James M. Nason

North Carolina State University - Department of Economics

Professor

Campus Box 8110

NC State University

Raleigh, NC 27695-8110

United States

  • North Carolina State University - Department of Economics

    • Email
    • Tel: (919) 513-2884
    • Fax: (919) 515-5613
SCHOLARLY PAPERS

25

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6,945

CITATIONS
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Top 3,205

in Total Papers Citations

172

Scholarly Papers (25)

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1.

Testing the Significance of Calendar Effects

Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30 Posted: 26 May 2003
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 2,043 (6,708)
Citation 10

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Calendar effects, data mining, significance test

2.

The Model Confidence Set

Number of pages: 41 Posted: 30 Mar 2004 Last Revised: 07 Jul 2014
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 1,540 (10,787)
Citation 30

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Model confidence set, forecasting, model selection, multiple comparisons

3.

Choosing the Best Volatility Models: The Model Confidence Set Approach

Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28
Number of pages: 26 Posted: 22 May 2003
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads 656 (38,006)
Citation 18

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Forecasting, Model Selection, Multiple Comparisons, Data Mining

4.

Bringing Financial Stability into Monetary Policy

Downloads 292 (101,396)

Bringing Financial Stability into Monetary Policy

Number of pages: 56 Posted: 14 Nov 2014
Eric M. Leeper and James M. Nason
University of Virginia and North Carolina State University - Department of Economics
Downloads 156 (185,255)

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Financial frictions, incomplete markets, crises, new Keynesian, natural rate, monetary transmission mechanism.

Bringing Financial Stability into Monetary Policy

Riksbank Research Paper Series No. 129, Sveriges Riksbank Working Paper Series No. 305
Number of pages: 58 Posted: 13 Aug 2015
Eric M. Leeper and James M. Nason
University of Virginia and North Carolina State University - Department of Economics
Downloads 94 (272,102)

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Financial frictions, incomplete markets, crises, new Keynesian, natural rate, monetary transmission mechanism

Bringing Financial Stability into Monetary Policy

CAMA Working Paper No. 72/2014
Number of pages: 57 Posted: 15 Nov 2014 Last Revised: 28 Nov 2014
Eric M. Leeper and James M. Nason
University of Virginia and North Carolina State University - Department of Economics
Downloads 42 (415,648)

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Financial frictions, incomplete markets, crises, new Keynesian, natural rate, monetary transmission mechanism

5.

Identifying the New Keynesian Phillips Curve

FRB of Atlanta Working Paper No. 2005-1
Number of pages: 46 Posted: 13 Jan 2005
James M. Nason and Gregor W. Smith
North Carolina State University - Department of Economics and Queen's University (Canada)
Downloads 267 (111,552)
Citation 23

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Phillips curve, Keynesian, identification, inflation

6.

Bayesian Estimation of DSGE Models

Downloads 249 (119,932)
Citation 1

Bayesian Estimation of DSGE Models

FRB of Philadelphia Working Paper No. 12-4
Number of pages: 30 Posted: 17 Feb 2012
Pablo Guerrón-Quintana and James M. Nason
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and North Carolina State University - Department of Economics
Downloads 207 (143,456)
Citation 1

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dynamic stochastic general equilibrium, Bayesian, Metropolis-Hastings, Markov chain Monte Carlo, Kalman filter, likelihood

Bayesian Estimation of DSGE Models

CAMA Working Paper 10/2012
Number of pages: 30 Posted: 01 Mar 2012
Pablo Guerrón-Quintana and James M. Nason
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and North Carolina State University - Department of Economics
Downloads 42 (415,648)
Citation 1

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dynamic stochastic general equilibrium, Bayesian, Metropolis-Hastings, Markov chain Monte Carlo, Kalman filter, likelihood

7.

Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

Downloads 241 (123,899)
Citation 2

Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

Federal Reserve Bank of Atlanta Working Paper 2009-16
Number of pages: 118 Posted: 05 Jul 2009 Last Revised: 08 Sep 2010
Takashi Kano and James M. Nason
Hitotsubashi University - Graduate School of Economics and North Carolina State University - Department of Economics
Downloads 181 (162,613)
Citation 2

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habit, New Keynesian, propagation, monetary transmission, model evaluation, Bayesian Monte Carlo.

Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

FRB of Philadelphia Working Paper No. 12-30
Number of pages: 29 Posted: 14 Dec 2012
Takashi Kano and James M. Nason
Hitotsubashi University - Graduate School of Economics and North Carolina State University - Department of Economics
Downloads 22 (514,711)
Citation 2

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Consumption Habit, New Keynesian, Propagation, Monetary Transmission, Posterior Predictive Analysis, Bayesian Monte Carlo.

Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

Federal Reserve Bank of Atlanta Working Paper 2009-16
Number of pages: 87 Posted: 24 Aug 2009
Takashi Kano and James M. Nason
Hitotsubashi University - Graduate School of Economics and North Carolina State University - Department of Economics
Downloads 20 (527,239)
Citation 2

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habit, New Keynesian, propagation, monetary transmission, Bayesian Monte Carlo

Business Cycle Implications of Internal Consumption Habit for New Keynesian Models

CAMA Working Paper Series 31/2010
Number of pages: 119 Posted: 12 Oct 2010
Takashi Kano and James M. Nason
Hitotsubashi University - Graduate School of Economics and North Carolina State University - Department of Economics
Downloads 18 (539,861)
Citation 2

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Habit, New Keynesian, Propagation, Monetary Transmission, Model Evaluation, Bayesian Monte Carlo

8.

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

Downloads 202 (147,032)
Citation 16

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

FRB of Atlanta Working Paper No. 2007-10a
Number of pages: 41 Posted: 25 May 2007 Last Revised: 06 Jul 2014
Alastair R. Hall, Atsushi Inoue, James M. Nason and Barbara Rossi
North Carolina State University - Department of Economics, Southern Methodist University, North Carolina State University - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 110 (244,109)
Citation 16

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impulse response function, matching estimator, redundant selection criterion

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

Economic Research Initiatives at Duke (ERID) Working Paper No. 29
Number of pages: 53 Posted: 13 Nov 2009 Last Revised: 06 Jul 2014
Alastair R. Hall, Atsushi Inoue, James M. Nason and Barbara Rossi
North Carolina State University - Department of Economics, Southern Methodist University, North Carolina State University - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 92 (275,944)
Citation 16

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9.

Investment and the Current Account in the Short Run and the Long Run

International Finance Working Paper No. 647
Number of pages: 59 Posted: 06 Nov 2000
James M. Nason and John H. Rogers
North Carolina State University - Department of Economics and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 166 (175,545)
Citation 7

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small open economy, intertemporal model, identification

10.

Bulk Commodities and the Liverpool and London Markets of the Mid-19th Century

Downloads 133 (210,655)

Bulk Commodities and the Liverpool and London Markets of the Mid-19th Century

No. 2003-9a
Number of pages: 38 Posted: 13 Jan 2004
James M. Nason and Donald G. Patterson
North Carolina State University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 75 (313,163)

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Liverpool, London, price indexes, markets, commodities, bulk trade, 19th century, wheat, flour, cointegration, cycles, co-features

Bulk Commodities and the Liverpool and London Markets of the Mid-19th Century

No. 2003-9a
Number of pages: 38 Posted: 04 Feb 2005
James M. Nason and Donald G. Patterson
North Carolina State University - Department of Economics and University of British Columbia (UBC) - Department of Economics
Downloads 58 (359,805)

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Liverpool, London, price indexes, markets, commodities, bulk trade, 19th century, wheat, flour, cointegration, cycles, co-features

11.

The New Keynesian Phillips Curve: Lessons from Single-Equation Econometric Estimation

FRB Richmond Economic Quarterly, Vol. 94, No. 4, Fall 2008, pp. 361-395
Number of pages: 35 Posted: 12 Dec 2012
James M. Nason and Gregor W. Smith
North Carolina State University - Department of Economics and Queen's University (Canada)
Downloads 131 (213,270)
Citation 6

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12.

