James Hamilton : Citation Profile

University of California-San Diego (UCSD)

52

H index

79

i10 index

22961

Citations

RESEARCH PRODUCTION:

72

Articles

67

Papers

3

Chapters

RESEARCH ACTIVITY:

   41 years (1983 - 2024). See details.
   Cites by year: 560
   Journals where James Hamilton has often published
   Relations with other researchers
   Recent citing documents: 1082.    Total self citations: 59 (0.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pha60
   Updated: 2025-12-20    RAS profile: 2023-03-10    
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Relations with other researchers

Works with:

Baumeister, Christiane (6)

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

Is cited by:

Kilian, Lutz (272)

GUPTA, RANGAN (269)

Wang, Yudong (127)

Baumeister, Christiane (121)

Balcilar, Mehmet (121)

Filis, George (120)

Ratti, Ronald (119)

Owyang, Michael (109)

Ferrara, Laurent (99)

Serletis, Apostolos (93)

Degiannakis, Stavros (90)

Cites to:

Kilian, Lutz (60)

Baumeister, Christiane (44)

Swanson, Eric (41)

Gürkaynak, Refet (33)

Rudebusch, Glenn (30)

Zha, Tao (26)

Watson, Mark (25)

Peersman, Gert (23)

Canova, Fabio (22)

Piazzesi, Monika (19)

Ang, Andrew (18)

Main data

Where James Hamilton has published?

Journals with more than one article published# docs
Journal of Monetary Economics7
Journal of Econometrics7
Journal of Money, Credit and Banking6
Journal of Political Economy5
Journal of International Money and Finance4
American Economic Review4
Journal of Business & Economic Statistics3
Journal of Economic Dynamics and Control3
Carnegie-Rochester Conference Series on Public Policy2
Empirical Economics2
The Energy Journal2
Review2
International Journal of Forecasting2
Review of Economic Dynamics2
Econometrica2
Macroeconomic Dynamics2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc45
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
University of California at San Diego, Economics Working Paper Series / Department of Economics, UC San Diego3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing James Hamilton (2025 and 2024)

YearTitle of citing document
2025Trend-Breaks and the Persistence of Closed-End Fund Discounts. (2025). Kim, Hyeongwoo ; Sun, Yanfei ; Lee, Hyejin ; Durmaz, Nazif. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2025-02.

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2025The intertemporal relationship between downside risks and expected stock returns: Evidence from time-varying transition probability models. (2025). Enow, Samuel Tabot. In: International Journal of Business Ecosystem & Strategy (2687-2293). RePEc:adi:ijbess:v:7:y:2025:i:2:p:319-323.

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2024The Ends of 27 Big Depressions. (2024). O'Rourke, Kevin ; Lee, Sang Seok ; Ellison, Martin. In: American Economic Review. RePEc:aea:aecrev:v:114:y:2024:i:1:p:134-68.

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2024The impact of oil price shocks on economic growth in Algeria. (2024). Dib, Hafsa. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:323-338.

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2024Quantitative easing and its implications for contingent convertible triggers: an analytical perspective. (2024). Vid, Alin Ioan ; Chepti, Alexandra ; Cotescu, Rzvan ; Vasilca, Miruna-Mihaela. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxi:y:2024:i:4(641):p:357-373.

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2025The relationship between external factors and economic growth: Differences between the global financial crisis and the COVID-19 pandemic from a Granger causality perspective. (2025). Vid, Alin-Ioan ; Vasilca, Miruna-Mihaela ; Bejenaru, Cristina ; Cheptis, Alexandra. In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxxii:y:2025:i:1(642):p:125-134.

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2024Nitrogen Fertilizer Price Bubbles and Contributing Factors: Evidence from the Chinese Urea Fertilizer Market. (2024). Hu, Zhepeng ; Lai, Tianyun. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343535.

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2024Dynamic Linkages in Agricultural and Energy Markets: A Quantile Impulse Response Approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jean-Paul. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343541.

