Jeffrey Sheen

Macquarie University

Professor

Department of Economics

Macquarie University

Sydney, NSW 2109

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

Macquarie University, Macquarie Business School

New South Wales 2109

Australia

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 35,605

SSRN RANKINGS

Top 35,605

in Total Papers Downloads

1,237

SSRN CITATIONS
Rank 21,003

SSRN RANKINGS

Top 21,003

in Total Papers Citations

11

CROSSREF CITATIONS

24

Scholarly Papers (18)

1.

The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia

Journal of International Money and Finance, Vol. 21, No. 4, August 2002
Number of pages: 43 Posted: 09 Jan 2002
Suk-Joong Kim and Jeffrey Sheen
The University of Sydney Business School and Macquarie University
Downloads 383 (76,467)
Citation 10

Abstract:

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foreign exchange intervention, exchange rate volatility, intervention profitability

2.

Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume

Journal of Banking and Finance, Vol. 30, No. 11, pp. 3191-3214, 2006
Number of pages: 31 Posted: 01 Apr 2005
Suk-Joong Kim and Jeffrey Sheen
The University of Sydney Business School and Macquarie University
Downloads 222 (137,471)

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Foreign exchange intervention, bank of Japan, exchange rate volatility, trade volume

Systemic Financial Risk Inference in a Global Setting

CIFR Paper No. 029/2014
Number of pages: 31 Posted: 16 Jul 2014
Jeffrey Sheen, Stefan Trück, Chi Truong and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Macquarie University and Macquarie University, Macquarie Business School
Downloads 99 (268,550)

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Systemic financial risk, Factor models, Mixed frequency models, Kalman filter,

Systemic Financial Risk Inference in a Global Setting

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 29 Posted: 16 Aug 2014
Jeffrey Sheen, Stefan Trück, Chi Truong and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Macquarie University and Macquarie University, Macquarie Business School
Downloads 48 (402,000)

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Systemic financial risk, Factor models, Mixed frequency models, Kalman filter, State-space model, Hurdle model

Consumption Risk-Sharing within Australia and with New Zealand

Number of pages: 31 Posted: 27 Apr 2005
David Kim and Jeffrey Sheen
The University of Sydney - School of Social and Political Sciences and Macquarie University
Downloads 67 (341,117)

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Risk-sharing, horizontal fiscal equalization, common currency, welfare gains from integration

Consumption Risk-Sharing Within Australia and With New Zealand

Economic Record, Vol. 83, No. 260, pp. 46-59, March 2007
Number of pages: 14 Posted: 08 Feb 2007
David Kim and Jeffrey Sheen
The University of Sydney - School of Social and Political Sciences and Macquarie University
Downloads 13 (585,998)
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5.

Estimating Macroeconomic Uncertainty from Surveys - A Mixed Frequency Approach

Number of pages: 28 Posted: 21 Aug 2017
Jeffrey Sheen and Ben Zhe Wang
Macquarie University and Macquarie University, Macquarie Business School
Downloads 51 (384,848)
Citation 1

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economic uncertainty, survey data, mixed frequency, state-space model

6.

Understanding a Small Open Economy Business Conditions Index

CIFR Paper No. 016/2014
Number of pages: 28 Posted: 30 May 2014
Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 47 (398,454)
Citation 2

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Business conditions, Kalman fi lter, State-space model, Australia, Dynamic factor model, Mixed frequency

7.
Downloads 41 (420,413)
Citation 2

Cyclical Flows in Australian Labour Markets

Number of pages: 26 Posted: 11 Dec 2009 Last Revised: 20 May 2010
Natalia Ponomareva and Jeffrey Sheen
Macquarie University - Division of Economic and Financial Studies and Macquarie University
Downloads 39 (437,542)
Citation 3

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Labour market flows, unemployment, transition probabilities, business cycles

Cyclical Flows in Australian Labour Markets

Economic Record, Vol. 86, Issue s1, pp. 35-48, September 2010
Number of pages: 14 Posted: 17 Aug 2010
Natalia Ponomareva and Jeffrey Sheen
Macquarie University - Division of Economic and Financial Studies and Macquarie University
Downloads 2 (670,146)
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8.

The Impact of News on US Household Inflation Expectations

SFB 649 Discussion Paper 2017-011
Number of pages: 14 Posted: 29 May 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics, Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 36 (440,578)

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Inflation expectations, news impact, forecast disagreement

9.

