Jonathan H. Wright

Johns Hopkins University - Department of Economics

3400 Charles Street

Baltimore, MD 21218-2685

United States

  • Johns Hopkins University - Department of Economics

SCHOLARLY PAPERS

60

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1,972

CROSSREF CITATIONS

1,594

Scholarly Papers (60)

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1.

The Yield Curve and Predicting Recessions

FEDs Working Paper No. 2006-7
Number of pages: 21 Posted: 03 May 2006
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 3,360 (6,990)
Citation 53

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Interest rates, forecasting, GDP growth, term premiums, probit

2.

Preventing Deflation: Lessons from Japan's Experience in the 1990s

Number of pages: 64 Posted: 21 Jul 2003
Alan G. Ahearne, Joseph Gagnon, Jane Haltmaier, Steven B. Kamin, Christopher J. Erceg, Jon Faust, Luca Guerrieri, Jennifer E. Roush, John H. Rogers, Nathan Sheets and Jonathan H. Wright
University of Galway - Department of Economics, Peterson Institute, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 2,139 (14,296)
Citation 30

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Monetary policy, Taylor rule, fiscal policy

3.

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Downloads 1,281 (31,409)
Citation 170

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

FEDS Working Paper No. 2005-33
Number of pages: 27 Posted: 05 Oct 2005
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 1,281 (30,879)
Citation 170

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Forward rates, term-structure model, arbitrage-free pricing, term premiums

4.

The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk

Number of pages: 27 Posted: 02 Jul 2004
Sergey Chernenko, Krista Schwarz and Jonathan H. Wright
Purdue University - Department of Management, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 1,090 (39,529)
Citation 25

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forward contracts, futures, forecast evaluation, risk premia, random walk

5.

Forecasting U.S. Inflation by Bayesian Model Averaging

Number of pages: 33 Posted: 22 Nov 2003
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 847 (56,162)
Citation 23

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shrinkage, Phillips curve, model uncertainty, forecasting, inflation

6.

An Empirical Comparison of Bundesbank and ECB Monetary Policy Rules

Number of pages: 25 Posted: 22 Aug 2001
Jon Faust, John H. Rogers and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF) and Johns Hopkins University - Department of Economics
Downloads 792 (61,532)
Citation 21

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Taylor Rule, monetary policy, European Central Bank, Bundesbank, inflation

7.

The High-Frequency Effects of U.S. Macroeconomic Data Releases on Prices and Trading Activity in the Global Interdealer Foreign Exchange Market

Number of pages: 42 Posted: 01 Dec 2004
Alain Chaboud, Sergey Chernenko, Edward Howorka, Raj S.K. Iyer, David Liu and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 729 (68,567)
Citation 30

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Foreign exchange, trading volume, news announcements, high-frequency data, conditional mean, conditional volatility

8.

High Frequency Data, Frequency Domain Inference and Volatility Forecasting

IFDS Working Paper No. 649
Number of pages: 27 Posted: 10 Jul 2000
Tim Bollerslev and Jonathan H. Wright
Duke University - Finance and Johns Hopkins University - Department of Economics
Downloads 719 (69,822)
Citation 6

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Autoregression, spectrum, volatility forecasting,

9.

The U.S. Treasury Yield Curve: 1961 to the Present

FEDS Working Paper No. 2006-28
Number of pages: 42 Posted: 25 Jul 2006
Refet S. Gürkaynak, Brian P. Sack and Jonathan H. Wright
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Johns Hopkins University - Department of Economics
Downloads 627 (83,063)
Citation 3,918

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Yield curve, forward rates, on-the-run premium, treasury market

10.

Long Memory in Emerging Market Stock Returns

Number of pages: 20 Posted: 17 Aug 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 554 (97,125)
Citation 3

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Long memory, stock returns, frequency domain, emerging markets

11.

