Citations
Sumru G. Altug
Professor of Economics
Ko¸c University, Istanbul, Turkey,
and
Research Fellow,
CEPR, London, U.K.
March 2015
Abstract
This document contains citations for my research papers. They are listed by publication or
working paper. For my books and for selected articles, I have also included references on
graduate teaching syllabi. The majority of the citations are from publications in the Social
Science Citation Index (those marked with a “*”). However, there are also citations from
lectures and books.
“Time-to-Build and Aggregate Fluctuations: Some New Evidence.” International Economic Review 30 (1989), 889–920.1
1. Finn E. Kydland (1984). “Labor-Force Heterogeneity and the Business Cycle.” Carnegie–
Rochester Conference Series on Public Policy 21, 173–208.
2. James J. Heckman (1984). “Comments on the Ashenfelter and Kydland Papers.”
Carnegie-Rochester Conference Series on Public Policy 21, 209–224.
3. (*) Rajnish Mehra and Edward C. Prescott (1985). “The Equity Premium: A Puzzle.”
Journal of Monetary Economics 15, 145–162.
4. (*) Colin Lawrence and Aloysius Siow (1985). “Interest Rates and Investment Spending: Some Empirical Evidence for Post–War U.S. Equipment, 1947–1980.” Journal
of Business 58, 359–376.
5. Rodolfo Manuelli (1986). “Modern Business Cycle Analysis: A Guide to the Prescott–
Summers Debate.” Federal Reserve Bank of Minneapolis Quarterly Review 10, 3–8.
6. (*) Bennet T. McCallum (1986).“On ‘Real’ and ‘Sticky-Price’ Theories of the Business Cycle,”(A Money, Credit, and Banking Lecture). Journal of Money, Credit and
Banking 18, 397–414.
7. (*) Martin Eichenbaum and Kenneth J. Singleton (1986). “Do Equilibrium Business Cycle Theories Explain Postwar U.S. Business Cycles?” NBER Macroeconomics
Annual 1986, Cambridge, MA: MIT Press, 91–134.
8. Edward C. Prescott (1986). “Theory Ahead of Business Cycle Measurement.” Carnegie–
Rochester Conference Series on Public Policy 25, 11–44.
9. Robert E. Lucas, Jr. (1987). Models of Business Cycles (Yrho Jahnson Lectures),
Oxford (Oxfordshire), New York: Basil Blackwell.
10. Robert M. Townsend (1987). “Arrow-Debreu Programs as Microfoundations for
Macroeconomics.” in T. F. Bewley, editor, Advances in Economic Theory, Vol. 2,
Cambridge University Press.
11. Thomas J. Sargent (1987). Macroeconomic Theory. 2nd ed., Boston: Academic Press,
p. 284.
12. Michael Dotsey and Robert G. King (1987). “Business Cycles.” The New Palgrave:
A Dictionary of Economics. New York: Stockton Press.
13. (*) Martin S. Eichenbaum, Lars Peter Hansen and Kenneth J. Singleton (1988). “A
Time Series Analysis of Representative Agent Models of Consumption and Leisure
Choice Under Uncertainty.” Quarterly Journal of Economics 103, 51–78.
1
Revised version of “Gestation Lags and the Business Cycle,” 1984.
1
14. (*) Gary D. Hansen and Thomas J. Sargent (1988). “Straight Time and Overtime in
Equilibrium.” Journal of Monetary Economics 21, 281–304.
15. (*) Kenneth J. Singleton (1988). “Econometric Issues in the Analysis of Equilibrium
Business Cycle Models.” Journal of Monetary Economics 21, 361–386.
16. (*) Lawrence J. Christiano (1988). “Why Does Inventory Investment Fluctuate So
Much?”, Journal of Monetary Economics 21, 247–280.
17. (*) Robert M. Townsend (1988). “Information Constrained Insurance: The Revelation
Principle Extended.” Journal of Monetary Economics 21, 411–450.
18. Bennet T. McCallum (1989). “Real Business Cycle Models.” In Robert J. Barro,
editor, Modern Business Cycle Theory. Cambridge, MA: Harvard University Press,
16–50
19. (*) Bruce D. Smith (1989). “A Business Cycle Model With Private Information.”
Journal of Labor Economics 7, 210–237.
20. (*) Charles Plosser (1989). “Understanding Real Business Cycles.” Journal of Economic Perspectives 3, 51–78.
21. (*) Bruce D. Smith (1989). “Unemployment, the Variability of Hours, and the Persistence of ‘Disturbances’: A Private Information Approach.” International Economic
Review 30, 921–937.
22. (*) James H. Stock and Mark W. Watson (1989). “New Indexes of Coincident and
Leading Economic Indicators.” NBER Macroeconomic Annual. Cambridge, MA: MIT
Press, 351–393.
23. (*) Lawrence J. Christiano (1990).“Linear Quadratic Approximation and Value Function Iteration: A Comparison.” Journal of Business and Economic Statistics 8, 99–
113.
24. (*) Allan W. Gregory and Gregor W. Smith. (1991) “Calibration as Estimation.”
Econometric Reviews 9, 57–89.
25. (*) Hiroshi Osano and Tohru Inoue (1991). “Testing Between Competing Models of
Business Cycles.” International Economic Review 32, 669–688.
26. (*) Robert G. King, Charles I. Plosser, James H. Stock, and Mark W. Watson (1991).
“Stochastic Trends and Economic Fluctuations,” American Economic Review, 81(4),
pp. 819-840
27. (*) Charles L. Evans (1992). “Productivity Shocks and Real Business Cycles.” Journal of Monetary Economics 29, 191–208.
28. (*) Valerie Bencivenga (1992). “An Econometric Study of Hours and Output Variation
with Preference Shocks.” International Economic Review 33, 449–471.
2
29. (*) Allan D. Brunner (1992). “Conditional Asymmetries in GNP: A Seminonparametric Approach.” Journal of Business and Economic Statistics 10, 65–72.
30. (*) Gregory C. Chow (1992). “Dynamic Optimization Without Dynamic Programming.” Economic Modelling 9, 3–9.
31. Ray C. Fair (1992). “The Cowles Commission Approach, Real Business Cycle Theories, and New Keynesian Economics” in Michael T. Belongia and Michelle R. Garﬁnkel,
eds., The Business Cycle: Theories and Evidence, Kluwer Academic Publishers, 1992,
133-147.
