Robert J. Vigfusson

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

33

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4,660

SSRN CITATIONS
Rank 2,237

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Top 2,237

in Total Papers Citations

225

CROSSREF CITATIONS

357

Scholarly Papers (33)

1.
Downloads 622 ( 56,153)
Citation 83

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
Office of Financial Research, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 618 (55,910)
Citation 20

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Asymmetries, demand and supply, forecasting, oil price, predictability

Forecasting the Price of Oil

Number of pages: 120 Posted: 19 May 2011
Ron Alquist, Lutz Kilian and Robert J. Vigfusson
Office of Financial Research, Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (814,805)
Citation 20
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Asymmetries, Demand and supply, Forecasting, Oil price, Predictability

2.

Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Bank of Canada Working Paper 96-3
Number of pages: 31 Posted: 29 May 1996
Simon van Norden and Robert J. Vigfusson
HEC Montreal - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 614 (57,082)
Citation 5

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3.

Switching between Chartists and Fundamentalists: A Markov Regime-Switching Approach

Working Paper 96-1
Number of pages: 31 Posted: 15 Feb 1996
Robert J. Vigfusson
Board of Governors of the Federal Reserve System
Downloads 564 (63,532)
Citation 2

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Exchange Rate Pass-Through to U.S. Import Prices: Some New Evidence

Posted: 06 Jul 2021 Last Revised: 03 Jul 2021
Board of Governors of the Federal Reserve System, Peterson Institute, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, affiliation not provided to SSRN, affiliation not provided to SSRN, Fudan University - Fanhai International School of Finance (FISF), Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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Exchange Rate Pass-Through to U.S. Import Prices: Some New Evidence

Number of pages: 67 Posted: 04 May 2005
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Peterson Institute, Federal Reserve Board - International Finance Division, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Fudan University - Fanhai International School of Finance (FISF)
Downloads 345 (112,746)
Citation 24

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external adjustment, U.S. current account, commodity prices, China

5.

Evaluating the Forecasting Performance of Commodity Futures Prices

Number of pages: 25 Posted: 21 Aug 2011
Trevor A. Reeve and Robert J. Vigfusson
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 236 (168,215)
Citation 7

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financial markets, forecasting, commodities

6.
Downloads 202 (194,836)
Citation 40

What Happens after a Technology Shock?

Number of pages: 54 Posted: 18 Aug 2003
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 113 (313,305)
Citation 1

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productivity, long-run restriction, hours worked, weak instruments

What Happens after a Technology Shock?

NBER Working Paper No. w9819
Number of pages: 54 Posted: 05 Jul 2003 Last Revised: 02 May 2021
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 89 (367,723)
Citation 4

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7.

Analytical Derivatives for Markov Switching Models

Paper No.: 95-7
Number of pages: 33 Posted: 23 Aug 1998
Jeff Gable, Simon van Norden and Robert J. Vigfusson
affiliation not provided to SSRN, HEC Montreal - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 197 (199,234)
Citation 2

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Maximum Likelihood in the Frequency Domain: A Time to Build Example

FRB Chicago Working Paper No. 1999-04
Number of pages: 17 Posted: 06 Apr 1999
Lawrence J. Christiano and Robert J. Vigfusson
Northwestern University and Board of Governors of the Federal Reserve System
Downloads 165 (232,783)

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Maximum Likelihood in the Frequency Domain: a Time to Build Example

NBER Working Paper No. w7027
Number of pages: 17 Posted: 25 Jul 2000 Last Revised: 15 Sep 2021
Lawrence J. Christiano and Robert J. Vigfusson
Northwestern University and Board of Governors of the Federal Reserve System
Downloads 28 (619,861)

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9.
Downloads 187 (208,755)
Citation 5

Oil, Equities, and the Zero Lower Bound

FEDS Working Paper No. 2018-058
Number of pages: 90 Posted: 23 Aug 2018 Last Revised: 21 Feb 2019
Deepa Datta, Benjamin K. Johannsen, Hannah Kwon and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Board of Governors of the Federal Reserve System
Downloads 105 (329,894)
Citation 2

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Equities, Macroeconomic surprises, New-keynesian model, Oil, Zero lower bound

Oil, Equities, and the Zero Lower Bound

BIS Working Paper No. 617
Number of pages: 48 Posted: 01 Apr 2017
Deepa Datta, Benjamin K. Johannsen, Hannah Kwon and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Independent and Board of Governors of the Federal Reserve System
Downloads 82 (386,800)

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macroeconomic announcements, news, monetary policy, zero lower bound, fiscal policy, fiscal multiplier

10.