Bond Risk Premia and Realized Jump Risk

Downloads 534 (101,941)
Citation 20

Bond Risk Premia and Realized Jump Risk

Journal of Banking and Finance, Forthcoming, FEDS Working Paper No. 2007-22, AFA 2009 San Francisco Meetings Paper
Number of pages: 33 Posted: 20 Mar 2008 Last Revised: 27 Jul 2009
Jonathan H. Wright and Hao Zhou
Johns Hopkins University - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 534 (100,745)
Citation 2

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Unspanned Stochastic Volatility, Regime-Shift Term Structure, Bond Return Predictability, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk

Bond Risk Premia and Realized Jump Risk

Posted: 12 Nov 2006 Last Revised: 16 Nov 2022
Jonathan H. Wright and Hao Zhou
Johns Hopkins University - Department of Economics and Tsinghua University - PBC School of Finance

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Unspanned Stochastic Volatility, Expected Excess Bond Returns, Expectations Hypothesis, Countercyclical Risk Premia, Realized Jump Risk, Bi-Power Variation

12.

Bayesian Model Averaging and Exchange Rate Forecasts

Number of pages: 32 Posted: 18 Nov 2003
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 507 (108,327)
Citation 28

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shrinkage, model uncertainty, forecasting, exchange rates, bootstrap

13.

The TIPS Yield Curve and Inflation Compensation

FEDS Working Paper No. 2008-05
Number of pages: 42 Posted: 15 Jan 2009
Refet S. Gürkaynak, Brian P. Sack and Jonathan H. Wright
Bilkent University - Department of Economics, Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Johns Hopkins University - Department of Economics
Downloads 470 (118,635)
Citation 72

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Yield curve, treasury market, inflation compensation, risk premia

14.

Exchange Rate Forecasting: The Errors We've Really Made

Number of pages: 35 Posted: 04 Mar 2002
Jon Faust, John H. Rogers and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF) and Johns Hopkins University - Department of Economics
Downloads 459 (121,992)
Citation 20

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monetary model, real time data, random walk

15.

Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

Downloads 449 (125,177)
Citation 88

Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison

FRB International Finance Discussion Paper No. 1101
Number of pages: 72 Posted: 08 Apr 2014
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Fudan University - Fanhai International School of Finance (FISF), Bank of Italy and Johns Hopkins University - Department of Economics
Downloads 449 (123,835)
Citation 88

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Large scale asset purchases, quantitative easing, zero bound, term premium

16.

Trading Activity and Exchange Rates in High-Frequency EBS Data

FRB International Finance Discussion Paper No. 903
Number of pages: 37 Posted: 27 Sep 2007
Alain Chaboud, Sergey Chernenko and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Purdue University - Department of Management and Johns Hopkins University - Department of Economics
Downloads 387 (148,605)
Citation 5

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Trading volume, foreign exchange, high-frequency data, news announcements

17.

Uncovered Interest Parity: It Works, But Not for Long

Number of pages: 24 Posted: 24 Apr 2003
Alain Chaboud and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 368 (157,147)
Citation 17

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uncovered interest parity, high frequency data, exchange rates, risk premia

18.

The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements

Number of pages: 47 Posted: 05 Dec 2003
Jon Faust, John H. Rogers, Shing-Yi Wang and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), Yale University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 364 (159,104)
Citation 109

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data releases, exchange rates, uncovered interest parity, overshooting

19.

Forecasting Interest Rates with Shifting Endpoints

Journal of Applied Econometrics, 29, p693-712, Tinbergen Institute Discussion Paper 12-076/4
Number of pages: 78 Posted: 27 Jul 2012 Last Revised: 05 Aug 2014
Dick J. C. van Dijk, Siem Jan Koopman, Michel van der Wel and Jonathan H. Wright
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Vrije Universiteit Amsterdam - School of Business and Economics, Erasmus University Rotterdam and Johns Hopkins University - Department of Economics
Downloads 358 (161,987)
Citation 10

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Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve

20.

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

Downloads 337 (172,900)
Citation 51

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

Number of pages: 47 Posted: 17 Dec 2002
Jon Faust, John H. Rogers, Eric T. Swanson and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), University of California, Irvine - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 268 (218,409)

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High frequency data, identification, vector autoregression, exchange rates, monetary policy

Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data

NBER Working Paper No. w9660
Number of pages: 47 Posted: 27 Apr 2003 Last Revised: 29 Nov 2022
Jon Faust, John H. Rogers, Eric T. Swanson and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF), University of California, Irvine - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 69 (643,405)
Citation 22

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21.

Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data

FRB International Finance Discussion Paper No. 830
Number of pages: 35 Posted: 25 Apr 2005
David W. Berger, Alain Chaboud, Sergey Chernenko, Edward Howorka, Raj S.K. Iyer, David Liu and Jonathan H. Wright
U.S. Board of Governors of the Federal Reserve System - Division of International Finance, Board of Governors of the Federal Reserve System, Purdue University - Department of Management, EBS Group Limited, EBS Group Limited, EBS and Johns Hopkins University - Department of Economics
Downloads 323 (180,949)
Citation 33

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order flow, foreign exchange, high-frequency data, news announcements

22.

Forecasting Professional Forecasters

FEDS Working Paper No. 2006-10
Number of pages: 47 Posted: 23 Feb 2006
Jonathan H. Wright and Eric Ghysels
Johns Hopkins University - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 318 (183,941)
Citation 13

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Survey forecasts, mixed frequency data sampling, forecast evaluation, rational expectations, Kalman filter, Kalman smoother, news announcement

23.

The Economics of Options-Implied Inflation Probability Density Functions

NBER Working Paper No. w18195
Number of pages: 43 Posted: 29 Jun 2012 Last Revised: 20 Mar 2023
Yuriy Kitsul and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 298 (197,636)
Citation 8

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24.

A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments

Journal of Business and Economic Statistics, Vol. 20, No. 4, 2002
Number of pages: 52 Posted: 09 Jan 2011
James H. Stock, Jonathan H. Wright and Motohiro Yogo
Harvard University - Department of Economics, Johns Hopkins University - Department of Economics and Princeton University - Department of Economics
Downloads 247 (238,118)
Citation 270

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Instrument relevance, Instrumental variables, Similar tests

25.

Cracking the Conundrum

Downloads 236 (249,014)
Citation 42

Cracking the Conundrum

FEDS Working Paper No. 2007-46
Number of pages: 37 Posted: 29 Nov 2007
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 118 (452,267)

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Yield curve, forward rates, volatility, term premium, affine models, monetary policy

Cracking the Conundrum

NBER Working Paper No. w13419
Number of pages: 36 Posted: 18 Sep 2007 Last Revised: 02 Sep 2022
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 70 (638,262)
Citation 1

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Cracking the Conundrum

NYU Working Paper No. 2451/26052
Number of pages: 35 Posted: 13 Oct 2008
David K. Backus and Jonathan H. Wright
NYU Stern School of Business (deceased) and Johns Hopkins University - Department of Economics
Downloads 48 (767,690)
Citation 2

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yield curve, forward rates, volatility, term premium, affine models, monetary policy

26.

Unconventional Monetary Policy and International Risk Premia

International Finance Discussion Paper No. 1172
Number of pages: 33 Posted: 01 Jul 2016 Last Revised: 21 Sep 2016
John H. Rogers, Chiara Scotti and Jonathan H. Wright
Fudan University - Fanhai International School of Finance (FISF), Bank of Italy and Johns Hopkins University - Department of Economics
Downloads 235 (250,059)
Citation 27

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27.

Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates

FRB of NY Staff Report No. 810
Number of pages: 123 Posted: 31 Mar 2017
Samuel Gregory Hanson, David O. Lucca and Jonathan H. Wright
Harvard University - Business School (HBS), Federal Reserve Banks - Federal Reserve Bank of New York and Johns Hopkins University - Department of Economics
Downloads 218 (268,507)

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monetary policy transmission, conundrum, interest rates

28.

News and Noise in G-7 GDP Announcements

Number of pages: 24 Posted: 05 Jan 2001
Jon Faust, John H. Rogers and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Fudan University - Fanhai International School of Finance (FISF) and Johns Hopkins University - Department of Economics
Downloads 206 (283,081)
Citation 22

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Vintage Data, Preliminary Data, Final Data, Revision, GDP

29.

Log-Periodogram Estimation of Long Memory Volatility Dependencies with Conditionally Heavy Tailed Returns

Number of pages: 32 Posted: 08 Nov 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 202 (288,203)
Citation 3

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Semiparametric Methods, Fractional Integration, Stochastic Volatility, Stock Returns, Heavy Tails.

30.

