@article{nason_smith_2021, title={Issue Information}, volume={36}, ISBN={1099-1255}, DOI={10.1002/jae.2770}, abstractNote={No abstract is available for this article.}, number={1}, journal={JOURNAL OF APPLIED ECONOMETRICS}, author={Nason, James M. and Smith, Gregor W.}, year={2021}, month={Jan}, pages={1–17} }
 @article{mertens_nason_2020, title={Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility}, volume={11}, ISSN={["1759-7331"]}, DOI={10.3982/QE980}, abstractNote={This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken from the Survey of Professional Forecasters (SPF). We estimate these joint dynamics by combining an unobserved components (UC) model of inflation and a sticky‐information forecast mechanism. The UC model decomposes inflation into trend and gap components, and innovations to trend and gap inflation are affected by stochastic volatility. A novelty of our model is to allow for time‐variation in inflation‐gap persistence as well as in the frequency of forecast updating under sticky information. The model is estimated with sequential Monte Carlo methods that include a particle learning filter and a Rao–Blackwellized particle smoother. Based on data from 1968
            Q4 to 2018
            Q3, estimates show that (i) longer horizon average SPF inflation predictions inform estimates of trend inflation; (ii) inflation gap persistence is countercyclical before the Volcker disinflation and acyclical afterwards; (iii) by 1990 sticky‐information inflation forecast updating is less frequent than it was earlier in the sample; and (iv) the drop in the frequency of the sticky‐information forecast updating occurs at the same time persistent shocks become less important for explaining movements in inflation. Our findings support the view that stickiness in survey forecasts is not invariant to the inflation process.
          }, number={4}, journal={QUANTITATIVE ECONOMICS}, author={Mertens, Elmar and Nason, James M.}, year={2020}, month={Nov}, pages={1485–1520} }
 @article{nason_smith_2020, title={Measuring the slowly evolving trend in US inflation with professional forecasts}, ISSN={["1099-1255"]}, DOI={10.1002/jae.2784}, abstractNote={Summary}, journal={JOURNAL OF APPLIED ECONOMETRICS}, author={Nason, James M. and Smith, Gregor W.}, year={2020}, month={Jul} }
 @article{nason_2018, title={Discussion of "Welfare Effects of Tax Policy in Open Economies: Stabilization and Cooperation"}, volume={14}, number={3}, journal={International Journal of Central Banking}, author={Nason, J. M.}, year={2018}, pages={377–387} }
 @article{nason_tallman_2015, title={BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS}, volume={19}, ISSN={["1469-8056"]}, DOI={10.1017/s1365100513000631}, abstractNote={This paper explores the hypothesis that the sources of economic and financial crises differ from those of noncrisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to 2010. The sample covers several episodes useful for understanding U.S. economic and financial history, which generate variation in the data that aids in identifying credit supply and demand shocks. We identify these shocks within MS-BVARs by tying credit supply and demand movements to inside money and its intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS-BVARs estimated, the data favor a MS-BVAR in which economic and financial crises and noncrisis business cycle regimes recur throughout the long annual sample. The best-fitting MS-BVAR also isolates SV regimes in which shocks to inside money dominate aggregate fluctuations.}, number={4}, journal={MACROECONOMIC DYNAMICS}, author={Nason, James M. and Tallman, Ellis W.}, year={2015}, month={Jun}, pages={836–882} }
 @article{kano_nason_2014, title={Business Cycle Implications of Internal Consumption Habit for New Keynesian Models}, volume={46}, ISSN={["1538-4616"]}, DOI={10.1111/jmcb.12115}, abstractNote={We study the implications of internal consumption habit for New Keynesian dynamic stochastic general equilibrium (NKDSGE) models. Bayesian Monte Carlo methods are employed to evaluate NKDSGE model fit. Simulation experiments show that internal consumption habit often improves the ability of NKDSGE models to match the spectra of output and consumption growth. Nonetheless, the fit of NKDSGE models with internal consumption habit is susceptible to the sources of nominal rigidity, to spectra identified by permanent productivity shocks, to the choice of monetary policy rule, and to the frequencies used for evaluation. These vulnerabilities indicate that the specification of NKDSGE models is fragile.}, number={2-3}, journal={JOURNAL OF MONEY CREDIT AND BANKING}, author={Kano, Takashi and Nason, James M.}, year={2014}, month={Mar}, pages={519–544} }
 @article{hall_inoue_nason_rossi_2014, title={Corrigendum to “Information criteria for impulse response function matching estimation of DSGE models” [J. Econom. 170 (2012) 499–518]}, volume={178}, ISSN={0304-4076}, url={http://dx.doi.org/10.1016/J.JECONOM.2013.09.001}, DOI={10.1016/J.JECONOM.2013.09.001}, abstractNote={Corrigendum to ‘‘Information criteria for impulse response function matching estimation of DSGE models’’ [J. Econom. 170 (2012) 499–518] Alastair R. Hall a, Atsushi Inoue b,∗, James M. Nason c, Barbara Rossi d a University of Manchester, United Kingdom b Department of Economics, Southern Methodist University, Umphrey Lee Center, Suite 301, 3300 Dyer Street, Dallas, TX 75205, United States c Federal Reserve Bank of Philadelphia, United States d ICREA-Universitat Pompeu Fabra, Barcelona GSE and CREI, Spain}, journal={Journal of Econometrics}, publisher={Elsevier BV}, author={Hall, Alastair R. and Inoue, Atsushi and Nason, James M. and Rossi, Barbara}, year={2014}, month={Jan}, pages={706} }