Exchange Rate Pass-Through to Export Prices: Assessing Some Cross-Country Evidence

Number of pages: 47 Posted: 24 Sep 2007
Robert J. Vigfusson, Nathan Sheets and Joseph Gagnon
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Peterson Institute
Downloads 173 (223,297)
Citation 15

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Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Number of pages: 60 Posted: 16 Jun 2009
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 150 (252,280)
Citation 25

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Asymmetry, oil price, energy prices, net increase, shocks, propagation, transmission, vector autoregression

Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks

Number of pages: 57 Posted: 15 Jul 2009
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 4 (814,805)
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Asymmetry, Energy price, Impulse response, Net increase, Oil price, Propagation, Shock, Transmission, Vector autoregression

12.
Downloads 136 (272,090)
Citation 24

Assessing Structural Vars

Number of pages: 60 Posted: 03 Nov 2006
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 107 (325,669)
Citation 18

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Vector autoregression, dynamic stochastic general equilibrium model, confidence intervals, impulse response functions, identification, long run restrictions, specification error, sampling

Assessing Structural Vars

NBER Working Paper No. w12353
Number of pages: 55 Posted: 14 Jul 2006 Last Revised: 04 Apr 2021
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 29 (613,086)
Citation 3

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13.
Downloads 125 (289,914)
Citation 25

Nonlinearities in the Oil Price-Output Relationship

Number of pages: 57 Posted: 12 Mar 2011
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 123 (294,738)
Citation 22

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Oil prices, energy prices, net increase, shocks, propagation, transmission, vector autoregression

Nonlinearities in the Oil Price-Output Relationship

Number of pages: 54 Posted: 18 Jan 2011
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 2 (834,859)
Citation 1
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Asymmetry, Nonlinearity, Oil price, Real Output, Uncertainty

14.
Downloads 124 (291,669)
Citation 13

The Role of Oil Price Shocks in Causing U.S. Recessions

Number of pages: 41 Posted: 10 Mar 2016
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 81 (389,700)

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real GDP, nonlinearity, asymmetry, time variation, conditional response, prediction

The Role of Oil Price Shocks in Causing U.S. Recessions

Number of pages: 41 Posted: 31 May 2017
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 43 (533,569)
Citation 1

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Real GDP, nonlinearity, asymmetry, time variation, conditional response, prediction.

The Role of Oil Price Shocks in Causing U.S. Recessions

Number of pages: 43 Posted: 25 Sep 2014
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 0
Citation 5
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asymmetry, conditional response, nonlinearity, oil price, real GDP, recession, time variation

The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology

Number of pages: 16 Posted: 25 Jan 2004
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 92 (359,974)
Citation 24

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Productivity, long-run identifying assumption, Granger-causality

The Response of Hours to a Technology Shock: Evidence Based on Direct Measures of Technology

NBER Working Paper No. w10254
Number of pages: 16 Posted: 09 Feb 2004 Last Revised: 08 Jan 2022
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 29 (613,086)

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16.

Interest Rates and the Volatility and Correlation of Commodity Prices

Number of pages: 32 Posted: 09 Jan 2013
Joseph W. Gruber and Robert J. Vigfusson
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 115 (307,766)
Citation 3

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Commodity storage, panel GARCH, dynamic factor model

17.

Trade Integration, Competition, and the Decline in Exchange-Rate Pass-Through

Number of pages: 51 Posted: 31 Aug 2006
Christopher Gust, Sylvain Leduc and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 103 (331,878)
Citation 37

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Pass-through, trade integration, strategic complementarity

18.

The Delayed Response to a Technology Shock: A Flexible Price Explanation

Number of pages: 46 Posted: 25 Jul 2004
Robert J. Vigfusson
Board of Governors of the Federal Reserve System
Downloads 101 (336,219)
Citation 5

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Macroeconomic models, vector autoregressions, impulse responses, weak instruments, long-run identification assumption

19.

Alternative Procedures for Estimating Vector Autoregressions Identified with Long-Run Restrictions

FEDS Working Paper No. 842
Number of pages: 13 Posted: 02 Nov 2005
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 77 (397,288)
Citation 3

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Technology shocks, hours worked, frequency domain, spectral density matrix

20.

How Do Canadian Hours Worked Respond to a Technology Shock?

