Robert J. Vigfusson

Federal Reserve Board - Trade and Quantitative Studies

20th St. and Constitution Ave.

Washington, DC 20551

United States

SCHOLARLY PAPERS

31

DOWNLOADS
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4,147

CITATIONS
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in Total Papers Citations

236

Scholarly Papers (31)

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 J. Vigfusson
HEC Montreal - Department of Finance and Federal Reserve Board - Trade and Quantitative Studies
Downloads 577 (45,542)
Citation 6

Abstract:

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2.

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
Federal Reserve Board - Trade and Quantitative Studies
Downloads 552 (48,198)
Citation 31

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3.
Downloads 538 ( 49,770)
Citation 34

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
AQR Capital Management LLC, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 534 (49,644)
Citation 13

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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
AQR Capital Management LLC, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 4 (640,525)
Citation 72
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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 333 (88,707)
Citation 35

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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 J. Vigfusson
affiliation not provided to SSRN, HEC Montreal - Department of Finance and Federal Reserve Board - Trade and Quantitative Studies
Downloads 191 (156,336)
Citation 3

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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 Federal Reserve Board - Trade and Quantitative Studies
Downloads 159 (184,091)

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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: 12 Oct 2010
Lawrence J. Christiano and Robert J. Vigfusson
Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 26 (495,287)
Citation 7

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7.
Downloads 171 (172,647)
Citation 16

What Happens after a Technology Shock?

FRB International Finance Discussion Paper No. 768
Number of pages: 54 Posted: 18 Aug 2003
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 105 (254,777)

Abstract:

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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: 09 Aug 2003
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 66 (339,628)
Citation 44

Abstract:

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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 J. Vigfusson, Nathan Sheets and Joseph Gagnon
Federal Reserve Board - Trade and Quantitative Studies, Federal Reserve Board and Peterson Institute
Downloads 165 (178,097)
Citation 17

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9.

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
U.S. Trade and Quantitative Studies and Federal Reserve Board - Trade and Quantitative Studies
Downloads 155 (187,723)
Citation 3

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financial markets, forecasting, commodities

10.
Downloads 132 (213,976)
Citation 23

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 Federal Reserve Board - Trade and Quantitative Studies
Downloads 105 (254,777)
Citation 29

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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: 11 Sep 2006
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 27 (489,479)
Citation 11

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11.
Downloads 131 (215,268)
Citation 2

Oil, Equities, and the Zero Lower Bound

BIS Working Paper No. 617
Number of pages: 48 Posted: 01 Apr 2017
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Federal Reserve Board - Trade and Quantitative Studies
Downloads 73 (321,106)

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

Oil, Equities, and the Zero Lower Bound

FEDS Working Paper No. 2018-058
Number of pages: 90 Posted: 23 Aug 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Federal Reserve Board - Trade and Quantitative Studies
Downloads 58 (363,162)
Citation 4

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Equities, Macroeconomic surprises, New-keynesian model, Oil, Zero lower bound

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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 120 (231,120)
Citation 20

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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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 4 (640,525)
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Asymmetry, Energy price, Impulse response, Net increase, Oil price, Propagation, Shock, Transmission, Vector autoregression

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
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 88 (286,543)
Citation 45

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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 2010
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 24 (507,344)
Citation 1

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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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 67 (336,879)

Abstract:

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

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

FRB International Finance Discussion Paper No. 1114
Number of pages: 41 Posted: 31 May 2017
Lutz Kilian and Robert J. Vigfusson
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 34 (453,731)

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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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 0
Citation 10
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asymmetry, conditional response, nonlinearity, oil price, real GDP, recession, time variation

15.

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 J. 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 99 (263,457)
Citation 47

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Pass-through, trade integration, strategic complementarity

16.

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
Federal Reserve Board - Division of International Finance and Federal Reserve Board - Trade and Quantitative Studies
Downloads 98 (265,219)
Citation 4

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Commodity storage, panel GARCH, dynamic factor model

17.

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 J. Vigfusson
Federal Reserve Board - Trade and Quantitative Studies
Downloads 85 (290,356)
Citation 7

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

18.
Downloads 83 (294,556)
Citation 35

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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 81 (301,787)
Citation 36

Abstract:

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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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 2 (660,561)
Citation 3
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Asymmetry, Nonlinearity, Oil price, Real Output, Uncertainty

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 Federal Reserve Board - Trade and Quantitative Studies
Downloads 75 (312,769)
Citation 6

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

20.

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
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Federal Reserve Board - Trade and Quantitative Studies
Downloads 53 (373,368)

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

21.

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 J. Vigfusson
Federal Reserve Board - Trade and Quantitative Studies
Downloads 45 (400,381)
Citation 2

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Productivity, co-movement, border effects

22.

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 Federal Reserve Board - Trade and Quantitative Studies
Downloads 42 (411,319)

Abstract:

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Kalman filter, Time-variation, Inventories, Conditional response

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 Federal Reserve Board - Trade and Quantitative Studies
Downloads 22 (519,770)

Abstract:

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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
Federal Reserve Board - Trade and Quantitative Studies, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York
Downloads 14 (571,309)

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exchange rate pass-through, import prices, item replacement

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 J. Gust, Sylvain Leduc and Robert J. 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 27 (475,904)
Citation 2

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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 J. Gust and Robert J. Vigfusson
Federal Reserve Board - Trade and Financial Studies and Federal Reserve Board - Trade and Quantitative Studies
Downloads 27 (475,904)
Citation 1

Abstract:

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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 Federal Reserve Board - Trade and Quantitative Studies
Downloads 7 (592,531)
Citation 7

Abstract:

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Exchange rate pass-through, import prices, item replacement

27.

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 J. Vigfusson, Nathan Sheets and Joseph Gagnon
Federal Reserve Board - Trade and Quantitative Studies, Federal Reserve Board and Peterson Institute
Downloads 3 (620,272)
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28.

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 Federal Reserve Board - Trade and Quantitative Studies

Abstract:

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29.

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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

Abstract:

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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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies
Downloads 0
Citation 19
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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
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

Abstract:

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

31.

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 Federal Reserve Board - Trade and Quantitative Studies

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