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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

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

  • Federal Reserve Banks - Federal Reserve Bank of San Francisco

SCHOLARLY PAPERS

31

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in Total Papers Downloads

3,134

CITATIONS
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Top 3,480

in Total Papers Citations

156

Scholarly Papers (31)

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1.

A Model for the Federal Funds Rate Target

Downloads 630 ( 33,185)
Citation 42

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 University of California, Davis - Department of Economics
Downloads 577 (36,753)
Citation 42

Abstract:

A Model for the Federal Funds Rate Target

NBER Working Paper No. w7847
Number of pages: 50 Posted: 15 Aug 2000
James D. Hamilton and Oscar Jorda
University of California at San Diego and University of California, Davis - Department of Economics
Downloads 53 (322,972)
Citation 42

Abstract:

2.

The Announcement Effect: Evidence from Open Market Desk Data

Downloads 245 (102,723)
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 University of California, Davis - Department of Economics
Downloads 170 (145,774)
Citation 18

Abstract:

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 University of California, Davis - Department of Economics
Downloads 75 (268,209)
Citation 18

Abstract:

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 University of California, Davis - Department of Economics
Downloads 226 (102,723)
Citation 9

Abstract:

systematic monetary policy, VAR, structural break

4.

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

Downloads 214 (117,684)
Citation 10

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

NBER Working Paper No. w15518
Number of pages: 38 Posted: 17 Nov 2009
Oscar Jorda and Alan M. Taylor
University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 202 (124,072)
Citation 10

Abstract:

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

CEPR Discussion Paper No. DP7568
Number of pages: 40 Posted: 11 Jan 2010
Oscar Jorda and Alan M. Taylor
University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 12 (505,420)
Citation 10

Abstract:

efficient markets hypothesis, foreign exchange market

5.

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 University of California, Davis - Department of Economics
Downloads 202 (114,985)
Citation 3

Abstract:

6.

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
University of California, Davis - Department of Economics and European University Institute
Downloads 170 (142,768)

Abstract:

7.

Model-Free Impulse Responses

UC Davis Working Paper No. 03-08
Number of pages: 42 Posted: 06 Nov 2003
Oscar Jorda
University of California, Davis - Department of Economics
Downloads 169 (142,768)

Abstract:

impulse response function, local projection, vector autoregression, nonlinear

8.

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 University of California, Davis - Department of Economics
Downloads 118 (186,978)

Abstract:

monetary policy, international coordination, interest rate targets

9.

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
University of California, Davis - Department of Economics and Koc University - Department of Economics
Downloads 111 (205,711)
Citation 25

Abstract:

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

10.

Inference for Impulse Responses

Number of pages: 40 Posted: 20 Jul 2007
Oscar Jorda
University of California, Davis - Department of Economics
Downloads 100 (208,435)
Citation 1

Abstract:

impulse response, local projections, vector autoregressions

11.

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
University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 100 (220,068)
Citation 6

Abstract:

Limited participation, term structure, time-varying uncertainty

12.

Sovereigns Versus Banks: Credit, Crises, and Consequences

Downloads 90 (237,562)

Sovereigns Versus Banks: Credit, Crises, and Consequences

CESifo Working Paper Series No. 4431
Number of pages: 44 Posted: 25 Oct 2013 Last Revised: 19 Feb 2014
Oscar Jorda, Moritz Schularick and Alan M. Taylor
University of California, Davis - Department of Economics, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 90 (239,352)

Abstract:

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

Sovereigns Versus Banks: Credit, Crises, and Consequences

CEPR Discussion Paper No. DP9678
Number of pages: 35 Posted: 07 Oct 2013
Oscar Jorda, Moritz Schularick and Alan M. Taylor
University of California, Davis - Department of Economics, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 0

Abstract:

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

13.

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
University of California, Davis - Department of Economics
Downloads 83 (223,103)

Abstract:

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

14.

Time Scale Transformations of Discrete Time Processes

Downloads 78 (259,485)
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
University of California, Davis - Department of Economics and European University Institute
Downloads 65 (291,010)
Citation 4

Abstract:

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

Time-Scale Transformations of Discrete Time Processes

Journal of Time Series Analysis, Vol. 25, No. 6, pp. 873-894, November 2004
Number of pages: 22 Posted: 18 Oct 2004
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 13 (499,540)
Citation 4

Abstract:

15.

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

Downloads 69 (278,461)
Citation 6

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

NBER Working Paper No. w16567
Number of pages: 43 Posted: 06 Dec 2010
Oscar Jorda, Moritz Schularick and Alan M. Taylor
University of California, Davis - Department of Economics, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 66 (288,574)
Citation 6

Abstract:

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

IMF Economic Review, Vol. 59, Issue 2, pp. 340-378, 2011
Number of pages: 39 Posted: 04 Jul 2011
Oscar Jorda, Moritz Schularick and Alan M. Taylor
University of California, Davis - Department of Economics, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 3 (553,302)
Citation 6

Abstract:

16.

