James Morley

University of Sydney

Professor of Macroeconomics

Rm 370 Merewether (H04)

Sydney, NSW 2006 2008

Australia

http://https://sites.google.com/site/jamescmorley/

SCHOLARLY PAPERS

29

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Scholarly Papers (29)

1.

State-Dependent Effects of Fiscal Policy

UNSW Business School Research Paper No. 2012-27C
Number of pages: 49 Posted: 30 Apr 2012 Last Revised: 19 Aug 2014
Steven M. Fazzari, James Morley and Irina Panovska
Washington University in St. Louis, University of Sydney and University of Texas at Dallas
Downloads 532 (51,237)
Citation 19

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Government Spending, Threshold Model, Vector Autoregression, Nonlinear Dynamics, Impulse-Response Comparison, Bayesian

2.
Downloads 456 ( 62,234)
Citation 2

Macro-Finance Linkages

Number of pages: 20 Posted: 07 Apr 2013
James Morley
University of Sydney
Downloads 456 (61,600)
Citation 2

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Global Financial Crisis, financial accelerator, contagion, monetary policy

Macro‐Finance Linkages

Journal of Economic Surveys, Vol. 30, Issue 4, pp. 698-711, 2016
Number of pages: 14 Posted: 10 Aug 2016
James Morley
University of Sydney
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Contagion, Financial accelerator, Global Financial Crisis, Monetary policy

The Changing Transmission Mechanism of U.S. Monetary Policy

UNSW Business School Research Paper No. 2015-03
Number of pages: 41 Posted: 10 Feb 2015
Norhana Endut, James Morley and Pao-Lin Tien
Central Bank of Malaysia, University of Sydney and affiliation not provided to SSRN
Downloads 167 (178,826)

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Bank-Lending Channel, Sign Restrictions, Great Moderation

The Changing Transmission Mechanism of U.S. Monetary Policy

Number of pages: 44 Posted: 17 Aug 2016
Norhana Endut, James Morley and Pao-Lin Tien
Central Bank of Malaysia, University of Sydney and Bureau of Economic Analysis
Downloads 84 (299,138)
Citation 1

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Bank-Lending Channel, Sign Restrictions, Monetary Policy Shock, Great Moderation

Estimating DSGE Models with Zero Interest Rate Policy

UNSW Australia Business School Research Paper No. 2014-32B
Number of pages: 41 Posted: 07 Jul 2014 Last Revised: 25 Jan 2017
Mariano Kulish, James Morley and Tim Robinson
University of New South Wales (UNSW), University of Sydney and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 193 (156,973)
Citation 1

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Zero lower bound, forward guidance, Bayesian estimation

Estimating the Expected Duration of the Zero Lower Bound in DSGE Models with Forward Guidance

Melbourne Institute Working Paper No. 16/14
Number of pages: 37 Posted: 28 Jul 2014
Mariano Kulish, James Morley and Tim Robinson
University of New South Wales (UNSW), University of Sydney and University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Downloads 38 (442,497)

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zero lower bound, forward guidance

Likelihood-Ratio-Based Confidence Sets for the Timing of Structural Breaks

Number of pages: 55 Posted: 11 Sep 2008 Last Revised: 02 Mar 2016
Yunjong Eo and James Morley
The University of Sydney - School of Economics and University of Sydney
Downloads 198 (153,144)

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Inverted Likelihood Ratio Confidence Sets, Multiple Breaks, System of Equations; Great Moderation, Productivity Growth Slowdown

Likelihood-Based Confidence Sets for the Timing of Structural Breaks

UNSW Australian School of Business Research Paper No. 2013-12
Number of pages: 49 Posted: 17 May 2013 Last Revised: 22 May 2013
Yunjong Eo and James Morley
The University of Sydney - School of Economics and University of Sydney
Downloads 27 (496,886)
Citation 1

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Inverted Likelihood Ratio Confidence Sets, Multiple Breaks, Great Moderation, Productivity Growth Slowdown

6.

