Jan J. J. Groen

Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

http://nyfedeconomists.org/groen/

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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22

CROSSREF CITATIONS

54

Scholarly Papers (16)

1.

Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting

FRB of New York Staff Report No. 327
Number of pages: 46 Posted: 22 May 2008 Last Revised: 28 Sep 2009
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 198 (157,035)
Citation 15

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macroeconomic forecasting, factor models, forecast combination, principal components, partial least squares, Bayesian ridge regression

2.

Real Exchange Rates and the Relative Prices of Non-Traded and Traded Goods: An Empirical Analysis

Bank of England Working Paper No. 223
Number of pages: 44 Posted: 04 Jan 2005
Jan J. J. Groen and Clare Lombardelli
Federal Reserve Bank of New York and Bank of England - Monetary Analysis
Downloads 161 (188,574)
Citation 4

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Real exchange rates, Balassa-Samuelson, half-life measures, (panel) cointegration

Commodity Prices, Commodity Currencies, and Global Economic Developments

FRB of New York Staff Report No. 387
Number of pages: 33 Posted: 03 Sep 2009
Jan J. J. Groen and Paolo A. Pesenti
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 110 (255,515)
Citation 1

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Commodity prices, forecasting, exchange rates, factor models, PLS regression

Commodity Prices, Commodity Currencies, and Global Economic Developments

NBER Working Paper No. w15743
Number of pages: 33 Posted: 22 Feb 2010 Last Revised: 06 Aug 2010
Jan J. J. Groen and Paolo A. Pesenti
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 43 (431,234)

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Commodity Prices, Commodity Currencies, and Global Economic Developments

CEPR Discussion Paper No. DP7689
Number of pages: 35 Posted: 01 Mar 2010
Jan J. J. Groen and Paolo A. Pesenti
Federal Reserve Bank of New York and Federal Reserve Bank of New York
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Commodity prices, Exchange rates, Factor models, Forecasting, PLS regression

4.

New Multi-Country Evidence on Purchasing Power Parity: Multivariate Unit Root Test Results

Econometric Institute Report EI 2000-09/A
Number of pages: 33 Posted: 06 Nov 2000
Jan J. J. Groen
Federal Reserve Bank of New York
Downloads 126 (230,132)

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5.

Real-Time Inflation Forecasting in a Changing World

FRB of New York Staff Report No. 388
Number of pages: 59 Posted: 03 Sep 2009 Last Revised: 30 May 2012
Jan J. J. Groen, Richard Paap and Francesco Ravazzolo
Federal Reserve Bank of New York, Erasmus University Rotterdam (EUR) - Department of Econometrics and Free University of Bozen-Bolzano - Faculty of Economics and Management
Downloads 99 (273,283)
Citation 19

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inflation forecasting, Phillips correlations, real-time data, structural breaks, model uncertainty, Bayesian model averaging

6.

Time-Varying Inflation Expectations and Economic Fluctuations in the United Kingdom: A Structural VAR Analysis

Bank of England Working Paper No. 392
Number of pages: 49 Posted: 03 Jun 2010
Alina Barnett, Jan J. J. Groen and Haroon Mumtaz
Bank of England, Federal Reserve Bank of New York and University of London - School of Sciences
Downloads 94 (282,650)
Citation 6

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Inflation Expectations, Markov-Switching Structural VAR

7.

Real Exchange Rate Persistence and Systematic Monetary Policy Behaviour

Bank of England Working Paper No. 231
Number of pages: 53 Posted: 21 Feb 2005
Jan J. J. Groen and Akito Matsumoto
Federal Reserve Bank of New York and International Monetary Fund (IMF)
Downloads 87 (296,823)
Citation 7

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Dynamic stochastic general equilibrium models, GMM, monetary policy feedback rules, real exchange rate persistence

8.

Asset Price Based Estimates of Sterling Exchange Rate Risk Premia

Bank of England Working Paper No. 250
Number of pages: 36 Posted: 19 May 2005
Jan J. J. Groen and Ravi Balakrishnan
Federal Reserve Bank of New York and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 85 (301,202)

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Uncovered interest rate parity, exchange rate risk premia, conditional linear factor models, habit persistence in consumption

9.

Financial Amplification of Foreign Exchange Risk Premia

FRB of New York Staff Report No. 461
Number of pages: 33 Posted: 01 Aug 2010
Tobias Adrian, Erkko Etula and Jan J. J. Groen
International Monetary Fund, Independent and Federal Reserve Bank of New York
Downloads 64 (353,535)
Citation 3

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foreign exchange risk premium, systemic risk monitoring, financial intermediation, asset pricing

10.

Investigating the Structural Stability of the Phillips Curve Relationship

Bank of England Working Paper No. 350
Number of pages: 48 Posted: 12 Oct 2008
Jan J. J. Groen and Haroon Mumtaz
Federal Reserve Bank of New York and University of London - School of Sciences
Downloads 63 (356,376)
Citation 16

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New Keynesian Phillips Curve, trend inflation, Markov-switching VAR, minimum distance estimation

Model Selection Criteria for Factor-Augmented Regressions

FRB of New York Staff Report No. 363
Number of pages: 29 Posted: 24 Feb 2009 Last Revised: 30 May 2012
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 55 (386,892)
Citation 4

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factor models, information criteria, macroeconomic forecasting

Model Selection Criteria for Factor‐Augmented Regressions

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 1, pp. 37-63, 2013
Number of pages: 27 Posted: 23 Dec 2012
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 1 (698,427)
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12.

Parsimonious Estimation with Many Instruments

FRB of New York Staff Report No. 386
Number of pages: 19 Posted: 03 Sep 2009
Jan J. J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 35 (455,470)
Citation 4

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instrumental variable estimation, many instruments, factor models

13.

Cointegration and the Monetary Exchange Rate Model Revisited

Oxford Bulletin of Economics & Statistics, Vol. 64, pp. 361-380, 2002
Number of pages: 20 Posted: 12 May 2003
Jan J. J. Groen
Federal Reserve Bank of New York
Downloads 11 (589,924)
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14.

Multivariate Methods for Monitoring Structural Change

Posted: 11 Jun 2009
Jan J. J. Groen, George Kapetanios and Simon Price
Federal Reserve Bank of New York, King's College, London and Essex Business School

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monitoring, structural change, panel, CUSUM, fluctuation test

15.

The Monetary Exchange Rate Model as a Long-Run Phenomenon

Journal of International Economics, Vol. 52, No. 2, December 2000
Posted: 27 Nov 2000
Jan J. J. Groen
Federal Reserve Bank of New York

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monetary exchange rate models, nominal exchange rates, cointegration, panel data

16.

Long Horizon Predictability of Exchange Rates: Is it for Real?

Empirical Economics, Vol. 24, Issue 3, August 1999
Posted: 21 Sep 1999
Jan J. J. Groen
Federal Reserve Bank of New York

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