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

Downloads 189 (306,119)
Citation 25

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

CESifo Working Paper No. 7229
Number of pages: 52 Posted: 31 Oct 2018
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Jonathan H. Wright
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 153 (367,810)

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event study, bondmarkets, high-frequency data, identification

Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

NBER Working Paper No. w25016
Number of pages: 43 Posted: 17 Sep 2018 Last Revised: 10 May 2023
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Jonathan H. Wright
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 36 (859,363)

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Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

CEPR Discussion Paper No. DP13153
Number of pages: 63 Posted: 17 Sep 2018 Last Revised: 04 Oct 2019
Refet S. Gürkaynak, Burçin Kısacıkoğlu and Jonathan H. Wright
Bilkent University - Department of Economics, Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 0
Citation 26
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Bond Markets, event study, high-frequency data, identification

31.

Detecting Lack of Identification in GMM

Number of pages: 34 Posted: 22 Nov 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 188 (307,570)
Citation 3

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Generalized Method of Moments, Identification, Asset Pricing, Instrumental Variables

32.

Identifying Vars Based on High Frequency Futures Data

Number of pages: 44 Posted: 27 Apr 2002
Jon Faust, Eric T. Swanson and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, Irvine - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 175 (327,919)
Citation 67

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partial identification, monetary policy, vector autoregressions

33.

Breaks in the Phillips Curve: Evidence from Panel Data

FEDS Working Paper No. 2023-15
Number of pages: 62 Posted: 05 May 2023
Jonathan H. Wright, Simon Smith and Allan Timmermann
Johns Hopkins University - Department of Economics, Board of Governors of the Federal Reserve System and University of California, San Diego (UCSD) - Rady School of Management
Downloads 159 (356,105)

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Phillips curve, Inflation, Unemployment, Panel data, Structural breaks, Bayesian analysis

34.

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

Downloads 147 (379,959)
Citation 55

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

FEDS Working Paper No. 2012-77
Number of pages: 52 Posted: 08 Jan 2013
Jon Faust, Simon Gilchrist, Jonathan H. Wright and Egon Zakrajšek
Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER), Johns Hopkins University - Department of Economics and Federal Reserve Bank of Boston
Downloads 86 (565,233)
Citation 7

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Forecasting, real-time data, Bayesian Model Averaging, credit spreads

Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

NBER Working Paper No. w16725
Number of pages: 41 Posted: 31 Jan 2011 Last Revised: 15 Mar 2023
Jon Faust, Simon Gilchrist, Jonathan H. Wright and Egon Zakrajšek
Board of Governors of the Federal Reserve System, National Bureau of Economic Research (NBER), Johns Hopkins University - Department of Economics and Federal Reserve Bank of Boston
Downloads 61 (686,672)
Citation 25

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35.

Rounding and the Impact of News: A Simple Test of Market Rationality

FEDS Working Paper No. 2007-5
Number of pages: 16 Posted: 21 Mar 2007
Meredith J. Beechey and Jonathan H. Wright
Monetary Policy Division, Sveriges Riksbank and Johns Hopkins University - Department of Economics
Downloads 135 (406,194)

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News Announcements, Rounding, Market Efficiency, Rational Inattention

36.

Jumps in Bond Yields at Known Times

Downloads 112 (425,801)
Citation 1

Jumps in Bond Yields at Known Times

FEDS Working Paper No. 2014-100r1
Number of pages: 48 Posted: 09 Dec 2014
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 70 (638,262)

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Term structure models, bond yields, jumps, news announcements, bond risk premia

Jumps in Bond Yields at Known Times

NBER Working Paper No. w20711
Number of pages: 35 Posted: 01 Dec 2014 Last Revised: 03 Feb 2023
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 42 (811,424)

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37.

Testing the Null of Identification in GMM

Number of pages: 43 Posted: 04 Oct 2002
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 118 (450,192)

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Identification, Robust Confidence Sets, Weak Instruments, Generalized Method of Moments

38.

Exact Confidence Intervals for Impulse Responses in a Gaussian Vector Autoregression

Number of pages: 22 Posted: 22 Nov 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 116 (456,083)
Citation 1

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Confidence Intervals, Vector Autoregressions, Impulse Responses, Bootstrap

39.