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2024Short-Term Impact of the Trade War on U.S. Agricultural Commodities Futures Prices. (2024). Yu, Shuo. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:344060.

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2024Nitrogen Fertilizer Price Bubbles and Contributing Factors: Evidence from the Chinese Urea Fertilizer Market. (2024). Lai, Tianyun ; Hu, Zhepeng. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343535.

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2024Dynamic Linkages in Agricultural and Energy Markets: A Quantile Impulse Response Approach. (2024). Li, Jian ; Chavas, Jean-Paul ; Wang, Linjie. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343541.

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2024Short-Term Impact of the Trade War on U.S. Agricultural Commodities Futures Prices. (2024). Yu, Shuo. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:344060.

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2062Big Fish: Oil Markets and Speculation. (2015). Sitzia, Francesco Giuseppe ; Scarpa, Elisa ; Cologni, Alessandro. In: Energy: Resources and Markets. RePEc:ags:feemer:206220.

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2024Szacunki i projekcje naturalnej stopy procentowej dla Polski i strefy euro. (2024). Bielecki, Marcin ; Brzoza-Brzezina, Micha ; Baejowska, Aneta ; Kuziemska-Pawlak, Kamila ; Szafraski, Grzegorz. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:361237.

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2025Dynamics of sovereign debt: credit risk and sustainability analysis. (2025). Cont, Rama ; Bassa, Karolina. In: INET Oxford Working Papers. RePEc:amz:wpaper:2025-24.

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2025The pass-through effect of the nominal exchange rate to prices in Costa Rica. (2025). Gómez-Rodríguez, Fabio ; Sandoval-Alvarado, Catalina ; Gmez-Rodrguez, Fabio. In: Documentos de Trabajo. RePEc:apk:doctra:2503.

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2025Monetary Policy and the Credit Channel, 2008-2019. (2025). Barquero-Romero, Jose Pablo ; Loaiza-Marn, Kerry. In: Documentos de Trabajo. RePEc:apk:doctra:2504.

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2025When do common time series estimands have nonparametric causal meaning?. (2025). Shephard, Neil ; Rambachan, Ashesh. In: Papers. RePEc:arx:papers:1903.01637.

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2024Consistent Specification Test of the Quantile Autoregression. (2024). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2024Options Pricing under Bayesian MS-VAR Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2109.05998.

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2024Regime-Switching Density Forecasts Using Economists Scenarios. (2024). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024Equity-Linked Life Insurances on Maximum of Several Assets. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2111.04038.

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2024Augmented Dynamic Gordon Growth Model. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2025Policy Choice in Time Series by Empirical Welfare Maximization. (2024). Wang, Weining ; Kitagawa, Toru ; Xu, Mengshan. In: Papers. RePEc:arx:papers:2205.03970.

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2024The Log Private Company Valuation Model. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2206.09666.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2024). Barigozzi, Matteo ; Massacci, Daniele. In: Papers. RePEc:arx:papers:2210.09828.

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2024Bayesian Neural Networks for Macroeconomic Analysis. (2024). Marcellino, Massimiliano ; Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2211.04752.

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2025Utility-based indifference pricing of pure endowments in a Markov-modulated market model. (2023). Salterini, Benedetta ; Cretarola, Alessandra. In: Papers. RePEc:arx:papers:2301.13575.

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2024Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions. (2024). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2025The Bayesian Context Trees State Space Model for time series modelling and forecasting. (2023). Papageorgiou, Ioannis ; Kontoyiannis, Ioannis. In: Papers. RePEc:arx:papers:2308.00913.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Stochastic Equilibrium the Lucas Critique and Keynesian Economics. (2024). Staines, David. In: Papers. RePEc:arx:papers:2312.16214.

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2024Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia. (2024). Li, Xinjue ; Liao, Xiaosai ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2401.01064.

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2024Predicting the volatility of major energy commodity prices: the dynamic persistence model. (2024). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2402.01354.

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2024Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2402.05272.