32. (*) Mark Watson (1993). “Measures of Fit for Calibrated Models.” Journal of Political Economy 101, 1011-1041.
33. (*) Robert S. Chirinko (1993). “Business Fixed Investment Spending: A Critical
Survey of Modeling Strategies, Empirical Results, and Policy Implications.” Journal
of Economic Literature 31, 1875–1911.
34. (*) A. Smith (1993). “Estimating Nonlinear Time-series Models Using Simulated
Vector Autoregressions.” Journal of Applied Econometrics 8, S63–S84.
35. (*) G. M. Caporale (1993). “Productivity Shocks and Business Cycles.” Applied
Economics 25, 1065–1070.
36. (*) F. Bec (1994). “The International Transmission of Real Business Cycles: Explaining the Cross-country Consumption Correlations.” Revue Economique 45, 89-114.
37. (*) F. Canova (1994). “Statistical Inference in Calibrated Models” Journal of Applied
Econometrics 9, S123–S144.
38. (*) P. Feve and F. Langot (1994). “The RBC Models Through Statistical Inference:
An Application With French Data” Journal of Applied Econometrics 9, S11–S35.
39. (*) B. F. Ingram, N. R. Kocherkolato, and N. R. Savin (1994). “Explaining Business
Cycles: A Multiple-Shock Approach” Journal of Monetary Economics 34, 415–428.
40. (*) B. F. Ingram and C. H. Whiteman (1994). “Supplanting the ‘Minnesota’ Prior:
Forecasting Macroeconomic Time Series Using Real Business Cycle Model Priors.”
Journal of Monetary Economics 34, 497–510.
41. (*) E. R. McGrattan (1994). “The Eﬀects of Distortionary Taxation.” Journal of
Monetary Economics 33, 573–601.
42. (*) P. Soderlind (1994). “Cyclical Properties of a Real Business Cycle Model.” Journal
of Applied Econometrics 9, S113–S122.
43. John P. Rust (1994). “Dynamic Structural Models: Problems and Prospects.” In
Advances in Econometrics: Sixth World Congress, C. Sims, (ed.) Cambridge: Cambridge University Press.
3
44. Ray C. Fair (1994). Testing Macroeconometric Models. Cambridge, Mass and London,
England: Harvard University Press.
45. Eric Leeper and Christopher Sims (1994). “Towards a Modern Macroeconomic Model
Usable for Policy Analysis,” NBER Macroeconomics Annual.
46. (*) K. D. Hoover (1995). “Facts and Artifacts: Calibration and the Empirical Assessment of Real-business-cycle Models.” Oxford Economic Papers - New Series 47,
24–44.
47. (*) Danny Quah (1995). “Business-Cycle Empirics – Calibration and Estimation.”
Economic Journal 105, 1594–1596.
48. (*) Michael R. Montgomery (1995). “ ‘Time-to-Build’ Completion Patterns for Nonresidential Structures, 1961–1991.” Economics Letters 48, 155-163.
49. (*) S. Oliner, G. Rudebusch, and D. Sichel (1995). “New and Old Models Business
Investment – A Comparison of Forecasting Performance.” Journal of Money, Credit,
and Banking 27, 806–826.
Also In Business Cycles, (1999), (eds.) Francis Diebold and Glenn Rudebusch, Princeton: Princeton University Press.
50. Michael Binder and H. Hashem Pesaran (1995). “Multivariate Rational Expectations Models and Macroeconomics Modeling: A Review and Some New Results.” In
M. Hashem Pesaran and M. R. Wickens (eds), Handbook of Applied Econometrics:
Macroeconomics, Oxford: Basil Blackwell.
51. K. Kim and A. Pagan (1995). “The Econometrics of Calibrated Models. ” In
M. Hashem Pesaran and M.R. Wickens (eds), Handbook of Applied Econometrics:
Macroeconomics, Oxford: Basil Blackwell.
52. Robert G. King (1995). “Quantitative Theory and Econometrics,” Federal Reserve
Bank of Richmond Economic Quarterly 81(3) 53-105.
53. (*) M. Peeters (1996). “Investment Gestation Lags – The Diﬀerence Between Timeto-Build and Delivery Lags.” Applied Economics 28, 203–208.
54. (*) G. J. Hall (1996). “Overtime, Eﬀort, and the Propagation of Business-Cycle
Shocks.” Journal of Monetary Economics 38, 139–160.
55. (*) G. W. Smith (1996). “Method-of-Moments Measurement of UK Business Cycles.”
Oxford Economic Papers - New Series 48, 568–583.
56. (*) C. Burnside and M. Eichenbaum (1996). “Small-Sample Properties of Gmm-Based
Wald Tests.” Journal of Business and Economic Statistics,” 14, 294–308.
57. Christian Zimmerman (1996). “A Real Business Cycle Bibliography,” CREFE Working Paper No. 43.
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58. David Romer (1996). Advanced Macroeconomics. New York: McGraw Hill.
59. Y. Ohkusa (1996). “Monetary Shock Does Not Matter in Japan: A Kalman Filter
Approach to Real Business Cycle Theory,” In Organization, Performance, Equity:
Perspectives on the Japanese Economy, Sato Hovi (ed.), Kluwer Academic Publishers
60. (*) E.R. McGrattan, R. Rogerson, and R. Wright (1997). “An Equilibrium Model
of the Business Cycle with Production Shocks and Fiscal Policy,” International Economic Review, 38, 267-290.
61. (*) J.E. Hartley, K. D. Hoover, and K.D. Salyer (1997). “The Limits of Business Cycle
Research - Assessing the Real Business Cycle Model,” Oxford Review of Economic
Policy 13, 34-54.
62. (*) G. D. Hess and K. Shin (1997). “International and Intranational Business Cycles,”
Oxford Review of Economic Policy 13, 93-109.
63. (*) J.E. Hartley, K. D. Hoover, and K.D. Salyer (1997). “Calibration and Real
Business-Cycle Models - An Unorthodox Experiment,” Journal of Macroeconomics
119, 1-17.
64. (*) Sumru Altug and Robert A. Miller (1998). “The Eﬀect of Work Experience on
Female Wages and Labor Supply.” Review of Economic Studies.