A Simple Approach to Robust Inference in a Cointegrating System

Number of pages: 25 Posted: 07 Dec 2000
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 103 (497,418)

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Cointegration, Local to Unit Roots, Robustness, Instrumental Variables

40.

Weather-Adjusting Employment Data

FRB of Philadelphia Working Paper No. 15-5
Number of pages: 26 Posted: 19 Aug 2015
Michael D. Boldin and Jonathan H. Wright
Wharton Research Data Services and Johns Hopkins University - Department of Economics
Downloads 79 (587,730)
Citation 5

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Weather, employment data, seasonal adjustment, MIDAS

41.

Predicting Sharp Depreciations in Industrial Country Exchange Rates

FRB International Finance Discussion Paper No. 881
Number of pages: 33 Posted: 26 Feb 2007
Jonathan H. Wright and Joseph Gagnon
Johns Hopkins University - Department of Economics and Peterson Institute
Downloads 78 (591,992)
Citation 2

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current account, forecasting

42.

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling

NBER Working Paper No. w19469
Number of pages: 45 Posted: 02 Oct 2013 Last Revised: 13 Mar 2023
Serena Ng and Jonathan H. Wright
Columbia University - Columbia Business School, Economics and Johns Hopkins University - Department of Economics
Downloads 73 (614,188)
Citation 14

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43.

Efficient Prediction of Excess Returns

NBER Working Paper No. w14169
Number of pages: 50 Posted: 16 Jul 2008 Last Revised: 19 Sep 2022
Jon Faust and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 73 (614,188)

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44.

What Does Monetary Policy Do to Long-Term Interest Rates at the Zero Lower Bound?

NBER Working Paper No. w17154
Number of pages: 37 Posted: 20 Jun 2011 Last Revised: 17 May 2023
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 72 (618,871)
Citation 70

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45.

Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior

FRB of Philadelphia Working Paper No. 10-19
Number of pages: 33 Posted: 10 Jun 2010
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 68 (638,013)
Citation 20

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46.

Breaks in the Phillips Curve: Evidence from Panel Data

Downloads 65 (652,934)
Citation 3

Breaks in the Phillips Curve: Evidence from Panel Data

Number of pages: 61 Posted: 10 Apr 2023 Last Revised: 12 Apr 2023
Simon Smith, Allan Timmermann and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, San Diego (UCSD) - Rady School of Management and Johns Hopkins University - Department of Economics
Downloads 52 (740,905)

Abstract:

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Phillips curve, Inflation, Unemployment, Panel data, Structural breaks, Bayesian analysis

Breaks in the Phillips Curve: Evidence from Panel Data

NBER Working Paper No. w31153
Number of pages: 62 Posted: 24 Apr 2023 Last Revised: 08 May 2023
Simon Smith, Allan Timmermann and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, San Diego (UCSD) - Rady School of Management and Johns Hopkins University - Department of Economics
Downloads 13 (1,097,016)
Citation 3
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47.

Asymptotics for GMM Estimators with Weak Instruments

NBER Working Paper No. t0198
Number of pages: 43 Posted: 16 Jul 2000 Last Revised: 19 Jul 2023
James H. Stock and Jonathan H. Wright
Harvard University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 55 (707,016)

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48.

Market Effects of Central Bank Credit Markets Support Programs in Europe

Downloads 52 (724,890)

Market Effects of Central Bank Credit Markets Support Programs in Europe

Number of pages: 44 Posted: 23 Jun 2022 Last Revised: 11 Dec 2023
Yuriy Kitsul, Oleg Sokolinskiy and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 37 (851,011)

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central banks, credit programs, credit derivatives, CDS, uncertainty, debt issuance

Market Effects of Central Bank Credit Markets Support Programs in Europe

International Finance Discussion Paper No. 1357
Number of pages: 37 Posted: 27 Sep 2022
Yuriy Kitsul, Oleg Sokolinskiy and Jonathan H. Wright
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 15 (1,073,801)

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CDS, Central banks, Credit derivatives, Credit programs, Debt issuance, Uncertainty

49.

