Jan J. J. Groen

Jan J. J. Groen

Research Officer
International Research Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Phone (212) 720-5354
Fax (212) 720-6831
jan.groen@ny.frb.org

Refereed Articles:

Multivariate Methods for Monitoring Structural Change PDFOFFSITE
With George Kapetanios and Simon Price
Journal of Applied Econometrics, Vol. 28, pp. 250-274

Real-Time Inflation Forecasting in a Changing World
With Richard Paap and Francesco Ravazzolo
Journal of Business & Economic Statistics, Vol. 31, pp. 29-44
Corresponding Web Appendix PDF
See also ››
Federal Reserve Bank of New York Staff Report 388, August 2009

Model Selection Criteria for Factor-Augmented Regressions OFFSITE
With George Kapetanios
Oxford Bulletin of Economics and Statistics, 2013, Vol. 75, pp. 37-63
See also ››
Federal Reserve Bank of New York Staff Report 363, Revised May 2012

Financial Amplification of Foreign Exchange Risk PremiaOFFSITE
With Tobias Adrian and Erkko Etula
European Economic Review, 2011, Vol. 55, pp. 354-370

Commodity Prices, Commodity Currencies, and Global Economic Developments
With Paolo A. Pesenti
In T. Ito and A. Rose (eds.), Commodity Prices and Markets, NBER East Asia Seminar on Economics, 2011, Volume 20, pp. 15-42, Chicago: University of Chicago Press
See also National Bureau of Economic Research Working Paper No. 15743 OFFSITE

A Real Time Evaluation of Bank of England Forecasts of Inflation and GrowthOFFSITE
With Simon Price and George Kapetanios
International Journal of Forecasting, 2009, Vol. 25, pp. 74-80

Asset Price-Based Estimates of Sterling Exchange Rate Risk PremiaOFFSITE
With Ravi Balakrishnan
Journal of International Money and Finance, 2006, Vol. 25, pp. 71-92

Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country PanelOFFSITE
Journal of Money, Credit, and Banking, 2005, Vol. 37, pp. 495-516

Corporate Credit, Stock Price Inflation and Economic Fluctuations OFFSITE
Applied Economics, 2004, Vol. 36, pp. 1995-2006

Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction ModelsOFFSITE
With Frank Kleibergen
Journal of Business & Economic Statistics, 2003, Vol. 21, pp. 295-318

Cointegration and the Monetary Exchange Rate Model RevisitedOFFSITE
Oxford Bulletin of Economics and Statistics, 2002, Vol. 64, pp. 361-380

The Monetary Exchange Rate Model as a Long-Run PhenomenonOFFSITE
Journal of International Economics, 2000, Vol. 52, pp. 299-319

Long Horizon Predictability of Exchange Rates: Is it for Real?OFFSITE
Empirical Economics, 1999, Vol. 24, pp. 451 - 469

Other Publications

Discussion on Forecasting Commodity Price Indexes Using Macroeconomic and Financial Predictors  OFFSITE
International Journal of Forecasting, 2014, Vol. 30, pp. 844 - 846

An Examination of U.S. Dollar Declines
With Roosevelt Bowman
Liberty Street Economics, 2011, September

How Easy Is It to Forecast Commodity Prices?
With Paolo Pesenti,
Liberty Street Economics, 2011, June 27

Book review of Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes
by P. Sercu and R. Uppal,
De Economist, 2001, Vol. 149, pp. 391-392

Book review of Nonlinear Econometric Modeling in Time Series Analysis: Proceedings of the Eleventh International Symposium in Economic Theory and Econometrics
by W.A. Barnett, D.F. Hendry, S. Hylleberg, T. Terasvirta, D. Tjostheim and A. Wurtz (eds.),
De Economist, 2001, Vol. 149, pp. 268-269

Long Horizon Exchange Rate Predictability: A Critical Assessment,
Tinbergen Institute Research Bulletin, 1997, Vol. 9, pp.63-71
363, February 2009
388, August 2009

Jan J. J. Groen's CVPDFThe views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.