Robert J. Vigfusson

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

32

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Top 16,302

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5,762

SSRN CITATIONS
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Top 2,555

in Total Papers Citations

346

CROSSREF CITATIONS

357

Scholarly Papers (32)

1.
Downloads 719 (67,638)
Citation 97

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
Financial Stability Oversight Council, U.S. Treasury, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 715 (67,141)
Citation 22

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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 J. Vigfusson
Financial Stability Oversight Council, U.S. Treasury, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (1,155,131)
Citation 35
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Asymmetries, Demand and supply, Forecasting, Oil price, Predictability

2.

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 J. Vigfusson
HEC Montreal - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 676 (73,207)
Citation 7

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3.

Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach

Working Paper 96-1
Number of pages: 31 Posted: 15 Feb 1996
Robert J. Vigfusson
Board of Governors of the Federal Reserve System
Downloads 624 (80,942)
Citation 11

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

International Finance Discussion Paper No. 833
Posted: 06 Jul 2021 Last Revised: 03 Jul 2021
Board of Governors of the Federal Reserve System, Peterson Institute, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, affiliation not provided to SSRN, Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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

Number of pages: 67 Posted: 04 May 2005
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, Peterson Institute, Federal Reserve Board - International Finance Division, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Fudan University - Fanhai International School of Finance (FISF)
Downloads 373 (148,731)
Citation 25

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

5.

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 J. Vigfusson
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 365 (153,641)
Citation 7

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financial markets, forecasting, commodities

6.
Downloads 247 (230,657)
Citation 43

What Happens after a Technology Shock?

Number of pages: 54 Posted: 18 Aug 2003
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 131 (403,213)
Citation 1

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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 Last Revised: 31 Oct 2022
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 116 (442,664)
Citation 8

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7.
Downloads 241 (236,202)
Citation 9

Oil, Equities, and the Zero Lower Bound

FEDS Working Paper No. 2018-58
Number of pages: 90 Posted: 23 Aug 2018 Last Revised: 21 Feb 2019
Deepa Datta, Benjamin K. Johannsen, Hannah Kwon and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Board of Governors of the Federal Reserve System
Downloads 134 (395,999)
Citation 6

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Equities, Macroeconomic surprises, New Keynesian models, Oil, Zero lower bound

Oil, Equities, and the Zero Lower Bound

BIS Working Paper No. 617
Number of pages: 48 Posted: 01 Apr 2017
Deepa Datta, Benjamin K. Johannsen, Hannah Kwon and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Board of Governors of the Federal Reserve System
Downloads 107 (470,498)

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macroeconomic announcements, news, monetary policy, zero lower bound, fiscal policy, fiscal multiplier

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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 235 (241,073)
Citation 26

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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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (1,155,131)
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Asymmetry, Energy price, Impulse response, Net increase, Oil price, Propagation, Shock, Transmission, Vector autoregression

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 J. Vigfusson
Northwestern University and Board of Governors of the Federal Reserve System
Downloads 191 (292,769)

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

NBER Working Paper No. w7027
Number of pages: 17 Posted: 25 Jul 2000 Last Revised: 15 Sep 2022
Lawrence J. Christiano and Robert J. Vigfusson
Northwestern University and Board of Governors of the Federal Reserve System
Downloads 41 (795,793)

Abstract:

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10.

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 J. Vigfusson, Nathan Sheets and Joseph Gagnon
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Peterson Institute
Downloads 218 (259,890)
Citation 15

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11.

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 J. Vigfusson
affiliation not provided to SSRN, HEC Montreal - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 214 (264,542)
Citation 2

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12.
Downloads 193 (290,682)
Citation 28

Assessing Structural Vars

FRB International Finance Discussion Paper No. 866
Number of pages: 60 Posted: 03 Nov 2006
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 124 (420,704)
Citation 18

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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 Last Revised: 03 Oct 2022
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 69 (621,883)
Citation 3

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13.
Downloads 188 (297,492)
Citation 26

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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 125 (418,158)
Citation 11

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

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

International Finance Discussion Paper No. 1114
Number of pages: 41 Posted: 31 May 2017
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 62 (658,763)
Citation 1

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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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 1 (1,181,301)
Citation 5
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asymmetry, conditional response, nonlinearity, oil price, real GDP, recession, time variation

14.