65. (*) Y. Wen (1998). “Can a Real Business Cycle Model Pass the Watson Test?”
Journal of Monetary Economics 42, 185,203.
66. (*) Y. Wen (1998). “Investment Cycles.” Journal of Economic Dynamics and Control
22, 1139-1165.
67. (*) J. Kimmel and T.J. Kriesner (1998). “New Evidence on Labor Supply: Employment versus Hours Elasticities by Sex and Marital Status,” Journal of Monetary
Economics 42, 289-301.
68. (*) M. Peeters (1998). “Persistence, Asymmetries, and Interrelation of Factor Demand,” Scandinavian Journal of Economics 100, 747-764.
69. S. Altug, F. Demers, and M. Demers (1999). “Cost Uncertainty, Taxation, and Irreversible Investment.” In Current Trends in Economics: Economic Theory and Applications,” Springer-Verlag series Studies in Economic Theory, Vol. 8, (eds.) A. Alkan,
C.D. Aliprantis, and N.C. Yannelis.
70. (*) G.S. Lee (1999). “Housing Investment Dynamics, Period of Production, and
Adjustment Costs,” Journal of Housing Economics 8, 1-25.
71. (*) G.S. Lee (1999). “Housing Cycles, and the Period of Production,” Applied Economics 31, 1219-1230.
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72. (*) S. Altug, R. Ashley and D. Patterson (1999). “Are Technology Shocks Nonlinear?”
Macroeconomic Dynamics 3, 506-533.
73. Pierre Dubois (2000). “Assurance complete, heterogeneit des preferences et metayage
au Pakistan,” Annales d’Economie et de Statistique, ADRES, issue 59, pages 02,
Juillet-S.
74. (*) Michaelides, A. and S. Ng (2000). “Estimating the Rational Expectations Model
of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators,”
Journal of Econometrics 96, 231-266.
75. (*) D.N. DeLong, B.F. Ingram, and C.H. Whiteman (2000), “A Bayesian Approach
to Dynamic Macroeconomics,” Journal of Econometrics, 98, 203-222.
76. (*) F. Schorfheide (2000). “Loss Function-based Evaluation of DSGE Models,” Journal of Applied Econometrics 15, 645-670.
77. (Syllabus) John Rust (2000). Department of Economics, Yale University, Stochastic
Decision Processes: Theory, Computation, and Empirical Applications (2000)
78. Lars Ljundqvist and Thomas Sargent (2000). Recursive Macroeconomic Theory, MIT
Press.
79. (*) Peter Ireland (2001). “Technology Shocks and the Business Cycle: An Empirical
Investigation.” Journal of Economic Dynamics and Control 25(5), 703-719.
80. (*) T. Cogley (2001). “A Frequency Decomposition of Approximation Errors in
Stochastic Discount Factor Models,” International Economic Review 42(2), 473-503.
81. Bennet McCallum (2002). “Recent Developments in Monetary Policy Analysis: The
Roles of Theory and Evidence,” Federal Reserve Bank of Richmond Economic Quarterly 88/1 Winter
82. (*) Lawrence J. Christiano and Robert J. Vigfusson (2003). “Maximum Likelihood
in the Frequency Domain: The Importance of Time-to-Plan,” Journal of Monetary
Economics 50(4), 789-815.
83. (*) Marc del Negro and Frank Schorfheide (2003). “Priors from General Equilibrium
Models for VARS,” International Economic Review 45(2), 643-673. ’item J. Adda and
R. Cooper (2003). Dynamic economics: quantitative methods and applications, MIT
Press
84. (*) Peter N. Ireland (2004). “A Method for Taking Models to the Data,” Journal of
Economic Dynamics and Control 28(6), 1205-1226.
85. Jing Liu, Channing Arndt, and Thomas W. Hertel (2004). “Parameter Estimation
and Measures of Fit in A Global, General Equilibrium Model, ” Journal of Economic
Integration 19(3), pp. 626 - 649.
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86. Marco del Negro and Frank Schorfeide (2004). “Take Your Model Bowling: Forecasting with General Equilibrium Models,” Federal Reserve Bank of Atlanta Economic
Review, Fourth Quarter
87. Nobel Prize 2004, “Finn Kydland and Edward Prescott’s Contribution to Dynamic
Macroeconomics: The Time Consistency of Economic Policy and the Driving Forces
Behind Business Cycles,” The Royal Swedish Academy of Sciences.
88. (*) Hafedh Bouakez (2005). “Nominal Rigidity, Desired Markup Variations, and Real
Exchange Rate Persistence,” Journal of International Economics 66(1): 49-74.
89. (*) J.O. Hairault and F. Langot (2005). “Nobel Prize for Economy 2004,” Revue
D’Economie Politique 115 (1): 65-83.
90. Matheus Albergaria de Magalhaes (2005). “Equilbrio e Ciclos (Equilibrium and Cycles),” Revista de Economia Contempornea 9(3) Rio de Janeiro, Sept./Dec.
91. Magalhaes, M. and P. Picchetti (2005). “Regress and Progress! An Econometric Characterization of the Short-Run Relationship between Productivity and Labor Input in
Brazil,” Brazilian Review of Econometrics 25(2), 219265.
92. Kevin Hoover (2005). “Quantitative Evaluation of Idealized Models in the New Classical Macroeconomics,” In Idealization XII: Correcting the Model–Idealization and
Abstraction in the Sciences (Poznan Studies in the Philosophy of the Sciences and the
Humanities 86) Martin R. Jones and Nancy Cartwright (eds).
93. (*) Giannone D, Reichlin L, Sala L. (2006). “VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models,” Journal of Econometrics 132
(1): 257-279.
94. (*) Feve P. (2006). “Dynamic Macro-econometric Modelling,” Revue d’Economie
Politique 116 (2): 147-197.
95. (*) Sims CA, Zha T. (2006). “Does Monetary Policy Generate Recessions?” Macroeconomic Dynamics 10 (2): 231-272.
96. (*) Mario Forni, Domenico Giannone, Marco Lippi, and Lucrezia Reichlin (2006).
“Opening the Black Box: Structural Factor Models with Large Cross-Sections,” Econometric Theory 25, 1319-1347.
97. (Syllabus). George Hall, Department of Economics, Yale University (2006). Economics 526b: Advanced Macroeconomics.