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 University of California, Davis - Department of Economics
Downloads 60 (285,232)
Citation 7

Abstract:

17.

Estimation and Inference by the Method of Projection Minimum Distance

Number of pages: 68 Posted: 20 Jul 2007
Oscar Jorda and Sharon Kozicki
University of California, Davis - Department of Economics and Bank of Canada
Downloads 57 (292,221)
Citation 7

Abstract:

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

18.

Path Forecast Evaluation

Downloads 54 (315,376)
Citation 3

Path Forecast Evaluation

Number of pages: 45 Posted: 18 Jul 2008 Last Revised: 05 Feb 2014
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 52 (325,911)
Citation 3

Abstract:

path forecast, simultaneous confidence region, error bands

Path Forecast Evaluation

CEPR Discussion Paper No. DP7009
Number of pages: 48 Posted: 18 Dec 2008
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 2 (560,977)
Citation 3

Abstract:

error bands, path forecast, simultaneous confidence region

19.

Currency Carry Trades

NBER Working Paper No. w16491
Number of pages: 29 Posted: 25 Oct 2010 Last Revised: 04 Nov 2010
Travis J. Berge, Oscar Jorda and Alan M. Taylor
Board of Governors of the Federal Reserve System, University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 47 (304,579)
Citation 1

Abstract:

20.

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
University of California, Davis - Department of Economics and Bank of Canada
Downloads 39 (351,376)
Citation 2

Abstract:

GMM, impulse response, local projection, minimum distance

21.

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

Downloads 36 (371,883)
Citation 1

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
Yanping Chong, Oscar Jorda and Alan M. Taylor
Winona State University - Department of Economics, University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 33 (392,326)
Citation 1

Abstract:

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

CEPR Discussion Paper No. DP7902
Number of pages: 33 Posted: 19 Jul 2010
Yanping Chong, Oscar Jorda and Alan M. Taylor
Winona State University - Department of Economics, University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 3 (553,302)
Citation 1

Abstract:

cointegration, Harrod-Balassa-Samuelson hypothesis, local projections, panel data

22.

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 University of California, Davis - Department of Economics
Downloads 27 (364,828)

Abstract:

decoding, hierarchical factor segmentation, network analysis, business cycles

23.

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
University of California, Davis - Department of Economics, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 25 (348,126)

Abstract:

house prices, monetary policy, financial crises

24.

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
University of California, Davis - Department of Economics, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 21 (395,333)

Abstract:

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

25.

Performance Evaluation of Zero Net-Investment Strategies

NBER Working Paper No. w17150
Number of pages: 42 Posted: 20 Jun 2011
Oscar Jorda and Alan M. Taylor
University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 11 (474,949)
Citation 3

Abstract:

26.

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

CEPR Discussion Paper No. DP8678
Number of pages: 39 Posted: 22 Dec 2011
Oscar Jorda, Moritz Schularick and Alan M. Taylor
University of California, Davis - Department of Economics, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 4 (523,000)
Citation 7

Abstract:

business cycles, financial crises, leverage, local projections

27.

Empirical Simultaneous Confidence Regions for Path-Forecasts

CEPR Discussion Paper No. DP7797
Number of pages: 51 Posted: 19 May 2010
Oscar Jorda, Malte Knüppel and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics, Deutsche Bundesbank - Research Centre and European University Institute
Downloads 2 (534,255)
Citation 1

Abstract:

forecast uncertainty, path forecast, Scheffe;'s S-method, simultaneous confidence region

28.

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

CEPR Discussion Paper No. DP9646
Number of pages: 39 Posted: 17 Sep 2013
Oscar Jorda and Alan M. Taylor
University of California, Davis - Department of Economics and University of California, Davis - Department of Economics
Downloads 0 (557,379)

Abstract:

allocation bias, austerity, average treatment effect, booms, fiscal policy, identification, inverse probability weighting, matching, multipliers, output fluctuations, slumps

29.

A Model of the Federal Funds Rate Target

Journal of Political Economy, Vol. 110, October 2002
Posted: 05 Nov 2002
James D. Hamilton and Oscar Jorda
University of California at San Diego and University of California, Davis - Department of Economics

Abstract:

30.

Random-Time Aggregation in Partial Adjustment Models

UC Davis Working Paper #97-32
Posted: 07 Feb 1998
Oscar Jorda
University of California, Davis - Department of Economics

Abstract:

31.

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 University of California, Davis - Department of Economics

Abstract:

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