 @article{hall_inoue_nason_rossi_2012, title={Information criteria for impulse response function matching estimation of DSGE models}, volume={170}, ISSN={0304-4076}, url={http://dx.doi.org/10.1016/j.jeconom.2012.05.019}, DOI={10.1016/j.jeconom.2012.05.019}, abstractNote={We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic stochastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse responses. First, we propose an information criterion to select only the responses that produce consistent estimates of the true but unknown structural parameters: the Valid Impulse Response Selection Criterion (VIRSC). The criterion is especially useful for mis-specified models. Second, we propose a criterion to select the impulse responses that are most informative about DSGE model parameters: the Relevant Impulse Response Selection Criterion (RIRSC). These criteria can be used in combination to select the subset of valid impulse response functions with minimal dimension that yields asymptotically efficient estimators. The criteria are general enough to apply to impulse responses estimated by VARs, local projections, and simulation methods. We show that the use of our criteria significantly affects estimates and inference about key parameters of two well-known new Keynesian DSGE models. Monte Carlo evidence indicates that the criteria yield gains in terms of finite sample bias as well as offering tests statistics whose behavior is better approximated by the first order asymptotic theory. Thus, our criteria improve existing methods used to implement IRFMEs.}, number={2}, journal={Journal of Econometrics}, publisher={Elsevier BV}, author={Hall, Alastair R. and Inoue, Atsushi and Nason, James M. and Rossi, Barbara}, year={2012}, month={Oct}, pages={499–518} }
 @article{nason_vahey_2012, title={UK World War I and interwar data for business cycle and growth analysis}, volume={6}, ISSN={1863-2505 1863-2513}, url={http://dx.doi.org/10.1007/S11698-011-0064-5}, DOI={10.1007/S11698-011-0064-5}, abstractNote={This article contributes new time series for studying the UK economy during World War I and the interwar period. The time series are per capita hours worked and average capital income, labor income, and consumption tax rates. Uninterrupted time series of these variables are provided for an annual sample that runs from 1913 to 1938. We highlight the usefulness of these time series with several empirical applications. The per capita hours worked data are used in a growth accounting exercise to measure the contributions of capital, labor, and productivity to output growth. The average tax rates are employed in a Bayesian model averaging experiment to reevaluate the Benjamin and Kochin (J Political Econ 87:441–478, 1979) regression.}, number={2}, journal={Cliometrica}, publisher={Springer Science and Business Media LLC}, author={Nason, James M. and Vahey, Shaun P.}, year={2012}, month={May}, pages={115–142} }
 @article{nason_smith_2008, title={Identifying the new Keynesian Phillips curve}, volume={23}, ISSN={0883-7252 1099-1255}, url={http://dx.doi.org/10.1002/jae.1011}, DOI={10.1002/jae.1011}, abstractNote={Abstract}, number={5}, journal={Journal of Applied Econometrics}, publisher={Wiley}, author={Nason, James M. and Smith, Gregor W.}, year={2008}, month={Aug}, pages={525–551} }
 @article{nason_rogers_2006, title={The present-value model of the current account has been rejected: Round up the usual suspects}, volume={68}, ISSN={0022-1996}, url={http://dx.doi.org/10.1016/j.jinteco.2005.01.004}, DOI={10.1016/j.jinteco.2005.01.004}, abstractNote={Tests of the present-value model (PVM) of the current account are frequently rejected by data. Standard explanations rely on the “usual suspects” of non-separable preferences, fiscal policy and world real interest rate shocks, external imperfect international capital mobility, and an internalized risk premium. We confirm these rejections on post-war Canadian data, then investigate their source by calibrating and simulating alternative versions of a small open economy, real business cycle model (RBC). Bayesian Monte Carlo experiments reveal that a “canonical” RBC model is close to the data, but far from the PVM predictions. Although each suspect matters in some way, none improve the fit to the data. However, the PVM restrictions are reproduced when the internalized risk premium is introduced into the canonical model. By adding the exogenous world real interest rate shock to this version of the model, it matches the data better and is moved closer to the PVM predictions. This suggests that there is an important common world component to current account fluctuations, which points to additional underlying macroeconomic factors that drive the current account.}, number={1}, journal={Journal of International Economics}, publisher={Elsevier BV}, author={Nason, James M. and Rogers, John H.}, year={2006}, month={Jan}, pages={159–187} }