98. (*) G. Kapetanios, A. Pagan, and A. Scott (2007). “Making A Match: Combining Theory and Evidence In Policy-Oriented Macroeconomic Modelling,” Journal of
Econometrics 136 (2): 565-594.
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99. (*) Francisco J. Ruge-Murcia (2007). “Methods to Estimate Dynamic Stochastic
General Equilibrium Models,” Journal of Economic Dynamics and Control, Volume
31(8), pp. 2599-2636.
100. (*) Sungbae An and Frank Schorfheide (2007). “Bayesian Analysis of DSGE Models,”
Econometric Reviews, 26:2, 113 - 172.
101. (*) Alok Johri and Marc-Andre Letendre (2007). “What Do Residuals from FirstOrder Conditions Reveal about DGE Models?,” Journal of Economic Dynamics and
Control 31(8) pp. 2744-2773
102. (*) F. Zanetti (2008). “Labor and Investment Frictions in a Real Business Cycle
Model,” Journal of Economic Dynamics and Control 32(10), 3294-3314.
103. (*) Peter N. Ireland and Scott Schuh (2007). “Productivity and U.S. Macroeconomic
Performance: Interpreting the Past and Predicting the Future with a Two-Sector Real
Business Cycle Model,” Review of Economic Dynamics 11(3), 473-492.
104. Harding, Don and Negara, Siwage (2008). “Estimating baseline real business cycle
models of the Australian economy,” MPRA paper 33556
105. F. Schorfhiede (2008). “DSGE Model-based Estimation of the New Keynesian Phillips
Curve,” Federal Reserve of Richmond Economic Quarterly 94(4), 397-433.
106. Andrzej Kociecki (2008). “Do You Know How Many Structural Shocks You Have in
Your Model? A Bayesian Framework for Testing Economic Models?” National Bank
of Poland.
107. Michael Wickens (2008). Macroeconomics: A General Equilibrium Approach, Princeton University Press.
108. (*) Reichlin, L. (2008). “Discussion of ‘Taking DSGE models to the policy environment’ by Alvarez-Lois, Harrison, Piscitelli and Scott,” Conference on DSGE Modeling
at Policy Making Institutions, Journal of Economic Dynamics and Control 32, 24532459
109. (*) Alessandra Del Boca, Marzio Galeotti and Charles Himmelberg (2008).“Investment and time to plan and build: A comparison of structures vs. equipment in a
panel of Italian ﬁrms,” Journal of the European Economic Association 6, 864-889
110. (*) Robert A. Hart, James R. Malley, and Ulrich Woitek (2009). “Real Earnings and
Business Cycles: New Evidence,” Empirical Economics 37(1), pp. 51-71.
111. (*) Pablo A. Acosta, Emmanuel K.K. Lartey, Federico S. Mandelman (2009). “Remittances and the Dutch disease,” Journal of International Economics, Volume 79,
Issue 1, Pages 102116
112. Wing Leong Teo (2009). “Estimated Dynamic Stochastic General Equilibrium Model
of the Taiwanese Economy,” Paciﬁc Economic Review, 14(2), pp. 194-231.
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113. Jani Luoto (2009). “Bayesian Applications in Dynamic Econometric Models,” Jyvaskyla Studies in Business and Economics, 70.
114. (*) J. Malley and U. Woitek (2010). “Technology shocks and aggregate ﬂuctuations
in an estimated hybrid RBC model,” Journal of Economic Dynamics and Control 34,
1214-1232.
115. (*) Yuriy Gorodnichenko and Serena Ng (2010). “Estimation of DSGE Models when
the Data are Persistent,” Journal of Monetary Economics 57, 325-340.
116. (*) Mario Forni and Luca Gambetti (2010). “The Dynamic Eﬀects of Monetary Policy:
A Structural Factor Model Approach,” Journal of Monetary Economics 57, 203-216.
117. (*) Ozer Karagedikli, Troy Matheson, Christie Smith and Shaun P. Vahey (2010).
“RBCs and DSGEs: The Computational Approach to Business Cycle Theory and
Evidence,” Journal of Economic Surveys 24, 113-136.
118. (*) M. Ayhan Kose, Christopher Otrok and Eswar S. Prasad (2010). “Global Business
Cycles: Convergence or Decoupling?” International Economic Review.
119. Shawn Leu and Jeﬀrey Sheen (2010). “The Australia-Asia Business Cycle Evolution,”
in The Evolving Role of Asia in Global Finance edited by Yin-Wong Cheung, Vikas
Kakkar, Guonan Ma, Emerald Publishers.
120. David Dejong and Chetan Dave (2011). Structural Macroeconometrics, Princeton
University Press.
121. (*) John D. Tsoukalas (2011). “Time to build capital: Revisiting investment-cash-ﬂow
sensitivities,” Journal of Economics Dynamics and Control 35, 1000-1016.
122. (*) Mikael Juselius (2011). “Testing Steady-State Restrictions of Linear Rational
Expectations Models when Data are Highly Persistent,” Oxford Bulletin of Economics
and Statistics 73, 315-334.
123. (*) Marcel Wiedman (2011). “Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis,” In Money, Stock Prices and Central Banks: A Cointegrated
VAR Analysis, 1-451
124. Fernandez-de-Cordoba, G, and J. Torres (2011). “Forecasting the Spanish economy
with an augmented VAR-DSGE model,” Journal of the Spanish Economic Association
2, 379-399
125. (*) Kose, M. Ayhan, Christopher Otrok, and Eswar Prasad (2012). “Global Business
Cycles: Convergence or Decoupling?*.” International Economic Review 53.2: 511538.
126. Wickens, Michael. Macroeconomic theory: a dynamic general equilibrium approach.
Princeton University Press, 2012.
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127. (*) Qu, Zhongjun, and Denis Tkachenko (2012). “Identiﬁcation and frequency domain quasi-maximum likelihood estimation of linearized dynamic stochastic general
equilibrium models.” Quantitative Economics 3.1: 95-132.
128. Guerrn-Quintana, Pablo, and James M. Nason (2012). “Bayesian Estimation of DSGE
Models.”.
129. Dai, Li (2012). “Does the DSGE model ﬁt the Chinese economy? A Bayesian and
Indirect Inference approach.” Diss. Cardiﬀ University.
