Published or Forthcoming Articles


Reproducing Business Cycle Features: Do Nonlinear Dynamics Really Matter?Studies in Nonlinear Dynamics & Econometrics (forthcoming) with Jeremy Piger and Pao-Lin Tien (click here for code)

The Asymmetric Business CycleReview of Economics and Statistics (February 2012, vol. 94, pp. 208-221) with Jeremy Piger (click here for code)

Time Variation of CAPM Betas across Market Volatility RegimesApplied Financial Economics (2011, vol. 21, no. 19, pp. 1463-1478) with Azamat Abdymomunov

The Two Interpretations of the Beveridge-Nelson Decomposition,” Macroeconomic Dynamics (June 2011, vol. 15, 419-439)

Macroeconomics, Nonlinear Time Series in,” in R.A. Meyers (ed.), Encyclopedia of Complexity and System Science (Springer, Berlin, 2009) (pdf available here)

The Effects of Oil Price Shocks on Output,” Business Economics (October 2009, vol. 44, no. 4, pp. 220-228) with Neal Ghosh and Chris Varvares

Changes in U.S. Inflation Persistence,” Studies in Nonlinear Dynamics & Econometrics (2009, vol. 13, issue 4, article 1) with Kyu Ho Kang and Chang-Jin Kim (click here for code)

Trend/Cycle Decomposition of Regime-Switching Processes,” Journal of Econometrics (October 2008, vol. 146, pp. 220-226) with Jeremy Piger

Bayesian Countefactual Analysis of the Sources of the Great Moderation,” Journal of Applied Econometrics (March 2008, vol. 23, pp. 173-191) with Chang-Jin Kim and Jeremy Piger

The Slow Adjustment of Aggregate Consumption to Permanent Income,” Journal of Money, Credit, and Banking (March-April 2007, vol. 39, pp. 615-638) (click here for code)

In Search of the Natural Rate of Unemployment,” Journal of Monetary Economics (March 2007, vol. 54, pp. 550-564) with Thomas King

Detecting Shift-Contagion in Currency and Bond Markets,” Journal of International Economics (March 2006, vol. 68, pp. 409-423) with Toni Gravelle and Maral Kichian (click here for code)

The Importance of Nonlinearity in Reproducing Business Cycle Features,” in C. Milas, P. Rothman, and D. van Dijk (eds.), Nonlinear Time Series Analysis of Business Cycles (Elsevier Science, Amsterdam, 2006, pp. 75-95) with Jeremy Piger

A Kalman Filter Approach to Characterizing the Canadian Term Structure of Interest Rates,” Applied Financial Economics (June 2005, vol. 15, no. 10, pp. 691-705) with Toni Gravelle

The Structural Break in the Equity Premium,” Journal of Business & Economic Statistics (April 2005, vol. 23, pp. 181-191) with Chang-Jin Kim and Charles R. Nelson

Nonlinearity and the Permanent Effects of Recessions,” Journal of Applied Econometrics (Special Issue on "Recent Developments in Business Cycle Analysis" 2005, vol. 20, pp. 291-309) with Chang-Jin Kim and Jeremy Piger (click here for code)

Is There A Positive Relationship between Stock Market Volatility and the Equity Premium?Journal of Money, Credit, and Banking (June 2004, part 1, vol. 36, no. 3, pp. 339-360) with Chang-Jin Kim and Charles R. Nelson (click here for code)

Why Are Unobserved Component and Beveridge-Nelson Trend-Cycle Decompositions of GDP So Different?Review of Economics and Statistics (May 2003, vol. 85, no. 2, pp. 235-243, lead article) with Charles R. Nelson and Eric Zivot (click here for code)

A State-Space Approach to Calculating the Beveridge-Nelson Decomposition,” Economics Letters (March 2002, vol. 75, no. 1, pp. 123-127)

Does an Intertemporal Tradeoff Between Risk and Return Explain Mean Reversion in Stock Prices?Journal of Empirical Finance (September 2001, vol. 8, no. 4, pp. 403-426) with Chang-Jin Kim and Charles R. Nelson (click here for code)


The Emperor Has No Clothes,” Macroeconomic Advisers’ Macro Focus (June 2010, vol. 5, no. 2, pp. 1-14) (click here for a summary)

The Great Moderation: What Caused It and Is It Over?Macroeconomic Advisers’ Macro Focus (December 2009, vol. 4, no. 8, pp. 1-11) 

The Shape of Things to Come,” Macroeconomic Advisers’ Macro Focus (April 2009, vol. 4, no. 6, pp. 1-11)

Essays in Empirical Finance,” Ph.D. Dissertation from 1999 (Committee: Charles Nelson (chair), Charles Engel, Chang-Jin Kim, Richard Startz, and Eric Zivot)