Robert John Vigfusson : Citation Profile

Are you Robert John Vigfusson?

Federal Reserve Board (Board of Governors of the Federal Reserve System)

19

H index

27

i10 index

2586

Citations

RESEARCH PRODUCTION:

19

Articles

61

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1995 - 2021). See details.
   Cites by year: 99
   Journals where Robert John Vigfusson has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 31 (1.18 %)

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   Permalink: http://citec.repec.org/pvi18
   Updated: 2023-11-04    RAS profile: 2022-01-27    
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Relations with other researchers

Works with:

Datta, Deepa (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Robert John Vigfusson.

Is cited by:

Kilian, Lutz (112)

Baumeister, Christiane (58)

Vespignani, Joaquin (35)

Auer, Raphael (32)

Fève, Patrick (32)

Wang, Yudong (31)

Ratti, Ronald (28)

Zhou, Xiaoqing (24)

Salisu, Afees (23)

Rossi, Barbara (22)

Gambetti, Luca (21)

Cites to:

Kilian, Lutz (74)

Christiano, Lawrence (53)

Hamilton, James (37)

Eichenbaum, Martin (35)

Watson, Mark (24)

Rogoff, Kenneth (15)

Goldberg, Linda (15)

Campa, Jose (14)

Herrera, Ana María (14)

Engel, Charles (14)

Stock, James (13)

Main data

Where Robert John Vigfusson has published?

Journals with more than one article published# docs
Journal of Monetary Economics2
FRBSF Economic Letter2
American Economic Journal: Macroeconomics2
Macroeconomic Dynamics2
Journal of the European Economic Association2

Working Papers Series with more than one paper published# docs
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)21
IFDP Notes / Board of Governors of the Federal Reserve System (U.S.)6
Staff Working Papers / Bank of Canada5
CEPR Discussion Papers / C.E.P.R. Discussion Papers5
NBER Working Papers / National Bureau of Economic Research, Inc4
Working Paper Series / Federal Reserve Bank of San Francisco2
Working Papers (Old Series) / Federal Reserve Bank of Cleveland2

Recent works citing Robert John Vigfusson (2023 and 2022)

YearTitle of citing document
2023ENSO Climate Patterns on Global Economic Conditions. (2023). Pourroy, Marc ; Ginn, William ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:2308.

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2023The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

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2022Long Run Risk in Stationary Structural Vector Autoregressive Models. (2022). Gourieroux, Christian ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2202.09473.

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2022Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP. (2022). Zhu, Dan ; Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2209.01910.

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2023Exchange Rate Pass-Through and Data Frequency: Firm-Level Evidence from Bangladesh. (2023). Hossen, Md Deluair. In: Papers. RePEc:arx:papers:2303.04101.

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2023Impulse Response Analysis for Structural Nonlinear Time Series Models. (2023). Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2305.19089.

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2022Exchange Rate and Trade in Services Nexus in Nigeria: A Non-Linear ARDL Approach. (2022). Audu, Nathan ; Obiezue, Titus. In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev8i1-5.

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2023Bayesian Local Projections. (2023). Ricco, Giovanni ; Ferreira, Leonardo ; Miranda-Agrippino, Silvia. In: Working Papers Series. RePEc:bcb:wpaper:581.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Market structure and exchange rate pass?through in the Turkish manufacturing industry: Evidence from sectoral data. (2022). Ifti, Muhsin ; Kal, Suleyman Hilmi. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:4:p:995-1016.

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2023The flood that caused a drought. (2023). Vu, Nam ; Talavera, Oleksandr ; Nikolskorzhevskyy, Alex. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:4:p:965-981.

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2023Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186.

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2023Understanding Monetary Spillovers in Highly Integrated Regions: The Case of Europe. (2023). Schuberth, Helene ; Feldkircher, Martin. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:859-893.

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2023ECB monetary policy and commodity prices. (2023). Kočenda, Evžen ; Koenda, Even ; Aliyev, Shahriyar. In: Review of International Economics. RePEc:bla:reviec:v:31:y:2023:i:1:p:274-304.

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2022Forecasting macroeconomic indicators for Eurozone and Greece: How useful are the oil price assumptions?. (2022). Bragoudakis, Zacharias ; Degiannakis, Stavros ; Filis, George. In: Working Papers. RePEc:bog:wpaper:296.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2022Identification of Labour Market Shocks. (2021). Diwambuena, Josué ; Ravazzolo, Francesco. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps86.