130. Haider, Adnan, Musleh-ud Din, and Ejaz Ghani (2012). “Monetary policy, informality and business cycle ﬂuctuations in a developing economy vulnerable to external
shocks.”
131. Chen, Liang (2012). “Identifying observed factors in approximate factor models:
estimation and hypothesis testing,” NC State University PhD Thesis
132. Paccagnini, Alessia (2012). “Comparing Hybrid DSGE Models,” University of Milan
- Bicocca Working Paper Series No. 228
133. Kuo, Chun-Hung (2012). “Three Essays on Macroeconometrics,” North Carolina
State University PhD Thesis
134. J Lee (212). “Are structural parameters of DSGE models stable in Korea?” Journal
of Asian Economics
135. Kaabia, Olfa, and Ilyes Abid (2013). “Theoretical Channels Of International Transmission During The Subprime Crisis To OECD Countries: A FAVAR Model Under
Bayesian Framework.” Journal of Applied Business Research (JABR) 29.2: 443-460.
136. (*) Bekiros, Stelios, and Alessia Paccagnini (2013). “On the predictability of timevarying VAR and DSGE models.” Empirical Economics 45.1 (2013): 635-664.
137. Miao, Jianjun. “Economic Dynamics: Discrete Time.”
138. (*) Baurle, Gregor (2013). “Structural Dynamic Factor Analysis Using Prior Information From Macroeconomic Theory.” Journal of Business & Economic Statistics
31.2: 136-150.
139. (*) Brevik, Frode, and Stefano d’Addona (2013). “Is Ignorance Bliss? The Cost of
Business-Cycle Uncertainty.” Macroeconomic Dynamics 17.04 : 728-746.
140. Millar, Jonathan N., Stephen D. Oliner, and Daniel E. Sichel (2013). “Time-to-Plan
Lags for Commercial Construction Projects.” No. w19408.
National Bureau of
Economic Research .
141. (*) Canova, Fabio (2014). “Bridging DSGE models and the raw data.”
Monetary Economics 67: 1-15.
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Journal of
142. (*) Qu, Zhongjun (2014). “Inference in dynamic stochastic general equilibrium models
with possible weak identiﬁcation.” Quantitative Economics 5.2: 457-494.
143. (*) Sala, Luca (2014). “DSGE models in the frequency domain.” Journal of Applied
Econometrics.
144. (*) Forni, Mario, Luca Gambetti, and Luca Sala (2014). “No news in business cycles.”
The Economic Journal 124.581: 1168-1191.
145. (*) Bekiros, Stelios D., and Alessia Paccagnini (2014). “Bayesian forecasting with
small and medium scale factor-augmented vector autoregressive DSGE models.” Computational Statistics & Data Analysis 71: 298-323.
146. Chahrour, Ryan, Sanjay K. Chugh, and Tristan Potter (2014). “Wages and Wedges
in an Estimated Labor Search Model.” No. 867. Boston College Department of
Economics.
147. (*) Ad, Ren (2014). “A Review of Optimal Investment Rules in Electricity Generation.” Quantitative Energy Finance. Springer New York, 3-40.
148. Young, Warren (2014). Real business cycle models in economics. Routledge.
149. (*) Kaabia, Olfa (2014). “Potential Contagion Eﬀects on OECD Countries: A FAVAR
Model under Bayesian Framework.” International Economic Journal ahead-of-print:
1-22.
Working Papers
1. Beth Ingram and Eric M. Leeper (1990). “Post Econometric Policy Evaluation: A
Critique,” International Finance Discussion Papers 393, Board of Governors of the
Federal Reserve System.
2. John S. Chipman (1992). “Empirical Methods in Computable-General Equilibrium
Modelling.” University of Minnesota Working Paper.
3. Roger E. Farmer and Jang-Ting Guo (1994). “The Econometrics of Indeterminacy.”
UCLA Working Paper.
4. Francis Diebold, Lee Ohanian, and Jeremy Berkowitz (1994). “Dynamic Equilibrium
Economies: A Framework for Comparing Models and Data.” University of Pennsylvania Working Paper.
5. Lawrence J. Christiano and Sharon G. Harrison (1996). “Chaos, Sunspots, and Automatic Stabilizers,” NBER Working Papers 5703, National Bureau of Economic Research.
6. Alfred Greiner and Willi Semmler (1997). “Estimating an Endogenous Growth Model
with Public Capital and Government Borrowing,” Bielefeld University.
11
7. Charles A. Fleischman (1999). “The Causes of Business Cycles and the Cyclicality of
Real Wages,” Federal Reserve Board - Macroeconomic Analysis Section
8. Adrian Pagan (1999). “The Getting of Macroeconomic Wisdom,” Discussion Papers
412, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University.
9. Petya Koeva (2000). “The Facts about Time-to-Build,” IMF Working paper 00/138.
10. Marco del Negro (2000). “Asymmetric Shocks Among U.S. States,” FRB of Atlanta
WP 2000-27.
11. Alok Johri and Marc-Andre Letendre (2001). “Labour Market Dynamics in RBC
Models,” McMaster University.
12. Hafedh Bouakez, Emanuela Cardia, and Francisco J. Ruge-Murcia (2002). “Habit
Formation and the Persistence of Monetary Shocks,” Working Papers 02-27, Bank of
Canada.
13. Douglas Swaine (2002). “Are Taste and Technology Parameters Stable? A Test
of ‘Deep’ Parameter Stability in Real Business Cycle Models of the US Economy,”
Federal Reserve Bank of Boston WP No. 01-5.
14. Canova, Fabio (2002). “Validating Monetary DSGE Models through VARs,” CEPR
Discussion Papers 3442.
15. Jenn-Hong Tang (2003). “Macroeconomic Shocks and U.S. Gross Job Flows in the
Business Cycle: A Maximum-Likelihood Approach,” Institute of Economics, Academia
Sinica
16. Salvatore Nistico (2003). “Monetary Policy and Stock Prices in a DSGE Framework,”
University of Rome Tor Vergata.
17. Peter Raagauge (2003). “Empirical Rationality in the Stock Market,” Copenhagen
Business School.