Number of pages: 22 Posted: 06 Oct 2003
Lawrence J. Christiano, Martin Eichenbaum and Robert J. Vigfusson
Northwestern University, Northwestern University and Board of Governors of the Federal Reserve System
Downloads 58 (460,447)

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productivity, long-run restriction, hours worked, weak instruments

21.

Learning in the Oil Futures Markets: Evidence and Macroeconomic Implications

Number of pages: 49 Posted: 13 Sep 2016
Sylvain Leduc, Kevin Moran and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Laval University - Department of Economics and Board of Governors of the Federal Reserve System
Downloads 52 (483,535)

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Kalman filter, Time-variation, Inventories, Conditional response

22.

How Does the Border Affect Productivity? Evidence from American and Canadian Manufacturing Industries

Number of pages: 33 Posted: 20 Jan 2004
Robert J. Vigfusson
Board of Governors of the Federal Reserve System
Downloads 47 (504,832)
Citation 2

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Productivity, co-movement, border effects

The Hitchhiker’s Guide to Missing Import Price Changes and Pass-Through

FRB of New York Staff Report No. 537
Number of pages: 55 Posted: 22 Jan 2012
Etienne Gagnon, Benjamin R. Mandel and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 24 (648,620)

Abstract:

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exchange rate pass-through, price index

The Hitchhiker’s Guide to Missing Import Price Changes and Pass-Through

Number of pages: 59 Posted: 06 Mar 2012
Robert J. Vigfusson, Etienne Gagnon and Benjamin R. Mandel
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York
Downloads 16 (711,459)

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exchange rate pass-through, import prices, item replacement

24.

Entry Dynamics and the Decline in Exchange-Rate Pass-Through

Number of pages: 39 Posted: 14 Nov 2010
Christopher Gust, Sylvain Leduc and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 30 (590,839)
Citation 5

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Pass-through, trade integration, strategic complementarity, intensive margin

25.

The Power of Long-Run Structural VARs

Number of pages: 38 Posted: 30 Sep 2009
Christopher Gust and Robert J. Vigfusson
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 29 (596,869)
Citation 1

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Vector autoregression, dynamic stochastic general equilibrium model, confidence intervals, impulse responpd functions, identifications, long run restrictions, specification error, sampling

26.

Missing Import Price Changes and Low Exchange Rate Pass-Through

Number of pages: 59 Posted: 30 May 2017
Etienne Gagnon, Benjamin R. Mandel and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 12 (718,063)
Citation 1

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Exchange rate pass-through, import prices, item replacement

27.

Exchange Rate Passthrough to Export Prices: Assessing Cross-Country Evidence

Review of International Economics, Vol. 17, Issue 1, pp. 17-33, February 2009
Number of pages: 17 Posted: 27 Apr 2009
Robert J. Vigfusson, Nathan Sheets and Joseph Gagnon
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Peterson Institute
Downloads 3 (790,074)
Citation 2
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28.

Evaluating the Forecasting Performance of Commodity Futures Prices

Posted: 09 Jul 2021
Trevor A. Reeve and Robert J. Vigfusson
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System

Abstract:

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29.

Oil, Equities, and a “Nonbinding” Zero Lower Bound: The Monetary Policy Response to COVID-19

FEDS Notes No. 2021-04-14
https://doi.org/10.17016/2380-7172.2786
Posted: 23 Apr 2021
Deepa Datta, Benjamin K. Johannsen and Robert J. Vigfusson
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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30.

Bat Signals from Asset Markets: Estimating the U.S. Dollar Response to a Destination-Based Cash-Flow Tax

Posted: 27 Nov 2018 Last Revised: 21 Feb 2019
Tessa Morrison and Robert J. Vigfusson
Independent and Board of Governors of the Federal Reserve System

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31.

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

Posted: 27 Sep 2012
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System

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Out-of-sample forecast, Oil price, Real GDP, Nonlinearity, Asymmetry

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

Number of pages: 39 Posted: 28 Sep 2012
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System
Downloads 0
Citation 5
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Asymmetry, Nonlinearity, Oil price, Out-of-sample forecast, Real GDP

Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries

Posted: 25 Jul 2012
Lutz Kilian and Robert J. Vigfusson
Federal Reserve Banks - Federal Reserve Bank of Dallas and Board of Governors of the Federal Reserve System

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Out-of-sample forecast, Oil price, Real GDP, Nonlinearity, Asymmetry

33.

Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

Posted: 06 Jan 1998
Simon van Norden and Robert J. Vigfusson
HEC Montreal - Department of Finance and Board of Governors of the Federal Reserve System

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