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2022Split Personalities: The Changing Nature of Technology Shocks*. (2022). Lubik, Thomas ; Gunn, Christopher ; Grtz, Christoph. In: Carleton Economic Papers. RePEc:car:carecp:22-06.

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2023Who’s Most Exposed to International Shocks? Estimating Differences in Import Price Sensitivity across U.S. Demographic Groups. (2023). Monarch, Ryan ; Hottman, Colin J. In: Working Papers. RePEc:cen:wpaper:23-13.

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2023Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand. (2023). Kilian, Lutz ; Zhou, Xiaoqing. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10350.

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2022Did COVID-19 induce a reallocation wave?. (2022). Petroulakis, Filippos ; Consolo, Agostino. In: Working Paper Series. RePEc:ecb:ecbwps:20222703.

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2023Energy supply shocks’ nonlinearities on output and prices. (2023). Tornese, Tommaso ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20232834.

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2022Are government spending shocks inflationary at the zero lower bound? New evidence from daily data. (2022). Choi, Sangyup ; Yoo, Seung Yong ; Shin, Junhyeok. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001294.

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2022Statistical arbitrage and risk contagion. (2022). Ladley, Daniel ; Gao, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002329.

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2022Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions. (2022). Sushko, Iryna ; Schmitt, Noemi ; Radi, Davide ; Gardini, Laura ; Westerhoff, Frank. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002482.

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2023Enter the MATRIX model:a Multi-Agent model for Transition Risks with application to energy shocks.. (2023). Bazzana, Davide ; Gurgone, Andrea ; Turco, Enrico ; Ciola, Emanuele ; Menoncin, Francesco ; Vergalli, Sergio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002925.

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2022Do macroeconomic activities respond differently to oil price shocks? New evidence from Indonesia. (2022). Baek, Jungho ; Yoon, Jee Hee. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:852-862.

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2023Testing for integration and cointegration when time series are observed with noise. (2023). Pelagatti, Matteo ; Parisio, Lucia ; Maranzano, Paolo ; Gianfreda, Angelica. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001645.

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2022Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility. (2022). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000973.

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2022Assessing consumer valuations of future costs versus purchase prices in Japans auto market. (2022). Arakawa, Kiyoshi. In: Economics of Transportation. RePEc:eee:ecotra:v:30:y:2022:i:c:s2212012222000119.

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2022Heterogeneity of beliefs and information rigidity in the crude oil market: Evidence from survey data. (2022). Czudaj, Robert. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000071.

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2022Financial intermediary leverage and monetary policy transmission. (2022). Li, Zehao. In: European Economic Review. RePEc:eee:eecrev:v:144:y:2022:i:c:s0014292122000332.

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2023Macroeconomic effects of tax rate and base changes: Evidence from fiscal consolidations. (2023). Lima, Frederico ; Dabla-Norris, Era. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000284.

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2023Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122.

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2022The asymmetric effects of oil price shocks on the U.S. stock market. (2022). Rahman, Sajjadur. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005466.

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2022What matters for consumer sentiment in the euro area? World crude oil price or retail gasoline price?. (2022). Tsouknidis, Dimitris ; Clerides, Sofronis ; Lambertides, Neophytos ; Krokida, Styliani-Iris. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s0140988321005880.

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2022Nonlinear tail dependence between the housing and energy markets. (2022). Taghizadeh-Hesary, Farhad ; Uddin, Gazi Salah ; Yoshino, Naoyuki ; Hedstrom, Axel ; Stenvall, David. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321006137.

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2022Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis. (2022). Pincheira, Pablo ; Hardy, Nicolas ; Jarsun, Nabil ; Bentancor, Andrea ; Pincheira-Brown, Pablo. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832100637x.

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2022Sensitivity of US sectoral returns to energy commodities under different investment horizons and market conditions. (2022). Kang, Sanghoon ; McIver, Ron ; Vo, Xuan Vinh ; Ur, Mobeen. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000603.

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2022Heterogeneous effects of oil price fluctuations: Evidence from a nonparametric panel data model in Canada. (2022). Lloyd-Ellis, Huw ; Moghaddam, Mohsen Bakhshi. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001839.

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2022Forecasting crude oil prices with shrinkage methods: Can nonconvex penalty and Huber loss help?. (2022). Zhang, Yue-Jun ; Xing, Li-Min. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001852.