18. Jose Carillo and Patrick Feve (2004). “Some Perils of Policy Rule Regression,” GREMAQ, University of Toulouse.
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41. Pytlarczyk, Ernest (2007). “Construction and Bayesian Estimation of DSGE Models
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45. Luoto, Jani (2009). “Bayesian applications in dynamic econometric models,” University of Jyvaskyl
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“Are Technology Shocks Nonlinear? with R. Ashley and D. Patterson,
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“Political Risk and Irreversible Investment,” with F. Demers and M. Demers, CES-ifo Economic Studies 53(3), 430-465, 2007.
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2. Amihai Glazer and Stef Proost (2008). “Signaling Commitment by Excessive Spending,” Working Papers 070811, University of California-Irvine, Department of Economics.
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“Sources of Long-term Economic Growth for Turkey, 1880-2005,” with
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Any Potential Value-added?” In Cycles, Growth and Structural Change: Theories and Empirical Evidence, Lionello F. Punzo (ed.), Routledge.
21. William A. Brock,W. Davis Dechert (2001). Growth Theory, Nonlinear Dynamics, and Economic Modelling: Scientific Essays of William Allen Brock, Edward
Elgar.
22. (*) P. Maitra (2001). “Is Consumption Smooth at the Cost of Volatile Leisure?
An Investigation of Rural India,” Applied Economics, 33(6), 727-734.
23. (*) J. Peltola and K.C. Krapp (2001). “Recursive Preferences in Forest Management,” Forestry Science 47(4), 455-465.
24. (*) S.H. Lence (2001). “Farmland Prices in the Presence of Transaction Costs: A
Cautionary Note,” American Journal of Agricultural Economics 83(4), 985-992.
25. (*) Lence S.H. and Mishra A.K. (2003). “The Impacts of Diﬀerent Farm Programs on Cash Rents,” American Journal of Agricultural Economics, 85(3), pp.
753-761.
26. E. Ba¸sc¸ı and I. Sa˘glam (2003). “On the Importance of Sequencing of Markets
in Monetary Economies,” In Advances in Economic Design, M. Sertel and S.
50
Koray (eds.), Society for Economic Design International Conference, Berlin:
Springer-Verlag.
27. Marcelo Bianco (2003). Financial Economics, Risk and Information, World
Scientiﬁc Publishers.
28. Enrique Kawamura (2004). “Investors’ Distrust and the Marketing of New Financial Assets,” Quarterly Review of Economics and Finance 44(2), pp. 265-295.
29. (*) O.L. Calin, Y. Chen, T.F. Cosimano and A. Himonas (2005). “Solving Asset
Pricing Models when the Price-Dividend Function is Analytic,” Econometrica
73 (3): 961-982.
30. Ochoa, J. Marcelo (2006). “An Interpretation of an Aﬃne Term Structure Model
for Chile,” Estudios de Economia, 33(2), 155-84.
31. (*) Per Krusell and Anthony A. Smith (2006). “Quantitative Macroeconomic
Models with Heterogeneous Agents,” Advances in Economics and Econometrics:
Theory and Applications, Ninth World Congress I(41), 298-304.
32. (*) J. Mukuddem-Petersen, M.A. Petersen, I.M. Schoeman and A.B. Tau (2007).
“An Application of Stochastic Optimization Theory to Institutional Finance,”
Applied Mathematical Sciences 1(28), pp. 1359 - 1385.
33. (*) J. Mukuddem-Petersen, M.A. Petersen, I.M. Schoeman, B.A. Tau (2008).
“Dynamic Modelling of Bank Proﬁts,” Applied Financial Economics Letters,
4(3), 157-161.
34. Michael Wickens (2008). Macroeconomics: A General Equilibrium Approach,
Princeton University Press.
35. (*) C. H. Fouche, J. Mukuddem-Petersen, M. A. Petersen, and M. C. Senos
(2008). “Bank Valuation and Its Connections with the Subprime Mortgage
Crisis and Basel II Capital Accord,” Discrete Dynamics in Nature and Society,
Volume 2008, Article ID 740845.
36. (*) Veni Arakelian and Efthymios G. Tsionas (2008). “Bayesian Analysis of the
Consumption CAPM,” Advances in Econometrics, Emerald Publishing Group,
Volume: 23, 619 - 643.
37. (*) Sergio H. Lence (2009). “Joint Estimation of Risk Preferences and Technology: Flexible Utility or Futility?” American Journal of Agricultural Economics,
91(3), pp. 581-59.
38. (*) Petersen M. A.; Senosi M. C.; Mukuddem-Petersen J.; et al. (2009). “Did
Bank Capital Regulation Exacerbate the Subprime Mortgage Crisis?” Discrete
Dynamics in Nature and Society Article Number: 742968
51
39. (*) J. Mukuddem-Petersen, M. Mulaudzi, M. Petersen, and I. Schoeman (2010).
“Optimal mortgage loan securitization and the subprime crisis,” Optimization
Letters 4, 97-115.
40. (*) Anwar Nasution (2011). “Pro-cyclicality of the Basel Capital Requirement
Ratio and Its Impact on Banks Comments,” Asian Economic Papers 10, 37-41.
41. Ifrach, Bar, and Gabriel Y. Weintraub (2012). “A framework for dynamic
oligopoly in concentrated industries,” Columbia Business School Research Paper
12/47.
42. Ifrach, Bar. Market Dynamics with Many Agents: Applications in Social Learning and Competition. Diss.Columbia University, 2012.
43. Chen, Yu, Thomas F. Cosimano, and Alex A. Himonas (2013). “On formulating and solving portfolio decision and asset pricing problems,” Handbook of
Computational Economics 3: 161.
44. (*) Sobel, Matthew J. (2013). “Discounting axioms imply risk neutrality,” Annals of Operations Research 208.1: 417-432.
45. (*) Pancrazi, Roberto (2014). “How beneﬁcial was the Great Moderation after
all?,” Journal of Economic Dynamics and Control 46: 73-90.
46. (*) Kim, H. Youn (2014). “International ﬁnancial integration and risk sharing
among countries: A production-based approach,” Journal of the Japanese and
International Economies 31: 16-35.
Working papers
1. William Brock (1996). “Asset Price Behavior in Complex Environments.” Department of Economics, University of Wisconsin.
2. Anders Johansson and Karl-Markus Moden (1997). “Investment Plans and Revisions and Share Price Volatility,” University of Gothenburg.
3. Ralph Chami, Thomas F. Cosimano, and Connel Fullenkamp (1999). “The
Stock Market Channel of Monetary Policy,” IMF Working Paper 99/22.