Debt and Financial Market Contagion

UNSW Business School Research Paper No. 2015-02
Number of pages: 33 Posted: 09 Feb 2015
Cody Yu-Ling Hsiao and James Morley
University of New South Wales (UNSW) and University of Sydney
Downloads 218 (140,116)

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Contagion, debt, European debt crisis, financial crisis, Great Recession, trade linkages, regional linkages

7.

Testing Stationarity with Unobserved Components Models

UNSW Business School Research Paper No. 2012 ECON 41B
Number of pages: 38 Posted: 17 Oct 2012 Last Revised: 19 Aug 2014
James Morley, Irina Panovska and Tara M. Sinclair
University of Sydney, University of Texas at Dallas and George Washington University - Department of Economics
Downloads 211 (144,426)
Citation 5

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Stationarity Test, Likelihood Ratio, Unobserved Components, Parametric Bootstrap, Monte Carlo Simulation, Small-Sample Inference

8.

In Search of the Natural Rate of Unemployment

Number of pages: 41 Posted: 15 Dec 2004
Thomas B. King and James Morley
Federal Reserve Bank of Chicago and University of Sydney
Downloads 184 (163,966)

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Unemployment, natural rate, structural VAR, Phillips Curve, NAIRU

Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter

UNSW Business School Research Paper No. 2016-09
Number of pages: 46 Posted: 30 Jun 2016
Güneş Kamber, James Morley and Benjamin Wong
Bank for International Settlements (BIS) - Monetary and Economic Department, University of Sydney and Monash University - Department of Econometrics & Business Statistics
Downloads 79 (310,628)
Citation 1

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Beveridge-Nelson Decomposition, Output Gap, Signal-To-Noise Ratio

Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter

CAMA Working Paper No. 3/2017
Number of pages: 73 Posted: 17 Jan 2017
Güneş Kamber, James Morley and Benjamin Wong
Bank for International Settlements (BIS) - Monetary and Economic Department, University of Sydney and Monash University - Department of Econometrics & Business Statistics
Downloads 63 (352,995)
Citation 4

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Beveridge-Nelson decomposition, output gap, signal-to-noise ratio

Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter

BIS Working Paper No. 584
Number of pages: 43 Posted: 04 Oct 2016
Güneş Kamber, James Morley and Benjamin Wong
Bank for International Settlements (BIS) - Monetary and Economic Department, University of Sydney and Monash University - Department of Econometrics & Business Statistics
Downloads 32 (469,991)

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Beveridge-Nelson decomposition, output gap, signal-to-noise ratio

Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter

Review of Economics and Statistics, 2018, issue 100, number 3, pg. 550-566
Number of pages: 45 Posted: 12 Aug 2019
Güneş Kamber, James Morley and Benjamin Wong
Bank for International Settlements (BIS) - Monetary and Economic Department, University of Sydney and Monash University - Department of Econometrics & Business Statistics
Downloads 4 (651,151)
Citation 2

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Beveridge-Nelson decomposition, output gap, signal-to-noise ratio

10.

What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Analysis

UNSW Australian School of Business Research Paper No. 2014-20A
Number of pages: 32 Posted: 23 Apr 2014 Last Revised: 05 May 2014
N. Kundan Kishor and James Morley
University of Wisconsin - Milwaukee and University of Sydney
Downloads 144 (202,223)
Citation 2

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Price-Rent Ratio, Unobserved Component Model, Present-Value Model

11.

When Is Discretionary Fiscal Policy Effective?

Number of pages: 66 Posted: 22 Feb 2017 Last Revised: 14 Sep 2019
Steven M. Fazzari, James Morley and Irina Panovska
Washington University in St. Louis, University of Sydney and University of Texas at Dallas
Downloads 136 (211,870)
Citation 1

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Government spending; austerity; nonlinear dynamics; Bayesian; sign restrictions; vector autoregression

12.