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2022Does geopolitical risk matter in crude oil and stock markets? Evidence from disaggregated data. (2022). Yuan, DI ; Gong, Chenggang ; Zeng, Yan ; Tu, Dalun ; Li, Sufang. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003413.

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2022Equity premium prediction using the price of crude oil: Uncovering the nonlinear predictive impact. (2022). Nonejad, Nima. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005242.

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2022Forecasting the real prices of crude oil: A robust weighted least squares approach. (2022). Hao, Xianfeng ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005345.

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2023Oil price assumptions for macroeconomic policy. (2023). Filis, George ; Degiannakis, Stavros. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005540.

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2023An integrated model for crude oil forecasting: Causality assessment and technical efficiency. (2023). Wang, Xuelian ; Liao, Stephen Shaoyi ; Wu, Peng ; Cheng, Xian. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005965.

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2023Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

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2023Energy shocks and bank performance in the advanced economies. (2023). Downing, Gareth ; Nasim, Asma. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000154.

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2023The role of Chinas crude oil futures in world oil futures market and Chinas financial market. (2023). Gong, XU ; Sun, Jiacheng ; Min, Jialin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001172.

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2023Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts. (2023). Petrella, Ivan ; Zhang, Yunyi ; Garratt, Anthony. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001184.

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2023Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from Chinas automobile markets. (2023). Shang, Hongli ; Zhang, Chuanguo. In: Energy Policy. RePEc:eee:enepol:v:172:y:2023:i:c:s0301421522005274.

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2023Is refined oil price regulation a “shock absorber” for crude oil price shocks?. (2023). Wang, Shouyang ; Jiao, Jianbin ; Hu, YI ; Zhang, QI. In: Energy Policy. RePEc:eee:enepol:v:173:y:2023:i:c:s0301421522005882.

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2023Estimating and forecasting the impact of nonrenewable energy prices on US renewable energy consumption. (2023). Madraki, Golshan ; Lin, Guoyu ; Mette, Jehu ; Atems, Bebonchu. In: Energy Policy. RePEc:eee:enepol:v:173:y:2023:i:c:s0301421522005936.

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2022Detrended cross-correlation analysis in quantiles between oil price and the US stock market. (2022). Mokni, Khaled ; Ben-Salha, Ousama. In: Energy. RePEc:eee:energy:v:242:y:2022:i:c:s0360544221031674.

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2022Geopolitical risk trends and crude oil price predictability. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Energy. RePEc:eee:energy:v:258:y:2022:i:c:s0360544222017273.

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2022Oil price uncertainty and corporate cash holdings: Global evidence. (2022). Alsubaiei, Bader Jawid ; Alomran, Abdulaziz Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000837.

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2022Oil price volatility predictability based on global economic conditions. (2022). Lai, Xiaodong ; Guo, Yangli ; Ma, Feng ; Li, Haibo. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001569.

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2022Oil and multinational technology stocks: Predicting fear with fear at the first and higher order moments. (2022). Ogunbowale, Gideon O ; Akinseye, Ademola B ; Oliyide, Johnson A ; Adekoya, Oluwasegun B. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321002774.

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2022Forecasting crude oil price volatility out-of-sample using news-based geopolitical risk index: What forms of nonlinearity help improve forecast accuracy the most?. (2022). Nonejad, Nima. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003408.

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2023Low pass-through and international synchronization in general equilibrium: Reassessing vertical integration. (2023). Rannenberg, Ansgar ; Lejeune, Thomas ; de Walque, Grégory ; Wouters, Raf. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001428.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2023Forecasting crude oil market volatility using variable selection and common factor. (2023). Wang, Yudong ; Wahab, M. I. M., ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502.

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2023Forecasting crude oil futures market returns: A principal component analysis combination approach. (2023). Wang, Yudong ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:659-673.

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2022The illusion of oil return predictability: The choice of data matters!. (2022). cotter, john ; Eyiah-Donkor, Emmanuel ; Conlon, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s037842662100282x.

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2022Oil prices, exchange rates and interest rates. (2022). Kilian, Lutz ; Zhou, Xiaoqing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:126:y:2022:i:c:s0261560622000821.

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2022Uncertainty-dependent and sign-dependent effects of oil market shocks. (2022). Okimoto, Tatsuyoshi ; Tran, Trung Duc ; Nguyen, Bao H. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000404.

