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Lectures

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Seminars and Workshops

Economics Department

 


Downloadable Papers
 

  • “Path Forecast Evaluation” (with Massimiliano Marcellino)

[Abstract]; [Paper]; [GAUSS Code]

  • “Simultaneous Confidence Regions for Impulse Responses” Review of Economics and Statistics, forthcoming

[Abstract]; [Paper]; [GAUSS Code]

 

  • "Estimation and Inference by the Method of Projection Minimum Distance" (with Sharon Kozicki)

[Abstract]; [Paper];

·         Do Monetary Aggregates Help Forecast Inflation? Economic Letter, Federal Reserve Bank of San Francisco, 2007-10

  • "Estimation and Inference of Impulse Responses by Local Projections" American Economic Review, 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 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]

[Abstract]; [Paper]

  • “Monetary Policy Coordination: A New Empirical Approach,” with Paul R. Bergin. Journal of International Money and Finance, 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]

[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]

[Abstract]; [Paper]

[Abstract]; [Paper]

[Abstract]; [Paper]


Shorter Papers
 

[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]