Jan J. Groen

Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

http://nyfedeconomists.org/groen/

SCHOLARLY PAPERS

19

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2,430

SSRN CITATIONS
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Top 12,185

in Total Papers Citations

75

CROSSREF CITATIONS

50

Scholarly Papers (19)

1.

The GSCPI: A New Barometer of Global Supply Chain Pressures

FRB of New York Staff Report No. 1017
Number of pages: 22 Posted: 20 May 2022
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 577 (87,798)
Citation 33

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global supply chain, inflation, transportation costs

2.

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. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 229 (244,238)
Citation 22

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

3.

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
Bank of England, Federal Reserve Bank of New York and Bank of EnglandUniversity of London - School of Sciences
Downloads 222 (251,553)
Citation 7

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Inflation Expectations, Markov-Switching Structural VAR

4.

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. Groen and Clare Lombardelli
Federal Reserve Bank of New York and Bank of England - Monetary Analysis
Downloads 201 (275,841)
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. Groen and Paolo A. Pesenti
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 135 (387,606)
Citation 4

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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: 09 Jul 2023
Jan J. Groen and Paolo A. Pesenti
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 58 (671,648)

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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. Groen and Paolo A. Pesenti
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 2 (1,150,335)
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Commodity prices, Exchange rates, Factor models, Forecasting, PLS regression

6.

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. Groen
Federal Reserve Bank of New York
Downloads 160 (337,329)

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7.

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. 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 130 (400,812)
Citation 28

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

8.

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. Groen and Akito Matsumoto
Federal Reserve Bank of New York and International Monetary Fund (IMF)
Downloads 116 (434,033)
Citation 8

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

9.

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. Groen, Haroon Mumtaz and Haroon Mumtaz
Federal Reserve Bank of New York and Bank of EnglandUniversity of London - School of Sciences
Downloads 109 (454,671)
Citation 16

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

10.

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. Groen and Ravi Balakrishnan
Federal Reserve Bank of New York and International Monetary Fund (IMF) - Fiscal Affairs Department
Downloads 105 (466,889)

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

11.

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. Groen
International Monetary Fund, Independent and Federal Reserve Bank of New York
Downloads 90 (517,154)
Citation 6

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

12.

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. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 84 (539,593)
Citation 6

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factor models, information criteria, macroeconomic forecasting

13.

Measuring Global Financial Market Stresses

FRB of New York Staff Report No. 940
Number of pages: 77 Posted: 18 Feb 2021
Jan J. Groen, Michael Nattinger and Adam I Noble
Federal Reserve Bank of New York, University of Wisconsin - Madison and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 65 (622,699)

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financial markets, financial stress indices, emerging markets, advanced economies, SVAR

14.

Uncertainty about Trade Policy Uncertainty

FRB of New York Staff Report No. 919
Number of pages: 15 Posted: 25 Mar 2020
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 55 (675,679)

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uncertainty, trade policy, business sentiment

15.

Parsimonious Estimation with Many Instruments

FRB of New York Staff Report No. 386
Number of pages: 19 Posted: 03 Sep 2009
Jan J. Groen and George Kapetanios
Federal Reserve Bank of New York and King's College, London
Downloads 53 (687,173)
Citation 5

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instrumental variable estimation, many instruments, factor models

16.

Alternative Indicators for Chinese Economic Activity Using Sparse PLS Regression

Economic Policy Review, Vol. 26, No. 4, 38-68
Number of pages: 31 Posted: 16 Feb 2021
Jan J. Groen and Michael Nattinger
Federal Reserve Bank of New York and University of Wisconsin - Madison
Downloads 39 (779,193)

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China, GDP growth rate, alternative growth indicator, slowdown

17.

Multivariate Methods for Monitoring Structural Change

Posted: 11 Jun 2009
Jan 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

18.

The Monetary Exchange Rate Model as a Long-Run Phenomenon

Posted: 27 Nov 2000
Jan J. Groen
Federal Reserve Bank of New York

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

19.

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

Posted: 21 Sep 1999
Jan J. Groen
Federal Reserve Bank of New York

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