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2022Causality in the aluminum market. (2022). Clark, Andrew. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:27:y:2022:i:c:s2405851321000532.

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2022The commodities/equities beta term-structure. (2022). Oglend, Atle. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851322000022.

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2023Speculation or actual demand? The return spillover effect between stock and commodity markets. (2023). Gao, Tianshu ; Zhou, Baicheng ; Wang, Shu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000654.

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2022Gasoline demand in the United States: An asymmetric economic analysis. (2022). Chidmi, Benaissa ; Kamyabi, Najmeh. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000354.

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2023Does Indian economy asymmetrically respond to oil price shocks?. (2023). Ramachandran, M ; Deheri, Abdhut. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494923000117.

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2022Inflation, oil prices and exchange rates. The Euro’s dampening effect. (2022). Luis, Hierro ; Antonio, Garzon. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:44:y:2022:i:1:p:130-146.

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2022Forecasting oil prices over 150 years: The role of tail risks. (2022). Salisu, Afees ; GUPTA, RANGAN ; Ji, Qiang. In: Resources Policy. RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721005158.

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2022Asymmetric and nonlinear oil price pass-through to economic growth in Croatia: Do oil-related policy shocks matter?. (2022). Cipcic, Marina Lolic ; Borozan, Djula. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722001842.

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2022Oil-price uncertainty and the U.K. unemployment rate: A forecasting experiment with random forests using 150 years of data. (2022). Salisu, Afees ; Pierdzioch, Christian ; GUPTA, RANGAN. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722001106.

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2022Time-varying risk analysis for commodity futures. (2022). Ur, Mobeen ; Junior, Peterson Owusu ; Ahmad, Nasir ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s030142072200349x.

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2022Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach. (2022). Akdeniz, Cokun ; Helmi, Mohamad Husam ; Huyuguzel, Gul Serife ; Atik, Abdurrahman Nazif ; Caporale, Guglielmo Maria. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004871.

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2023Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach. (2023). Miao, Jiafeng ; Xu, Jing ; Chen, Yufeng. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000041.

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2023Response of fiscal efforts to oil price dynamics. (2023). Mensah, Samuel ; Muhammad, Mansur ; Abubakar, Attahir Babaji. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000612.

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2022Does the yield curve signal recessions? New evidence from an international panel data analysis. (2022). Hasse, Jean-Baptiste ; Lajaunie, Quentin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:9-22.

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2022Global value chains and exchange rate pass-through—The role of non-linearities. (2022). Kotowski, Jacek ; Haka, Aleksandra ; Hagemejer, Jan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:461-478.

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2022Non-linear cointegration between oil and stock prices: The role of interest rates. (2022). Perez-Soba, Ines ; Marquez-De, Elena ; Martinez-Caete, Ana R. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001343.

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2022Does technological innovation benefit energy firms’ environmental performance? The moderating effect of government subsidies and media coverage. (2022). Qiang, Wei ; Zhang, Yue-Jun ; Liang, Ting. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:180:y:2022:i:c:s0040162522002542.

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2022When Do State-Dependent Local Projections Work?. (2022). Pesavento, Elena ; Kilian, Lutz ; Herrera, Ana María ; Goncalves, Silvia. In: Working Papers. RePEc:fip:feddwp:94175.

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2023Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand. (2023). Zhou, Xiaoqing ; Kilian, Lutz. In: Working Papers. RePEc:fip:feddwp:95512.

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2023How to Construct Monthly VAR Proxies Based on Daily Futures Market Surprises. (2023). Kilian, Lutz. In: Working Papers. RePEc:fip:feddwp:96517.

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2023Oil Price Shocks and Inflation. (2023). Kilian, Lutz ; Zhou, Xiaoqing. In: Working Papers. RePEc:fip:feddwp:96618.

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2022Forecast Revisions as Instruments for News Shocks. (2022). Cascaldi-Garcia, Danilo. In: International Finance Discussion Papers. RePEc:fip:fedgif:1341.

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2023The Missing Tail Risk in Option Prices. (2023). Sattiraju, Sai ; Matschke, Johannes ; Melek, Nida Akir ; Brown, Jason. In: Research Working Paper. RePEc:fip:fedkrw:96072.

