Robert Vigfusson

Federal Reserve Board - Trade and Quantitative Studies

20th St. and Constitution Ave.

Washington, DC 20551

United States

SCHOLARLY PAPERS

28

DOWNLOADS
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Top 9,946

in Total Papers Downloads

3,654

CITATIONS
Rank 1,847

SSRN RANKINGS

Top 1,847

in Total Papers Citations

303

Scholarly Papers (28)

1.

Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Bank of Canada Working Paper 96-3
Number of pages: 31 Posted: 29 May 1996
Simon van Norden and Robert Vigfusson
HEC Montreal - Department of Finance and Federal Reserve Board - Trade and Quantitative Studies
Downloads 532 (37,214)
Citation 6

Abstract:

2.

Switching Between Chartists And Fundamentalists: A Markov Regime-Switching Approach

Working Paper 96-1
Number of pages: 31 Posted: 15 Feb 1996
Robert Vigfusson
Federal Reserve Board - Trade and Quantitative Studies
Downloads 505 (40,181)
Citation 19

Abstract:

3.
Downloads 492 ( 43,633)
Citation 9

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Ron Alquist, Lutz Kilian and Robert Vigfusson
Bank of Canada, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 488 (43,510)
Citation 9

Abstract:

Asymmetries, demand and supply, forecasting, oil price, predictability

Forecasting the Price of Oil

CEPR Discussion Paper No. DP8388
Number of pages: 120 Posted: 19 May 2011
Ron Alquist, Lutz Kilian and Robert Vigfusson
Bank of Canada, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 4 (528,076)
Citation 9

Abstract:

Asymmetries, Demand and supply, Forecasting, Oil price, Predictability

4.

Exchange Rate Pass-through to U.S. Import Prices: Some New Evidence

IFCD Paper No. 833
Number of pages: 67 Posted: 04 May 2005
Federal Reserve Board, Board of Governors of the Federal Reserve System - Division of International Finance (IFDP), Federal Reserve Board - Trade and Quantitative Studies, Board of Governors of the Federal Reserve - Division of International Finance, Peterson Institute, Federal Reserve Board - International Finance Division, Board of Governors of the Federal Reserve System - International Financial Transactions Section, U.S. Trade and Quantitative Studies and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 316 (72,744)
Citation 43

Abstract:

external adjustment, U.S. current account, commodity prices, China

5.

Analytical Derivatives for Markov Switching Models

Paper No.: 95-7
Number of pages: 33 Posted: 23 Aug 1998
Jeff Gable, Simon van Norden and Robert Vigfusson
affiliation not provided to SSRN, HEC Montreal - Department of Finance and Federal Reserve Board - Trade and Quantitative Studies
Downloads 182 (127,064)
Citation 2

Abstract:

Maximum Likelihood in the Frequency Domain: A Time to Build Example

FRB Chicago Working Paper No. 1999-04
Number of pages: 17 Posted: 06 Apr 1999
Lawrence J. Christiano and Robert Vigfusson
Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 151 (154,679)
Citation 4

Abstract:

Maximum Likelihood in the Frequency Domain: a Time to Build Example

NBER Working Paper No. w7027
Number of pages: 17 Posted: 25 Jul 2000
Lawrence J. Christiano and Robert Vigfusson
Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 25 (412,049)
Citation 4

Abstract:

7.
Downloads 159 (147,720)
Citation 92

What Happens After a Technology Shock?

FRB International Finance Discussion Paper No. 768
Number of pages: 54 Posted: 18 Aug 2003
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 97 (217,599)
Citation 92

Abstract:

productivity, long-run restriction, hours worked, weak instruments

What Happens after a Technology Shock?

NBER Working Paper No. w9819
Number of pages: 54 Posted: 05 Jul 2003
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 62 (285,359)
Citation 92

Abstract:

8.