The U.S. Factor in Explaining and Forecasting Bilateral U.S. Exchange Rates

Number of pages: 25 Posted: 26 Mar 2015
Natalia Ponomareva, Jeffrey Sheen and Ben Zhe Wang
Macquarie University - Division of Economic and Financial Studies, Macquarie University and Macquarie University, Macquarie Business School
Downloads 36 (440,578)

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Principal Component Analysis, Exchange Rates, Forecasting

10.

An Estimated Small Open Economy Model with Labour Market Frictions

Number of pages: 52 Posted: 05 Feb 2013
Jeffrey Sheen and Ben Zhe Wang
Macquarie University and Macquarie University, Macquarie Business School
Downloads 36 (440,578)
Citation 1

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DSGE, hiring cost, wage rigidities, Bayesian estimation, small open economy

11.

Reviews

The Economic Record, Vol. 78, pp. 110-128, 2002
Number of pages: 19 Posted: 07 Jul 2003
Murdoch University, University of Melbourne - Melbourne Institute of Applied Economic and Social Research, Australian National University (ANU) - School of Economics, Monash University - Department of Economics, National University of Singapore, Macquarie University, United Nations - Economic Commission for Latin America (ECLA), Universita di Cagliari - Centre for North South Economic Research (CRENOS) and University of Sydney - Faculty of Economics
Downloads 32 (457,857)
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12.

Australian Labour Market Dynamics Across the Ages

Number of pages: 20 Posted: 05 Feb 2013
Natalia Ponomareva and Jeffrey Sheen
Macquarie University - Division of Economic and Financial Studies and Macquarie University
Downloads 29 (472,174)

Abstract:

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labour market flows, unemployment, transition probabilities, business cycles, dynamic factor model, impulse responses, age groups

13.

Does Monetary Policy Respond to Uncertainty? Evidence from Australia

Number of pages: 11 Posted: 10 May 2019
Natalia Ponomareva, Jeffrey Sheen and Ben Zhe Wang
Macquarie University - Division of Economic and Financial Studies, Macquarie University and Macquarie University, Macquarie Business School
Downloads 20 (521,876)
Citation 1

Abstract:

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Economic uncertainty, Monetary policy, Australia

14.

Asymmetric Monetary Policy in Australia

Economic Record, Vol. 82, No. S1, pp. S85-S96, September 2006
Number of pages: 12 Posted: 19 Dec 2006
Shawn Chen-Yu Leu and Jeffrey Sheen
UNE Business School and Macquarie University
Downloads 18 (533,611)
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15.

Purchasing Power Parity Across States and Goods within Australia

Economic Record, Vol. 80, No. 250, pp. 314-329, September 2004
Number of pages: 16 Posted: 06 Sep 2004
Kausik Chaudhuri and Jeffrey Sheen
Indira Gandhi Institute of Development Research (IGIDR) and Macquarie University
Downloads 17 (539,501)
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16.

Monetary Conditions News and Consumer Expectations at the Zero Lower Bound

Macquarie University Faculty of Business & Economics Research Paper No. 5/2017
Number of pages: 8 Posted: 11 Oct 2017
Jeffrey Sheen and Ben Zhe Wang
Macquarie University and Macquarie University, Macquarie Business School
Downloads 16 (545,372)

Abstract:

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News Impact, Interest Rate Expectations, Inflation Expectations

17.

Understanding Macroeconomic Disagreement

Number of pages: 38 Posted: 10 May 2019
Jeffrey Sheen and Ben Zhe Wang
Macquarie University and Macquarie University, Macquarie Business School
Downloads 14 (563,410)
Citation 2

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Macroeconomic disagreement, Economic uncertainty, survey data, mixed frequency, state-space model

Daily Business and External Condition Indices for the Australian Economy

Number of pages: 27 Posted: 26 Mar 2015
Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 11 (599,902)

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Business conditions, Kalman filter, State-space model, Dynamic factor model, Mixed frequency

Daily Business and External Condition Indices for the Australian Economy

Economic Record, Vol. 91, pp. 38-53, 2015
Number of pages: 16 Posted: 05 Jun 2015
Jeffrey Sheen, Stefan Trück and Ben Zhe Wang
Macquarie University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Macquarie University, Macquarie Business School
Downloads 1 (684,351)
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