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2024Selective linear segmentation for detecting relevant parameter changes. (2024). Houndetoungan, Aristide ; Dufays, Arnaud ; Coen, Alain. In: Papers. RePEc:arx:papers:2402.05329.

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2024On Bayesian Filtering for Markov Regime Switching Models. (2024). Maih, Junior ; Kirsanova, Tatiana ; Hashimzade, Nigar. In: Papers. RePEc:arx:papers:2402.08051.

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2025A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks. (2025). Lanne, Markku ; Virolainen, Savi. In: Papers. RePEc:arx:papers:2403.14216.

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2024Bayesian Markov-Switching Vector Autoregressive Process. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2404.11235.

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2025Kernel Three Pass Regression Filter. (2025). Jat, Rajveer ; Padha, Daanish. In: Papers. RePEc:arx:papers:2405.07292.

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2024NIFTY Financial News Headlines Dataset. (2024). Saqur, Raeid ; Vinden, Nicholas ; Kato, Ken ; Rudzicz, Frank. In: Papers. RePEc:arx:papers:2405.09747.

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2024Mixing it up: Inflation at risk. (2024). Schroder, Maximilian. In: Papers. RePEc:arx:papers:2405.17237.

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2024Modelling and Forecasting Energy Market Volatility Using GARCH and Machine Learning Approach. (2024). Chung, Seulki. In: Papers. RePEc:arx:papers:2405.19849.

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2024Dynamic Asset Allocation with Asset-Specific Regime Forecasts. (2024). Shu, Yizhan ; Mulvey, John M ; Yu, Chenyu. In: Papers. RePEc:arx:papers:2406.09578.

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2024EM Estimation of Conditional Matrix Variate $t$ Distributions. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.10837.

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2024What Teaches Robots to Walk, Teaches Them to Trade too -- Regime Adaptive Execution using Informed Data and LLMs. (2024). Saqur, Raeid. In: Papers. RePEc:arx:papers:2406.15508.

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2024The Mertons Default Risk Model for Public Company. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2406.18121.

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2024How do financial variables impact public debt growth in China? An empirical study based on Markov regime-switching model. (2024). Liu, Zhixin ; Xu, Yingying ; Zhou, Tianbao. In: Papers. RePEc:arx:papers:2407.02183.

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2024Volatility modeling in a Markovian environment: Two Ornstein-Uhlenbeck-related approaches. (2024). Behme, Anita. In: Papers. RePEc:arx:papers:2407.05866.

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2024Has the Recession Started?. (2024). Michaillat, Pascal ; Saez, Emmanuel. In: Papers. RePEc:arx:papers:2408.05856.

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2024The mean-variance portfolio selection based on the average and current profitability of the risky asset. (2024). Li, YU ; Wu, Yuhan ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2408.07969.

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2025Machine Learning and the Yield Curve: Tree-Based Macroeconomic Regime Switching. (2024). Diebold, Francis ; Bie, Siyu ; Li, Junye ; He, Jingyu. In: Papers. RePEc:arx:papers:2408.12863.

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2024Modeling the Dynamics of Growth in Master-Planned Communities. (2024). Gabashvili, Irene S ; Allsup, Christopher K. In: Papers. RePEc:arx:papers:2408.14214.

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2024Structural counterfactual analysis in macroeconomics: theory and inference. (2024). Wang, Endong. In: Papers. RePEc:arx:papers:2409.09577.

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2024Simple robust two-stage estimation and inference for generalized impulse responses and multi-horizon causality. (2024). Dufour, Jean-Marie ; Wang, Endong. In: Papers. RePEc:arx:papers:2409.10820.

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2024A Run on Fossil Fuel? Climate Change and Transition Risk. (2024). Barnett, Michael. In: Papers. RePEc:arx:papers:2410.00902.

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2024Robust Bond Risk Premia Predictability Test in the Quantiles. (2024). Fan, Qingliang ; Li, Xinjue ; Liao, Xiaosai. In: Papers. RePEc:arx:papers:2410.03557.