Is Business Cycle Asymmetry Intrinsic in Industrialized Economies?

Number of pages: 58 Posted: 07 Oct 2016 Last Revised: 18 Jun 2018
James Morley and Irina Panovska
University of Sydney and University of Texas at Dallas
Downloads 132 (216,986)
Citation 7

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output gap; model averaging; Markov switching; business cycle asymmetry; convex Phillips Curve

13.

A Bayesian Approach to Counterfactual Analysis of Structural Change

FRB St. Louis Working Paper No. 2004-014C
Number of pages: 38 Posted: 28 Jul 2005
Chang-Jin Kim, James Morley and Jeremy Piger
Korea University, University of Sydney and University of Oregon - Department of Economics
Downloads 132 (216,986)

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bayesian, counterfactual, structural change, volatility reduction

14.

Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information?

UNSW Australian School of Business Research Paper No. 2012ECON23
Number of pages: 37 Posted: 27 Mar 2012
James Morley, Jeremy Piger and Pao-Lin Tien
University of Sydney, University of Oregon - Department of Economics and affiliation not provided to SSRN
Downloads 115 (240,623)
Citation 3

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Business cycle features, nonlinear dynamics, multivariate models

15.

Inflation in the G7: Mind the Gap(s)?

Federal Reserve Bank of St. Louis Bank Working Paper No. 2011-011A
Number of pages: 42 Posted: 23 Apr 2011
James Morley, Jeremy Piger and Robert Rasche
University of Sydney, University of Oregon - Department of Economics and Michigan State University
Downloads 114 (242,155)

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inflation gap, inflation persistence, natural rate, Phillips Curve, trend inflation

16.

Why Has the U.S. Economy Stagnated Since the Great Recession?

Number of pages: 37 Posted: 30 Nov 2017 Last Revised: 22 Jun 2019
Yunjong Eo and James Morley
The University of Sydney - School of Economics and University of Sydney
Downloads 106 (254,898)
Citation 1

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Secular stagnation; Great Recession; output gap; trend growth; Markov switching; structural breaks

17.

Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle

UNSW Australian School of Business Research Paper No. 2013-05
Number of pages: 39 Posted: 15 Apr 2013
Ming Chien Lo and James Morley
Saint Cloud State University - Department of Economics and University of Sydney
Downloads 100 (265,304)
Citation 2

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Bayesian Analysis, Real Exchange Rate Dynamics, Purchasing Power Parity, Nonlinear Threshold Models, Bayesian Model Averaging, Half lives

18.

Inventory Shocks and the Great Moderation

UNSW Business School Research Paper No. 2012-42B
Number of pages: 43 Posted: 17 Oct 2012 Last Revised: 07 Jul 2015
James Morley and Aarti Singh
University of Sydney and The University of Sydney - School of Economics
Downloads 98 (268,877)
Citation 2

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Great Moderation, inventories, production smoothing, unobserved components model

19.

A Steady-State Approach to Trend/Cycle Decomposition of Regime-Switching Processes

FRB St. Louis Working Paper No. 2004-006D
Number of pages: 50 Posted: 28 Jul 2005
James Morley and Jeremy Piger
University of Sydney and University of Oregon - Department of Economics
Downloads 84 (296,521)

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steady state, trend/cycle decomposition, nonlinear, regime switching

20.

Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples

Number of pages: 22 Posted: 27 Mar 2014 Last Revised: 13 Aug 2017
Luiggi Donayre, Yunjong Eo and James Morley
University of Minnesota - Duluth, The University of Sydney - School of Economics and University of Sydney
Downloads 82 (300,989)

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Threshold regression; Inverted likelihood ratio; Confidence Interval; Finite-sample inference

21.