Exchange Rate Pass-Through to Export Prices: Assessing Some Cross-Country Evidence

FRB International Finance Discussion Paper No. 902
Number of pages: 47 Posted: 24 Sep 2007
Robert Vigfusson, Nathan Sheets and Joseph Gagnon
Federal Reserve Board - Trade and Quantitative Studies, Federal Reserve Board and Peterson Institute
Downloads 149 (150,159)
Citation 8

Abstract:

9.
Downloads 127 (177,726)
Citation 30

Assessing Structural VARs

FRB International Finance Discussion Paper No. 866
Number of pages: 60 Posted: 03 Nov 2006
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 101 (211,554)
Citation 30

Abstract:

Vector autoregression, dynamic stochastic general equilibrium model, confidence intervals, impulse response functions, identification, long run restrictions, specification error, sampling

Assessing Structural Vars

NBER Working Paper No. w12353
Number of pages: 55 Posted: 14 Jul 2006
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 26 (406,886)
Citation 30

Abstract:

The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology

FRB International Finance Discussion Paper No. 790
Number of pages: 16 Posted: 25 Jan 2004
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 84 (239,136)
Citation 30

Abstract:

Productivity, long-run identifying assumption, Granger-causality

The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology

NBER Working Paper No. w10254
Number of pages: 16 Posted: 09 Feb 2004
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 21 (433,962)
Citation 30

Abstract:

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

FRB International Finance Discussion Paper No. 970
Number of pages: 60 Posted: 16 Jun 2009
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 93 (223,943)
Citation 9

Abstract:

Asymmetry, oil price, energy prices, net increase, shocks, propagation, transmission, vector autoregression

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

CEPR Discussion Paper No. DP7284
Number of pages: 57 Posted: 15 Jul 2009
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 4 (528,076)
Citation 9

Abstract:

Asymmetry, Energy price, Impulse response, Net increase, Oil price, Propagation, Shock, Transmission, Vector autoregression

12.

Evaluating the Forecasting Performance of Commodity Futures Prices

FRB International Finance Discussion Paper No. 1025
Number of pages: 25 Posted: 21 Aug 2011
Trevor A. Reeve and Robert Vigfusson
U.S. Trade and Quantitative Studies and Federal Reserve Board - Trade and Quantitative Studies
Downloads 90 (189,197)
Citation 1

Abstract:

financial markets, forecasting, commodities

13.

Trade Integration, Competition, and the Decline in Exchange-Rate Pass-Through

FRB International Finance Discussion Paper No. 864
Number of pages: 51 Posted: 31 Aug 2006
Christopher J. Gust, Sylvain Leduc and Robert Vigfusson
Federal Reserve Board - Trade and Financial Studies, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Federal Reserve Board - Trade and Quantitative Studies
Downloads 89 (223,967)
Citation 26

Abstract:

Pass-through, trade integration, strategic complementarity

14.

The Delayed Response to a Technology Shock: A Flexible Price Explanation

FRB International Finance Discussion Paper No. 810
Number of pages: 46 Posted: 25 Jul 2004
Robert Vigfusson
Federal Reserve Board - Trade and Quantitative Studies
Downloads 74 (242,475)
Citation 7

Abstract:

Macroeconomic models, vector autoregressions, impulse responses, weak instruments, long-run identification assumption

15.

Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions

FEDS Working Paper No. 842
Number of pages: 13 Posted: 02 Nov 2005
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 67 (264,066)
Citation 1

Abstract:

Technology shocks, hours worked, frequency domain, spectral density matrix

16.
Downloads 65 (274,900)
Citation 7

Nonlinearities in the Oil Price-Output Relationship

FRB International Finance Discussion Paper No. 1013
Number of pages: 57 Posted: 12 Mar 2011
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 63 (282,918)
Citation 7

Abstract:

Oil prices, energy prices, net increase, shocks, propagation, transmission, vector autoregression

Nonlinearities in the Oil Price-Output Relationship

CEPR Discussion Paper No. DP8174
Number of pages: 54 Posted: 18 Jan 2011
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 2 (539,706)
Citation 7

Abstract:

Asymmetry, Nonlinearity, Oil price, Real Output, Uncertainty

17.

Interest Rates and the Volatility and Correlation of Commodity Prices

FRB International Finance Discussion Paper No. 1065
Number of pages: 32 Posted: 09 Jan 2013
Joseph W. Gruber and Robert Vigfusson
Federal Reserve Board - Division of International Finance and Federal Reserve Board - Trade and Quantitative Studies
Downloads 61 (259,932)

Abstract:

Commodity storage, panel GARCH, dynamic factor model

The Role of Oil Price Shocks in Causing U.S. Recessions

CESifo Working Paper Series No. 5743
Number of pages: 41 Posted: 10 Mar 2016
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 53 (308,646)

Abstract:

real GDP, nonlinearity, asymmetry, time variation, conditional response, prediction

The Role of Oil Price Shocks in Causing U.S. Recessions

CEPR Discussion Paper No. DP10040
Number of pages: 43 Posted: 25 Sep 2014
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 0

Abstract:

asymmetry, conditional response, nonlinearity, oil price, real GDP, recession, time variation

19.