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

Downloads 114 (236,808)

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

CAMA Working Paper No. 6/2015
Number of pages: 41 Posted: 16 Mar 2015 Last Revised: 18 Mar 2015
Elmar Mertens and James M. Nason
Deutsche Bundesbank and North Carolina State University - Department of Economics
Downloads 69 (328,403)

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Inflation, professional forecasters, sticky information, particle filter, Bayesian estimation, Markov chain Monte Carlo, stochastic volatility, time-varying persistence

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

CAMA Working Paper No. 60/2017
Number of pages: 70 Posted: 27 Sep 2017
Elmar Mertens and James M. Nason
Deutsche Bundesbank and North Carolina State University - Department of Economics
Downloads 29 (473,875)

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Inflation, Unobserved Components, Professional Forecasts, Sticky Information, Stochastic Volatility, Time-Varying Parameters, Bayesian, Particle Filter

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

BIS Working Paper No. 713
Number of pages: 47 Posted: 06 Apr 2018
Elmar Mertens and James M. Nason
Deutsche Bundesbank and North Carolina State University - Department of Economics
Downloads 16 (552,564)

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inflation; unobserved components;professional forecasts; sticky information; stochastic volatility; time-varying parameters; Bayesian; particle filter

13.

Common Trends and Common Cycles in Canada: Who Knew so Much Has Been Going on?

Downloads 110 (242,817)
Citation 1

Common Trends and Common Cycles in Canada: Who Knew so Much Has Been Going on?

FRB of Atlanta Working Paper No. 2004-5
Number of pages: 37 Posted: 21 May 2004
Elizabeth C. Wakerly, Byron G. Scott and James M. Nason
University of East Anglia (UEA) - School of Economic and Social Studies, University of Wisconsin - Madison - Department of Economics and North Carolina State University - Department of Economics
Downloads 96 (268,372)
Citation 1

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Beveridge-Nelson-Stock-Watson-Vahid-Engle decomposition, common trends, serially correlated common cycles, long-run convergence, optimal currency area

Common Trends and Common Cycles in Canada: Who Knew so Much Has Been Going on?

Canadian Journal of Economics, Vol. 39, No. 1, pp. 320-347, February 2006
Number of pages: 28 Posted: 08 May 2006
Elizabeth C. Wakerly, Byron G. Scott and James M. Nason
University of East Anglia (UEA) - School of Economic and Social Studies, University of Wisconsin - Madison - Department of Economics and North Carolina State University - Department of Economics
Downloads 14 (565,423)
Citation 1
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14.

Along the New Keynesian Phillips Curve with Nominal and Real Rigidities

FRB of Atlanta Working Paper No. 2004-9
Number of pages: 50 Posted: 25 May 2004
James M. Nason and George A. Slotsve
North Carolina State University - Department of Economics and Northern Illinois University - Department of Economics
Downloads 108 (246,014)
Citation 11

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New Keynesian Phillips curve, sticky prices, labor market search, common trend, common cycle

15.

Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks

Downloads 106 (249,246)
Citation 1

Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks

FRB of Philadelphia Working Paper No. 12-24
Number of pages: 52 Posted: 17 Oct 2012
James M. Nason and Ellis W. Tallman
North Carolina State University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 75 (313,163)
Citation 1

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inside money, credit shock, Bayesian vector autoregression, Markov-switching, stochastic volatility

Business Cycles and Financial Crises: The Roles of Credit Supply and Demand Shocks

CAMA Working Paper 44/2012
Number of pages: 49 Posted: 17 Jul 2013
James M. Nason and Ellis W. Tallman
North Carolina State University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Downloads 31 (463,669)
Citation 1

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Inside money, Credit shock, Bayesian vector autoregression, Markov-switching, Stochastic volatility

16.

The Present-Value Model of the Current Account Has Been Rejected: Round Up the Usual Suspects

FRB International Finance Discussion Paper No. 760
Number of pages: 37 Posted: 24 Jun 2003
James M. Nason and John H. Rogers
North Carolina State University - Department of Economics and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 104 (252,585)
Citation 32

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world real interest rate, international capital mobility, Bayesian monte carlo

17.

Exchange Rates and Fundamentals: A Generalization

Federal Reserve Bank of Atlanta Working Paper No. 2008-16, FRB International Finance Discussion Paper No. 948
Number of pages: 52 Posted: 02 Jul 2008
James M. Nason and John H. Rogers
North Carolina State University - Department of Economics and Board of Governors of the Federal Reserve System - Trade and Financial Studies Section
Downloads 91 (275,760)
Citation 4

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exchange rates, present value model and fundamentals, random walk, DSGE model, unobserved components model, Bayesian model comparison

18.

Interwar U.K. Unemployment: The Benjamin and Kochin Hypothesis or the Legacy of 'Just' Taxes?

FRB of Atlanta Working Paper No. 2006-4
Number of pages: 17 Posted: 18 May 2006
James M. Nason and Shaun P. Vahey
North Carolina State University - Department of Economics and Reserve Bank of New Zealand
Downloads 82 (294,129)
Citation 2

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U.K. interwar unemployment, replacement ratio, capital income tax rate, Markov chain Monte Carlo

19.

Great Moderations and U.S. Interest Rates: Unconditional Evidence

FRB Atlanta Working Paper No. 2008-1
Number of pages: 41 Posted: 23 Jan 2008 Last Revised: 06 Jul 2014
James M. Nason and Gregor W. Smith
North Carolina State University - Department of Economics and Queen's University (Canada)
Downloads 80 (298,447)
Citation 2

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Great Moderation, asset pricing, interest rate

20.

Simple Versus Optimal Rules as Guides to Policy

FRB of Atlanta Working Paper 2007-7
Number of pages: 44 Posted: 13 May 2007
William A. Brock, Steven N. Durlauf, James M. Nason and Giacomo Rondina
University of Wisconsin, Madison - Department of Economics, University of Chicago, North Carolina State University - Department of Economics and University of Wisconsin - Madison
Downloads 53 (370,129)
Citation 3

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monetary policy rule, model uncertainty, minimax, minimax regret

21.

Measuring the Slowly Evolving Trend in US Inflation with Professional Forecasts

CAMA Working Paper No. 7/2014
Number of pages: 45 Posted: 21 Jan 2014
James M. Nason and Gregor W. Smith
North Carolina State University - Department of Economics and Queen's University (Canada)
Downloads 43 (403,883)

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US inflation, professional forecasts, sticky information, Beveridge-Nelson

22.

The McKenna Rule and U.K. World War I Finance

FRB of Atlanta Working Paper No. 2007-3
Number of pages: 12 Posted: 15 Feb 2007
James M. Nason and Shaun P. Vahey
North Carolina State University - Department of Economics and Reserve Bank of New Zealand
Downloads 42 (407,538)
Citation 3

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war finance, McKenna rule, debt retirement, capital income tax rate, permanent income

23.

Reverse Kalman Filtering US Inflation with Sticky Professional Forecasts

FRB of Philadelphia Working Paper No. 13-34
Number of pages: 43 Posted: 04 Sep 2013
James M. Nason and Gregor W. Smith
North Carolina State University - Department of Economics and Queen's University (Canada)
Downloads 31 (452,184)

Abstract:

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US inflation, professional forecasts, sticky information, Beveridge-Nelson

24.

U.K. World War I and Interwar Data for Business Cycle and Growth Analysis

Federal Reserve Bank of Atlanta Working Paper 2009-18
Number of pages: 36 Posted: 02 Sep 2009
James M. Nason and Shaun P. Vahey
North Carolina State University - Department of Economics and Reserve Bank of New Zealand
Downloads 31 (452,184)

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hours worked, average tax rates, growth accounting, Bayesian model averaging

25.

UK World War I and Interwar Data for Business Cycle and Growth Analysis

Downloads 30 (456,776)

UK World War I and Interwar Data for Business Cycle and Growth Analysis

FRB of Philadelphia Working Paper No. 11-10
Number of pages: 38 Posted: 24 Feb 2011
James M. Nason and Shaun P. Vahey
North Carolina State University - Department of Economics and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 17 (546,209)

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Hours worked, Average tax rates, Growth accounting, Bayesian model averaging

UK World War I and Interwar Data for Business Cycle and Growth Analysis

CAMA Working Paper Series 2/2011
Number of pages: 38 Posted: 14 Feb 2011
James M. Nason and Shaun P. Vahey
North Carolina State University - Department of Economics and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 13 (571,966)

Abstract:

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Hours Worked, Average Tax Rates, Growth Accounting, Bayesian Model Averaging