The Importance of Nonlinearity in Reproducing Business Cycle Features

FRB St. Louis Working Paper No. 2004-032B
Number of pages: 27 Posted: 28 Jul 2005
James Morley and Jeremy Piger
University of Sydney and University of Oregon - Department of Economics
Downloads 77 (312,332)

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business cycle, nonlinear, regime switching

Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions

CAMA Working Paper No. 46/2017
Number of pages: 43 Posted: 21 Jul 2017
James Morley and Benjamin Wong
University of Sydney and Monash University - Department of Econometrics & Business Statistics
Downloads 62 (355,889)
Citation 1

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Beveridge-Nelson decomposition, output gap, Bayesian estimation, multivariate information

Estimating and Accounting for the Output Gap with Large Bayesian Vector Autoregressions

Journal of Applied Econometrics, Forthcoming
Number of pages: 35 Posted: 12 Aug 2019
James Morley and Benjamin Wong
University of Sydney and Monash University - Department of Econometrics & Business Statistics
Downloads 7 (628,874)
Citation 1

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Beveridge-Nelson decomposition, output gap, Bayesian estimation, multivariate information

23.

Measuring Economic Slack: A Forecast-Based Approach with Applications to Economies in Asia and the Pacific

BIS Working Paper No. 451
Number of pages: 43 Posted: 24 Jun 2014
James Morley
University of Sydney
Downloads 63 (348,403)

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output gap, model averaging, business cycle asymmetry, convex Phillips Curve

24.

Structural Evolution of the Postwar U.S. Economy

UNSW Australian School of Business Research Paper No. 2013-15A
Number of pages: 42 Posted: 12 Jun 2013 Last Revised: 10 Mar 2014
Yuelin Liu and James Morley
Sun Yat-sen University and University of Sydney
Downloads 63 (348,403)

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Time-varying parameters, Mixture innovations, Lucas critique, Great Moderation, Natural Rate of Unemployment, Phillips Curve

25.

Estimating Household Consumption Insurance

UNSW Business School Research Paper No. 2017-07
Number of pages: 22 Posted: 16 Mar 2017 Last Revised: 27 Aug 2019
Arpita Chatterjee, James Morley and Aarti Singh
UNSW Australia Business School, School of Economics, University of Sydney and The University of Sydney - School of Economics
Downloads 58 (362,921)

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consumption insurance; weighting schemes; quasi maximum likelihood

26.

The Adjustment of Prices and the Adjustment of the Exchange Rate

NBER Working Paper No. w8550
Number of pages: 44 Posted: 18 Oct 2001 Last Revised: 17 Jan 2002
Charles M. Engel and James Morley
University of Wisconsin - Madison - Department of Economics and University of Sydney
Downloads 37 (437,049)
Citation 3

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27.

Measuring Economic Slack in Asia and the Pacific

BIS Paper No. 77c
Number of pages: 16 Posted: 06 Oct 2014
James Morley
University of Sydney
Downloads 16 (546,093)

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output gap, business cycle asymmetry, Phillips Curve, Asia-Pacific economies

28.

The Australian Real-Time Fiscal Database: An Overview and An Illustration of Its Use in Analysing Planned and Realised Fiscal Policies

CAMA Working Paper No. 14/2019
Number of pages: 41 Posted: 06 Feb 2019 Last Revised: 08 Feb 2019
University of Nottingham, UK, University of Sydney, University of Melbourne - Department of Economics and affiliation not provided to SSRN
Downloads 9 (589,451)

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Real-time, Australian Database, Revisions, Fiscal Policy, Government Spending, Government Revenues

29.

Measuring the Fiscal Multiplier when Plans Take Time to Implement

CAMA Working Paper No. 13/2019
Number of pages: 38 Posted: 06 Feb 2019
University of Nottingham, UK, University of Sydney, University of Nottingham, Malaysia and University of Melbourne - Department of Economics
Downloads 6 (609,056)
Citation 2

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government spending plans, real-time data, fiscal multiplier