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Identifying Shocks via Time-Varying Volatility
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Identifying Shocks via Time-Varying Volatility (2021)Identifying Shocks via Time-Varying Volat…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…Measuring Uncertainty (2015)Measuring UncertaintyMeasuring the Output Responses to Fiscal Policy (2012)Measuring the Output Response…Credit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)The Macroeconomic Effects of …The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)What are the effects of monet…Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Time Varying Structural Vecto…Drifts and volatilities: monetary policies and outcomes in the post WWII US (2005)Drifts and volatilities: mone…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)An Empirical Characterization…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Tests for Parameter Instabili…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Macroeconomics and Reality (1980)Macroeconomics and RealityAggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)Econometric policy evaluation: A critique (1976)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Understanding the Effects of Government Spending on Consumption (2007)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Generalized impulse response analysis in linear multivariate models (1998)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)Measuring Monetary Policy (1998)Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)How Big (Small?) are Fiscal Multipliers? (2010)The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States (2013)The Quarterly Journal of Economics (2024)Inference About the Change-Point in a Sequence of Random Variables (1970)Testing for the Constancy of Parameters Over Time (1989)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)What is an Oil Shock? (2000)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)The Impact of Uncertainty Shocks (2007)Measuring Geopolitical Risk (2022)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)INTEREST AND PRICES: FOUNDATIONS OF A THEORY OF MONETARY POLICY (2005)Were There Regime Switches in U.S. Monetary Policy? (2006)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)The Role of Monetary Policy (1995)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)The Cross-Section of Expected Stock Returns (1992)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Policy Uncertainty and Corporate Investment (2015)COVID-Induced Economic Uncertainty (2020)
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References

  • 1980Macroeconomics and Reality12,826 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 2002An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output2,924 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure2,303 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 2010The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks2,096 cited
  • 2005

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Drifts and volatilities: monetary policies and outcomes in the post WWII US
1,955 cited
  • 2012Measuring the Output Responses to Fiscal Policy1,915 cited
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