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2022Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression. (2022). Drachal, Krzysztof. In: Energies. RePEc:gam:jeners:v:16:y:2022:i:1:p:4-:d:1008576.

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2023Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models. (2023). Chidmi, Benaissa ; al Shammre, Abdullah Sultan. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:11:p:4451-:d:1160822.

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2023Globalization and Economic Stability: An Insight from the Rocket and Feather Hypothesis in Pakistan. (2023). Sheraz, Amna ; Fiaz, Asma ; Egbe, Chinyere Emmanuel ; Khurshid, Nabila. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1611-:d:1035383.

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2023ENSO Climate Patterns on Global Economic Conditions. (2023). Pourroy, Marc ; Ginn, William ; Dufrenot, Gilles. In: Working Papers. RePEc:hal:wpaper:hal-04064759.

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2023Bayesian Predictive Distributions of Oil Returns Using Mixed Data Sampling Volatility Models. (2023). Tran, Minh-Ngoc ; Nguyen, Hoang ; Virbickaite, Audrone. In: Working Papers. RePEc:hhs:oruesi:2023_007.

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2022Optimized Machine Learning Algorithms for Investigating the Relationship Between Economic Development and Human Capital. (2022). Ozden, Erdemalp ; Guleryuz, Didem. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:1:d:10.1007_s10614-021-10194-7.

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2022Asymmetric oil price shocks and the economies of selected oil-exporting African countries: a global VAR approach. (2022). Olayungbo, D O ; Umechukwu, Chisom. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:55:y:2022:i:4:d:10.1007_s10644-022-09382-8.

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2023The effects of two benchmarks on Russian crude oil prices. (2023). Berument, Hakan M ; Dogan, Nukhet ; Sahin, Goktug. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:2:d:10.1007_s10644-022-09441-0.

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

Works by Robert John Vigfusson:

YearTitleTypeCited
2021Oil, Equities, and the Zero Lower Bound In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article25
2017Oil, equities, and the zero lower bound.(2017) In: BIS Working Papers.
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2018Oil, Equities, and the Zero Lower Bound.(2018) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 25		paper
2014Missing Import Price Changes and Low Exchange Rate Pass-Through In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article39
2012Missing Import Price Changes and Low Exchange Rate Pass-Through.(2012) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
1996Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined? In: Technical Reports.
[Full Text][Citation analysis]		paper12
2011Forecasting the Price of Oil In: Staff Working Papers.
[Full Text][Citation analysis]		paper439
2011Forecasting the Price of Oil.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 439		paper
2013Forecasting the Price of Oil.(2013) In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 439		chapter
2011Forecasting the price of oil.(2011) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 439		paper
1995Analytical Derivatives for Markov Switching Models In: Staff Working Papers.
[Full Text][Citation analysis]		paper6
1997Analytical Derivatives for Markov Switching Models..(1997) In: Computational Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
1995Analytical Derivatives for Markov Switching Models.(1995) In: GE, Growth, Math methods.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
1996Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach In: Staff Working Papers.
[Full Text][Citation analysis]		paper74
1997Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach..(1997) In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
1996Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach.(1996) In: International Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		paper
1996Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles? In: Staff Working Papers.
[Full Text][Citation analysis]		paper11
1996Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?.(1996) In: Meeting papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
1996Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures. In: Staff Working Papers.
[Full Text][Citation analysis]		paper13
1996Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures.(1996) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2009Exchange Rate Passthrough to Export Prices: Assessing Cross?Country Evidence* In: Review of International Economics.
[Full Text][Citation analysis]		article19
1998Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article51
2016The Role of Oil Price Shocks in Causing U.S. Recessions In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper76
2014The Role of Oil Price Shocks in Causing U.S. Recessions.(2014) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2014The Role of Oil Price Shocks in Causing U.S. Recessions.(2014) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2017The Role of Oil Price Shocks in Causing U.S. Recessions.(2017) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		article
2014The role of oil price shocks in causing U.S. recessions.(2014) In: CFS Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2016Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper14
2020Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications.(2020) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2016Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications.(2016) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2009Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper42
2009Pitfalls in estimating asymmetric effects of energy price shocks.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		paper
2011Nonlinearities in the Oil Price-Output Relationship In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper150
2011NONLINEARITIES IN THE OIL PRICE–OUTPUT RELATIONSHIP.(2011) In: Macroeconomic Dynamics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 150		article
2011Nonlinearities in the oil price-output relationship.(2011) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 150		paper
2012Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper97
2012Do oil prices help forecast U.S. real GDP? the role of nonlinearities and asymmetries.(2012) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 97		paper
2013Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries.(2013) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 97		article
2018INTEREST RATES AND THE VOLATILITY AND CORRELATION OF COMMODITY PRICES In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article13
2012Interest rates and the volatility and correlation of commodity prices.(2012) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2011Are the responses of the U.S. economy asymmetric in energy price increases and decreases? In: Quantitative Economics.
[Full Text][Citation analysis]		article310
2003Maximum likelihood in the frequency domain: the importance of time-to-plan In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article52
2001Maximum likelihood in the frequency domain: the importance of time-to-plan.(2001) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		paper
2010Trade integration, competition, and the decline in exchange-rate pass-through In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article156
2006Trade integration, competition, and the decline in exchange-rate pass-through.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 156		paper
2006Trade Integration, Competiton, and the Decline in Exchange-rate Pass-through.(2006) In: 2006 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 156		paper
1999Maximum likelihood in the frequency domain: a time to build example In: Working Papers (Old Series).
[Full Text][Citation analysis]		paper7
1999Maximum likelihood in the frequency domain: a time to build example.(1999) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
1999Maximum Likelihood in the Frequency Domain: a Time to Build Example..(1999) In: London School of Economics - Centre for Labour Economics.
[Citation analysis]
This paper has another version. Agregated cites: 7		paper
1999Maximum Likelihood in the Frequency Domain: A Time to Build Example.(1999) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2016The elusive boost from cheap oil In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article3
2017Forecasting Chinas Role in World Oil Demand In: FRBSF Economic Letter.
[Full Text][Citation analysis]		article1
2010Entry dynamics and the decline in exchange-rate pass-through In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2010Entry dynamics and the decline in exchange-rate pass-through.(2010) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2021Oil, Equities, and a Nonbinding Zero Lower Bound: The Monetary Policy Response to COVID-19 In: FEDS Notes.
[Full Text][Citation analysis]		paper0
2011Evaluating the forecasting performance of commodity futures prices In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper20
2003What happens after a technology shock? In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper406
2003What Happens After a Technology Shock?.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 406		paper
2003How do Canadian hours worked respond to a technology shock? In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper1
2003How does the border affect productivity? evidence from American and Canadian manufacturing industries In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper4
2008How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries.(2008) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2003The response of hours to a technology shock: evidence based on direct measures of technology In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper145
2004The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology.(2004) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 145		paper
2004The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology.(2004) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 145		article
2004The delayed response to a technology shock: a flexible price explanation In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper15
2005Exchange rate pass-through to U.S. import prices: some new evidence In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper111
2005Alternative procedures for estimating vector autoregressions identified with long-run restrictions In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper24
2006Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions.(2006) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
2006Assessing structural VARs In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper200
2007Assessing Structural VARs.(2007) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 200		chapter
2006Assessing Structural VARs.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 200		paper
2007Exchange rate pass-through to export prices: assessing some cross-country evidence In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper20
2009The power of long-run structural VARs In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper2
2013Do Low Interest Rates Decrease Commodity Price Volatility? In: IFDP Notes.
[Full Text][Citation analysis]		paper1
2016The Dollar in the U.S. International Transactions (USIT) Model In: IFDP Notes.
[Full Text][Citation analysis]		paper11
2016The Relationship Between Oil Prices and Inflation Compensation In: IFDP Notes.
[Full Text][Citation analysis]		paper5
2018Should We Be Concerned Again About U.S. Current Account Sustainability? In: IFDP Notes.
[Full Text][Citation analysis]		paper3
2018Should We Be Concerned Again About U.S. Current Account Sustainability? In: IFDP Notes.
[Full Text][Citation analysis]		paper1
2018BAT Signals from Asset Markets : Estimating the U.S. Dollar Response to a Destination-Based Cash-Flow Tax In: IFDP Notes.
[Full Text][Citation analysis]		paper0
2021The Evolving Link between Oil Prices and U.S. Consumer Spending In: Economic Review.
[Full Text][Citation analysis]		article1
2012The hitchhiker’s guide to missing import price changes and pass-through In: Staff Reports.
[Full Text][Citation analysis]		paper2
2007The Power of Long-Run VARs In: 2007 Meeting Papers.
[Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team