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

27

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9,572

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Top 3,383

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355

CROSSREF CITATIONS

140

Scholarly Papers (27)

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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, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 3,021 (7,355)
Citation 28

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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, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 1,805 (16,563)
Citation 63

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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, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 753 (58,607)
Citation 104

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Forecasting, Model Selection, Multiple Comparisons, Data Mining

4.

Bringing Financial Stability into Monetary Policy

Downloads 461 (108,428)
Citation 16

Bringing Financial Stability into Monetary Policy

Number of pages: 56 Posted: 14 Nov 2014
Eric M. Leeper, Eric M. Leeper and James M. Nason
Indiana University at Bloomington - Department of EconomicsUniversity of Virginia and North Carolina State University - Department of Economics
Downloads 178 (287,741)
Citation 4

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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, Eric M. Leeper and James M. Nason
Indiana University at Bloomington - Department of EconomicsUniversity of Virginia and North Carolina State University - Department of Economics
Downloads 150 (333,414)
Citation 13

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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, Eric M. Leeper and James M. Nason
Indiana University at Bloomington - Department of EconomicsUniversity of Virginia and North Carolina State University - Department of Economics
Downloads 133 (366,984)
Citation 1

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

5.

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 328 (159,109)
Citation 2

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6.

Bayesian Estimation of DSGE Models

Downloads 318 (164,398)
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 251 (208,548)

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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 67 (580,702)
Citation 2

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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 308 (170,083)
Citation 4

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 197 (262,749)
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 48 (684,516)

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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 33 (792,915)
Citation 3

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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 30 (817,860)
Citation 1

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

8.

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 301 (174,145)
Citation 20

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Phillips curve, Keynesian, identification, inflation

9.

Information Criteria for Impulse Response Function Matching Estimation of DSGE Models

Downloads 252 (208,625)
Citation 26

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 133 (366,984)
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 119 (399,622)
Citation 5

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10.

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

Downloads 200 (259,646)
Citation 14

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 90 (486,705)
Citation 17

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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 69 (571,187)
Citation 5

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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 41 (731,821)

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

11.

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

Downloads 196 (264,419)

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 103 (444,455)

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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: 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 93 (476,507)

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

12.

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

Number of pages: 59 Posted: 06 Nov 2000
James M. Nason and John H. Rogers
North Carolina State University - Department of Economics and Fudan University - Fanhai International School of Finance (FISF)
Downloads 188 (274,505)
Citation 3

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small open economy, intertemporal model, identification

13.

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

Downloads 174 (293,740)
Citation 5

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 Bank of Cleveland
Downloads 117 (404,632)
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 Bank of Cleveland
Downloads 57 (631,590)
Citation 3

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

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 136 (359,814)
Citation 10

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

15.

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

Number of pages: 37 Posted: 24 Jun 2003
James M. Nason and John H. Rogers
North Carolina State University - Department of Economics and Fudan University - Fanhai International School of Finance (FISF)
Downloads 125 (383,630)
Citation 24

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

16.

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 121 (393,091)

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

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 Fudan University - Fanhai International School of Finance (FISF)
Downloads 120 (395,466)
Citation 5

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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 112 (415,839)
Citation 4

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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 103 (441,614)
Citation 7

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Great Moderation, asset pricing, interest rate

20.

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

Downloads 98 (456,789)

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 51 (666,189)

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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 47 (691,011)

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

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 73 (546,335)
Citation 6

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

22.

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 73 (546,335)
Citation 8

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monetary policy rule, model uncertainty, minimax, minimax regret

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 72 (550,546)
Citation 1

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

24.

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 65 (581,335)
Citation 1

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

25.

UK inflation forecasts since the thirteenth century

CAMA Working Paper No. 32/2021
Number of pages: 52 Posted: 26 Mar 2021
James M. Nason and Gregor W. Smith
North Carolina State University - Department of Economics and Queen's University (Canada)
Downloads 64 (585,854)

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inflation, price revolutions, stochastic volatility, time-varying parameters

26.

Bayesian Estimation of DSGE Models

FRB of Philadelphia Working Paper No. 12-4
Number of pages: 30 Posted: 27 Aug 2021 Last Revised: 30 Aug 2021
Pablo Guerrón-Quintana and James M. Nason
Boston College - Department of Economics and North Carolina State University - Department of Economics
Downloads 55 (630,730)
Citation 1

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27.

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 50 (658,271)

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