The Federal Reserve's Current Framework for Monetary Policy: A Review and Assessment

NBER Working Paper No. w26002
Number of pages: 69 Posted: 26 Jun 2019 Last Revised: 20 Jul 2023
Janice Eberly, James H. Stock and Jonathan H. Wright
Northwestern University, Harvard University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 50 (737,451)
Citation 6

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50.

Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset

NBER Working Paper No. w13397
Number of pages: 51 Posted: 14 Sep 2007 Last Revised: 11 Aug 2022
Jon Faust and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 48 (750,144)
Citation 19

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51.

The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under

Downloads 46 (763,255)
Citation 2

The Narrow Channel of Quantitative Easing: Evidence from YCC Down Under

FRB of New York Staff Report No. 1013
Number of pages: 47 Posted: 22 Apr 2022
David O. Lucca and Jonathan H. Wright
Federal Reserve Banks - Federal Reserve Bank of New York and Johns Hopkins University - Department of Economics
Downloads 37 (851,011)

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monetary policy, yield curve control, quantitative easing

The Narrow Channel of Quantitative Easing: Evidence from Ycc Down Under

NBER Working Paper No. w29971
Number of pages: 48 Posted: 25 Apr 2022 Last Revised: 24 May 2023
David O. Lucca and Jonathan H. Wright
Federal Reserve Banks - Federal Reserve Bank of New York and Johns Hopkins University - Department of Economics
Downloads 9 (1,143,569)
Citation 1

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52.

Event-Day Options

NBER Working Paper No. w28306
Number of pages: 29 Posted: 04 Jan 2021 Last Revised: 06 May 2023
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 42 (791,202)

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53.

Seasonal Adjustment of NIPA Data

NBER Working Paper No. w24895
Number of pages: 23 Posted: 22 Aug 2018 Last Revised: 10 Jul 2023
Jonathan H. Wright
Johns Hopkins University - Department of Economics
Downloads 25 (933,483)
Citation 1

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54.

Refining Set-Identification in Vars Through Independence

FRB of Philadelphia Working Paper No. 21-31
Number of pages: 47 Posted: 21 Sep 2021
Thorsten Drautzburg and Jonathan H. Wright
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Johns Hopkins University - Department of Economics
Downloads 16 (1,027,334)

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vector autoregressions, sign restrictions, set-identification, weak identification, non-convex confidence set, independent shock

55.

Macroeconomics and the Term Structure

CEPR Discussion Paper No. DP8018
Number of pages: 68 Posted: 14 Nov 2010
Refet S. Gürkaynak and Jonathan H. Wright
Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
Downloads 14 (1,049,262)
Citation 16
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affine models, expectations hypothesis, financial crisis, inflation, interest rates, segmented markets, Term structure

56.

Refining Set-Identification in Vars Through Independence

NBER Working Paper No. w29316
Number of pages: 47 Posted: 07 Oct 2021 Last Revised: 16 Apr 2023
Thorsten Drautzburg and Jonathan H. Wright
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Johns Hopkins University - Department of Economics
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Citation 5

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57.

Identification and Inference Using Event Studies

CEPR Discussion Paper No. DP9388
Number of pages: 31 Posted: 19 Mar 2013
Refet S. Gürkaynak and Jonathan H. Wright
Bilkent University - Department of Economics and Johns Hopkins University - Department of Economics
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Citation 11
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Bond Markets, Event Study, High-Frequency Data, Identification, TAF

58.

Nonlinear Phillips Curves

FEDS Notes No. 2024-09-04-1
Posted: 16 Sep 2024
Simon Smith, Allan Timmermann and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, San Diego (UCSD) - Rady School of Management and Johns Hopkins University - Department of Economics

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59.

Monetary Policy in Uncertain Times

FEDS Notes No. 2024-08-30-1
Posted: 16 Sep 2024
Simon Smith, Allan Timmermann and Jonathan H. Wright
Board of Governors of the Federal Reserve System, University of California, San Diego (UCSD) - Rady School of Management and Johns Hopkins University - Department of Economics

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60.

Forward-Looking Estimates of Interest-Rate Distributions

Annual Review of Financial Economics, Vol. 9, pp. 333-351, 2017
Posted: 03 Jan 2018
Jonathan H. Wright
Johns Hopkins University - Department of Economics

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