Main Page Lectures Research Seminars and Workshops Economics Department

Downloadable Papers · “When Credit Bites Back: Leverage, Business Cycles, and Crises” (with Moritz Schularick and Alan Taylor) [Abstract]; [Paper] · “A Chronology of Turning Points in Economic Activity: Spain 1850-2011” (with Travis Berge) [Abstract]; [Paper] · “Performance Evaluation of Zero Net-Investment Strategies” (with Alan Taylor) [Abstract]; [Paper] · Discussion of “Anchoring Countercyclical Capital Buffers: The Role of Credit Aggregates” forthcoming in International Journal of Central Banking. [Paper] · “Carry Trade” Encyclopedia of Financial Globalization, forthcoming [Paper] · “Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons” (with Moritz Schularick and Alan Taylor), IMF Economic Review, forthcoming. [Abstract]; [Paper] · “A Chronology of International Business Cycles Through Non-parametric Decoding” (with Travis Berge, Shu-Chun Chen and Fushing Hsieh) [Abstract]; [Paper] · “Future Recession Risks” (with Travis Berge). Federal Reserve Bank of San Francisco, Economic Letter 2010-24. [Abstract]; [Paper] · “Currency Carry Trades” (with Travis Berge and Alan Taylor). International Seminar on Macroeconomics 2010, NBER, forthcoming. [Abstract]; [Paper] · “The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium,” (with Yanping Chong and Alan Taylor) International Economic Review, forthcoming. [Abstract]; [Paper] · “Empirical Simultaneous Confidence Regions for Path-Forecasts” (with Malte Knüppel and Massimiliano Marcellino) [Abstract]; [Paper]; [Gauss Files] · “Diagnosing Recessions” Federal Reserve Bank of San Francisco, Economic Letter 2010-05 [Abstract]; [Paper] “The Classification of Economic Activity into Expansions and Recessions” (with Travis Berge) American Economic Journal: Macroeconomics, 2011, (3)2: 246-77. [Abstract]; [Paper] “The Carry Trade and Fundamentals: Nothing to Fear but FEER Itself” (with Alan Taylor) NBER working paper 15518 [Abstract]; [Paper] “Fluctuations in the Exchange Rate and the Carry Trade,” (with Kyuil Chung) Bank of Korea, working paper 405. [Abstract]; [Paper] "Estimation and Inference by the Method of Projection Minimum Distance: An Application to the New Keynesian Hybrid Phillips Curve" (with Sharon Kozicki) International Economic Review, 2011, 52(2): 461-487. [Abstract]; [Paper]; [GAUSS Code] “Path Forecast Evaluation” (with Massimiliano Marcellino) Journal of Applied Econometrics, 2010, 25(4): 635-662. [Abstract]; [Paper]; [GAUSS Code] “Simultaneous Confidence Regions for Impulse Responses” Review of Economics and Statistics, 2009, 91(3): 629-647 [Abstract]; [Paper]; [GAUSS Code] · Do Monetary Aggregates Help Forecast Inflation? Economic Letter, Federal Reserve Bank of San Francisco, 2007-10 Can Monetary Policy Influence Long-Term Interest Rates? Economic Letter, Federal Reserve Bank of San Francisco, 2005-9 Comments by Reuters Comments by Dow Jones Newswires "Estimation and Inference of Impulse Responses by Local Projections" American Economic Review, 2005, 95(1), 161-182 (formerly "Model-Free Impulse Responses"). [Abstract]; [Paper]; AVAILABLE CODE I suggest you look at my recent paper “Simultaneous Confidence Regions for Impulse Responses” and the code provided there for slicker applications of the local projections approach. Original code and data for the paper in GAUSS: [GAUSS Code] GAUSS Code for the Monte Carlo exercises in the paper is available by e-mailing me. GAUSS Code to estimate the time-varying parameter/volatility Bayesian VAR is available directly from Massimiliano de Santis at: mdesantis@ucdavis.edu (soon to join the faculty at Dartmouth) Matlab code. This code was written by Haruki Seitani, a former graduate student at U.C. Davis. For any questions please e-mail Haruki at: hseitani@ucdavis.edu . The code replicates the New Gauss code available above. [Matlab Code] "Time-scale transformations of discrete-time processes," with Massimiliano Marcellino. Journal of Time Series Analysis, 2004, 25(6): 873:894. [Abstract]; [Paper] "Non-Institutional Market Making Behavior: The Dalian Futures Exchange," with Holly Liu and Jeffrey Williams. [Abstract]; [Paper] "The Response of Term Rates to Monetary Policy Uncertainty," with Kevin D. Salyer. Review of Economic Dynamics, October 2003; 6(4): 941-62. [Abstract]; [Paper] “The Announcement Effect: Evidence from Open Market Desk Data,” with Selva Demiralp. Prepared for the Conference: Financial Innovation and Monetary Transmission, Federal Reserve Bank of New York, April 5-6, 2001. Available in Policy Review, FRBNY, May 2002; 8(1): 29-48. [Abstract]; [Paper] “Monetary Policy Coordination: A New Empirical Approach,” with Paul R. Bergin. Journal of International Money and Finance, 2004, 23(5), 761-783. E-mail me if you would like a copy of an alternative set of GAUSS code to estimate ACH models with the specification in this paper. [Abstract]; [Paper] "Measuring Systematic Monetary Policy" with Kevin Hoover. Prepared for the Conference: "Monetary Policy in Theory and Practice: Essays in Honor of Darryl R. Francis" – 2000, 25th Annual Economic Policy Conference. Federal Reserve Bank of St. Louis, October 20-21, 2000. [Abstract]; [Paper] "The Pavlovian Response of Term Rates to Fed Announcements" with Selva Demiralp. July, 2001 Revision "The Response of Term Rates to Fed Announcements" (although there is overlap between the two versions, there are differences that warrant having both linked simultaneously).  Journal of Money, Credit, and Banking, 36(3, Part I), 387-405. [Abstract]; [Paper - Nov. 2000]; [Revision - June 2002] "Stochastic Processes subject to Time Scale Transformations: An Application to High-Frequency FX Data" with Massimiliano Marcellino. A revision of this paper entitled "Modelling High-Frequency FX Data Dynamics," Macroeconomic Dynamics, v.7,  618-635. [Abstract]; [Paper]; [Revision] "A Model for the Federal Funds Rate Target," with Jim Hamilton (revised October 2001). Journal of Political Economy, no. 5, v. 110, 1135-1167, October 2002. [Abstract]; [Paper]; [Data and programs used in the paper] "Random-Time Aggregation in Partial Adjustment Models," Journal of Business and Economic Statistics, July 1999, Vol. 7, n. 3, 382-395. [Abstract]; [Paper] "Improved Testing and Specification of Smooth Transition Regression Models," with Alvaro Escribano in Dynamic Modeling and Econometrics in Economics and Finance, Vol 1, Nonlinear Time Series Analysis of Economic and Financial Data, Ed. Philip Rothman, Kluwer Academic Press, November 1998. [Abstract]; [Paper] "Decision Rules for Selecting between Exponential and Logistic STAR " with Alvaro Escribano, Spanish Economic Review, Vol. 3, no. 3, 193-210, September 2001. [Abstract]; [Paper] Shorter Papers Economic Time in Boletín de Inflación y Análisis Económico, n. 68, Instituto Flores de Lemus, U. Carlos III, Madrid [Abstract]; [Paper] Monetary Policy in the U.S. The Federal Funds Rate Target, A short article prepared for Situación, Banco Bilbao-Vizcaya. Note: Figure captions in Spanish. [Paper]