990Analysis of time series subject to changes in regime In: Journal of Econometrics.
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article678
1994Autoregressive conditional heteroskedasticity and changes in regime In: Journal of Econometrics.
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article672
1996Specification testing in Markov-switching time-series models In: Journal of Econometrics.
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article203
2011Calling recessions in real time In: International Journal of Forecasting.
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article71
2010Calling Recessions in Real Time.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 71
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2011Response to comments In: International Journal of Forecasting.
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article0
2014Risk premia in crude oil futures prices In: Journal of International Money and Finance.
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article72
2013Risk Premia in Crude Oil Futures Prices.(2013) In: NBER Working Papers.
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This paper has another version. Agregated cites: 72
paper
1985The observable implications of self-fulfilling expectations In: Journal of Monetary Economics.
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article86
1987Monetary factors in the great depression In: Journal of Monetary Economics.
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article93
1989The long-run behavior of the velocity of circulation : A review essay In: Journal of Monetary Economics.
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article4
1996This is what happened to the oil price-macroeconomy relationship In: Journal of Monetary Economics.
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article619
1998The augmented Solow model and the productivity slowdown In: Journal of Monetary Economics.
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article44
2008Daily monetary policy shocks and new home sales In: Journal of Monetary Economics.
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article27
In: .
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paper3
2018Heterogeneity and Unemployment Dynamics.(2018) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 3
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2016Heterogeneity and Unemployment Dynamics.(2016) In: NBER Working Papers.
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This paper has another version. Agregated cites: 3
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2004Normalization in econometrics In: FRB Atlanta Working Paper.
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paper66
2007Normalization in Econometrics.(2007) In: Econometric Reviews.
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This paper has another version. Agregated cites: 66
article
2016Do macro variables help forecast interest rates? In: FRBSF Economic Letter.
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article0
2004Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments In: Proceedings.
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article0
2009The market-perceived monetary policy rule In: International Finance Discussion Papers.
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paper12
2007Housing and the monetary transmission mechanism: commentary In: Proceedings - Economic Policy Symposium - Jackson Hole.
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article0
2005Whats real about the business cycle? In: Review.
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article29
2005Whats Real About the Business Cycle?.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 29
paper
2008Assessing monetary policy effects using daily federal funds futures contracts In: Review.
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article4
2009The propagation of regional recessions In: Working Papers.
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paper49
2011The Propagation of Regional Recessions.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 49
paper
2012The Propagation of Regional Recessions.(2012) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 49
article
2009Concerns about the Feds New Balance Sheet In: Book Chapters.
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chapter1
1986On Testing for Self-fulfilling Speculative Price Bubbles. In: International Economic Review.
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article23
2012Import Prices and Inflation In: International Journal of Central Banking.
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article6
1996Stock Market Volatility and the Business Cycle. In: Journal of Applied Econometrics.
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article232
1991The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment. In: Journal of Money, Credit and Banking.
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article0
2004Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices. In: Journal of Money, Credit and Banking.
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article78
2003Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 78
paper
2004Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment. In: Journal of Money, Credit and Banking.
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article303
2009Daily Changes in Fed Funds Futures Prices In: Journal of Money, Credit and Banking.
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article29
2007Daily Changes in Fed Funds Futures Prices.(2007) In: NBER Working Papers.
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This paper has another version. Agregated cites: 29
paper
2012The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment In: Journal of Money, Credit and Banking.
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article252
2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 252
paper
2005Dating Business Cycle Turning Points In: NBER Working Papers.
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paper57
2007Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts In: NBER Working Papers.
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paper3
2008Macroeconomics and ARCH In: NBER Working Papers.
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paper20
2008Daily Monetary Policy Shocks and the Delayed Response of New Home Sales In: NBER Working Papers.
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paper23
2010Sources of Variation in Holding Returns for Fed Funds Futures Contracts In: NBER Working Papers.
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paper5
2011Sources of variation in holding returns for fed funds futures contracts.(2011) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 5
article
2011Historical Oil Shocks In: NBER Working Papers.
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paper60
2012Oil Prices, Exhaustible Resources, and Economic Growth In: NBER Working Papers.
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paper10
2013Off-Balance-Sheet Federal Liabilities In: NBER Working Papers.
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paper0
2013Crunch Time: Fiscal Crises and the Role of Monetary Policy In: NBER Working Papers.
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paper34
2014Effects of Index-Fund Investing on Commodity Futures Prices In: NBER Working Papers.
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paper36
2015EFFECTS OF INDEX‐FUND INVESTING ON COMMODITY FUTURES PRICES.(2015) In: International Economic Review.
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This paper has another version. Agregated cites: 36
article
2014The Changing Face of World Oil Markets In: NBER Working Papers.
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paper5
2014Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information In: NBER Working Papers.
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paper41
2015Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information.(2015) In: Econometrica.
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This paper has another version. Agregated cites: 41
article
2015The Equilibrium Real Funds Rate: Past, Present and Future In: NBER Working Papers.
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paper73
2016Macroeconomic Regimes and Regime Shifts In: NBER Working Papers.
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paper11
2017Why You Should Never Use the Hodrick-Prescott Filter In: NBER Working Papers.
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paper45
2017Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: NBER Working Papers.
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paper6
2018Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations In: NBER Working Papers.
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paper0
2018A Skeptical View of the Impact of the Fed’s Balance Sheet In: NBER Working Papers.
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paper0
1989Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It? In: NBER Working Papers.
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paper11
1997Comment on U.S. Oil Consumption, Oil Prices, and the Macroeconomy. In: Empirical Economics.
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article1
2002New directions in business cycle research and financial analysis In: Empirical Economics.
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article23
2000Book review In: Econometric Reviews.
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article2
1996What Do the Leading Indicators Lead? In: The Journal of Business.
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article72
1996The Daily Market for Federal Funds. In: Journal of Political Economy.
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article224
1983Oil and the Macroeconomy since World War II. In: Journal of Political Economy.
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article1195
1985Uncovering Financial Market Expectations of Inflation. In: Journal of Political Economy.
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article35
1988A Neoclassical Model of Unemployment and the Business Cycle. In: Journal of Political Economy.
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article227

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