4. Stephanie Adjemian, Jerome Glachant, and Charles Vellutini (2000). “Regional
Convergence and Aggregate Growth,” EPEE, Centre D-Etude des Politiques
Economiques de L’Universite D’Evry 99-09.
5. J. Vinals (2001). “Monetary Policy Issues in a Low Inﬂation Environment,”
CEPR Discussion Paper No. 2945.
6. S. Nishiyama and Kent Smetters (2002). “Ricardian Equivalence with Incomplete Household Risk Sharing,” NBER W.P. 8851.
52
7. P. Gutierrez and C. Palmero (2003). “Monetary Causes of Real Fluctuations
in a General Equilibrium Model with Bank Reserves,” University of Valladolid,
Spain.
8. Y. Chen, T. Cosimano, and A. Himonas (2003). “By Force of Habit: An Exploration of Asset Pricing Models using Analytical Methods,” University of Notre
Dame.
9. Romulo Chumacero (2003). “A Toolkit for Analyzing Alternative Policies in the
Chilean Economy, ” Central Bank of Chile Working Papers No 241.
10. H. Youn Kim (2003). “International Financial Integration and Risk Sharing
and the Cross-Country Consumption-Output Correlation Puzzle: A Productionbased Approach,” Western Kentucky University
11. M. Ochao (2006). “Interpreting and Aﬃne Term Structure Model for Chile,”
Central Bank of Chile Working Paper No. 380.
12. A. Acuna and C. Pinto (2007). “Chilean Stock Market Eﬃciency: A Dynamic
Approach using Volatility Tests,” MPRA Paper No. 7387.
13. Roberto Pancrazi (2009). “Who Cares About The Great Moderation?”, Duke
University.
14. Dimitris Voliotis (2009). “Money and Capital Pricing,” Lecture Notes EC 112:
Advanced Macroeconomics II.
15. S. Nishiyama and Kent Smetters (2010). “Ricardian Equivalence under Asymmetric Information,” Pension Research Council Working Paper No. 2010-05
Syllabi
1. Department of Economics, Duke University, ECON 349, Financial Econometrics
1998, Prof. George Tauchen
2. Department of Economics, Tufts University, Econ 205 Macroeconomic Theory I
2000, Prof. M. Bianconi
3. Maestria en Economia, Universidad de San Andres, Macroeconomia Avanzada
2000, Dr. Enrique Kawamura
4. Departmento de Economia, Pontiﬁcia Universidade Catolica – PUC-RIO, ECO2155,
Modelos Intemtemporais de Determinacao de Precos de Ativo e Testes Empiricos
2001, Prof. Marcio G.P. Garcia
5. Department of Economics, University of Wisconsin - Topics in Applied Econometrics - Applied Time Series, Yuichi Kitamura, 2001
53
6. Departamento de Economia, Universidad de Antiquoia, Macroeconomia Avanzada, Docente Dr. David Fernando Tobon Orozco
7. Guide to Graduate Studies, Financial Mathematics and Mathematical Finance,
Department of Mathematics, Florida State University (Fall 2003)
8. Melbourne Business School McLennan Library Course Bibliographies, Financial
Modelling, May 2004
9. Maestria en Economia, Universidad de San Andres, Economia Internacional
Monetaria 2004, Dr. Enrique Kawamura
10. Fundacao Instituto de Pesquisas Economicas (FIPE), Economia de Setor Financeiro, 2004
11. University of Basel, Prof. Wolfgand Drobetz and Prof. Yvan Legviler, Advanced
Asset Pricing 6548, 2004
12. M. Guillard, Economie Monetaire and Financiere, EPEE, Universite d’Evry
13. Stern School of Business, New York University, Advanced Topics in Macroeconomics: Market Frictions, Chris Edmond, 2008
14. Department of Economics, Queen Mary, University of London, Advanced Asset
Pricing and Modelling, Giovanni Cespa, 2008-2009
15. National Technical University of Athens, Advanced Finance Theory, E. Tzavalis
and L. Rompolis, 2009
16. Princeton University Press. Macroeconomic Theory: A Dynamic General Equilibrium Approach. Wickens, Michael, 2012
54
Dynamic Macroeconomic Analysis: Theory and Policy in General Equilibrium,
with Jagjit Chada (ed.) and Charles Nolan (ed.), 2003, Cambridge University Press.
1. Chadha, J. and C. Nolan (2002). “A Long View of the UK Business Cycle,”
National Institute Economic Review, 182(1), 72-89.
2. George W. Evans and Seppo Honkapohja (2003). “Friedman’s Money Supply
Rule vs. Optimal Interest Rate Policy,” Scottish Journal of Political Economy
50(5), 550 - 566.
3. Chadha, Jagjit S. and Charles Nolan (2004). “Output, Inﬂation and the New
Keynesian Phillips Curve,” International Review of Applied Economics, 18(3),
271-87.
4. Yang, Tracy and Lim, Jamus Jerome (2004). “Competitive Devaluations–Bitter
Pill or Bad Medicine? The Case of Thailand,” ASEAN Economic Bulletin,
21(2), 213-33.
5. Jaeger, C. (2005). “A Long-term Model of The German Economy,” Potsdam
Institute for Climate Impact Research Report 102.
6. Enrique G. Mendoza (2005). “Real Exchange Rate Volatility and the Price of
Nontradable Goods in Economies Prone to Sudden Stops,” Economa 6(1), pp.
103-148.
7. Coutinho, Leonor (2005). “Fiscal Policy in the New Open Economy Macroeconomics and Prospects for Fiscal Policy Coordination,” Journal of Economic
Surveys, 19(5), 789-822.
8. Matthew B. Canzoneri, Robert E. Cumby, Behzad T. Diba and Olena Mykhaylova
(2006). “New Keynesian Explanations of Cyclical Movements in Aggregate Inﬂation and Regional Inﬂation Diﬀerentials,” Open Economies Review 17(1), 2755.
9. Martin, Philippe and Rey, Helene (2006). “Globalization and Emerging Markets: With or Without Crash?” American Economic Review, 96(5), 1631-51.
10. Sumru Altug, Fanny Demers, and Michel Demers (2007). “Political Risk and
Irreversible Investment,” CES-ifo Economic Studies 53(3), pp. 430-465.