How do Canadian Hours Worked Respond to a Technology Shock?

FRB International Finance Discussion Paper No. 774
Number of pages: 22 Posted: 06 Oct 2003
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 48 (312,268)
Citation 1

Abstract:

productivity, long-run restriction, hours worked, weak instruments

20.

How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries

FRB International Finance Discussion Paper No. 788
Number of pages: 33 Posted: 20 Jan 2004
Robert Vigfusson
Federal Reserve Board - Trade and Quantitative Studies
Downloads 40 (338,990)

Abstract:

Productivity, co-movement, border effects

The Hitchhiker’s Guide to Missing Import Price Changes and Pass-Through

FRB of New York Staff Report No. 537
Number of pages: 55 Posted: 22 Jan 2012
Etienne Gagnon, Benjamin R. Mandel and Robert Vigfusson
Federal Reserve Board - Advanced Foreign Economies, Federal Reserve Bank of New York and Federal Reserve Board - Trade and Quantitative Studies
Downloads 20 (439,648)

Abstract:

exchange rate pass-through, price index

The Hitchhiker’s Guide to Missing Import Price Changes and Pass-Through

FRB International Finance Discussion Paper No. 1040
Number of pages: 59 Posted: 06 Mar 2012
Robert Vigfusson, Etienne Gagnon and Benjamin R. Mandel
Federal Reserve Board - Trade and Quantitative Studies, Federal Reserve Board - Advanced Foreign Economies and Federal Reserve Bank of New York
Downloads 12 (485,121)

Abstract:

exchange rate pass-through, import prices, item replacement

22.

The Power of Long-Run Structural VARs

FRB International Finance Discussion Paper No. 978
Number of pages: 38 Posted: 30 Sep 2009
Christopher J. Gust and Robert Vigfusson
Federal Reserve Board - Trade and Financial Studies and Federal Reserve Board - Trade and Quantitative Studies
Downloads 22 (395,590)
Citation 1

Abstract:

Vector autoregression, dynamic stochastic general equilibrium model, confidence intervals, impulse responpd functions, identifications, long run restrictions, specification error, sampling

23.

Entry Dynamics and the Decline in Exchange-Rate Pass-Through

FRB International Finance Discussion Paper No. 1008
Number of pages: 39 Posted: 14 Nov 2010
Christopher J. Gust, Sylvain Leduc and Robert Vigfusson
Federal Reserve Board - Trade and Financial Studies, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Federal Reserve Board - Trade and Quantitative Studies
Downloads 21 (404,981)

Abstract:

Pass-through, trade integration, strategic complementarity, intensive margin

24.

Exchange Rate Passthrough to Export Prices: Assessing Cross-Country Evidence

Review of International Economics, Vol. 17, Issue 1, pp. 17-33, February 2009
Number of pages: 17 Posted: 27 Apr 2009
Robert Vigfusson, Nathan Sheets and Joseph Gagnon
Federal Reserve Board - Trade and Quantitative Studies, Federal Reserve Board and Peterson Institute
Downloads 3 (508,361)
Citation 6

Abstract:

25.

Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

FRB International Finance Discussion Paper No. 1179
Number of pages: 49 Posted: 13 Sep 2016
Sylvain Leduc, Kevin Moran and Robert Vigfusson
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Laval University - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 0 (404,981)

Abstract:

Kalman filter, Time-variation, Inventories, Conditional response

26.

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

FRB International Finance Discussion Paper No. 1050
Posted: 27 Sep 2012
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

Abstract:

Out-of-sample forecast, Oil price, Real GDP, Nonlinearity, Asymmetry

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

CEPR Discussion Paper No. DP8980
Number of pages: 39 Posted: 28 Sep 2012
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 0
Citation 1

Abstract:

Asymmetry, Nonlinearity, Oil price, Out-of-sample forecast, Real GDP

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

FRB International Finance Discussion Paper No. 1050
Posted: 25 Jul 2012
Lutz Kilian and Robert Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

Abstract:

Out-of-sample forecast, Oil price, Real GDP, Nonlinearity, Asymmetry

28.

Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

Posted: 06 Jan 1998
Simon van Norden and Robert Vigfusson
HEC Montreal - Department of Finance and Federal Reserve Board - Trade and Quantitative Studies

Abstract: