Oscar Jorda

Federal Reserve Banks - Federal Reserve Bank of San Francisco

Research Advisor

101 Market Street

San Francisco, CA 94105

United States

http://www.frbsf.org/economic-research/economists/oscar-jorda/

University of California, Davis - Department of Economics

Professor

One Shields Drive

Davis, CA 95616-8578

United States

http://old.econ.ucdavis.edu/faculty/jorda/

  • Federal Reserve Banks - Federal Reserve Bank of San Francisco

  • University of California, Davis - Department of Economics

SCHOLARLY PAPERS

42

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4,091

SSRN CITATIONS
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Top 890

in Total Papers Citations

442

CROSSREF CITATIONS

820

Scholarly Papers (42)

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1.

A Model for the Federal Funds Rate Target

Downloads 650 ( 53,247)
Citation 73

A Model for the Federal Funds Rate Target

UC Davis Working Paper No. 99-07
Number of pages: 44 Posted: 09 Nov 1999
James D. Hamilton and Oscar Jorda
University of California at San Diego and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 588 (59,829)

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A Model for the Federal Funds Rate Target

NBER Working Paper No. w7847
Number of pages: 50 Posted: 15 Aug 2000 Last Revised: 29 Aug 2021
James D. Hamilton and Oscar Jorda
University of California at San Diego and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 62 (453,529)
Citation 9

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2.

The Announcement Effect: Evidence from Open Market Desk Data

Downloads 307 (129,331)
Citation 18

The Announcement Effect: Evidence from Open Market Desk Data

UC Davis Working Paper No. 01-04
Number of pages: 39 Posted: 25 Jul 2001
Selva Demiralp and Oscar Jorda
Koc University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 217 (182,600)
Citation 24

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Open market operations, announcement effect, term structure

The Announcement Effect: Evidence from Open Market Desk Data

Economic Policy Review, Vol. 8, No. 1, May 2002
Number of pages: 20 Posted: 20 Sep 2005
Selva Demiralp and Oscar Jorda
Koc University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 90 (366,299)

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open market operations, monetary policy

3.

Measuring Systematic Monetary Policy

UC Davis Working Paper No. 00-05
Number of pages: 64 Posted: 12 Dec 2000
Kevin D. Hoover and Oscar Jorda
Duke University - Departments of Economics and Philosophy and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 275 (145,137)
Citation 2

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systematic monetary policy, VAR, structural break

4.

The Transmission of Monetary Policy Via Announcement Effects

UC Davis Working Paper No. 99-06
Number of pages: 45 Posted: 12 Oct 1999
Selva Demiralp and Oscar Jorda
Koc University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 269 (148,444)
Citation 10

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5.

The Carry Trade and Fundamentals: Nothing to Fear But Feer Itself

Downloads 266 (150,051)
Citation 32

The Carry Trade and Fundamentals: Nothing to Fear But Feer Itself

NBER Working Paper No. w15518
Number of pages: 38 Posted: 17 Nov 2009 Last Revised: 27 Nov 2021
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 254 (156,704)

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The Carry Trade and Fundamentals: Nothing to Fear But Feer Itself

Number of pages: 40 Posted: 11 Jan 2010
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 12 (747,706)
Citation 7
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efficient markets hypothesis, foreign exchange market

6.

Model-Free Impulse Responses

UC Davis Working Paper No. 03-08
Number of pages: 42 Posted: 06 Nov 2003
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 240 (166,135)

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impulse response function, local projection, vector autoregression, nonlinear

7.

Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency Fx Data

UC Davis Working Paper No. 00-02
Number of pages: 43 Posted: 14 Jun 2000
Oscar Jorda and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 191 (205,649)
Citation 1

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8.

Joint Inference and Counterfactual Experimentation for Impulse Response Functions By Local Projections

U.C. Davis Working Paper No. 06-24R
Number of pages: 47 Posted: 17 Sep 2006
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 150 (252,623)
Citation 1

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impulse response, local projections, time-profile bands, counterfactual

9.

Monetary Policy Coordination: A New Empirical Approach

UC Davis Working Paper No. 01-02
Number of pages: 44 Posted: 25 Feb 2001
Paul R. Bergin and Oscar Jorda
University of California, Davis - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 136 (273,022)
Citation 1

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monetary policy, international coordination, interest rate targets

10.

Leveraged Bubbles

CESifo Working Paper Series No. 5489
Number of pages: 36 Posted: 22 Sep 2015
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 130 (282,403)
Citation 3

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boom, bust, bank lending, debt overhang, crises, local projections

11.

The Pavlovian Response of Term Rates to Fed Announcements

UC Davis Working Paper No. 99-06R
Number of pages: 47 Posted: 12 Dec 2000
Oscar Jorda and Selva Demiralp
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Koc University - Department of Economics
Downloads 122 (296,145)
Citation 3

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liquidity effect, announcement effect, term structure, marked point process

12.

Inference for Impulse Responses

Number of pages: 40 Posted: 20 Jul 2007
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 120 (299,729)
Citation 1

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impulse response, local projections, vector autoregressions

13.

The Response of Term Rates to Monetary Policy Uncertainty

UC Davis Working Paper No. 01-06
Number of pages: 33 Posted: 30 Jul 2001
Oscar Jorda and Kevin D. Salyer
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 111 (316,577)
Citation 4

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Limited participation, term structure, time-varying uncertainty

14.

Sovereigns Versus Banks: Credit, Crises, and Consequences

Downloads 101 (337,444)
Citation 38

Sovereigns Versus Banks: Credit, Crises, and Consequences

CESifo Working Paper Series No. 4431
Number of pages: 44 Posted: 25 Oct 2013 Last Revised: 18 Nov 2021
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 101 (339,891)

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leverage, booms, recessions, financial crises, business cycles, local projections

Sovereigns Versus Banks: Credit, Crises, and Consequences

Number of pages: 35 Posted: 07 Oct 2013
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
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Citation 17
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booms, business cycles, financial crises, leverage, local projections, recessions

15.

Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons

NBER Working Paper No. w16567
Number of pages: 43 Posted: 06 Dec 2010 Last Revised: 09 Oct 2021
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 100 (339,623)
Citation 45

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16.

Time Scale Transformations of Discrete Time Processes

Downloads 93 (355,793)
Citation 4

Time Scale Transformations of Discrete Time Processes

U of California Davis Working Paper
Number of pages: 29 Posted: 26 Feb 2003
Oscar Jorda and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 80 (393,947)

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time aggregation, time-scale transformation, irregularly spaced data, autoregressive conditional intensity model

Time-Scale Transformations of Discrete Time Processes

Number of pages: 22 Posted: 18 Oct 2004
Oscar Jorda and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 13 (739,006)
Citation 1
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17.

Sovereigns Versus Banks: Credit, Crises and Consequences

Institute for New Economic Thinking Working Paper Series No. 3
Number of pages: 43 Posted: 27 Mar 2015
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 89 (365,742)

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18.

Estimation and Inference by the Method of Projection Minimum Distance

Number of pages: 68 Posted: 20 Jul 2007
Oscar Jorda and Sharon Kozicki
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bank of Canada
Downloads 82 (384,307)
Citation 5

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impulse response, local projection, minimum chi-square, minimum distance

19.

When Credit Bites Back: Leverage, Business Cycles and Crises

Institute for New Economic Thinking Working Paper Series No. 20
Number of pages: 42 Posted: 29 Oct 2015
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 80 (389,970)
Citation 12

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20.

Currency Carry Trades

NBER Working Paper No. w16491
Number of pages: 29 Posted: 25 Oct 2010 Last Revised: 23 Jan 2022
Travis J. Berge, Oscar Jorda and Alan M. Taylor
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 80 (389,970)
Citation 2

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21.

The Classification of Economic Activity

Number of pages: 43 Posted: 05 Nov 2009 Last Revised: 04 Mar 2013
Travis J. Berge and Oscar Jorda
Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 80 (389,970)
Citation 3

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22.

Betting the House

CESifo Working Paper Series No. 5147
Number of pages: 43 Posted: 16 Jan 2015
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 77 (398,593)
Citation 3

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house prices, monetary policy, financial crises

23.

A Chronology of International Business Cycles Through Non-Parametric Decoding

Number of pages: 49 Posted: 08 Nov 2010
Hsieh Fushing, Shu-Chun Chen, Travis J. Berge and Oscar Jorda
University of California, Davis - Department of Statistics, Academia Sinica - Institute of Mathematics, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 70 (420,030)

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decoding, hierarchical factor segmentation, network analysis, business cycles

24.

Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models

UC Davis Economics Working Paper No. 06-27
Number of pages: 59 Posted: 01 Sep 2006
Oscar Jorda and Sharon Kozicki
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bank of Canada
Downloads 60 (454,304)
Citation 2

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GMM, impulse response, local projection, minimum distance

25.

Path Forecast Evaluation

Downloads 59 (458,088)
Citation 13

Path Forecast Evaluation

Number of pages: 45 Posted: 18 Jul 2008 Last Revised: 05 Feb 2014
Oscar Jorda and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 57 (472,964)
Citation 3

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path forecast, simultaneous confidence region, error bands

Path Forecast Evaluation

Number of pages: 48 Posted: 18 Dec 2008
Oscar Jorda and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 2 (837,403)
Citation 1
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error bands, path forecast, simultaneous confidence region

26.

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

HKIMR Working Paper No.25/2014
Number of pages: 46 Posted: 25 Sep 2014
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 45 (515,381)
Citation 2

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Leverage, Recessions, Mortgage Lending, Financial Crises, Business Cycles, Local Projections

27.

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and Their Long-Run Equilibrium

Downloads 42 (529,447)
Citation 14

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and Their Long-Run Equilibrium

NBER Working Paper No. w15868
Number of pages: 31 Posted: 05 Apr 2010 Last Revised: 11 Nov 2021
Yanping Chong, Oscar Jorda and Alan M. Taylor
Winona State University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 39 (556,015)
Citation 2

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The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and Their Long-Run Equilibrium

Number of pages: 33 Posted: 19 Jul 2010
Yanping Chong, Oscar Jorda and Alan M. Taylor
Winona State University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 3 (826,451)
Citation 2
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cointegration, Harrod-Balassa-Samuelson hypothesis, local projections, panel data

28.

Performance Evaluation of Zero Net-Investment Strategies

NBER Working Paper No. w17150
Number of pages: 42 Posted: 20 Jun 2011 Last Revised: 12 Nov 2021
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 26 (617,836)
Citation 1

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29.

Zombies at Large? Corporate Debt Overhang and the Macroeconomy

Institute for New Economic Thinking Working Paper Series No. 168
Number of pages: 55 Posted: 08 Dec 2021
Oscar Jorda, Martin Kornejew, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 20 (659,589)

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corporate debt, business cycles, local projections

30.

The Total Risk Premium Puzzle

Number of pages: 59 Posted: 27 Mar 2019
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 4 (784,248)
Citation 1
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Consumption-based asset pricing, Equity premium, housing premium, risk aversion

31.

Leveraged Bubbles

Number of pages: 37 Posted: 27 Aug 2015
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 4 (784,248)
Citation 21
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bank lending, boom, bust, crises, debt overhang, local projections

32.

When Credit Bites Back: Leverage, Business Cycles, and Crises

Number of pages: 39 Posted: 22 Dec 2011
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 4 (784,248)
Citation 106
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business cycles, financial crises, leverage, local projections

33.

Bank Capital Redux: Solvency, Liquidity, and Crisis

Number of pages: 78 Posted: 27 Mar 2017 Last Revised: 16 Aug 2020
Oscar Jorda, Björn Richter, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Universitat Pompeu Fabra, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 3 (792,454)
Citation 5
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bank liabilities, capital ratio, crisis prediction, financial crises, local projections, macroprudential regulation, Risk Taking

34.

Empirical Simultaneous Confidence Regions for Path-Forecasts

Number of pages: 51 Posted: 19 May 2010
Oscar Jorda, Malte Knüppel and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and Bocconi University - Department of Economics
Downloads 2 (802,093)
Citation 3
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forecast uncertainty, path forecast, Scheffe;'s S-method, simultaneous confidence region

35.

Betting the House

Number of pages: 44 Posted: 23 Jan 2015
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 1 (814,003)
Citation 33
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credit, financial crises, house prices, instrumental variables, leverage, local projections, monetary policy

36.

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Number of pages: 50 Posted: 25 Sep 2014
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 1 (814,003)
Citation 34
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business cycles, financial crises, leverage, local projections, mortgage lending, recessions

37.

The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy

Number of pages: 39 Posted: 17 Sep 2013
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 1 (814,003)
Citation 27
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allocation bias, austerity, average treatment effect, booms, fiscal policy, identification, inverse probability weighting, matching, multipliers, output fluctuations, slumps

38.

The Effects of Quasi-Random Monetary Experiments

Number of pages: 47 Posted: 30 Jan 2017 Last Revised: 04 Jun 2018
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 0 (831,574)
Citation 15
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fixed exchange rates, instru- mental variables, interest rates, local average treatment effect, local projections, monetary experiments, trilemma

39.

Macrofinancial History and the New Business Cycle Facts

Number of pages: 58 Posted: 01 Nov 2016
Oscar Jorda, Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 0 (831,574)
Citation 58
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credit, financial hockey stick, leverage, Macroeconomics, moments

40.

A Model of the Federal Funds Rate Target

Posted: 05 Nov 2002
James D. Hamilton and Oscar Jorda
University of California at San Diego and Federal Reserve Banks - Federal Reserve Bank of San Francisco

Abstract:

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41.

Random-Time Aggregation in Partial Adjustment Models

UC Davis Working Paper #97-32
Posted: 07 Feb 1998
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco

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42.

Improved Testing and Specification of Smooth Transition Regression Models

UC Davis Working Paper #97-26
Posted: 29 Nov 1997
Álvaro Escribano and Oscar Jorda
Universidad Carlos III de Madrid - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco

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