11. Kirsanova, Tatiana; Satchi, Mathan; Vines, David; and Simon Wren-Lewis
(2007). “Optimal Fiscal Policy Rules in a Monetary Union,” Journal of Money,
Credit, and Banking, 2007, 39(7), 1759-84.
12. Azar, Samih Antoine (2007). “A Duration-based Equity Premium,” Applied
Financial Economics Letters, Nov.
55
13. F.S. Demers, M. Demers, and H. Schaller (2008). “Irreversibility and Costs
of Adjustment,” International Finance and Financial Services, Nova Science
Publishers
14. Sumru Altug, Fanny Demers, and Michel Demers (2009). “The Investment Tax
Credit and Irreversible Investment,” Journal of Macroeconomics
15. Juha Tervala (2008). “Productive Government Spending, Welfare and Exchange
Rate Dynamics,” Financial Theory and Practice 32 (2) pp. 97-114.
16. M.A. C
¸ enesiz and C. Pierdzioch (2009). “Labor-Market Search, Financial Market Integration, and the Fiscal Multiplier,” Review of International Economics.
17. T. Kirsanova, C. Leith, and S. Wren-Lewis (2009). “Monetary and Fiscal Policy
Interaction: The Current Consensus Assignment in the Light of Recent Developments,” The Economic Journal 119(541), pp. F482-F496
18. Sun, Qi. (2010). Four essays in dynamic macroeconomics. Diss. University of
St. Andrews.
19. Christiano, Lawrence J., Martin S. Eichenbaum, and Mathias Trabandt (2013).
“Unemployment and business cycles,” No. w19265. National Bureau of Economic Research.
Working papers
1. D.M. Arseneau and S.K. Chugh (2005). “Fiscal Shocks, Job Creation, and
Countercyclical Labor Markups,” Federal Reserve Board.
2. Jagjit S. Chadha and Luisa Corrado (2007). “On the Determinacy of Monetary
Policy Under Expectational Errors,” CDMA Working Paper No. 06/03.
3. Garey Ramey (2008). “Exogenous vs. Endogenous Separation,” University of
California, San Diego.
4. Javier Bianchi (2009). “Overborrowing and Systemic Externalities in the Business Cycle,” Federal Reserve Bank of Atlanta Working Paper 2009/24.
56
Asset Pricing for Dynamic Economies, with Pamela Labadie, 2008, Cambridge
University Press.
1. (*) J. Tin (2010). “Representative Economic Agent and Asset Demand Revisited,” Progress in Economic Research 15, 45-86
2. (*) B. Aktan; J. Wang; and S. Zikovic Sasa (2010). “Market Portfolio Impact
on Textile, Wearing Apparel and Leather Industries in Turkey: Sharpe Diagonal
Model Approach,” Actual Problems in Economics 104, 268-282
3. (*) Michael D. Gerst; Richard B. Howarth; and Mark E. Borsuk (2010).“Accounting for the risk of extreme outcomes in an integrated assessment of climate
change,” Energy Policy 38, 4540-4548
4. (*) Ming Pu, Gang-Zhi Fan and Seow Eng Ong (2010). “Heterogeneous Agents
and the Indiﬀerence Pricing of Property Index Linked Swaps,” The Journal of
Real Estate Finance and Economics
5. Oﬀermann, Bastian (2011). “The equity premium puzzle and habit formation,”
Magisterarbeit, University of Vienna. Fakultt fr Wirtschaftswissenschaften
6. (*) Burkhard Heer and Alfred Maussner (2012). “Log-normal approximation of
the equity premium in the production model,” Applied Economics Letters 19,
407-412
7. Semmler, Willi (2012). “Dynamic Portfolio Decisions with Time-Varying Asset
Returns and Labor Income,” The Journal of Wealth Management 15.3: 50-62.
8. Chen, Yu, Thomas F. Cosimano, and Alex A. Himonas (2013). “On formulating and solving portfolio decision and asset pricing problems,” Handbook of
Computational Economics 3: 161.
9. Huang, Jizheng, and Heng-fu Zou (2013). “Asset Pricing, Capital Structure and
the Spirit of Capitalism in a Production Economy,” Annals of Economics and
Finance 14.2: 367-384.
10. Shen, Jia, and Robert J. Elliott (2014). “General equilibrium pricing with
multiple dividend streams and regime switching,” Quantitative Finance aheadof-print : 1-15.
11. Christopher Heiberger, Halvor Ruf (2014). “Applied Macroeconomic Analysis
with Epstein Zin Utility,” Priority Programme 1578 ‘Financial Mark et Imperfections and Macroeconomic Performance’, German Research Foundation
(Deutsche Forschungsgemeinscha
12. Pablo Fernandez (2015). “CAPM: An Absurd Model,” University of Navarra IESE Business School
57
Syllabi
1. NYU Stern, Advanced Topics in Macroeconomics: Market Frictions, Chris Edmond, Spring 2008
2. The University of Hong Kong Faculty of Business and Economics, ECON6017
Financial Economics, Part I: Discrete Time Asset Pricing, Dr. Chun Xia, Fall
2012
3. Toulouse School of Economics, Macroeconomics IV, Asset Pricing in Macroeconomics, Roberto Pancrazi, Winter 2011
4. ICEF, Higher School of Economics Moscow, MSc Programme in Financial Economics, Winter - Spring 2012, Course Syllabus for Financial Economics I (Asset
Pricing), Lecturer: Carsten Sprenger
58
Business Cycles: Fact, Fallacy and Fantasy, World Scientiﬁc Publishers, (2009),
1. (*) Altug, Sumru, Bilin Neyapti, and Mustafa Emin (2012). “Institutions and
business cycles,” International Finance 15.3: 347-366.
2. Adamowicz, Elbieta, and Konrad Walczyk (2013). “Stylised Facts about Cyclical Fluctuations of Business Survey Data Part I,” Expectations and Forecasting:
123.
3. (*) Tastan, Huseyin (2013). “Real business cycles in emerging economies: Turkish case,” Economic Modelling 34: 106-113.
4. Adamowicz, Elzbieta, and Konrad Walczyk (2013).“Stylised Facts in Cyclical
Fluctuations of Business Survey Data,” Prace i Materiaky Instytutu Rozwoju
Gospodarczego/Szkoka Gkowna Handlowa 93: 123-142.
59