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 J. Vigfusson
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 184 (303,153)
Citation 6

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Commodity storage, panel GARCH, dynamic factor model

15.
Downloads 157 (348,002)
Citation 29

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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 155 (351,943)
Citation 26

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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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 2 (1,172,377)
Citation 1
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Asymmetry, Nonlinearity, Oil price, Real Output, Uncertainty

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

Number of pages: 16 Posted: 25 Jan 2004
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 114 (448,630)
Citation 27

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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 Last Revised: 10 Jul 2022
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 40 (803,575)

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17.

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 Gust, Sylvain Leduc and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 126 (414,210)
Citation 37

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Pass-through, trade integration, strategic complementarity

18.

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

Number of pages: 46 Posted: 25 Jul 2004
Robert J. Vigfusson
Board of Governors of the Federal Reserve System
Downloads 121 (426,917)
Citation 5

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

19.

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

FEDS Working Paper No. 842
Number of pages: 13 Posted: 02 Nov 2005
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 92 (517,591)
Citation 4

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

20.

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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Laval University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 76 (580,766)

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Kalman filter, Time-variation, Inventories, Conditional response

21.

How Do Canadian Hours Worked Respond to a Technology Shock?

Number of pages: 22 Posted: 06 Oct 2003
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 70 (607,693)

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

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 J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 41 (795,793)

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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 J. Vigfusson, Etienne Gagnon and Benjamin R. Mandel
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York
Downloads 27 (916,060)

Abstract:

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exchange rate pass-through, import prices, item replacement

23.

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

Number of pages: 33 Posted: 20 Jan 2004
Robert J. Vigfusson
Board of Governors of the Federal Reserve System
Downloads 65 (631,779)
Citation 2

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Productivity, co-movement, border effects

24.

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 Gust, Sylvain Leduc and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 48 (728,120)
Citation 5

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

25.

The Power of Long-Run Structural VARs

FRB International Finance Discussion Paper No. 978
Number of pages: 38 Posted: 30 Sep 2009
Christopher Gust and Robert J. Vigfusson
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 47 (734,523)
Citation 1

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

26.

Missing Import Price Changes and Low Exchange Rate Pass-Through

FRB International Finance Discussion Paper No. 1040
Number of pages: 59 Posted: 30 May 2017
Etienne Gagnon, Benjamin R. Mandel and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 25 (907,556)
Citation 1

Abstract:

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Exchange rate pass-through, import prices, item replacement

27.

Evaluating the Forecasting Performance of Commodity Futures Prices

International Finance Discussion Paper No. 1025
Posted: 09 Jul 2021 Last Revised: 03 Jul 2021
Trevor A. Reeve and Robert J. Vigfusson
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

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Commodity futures, futures markets, Prices, Economic forecasting

28.

Oil, Equities, and a “Nonbinding” Zero Lower Bound: The Monetary Policy Response to COVID-19

FEDS Notes No. 2021-04-14
https://doi.org/10.17016/2380-7172.2786
Posted: 23 Apr 2021
Deepa Datta, Benjamin K. Johannsen and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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29.

Bat Signals from Asset Markets: Estimating the U.S. Dollar Response to a Destination-Based Cash-Flow Tax

FRB IFDP Notes No. 2018-10-23
Posted: 27 Nov 2018 Last Revised: 21 Feb 2019
Tessa Morrison and Robert J. Vigfusson
Independent and Board of Governors of the Federal Reserve System

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30.

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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System

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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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
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Citation 12
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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 J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System

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

32.

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

Posted: 06 Jan 1998
Simon van Norden and Robert J. Vigfusson
HEC Montreal - Department of Finance and Board of Governors of the Federal Reserve System

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