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2024Dynamic Factor Allocation Leveraging Regime-Switching Signals. (2024). Mulvey, John M ; Shu, Yizhan. In: Papers. RePEc:arx:papers:2410.14841.

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2025General Seemingly Unrelated Local Projections. (2024). Pfarrhofer, Michael ; Matthes, Christian ; Huber, Florian. In: Papers. RePEc:arx:papers:2410.17105.

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2024MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188.

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2024Underlying Core Inflation with Multiple Regimes. (2024). Rodriguez-Rondon, Gabriel. In: Papers. RePEc:arx:papers:2411.12845.

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2024Dual Interpretation of Machine Learning Forecasts. (2024). Goulet Coulombe, Philippe ; Goebel, Maximilian ; Klieber, Karin. In: Papers. RePEc:arx:papers:2412.13076.

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2024Advanced Models for Hourly Marginal CO2 Emission Factor Estimation: A Synergy between Fundamental and Statistical Approaches. (2024). Muesgens, Felix ; Batzlineiro, Taimyra ; Sgarciu, Smaranda ; ben Amor, Souhir. In: Papers. RePEc:arx:papers:2412.17379.

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2025Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models. (2024). Krabbe, Frederik. In: Papers. RePEc:arx:papers:2412.19555.

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2025Bayesian Analyses of Structural Vector Autoregressions with Sign, Zero, and Narrative Restrictions Using the R Package bsvarSIGNs. (2025). Wo, Tomasz ; Wang, Xiaolei. In: Papers. RePEc:arx:papers:2501.16711.

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2025AlphaSharpe: LLM-Driven Discovery of Robust Risk-Adjusted Metrics. (2025). Yuksel, Kamer Ali ; Sawaf, Hassan. In: Papers. RePEc:arx:papers:2502.00029.

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2025Fiscal Policy and Household Savings in Central Europe (Poland, Croatia, and Slovak Republic) -- A Markov Switching VAR with Covid Shock. (2025). , Ehsanullah ; Yusof, Mohd Faizal ; Hassan, Md Sharif ; Islam, Md Aminul ; Rab, Naharin Binte. In: Papers. RePEc:arx:papers:2502.14041.

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2025Contrastive Similarity Learning for Market Forecasting: The ContraSim Framework. (2025). Vinden, Nicholas ; Saqur, Raeid ; Zhu, Zining ; Rudzicz, Frank. In: Papers. RePEc:arx:papers:2502.16023.

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2025Tactical Asset Allocation with Macroeconomic Regime Detection. (2025). Oliveira, Daniel Cunha ; Sandfelder, Dylan ; Dong, Xiaowen ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2503.11499.

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2025Large Structural VARs with Multiple Sign and Ranking Restrictions. (2025). Matthes, Christian ; Chan, Joshua ; Yu, Xuewen. In: Papers. RePEc:arx:papers:2503.20668.

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2025Labor Market Impact on Homelessness: Evidence from Canadian Administrative Data on Shelter Usage. (2025). Tuvaandorj, Purevdorj ; Lkhagvasuren, Damba. In: Papers. RePEc:arx:papers:2503.23259.

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2025Statistical applications of the 20/60/20 rule in risk management and portfolio optimization. (2025). Wyloma, Agnieszka ; Pitera, Marcin ; Pkaczek, Kewin ; Jelito, Damian. In: Papers. RePEc:arx:papers:2504.02840.

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2025Modeling Regime Structure and Informational Drivers of Stock Market Volatility via the Financial Chaos Index. (2025). Ataei, Masoud. In: Papers. RePEc:arx:papers:2504.18958.

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2025On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities. (2025). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:2504.21669.

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2025Whos at Risk? Effects of Inflation on Unemployment Risk. (2025). Ahn, Hie Joo ; Nguyen, Lam. In: Papers. RePEc:arx:papers:2505.05757.

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2025Beyond the Mean: Limit Theory and Tests for Infinite-Mean Autoregressive Conditional Durations. (2025). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Papers. RePEc:arx:papers:2505.06190.

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2025Large structural VARs with multiple linear shock and impact inequality restrictions. (2025). Berend, Lukas ; Pruser, Jan. In: Papers. RePEc:arx:papers:2505.19244.

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2025Green Shields: The Role of ESG in Uncertain Time. (2025). Stasiulaitis, Dominykas ; Kansoy, Fatih. In: Papers. RePEc:arx:papers:2506.02143.

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2025A Sinusoidal Hull-White Model for Interest Rate Dynamics: Capturing Long-Term Periodicity in U.S. Treasury Yields. (2025). Jha, Amit Kumar. In: Papers. RePEc:arx:papers:2506.06317.

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2025Early and Accurate Recession Detection Using Classifiers on the Anticipation-Precision Frontier. (2025). Michaillat, Pascal. In: Papers. RePEc:arx:papers:2506.09664.

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2025Let the Tree Decide: FABART A Non-Parametric Factor Model. (2025). Velasco, Sofia. In: Papers. RePEc:arx:papers:2506.11551.

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2025Dynamic allocation: extremes, tail dependence, and regime Shifts. (2025). Luo, Yin ; Jussa, Javed ; Wang, Sheng. In: Papers. RePEc:arx:papers:2506.12587.

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2025Dynamic Reinsurance Treaty Bidding via Multi-Agent Reinforcement Learning. (2025). Finlay, James R ; Dong, Stella C. In: Papers. RePEc:arx:papers:2506.13113.

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2025Identification of Impulse Response Functions for Nonlinear Dynamic Models. (2025). Lee, Quinlan ; Gourieroux, Christian. In: Papers. RePEc:arx:papers:2506.13531.

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2025Transformers Beyond Order: A Chaos-Markov-Gaussian Framework for Short-Term Sentiment Forecasting of Any Financial OHLC timeseries Data. (2025). Pathan, Arif. In: Papers. RePEc:arx:papers:2506.17244.

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2025A Bayesian Gaussian Process Dynamic Factor Model. (2025). Pfarrhofer, Michael ; Chernis, Tony ; Hauzenberger, Niko ; Mumtaz, Haroon. In: Papers. RePEc:arx:papers:2509.04928.

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2025Quantum Adaptive Self-Attention for Financial Rebalancing: An Empirical Study on Automated Market Makers in Decentralized Finance. (2025). Tsai, Aidan Hung-Wen ; Chen, Chi-Sheng. In: Papers. RePEc:arx:papers:2509.16955.

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2025Multi-Agent Regime-Conditioned Diffusion (MARCD) for CVaR-Constrained Portfolio Decisions. (2025). Alzahrani, Ali Atiah. In: Papers. RePEc:arx:papers:2510.10807.

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2025Optimal break tests for large linear time series models. (2025). Gupta, Abhimanyu ; Seo, Myung Hwan. In: Papers. RePEc:arx:papers:2510.12262.

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2025RegimeFolio: A Regime Aware ML System for Sectoral Portfolio Optimization in Dynamic Markets. (2025). Zhang, Yiyao ; Goel, Diksha ; Szabo, Claudia ; Ahmad, Hussain. In: Papers. RePEc:arx:papers:2510.14986.

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2025The causal interpretation of panel vector autoregressions. (2025). Pala, Raimondo. In: Papers. RePEc:arx:papers:2510.23540.

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2025Deep reinforcement learning for optimal trading with partial information. (2025). Macri, Andrea ; Lillo, Fabrizio ; Jaimungal, Sebastian. In: Papers. RePEc:arx:papers:2511.00190.

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2025Regime Changes and Real-Financial Cycles: Searching Minskys Hypothesis in a Nonlinear Setting. (2025). Ricchiuti, Giorgio ; Gatti, Domenico Delli ; Gusella, Filippo. In: Papers. RePEc:arx:papers:2511.04348.

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2025An extreme Gradient Boosting (XGBoost) Trees approach to Detect and Identify Unlawful Insider Trading (UIT) Transactions. (2025). Griva, Igor ; Neupane, Krishna. In: Papers. RePEc:arx:papers:2511.08306.

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2025CBDC Stress Test in a Dual-Currency Setting. (2025). Dumitrescu, Catalin. In: Papers. RePEc:arx:papers:2511.13384.

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2024The Price of Progress: Understanding the Impact of Oil Shocks on Pakistans Economic Trajectory. (2024). Munir, Nasir. In: Journal of Economic Sciences. RePEc:azm:journl:v:3:y:2024:i:2:p:199-212.

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2024Policy choice in time series by empirical welfare maximization. (2024). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: CeMMAP working papers. RePEc:azt:cemmap:27/24.

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2024Bayesian nonparametric methods for macroeconomic forecasting. (2024). Pfarrhofer, Michael ; Marcellino, Massimiliano. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24224.

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2025Global | Geopolítica, geoeconomía y riesgo: un enfoque basado en aprendizaje automático. (2025). Research, Bbva ; Rodrigo, Tomasa ; Ortiz, Alvaro. In: Working Papers. RePEc:bbv:wpaper:2514.

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Works by James Hamilton:

YearTitleTypeCited
1986On the Limitations of Government Borrowing: A Framework for EmpiricalTesting. In: American Economic Review.
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1985On the Limitations of Government Borrowing: A Framework for Empirical Testing.(1985) In: NBER Working Papers.
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1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It? In: American Economic Review.
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1992Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market. In: American Economic Review.
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1997Measuring the Liquidity Effect. In: American Economic Review.
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1996Measuring the liquidity effect.(1996) In: Working Papers in Applied Economic Theory.
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2011Estimating the Market-Perceived Monetary Policy Rule In: American Economic Journal: Macroeconomics.
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2010Estimating the Market-Perceived Monetary Policy Rule.(2010) In: NBER Working Papers.
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1985Historical Causes of Postwar Oil Shocks and Recessions In: The Energy Journal.
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2009Understanding Crude Oil Prices In: The Energy Journal.
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2008Understanding Crude Oil Prices.(2008) In: NBER Working Papers.
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1986Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering. In: Journal of Business & Economic Statistics.
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1991A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions. In: Journal of Business & Economic Statistics.
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1991The Quantitative Significance of the Lucas Critique: Comment. In: Journal of Business & Economic Statistics.
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2009Causes and Consequences of the Oil Shock of 2007-08 In: Brookings Papers on Economic Activity.
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2010Causes and consequences of the oil shock of 2007–08.(2010) In: FRB Atlanta CQER Working Paper.
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2009Causes and Consequences of the Oil Shock of 2007-08.(2009) In: NBER Working Papers.
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1988ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION In: Contemporary Economic Policy.
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2018Inference in structural vector auto regressions when the identifying assumptions are not fully believed : Re-evaluating the role of monetary policy in economic fluctuations In: Research Discussion Papers.
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2005Comment on Investigating Nonlinearity In: Studies in Nonlinear Dynamics & Econometrics.
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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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1999A Parametric Approach to Flexible Nonlinear Inference In: University of California at San Diego, Economics Working Paper Series.
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2001A Parametric Approach to Flexible Nonlinear Inference..(2001) In: Econometrica.
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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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2002A Reexamination of the Predictability of Economic Activity Using the Yield Spread..(2002) In: Journal of Money, Credit and Banking.
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2000A Re-examination of the Predictability of Economic Activity Using the Yield Spread.(2000) In: NBER Working Papers.
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2015Robust Bond Risk Premia In: CESifo Working Paper Series.
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2015Robust bond risk premia.(2015) In: Working Paper Series.
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2017Robust Bond Risk Premia.(2017) In: NBER Working Papers.
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2017Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks In: CEPR Discussion Papers.
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2018Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations In: CEPR Discussion Papers.
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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions In: CEPR Discussion Papers.
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2020Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions.(2020) In: Journal of International Money and Finance.
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2020Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions.(2020) In: NBER Working Papers.
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2020Advances in Structural Vector Autoregressions with Imperfect Identifying Information In: CEPR Discussion Papers.
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2011NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES In: Macroeconomic Dynamics.
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1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. In: Econometrica.
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1988Are the macroeconomic effects of oil-price changes symmetric? : A comment In: Carnegie-Rochester Conference Series on Public Policy.
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1998The supply and demand for Federal Reserve deposits In: Carnegie-Rochester Conference Series on Public Policy.
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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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2002On the interpretation of cointegration in the linear-quadratic inventory model In: Journal of Economic Dynamics and Control.
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2003Comment on A comparison of two business cycle dating methods In: Journal of Economic Dynamics and Control.
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1986State-space models In: Handbook of Econometrics.
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2003What is an oil shock? In: Journal of Econometrics.
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2000What is an Oil Shock?.(2000) In: NBER Working Papers.
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2012Identification and estimation of Gaussian affine term structure models In: Journal of Econometrics.
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2012Identification and Estimation of Gaussian Affine Term Structure Models.(2012) In: NBER Working Papers.
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2014Testable implications of affine term structure models In: Journal of Econometrics.
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2011Testable Implications of Affine Term Structure Models.(2011) In: NBER Working Papers.
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1986A standard error for the estimated state vector of a state-space model In: Journal of Econometrics.
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1990Analysis of time series subject to changes in regime In: Journal of Econometrics.
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1994Autoregressive conditional heteroskedasticity and changes in regime In: Journal of Econometrics.
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1996Specification testing in Markov-switching time-series models In: Journal of Econometrics.
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2011Calling recessions in real time In: International Journal of Forecasting.
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2010Calling Recessions in Real Time.(2010) In: NBER Working Papers.
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2011Response to comments In: International Journal of Forecasting.
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2021Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions In: Journal of International Money and Finance.
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2014Risk premia in crude oil futures prices In: Journal of International Money and Finance.
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2013Risk Premia in Crude Oil Futures Prices.(2013) In: NBER Working Papers.
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2019Comments on “Foreign Effects of Higher U.S. Interest Rates” by Matteo Iacoviello and Gaston Navarro In: Journal of International Money and Finance.
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2016Macroeconomic Regimes and Regime Shifts In: Handbook of Macroeconomics.
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2016Macroeconomic Regimes and Regime Shifts.(2016) In: NBER Working Papers.
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2018Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations In: Journal of Monetary Economics.
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2018Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations.(2018) In: NBER Working Papers.
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2018Inference in structural vector auto regressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations.(2018) In: Bank of Finland Research Discussion Papers.
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1985The observable implications of self-fulfilling expectations In: Journal of Monetary Economics.
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1987Monetary factors in the great depression In: Journal of Monetary Economics.
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1989The long-run behavior of the velocity of circulation : A review essay In: Journal of Monetary Economics.
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1996This is what happened to the oil price-macroeconomy relationship In: Journal of Monetary Economics.
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1998The augmented Solow model and the productivity slowdown In: Journal of Monetary Economics.
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2008Daily monetary policy shocks and new home sales In: Journal of Monetary Economics.
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2016Heterogeneity and Unemployment Dynamics In: Working Papers.
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2016Heterogeneity and Unemployment Dynamics.(2016) In: Finance and Economics Discussion Series.
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2004Normalization in econometrics In: FRB Atlanta Working Paper.
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2007Normalization in Econometrics.(2007) In: Econometric Reviews.
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2016Do macro variables help forecast interest rates? In: FRBSF Economic Letter.
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2004Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments In: Proceedings.
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2019Measuring Labor-Force Participation and the Incidence and Duration of Unemployment In: Finance and Economics Discussion Series.
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2007Housing and the monetary transmission mechanism: commentary In: Proceedings - Economic Policy Symposium - Jackson Hole.
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2011The Propagation of Regional Recessions.(2011) In: NBER Working Papers.
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1999A model for the federal funds rate target In: Department of Economics.
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2004Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices. In: Journal of Money, Credit and Banking.
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2004Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment. In: Journal of Money, Credit and Banking.
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