Publications

2014
Mavroeidis S, Plagborg-Moller M, Stock J.

Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve

. Journal of Economics Literature. 2014;52(1):124-188. empirical_evidence_on_inflation.pdf
Stock J, Watson MW.

Estimating Turning Points Using Large Data Sets

. Journal of Econometrics. 2014;178:368-381. estimating_turning_points.pdf
2013
Kaufmann R, Kauppi H, Mann M, Stock J.

Does Temperature Contain a Stochastic Trend: Linking Statistical Results to Physical Mechanisms

. Climatic Change. 2013;118(3-4):729-743. PDF
Bates B, Plagborg-Moller M, Stock J, Watson MW.

Consistent Factor Estimation in Dynamic Factor Models with Structural Instability

. Journal of Econometrics. 2013;177:289-304. PDF
2012
Stock J, Watson M. Generalized Shrinkage Methods for Forecasting Using Many Predictors. Journal of Business & Economic Statistics. 2012;30(4):481-493. PDF
Stella A, Stock J. A State-Dependent Model for Inflation Forecasting. 2012. PDF
Montiel Olea JL, Stock J, Watson MW.

Inference in Structural VARs with External Instruments

. 2012. Presentation Slides
Stock J, Watson M.

Disentangling the Channels of the 2007-2009 Recession

. Brookings Papers on Economic Activity. 2012;Spring 2012:81-135. PDF
2011
Stock J, Watson M. Dynamic Factor Models. In: Clements MJ, Hendry DF Oxford Handbook on Economic Forecasting. Oxford: Oxford University Press; 2011. PDF
Stock J. Discussion of Fuhrer, "The Role of Expectations in Inflation Dynamics". 2011. PDF Replication File
Introduction to Econometrics (3rd edition)
Stock J, Watson M. Introduction to Econometrics (3rd edition). Addison Wesley Longman; 2011.
Stock J, Mueller UK. Forecasts in a Slightly Misspecified Finite Order VAR. 2011. PDF
Stock J. Discussion of Ball and Mazumder, "Inflation Dynamics and the Great Recession. Brookings Papers on Economic Activity. 2011:387-402. PDF
Stock J, Kaufmann R, Kauppi H, Mann M. Reconciling Anthropogenic Climate Change with Observed Temperature 1998-2008. Proceedings of the National Academy of Sciences. 2011;108(29):11790-11793. PDF Supplementary Material
2010
Stock J, Watson MW. Estimating Turning Points using Large Data Sets. 2010. PDF
Kaufmann R, Kauppi H, Stock J. Does temperature contain a stochastic trend? Evaluating conflicting statistical results. Climatic Change. 2010;101:395-405. PDF
Stock J, Watson M. Indicators for Dating Business Cycles: Cross-History Selection and Comparisons. In: American Economic Review: Papers and Proceedings. ; 2010. PDF
Stock J, Watson M. Dynamic Factor Models. In: Clements MP, Henry DF Oxford Handbook of Economic Forecasting. Oxford: Oxford University Press; 2010. Website PDF
Stock J, Watson M. Modeling Inflation After the Crisis. [Internet]. 2010. WebsiteAbstract
In the United States, the rate of price inflation falls in recessions. Turning this observation into a useful inflation forecasting equation is difficult because of multiple sources of time variation in the inflation process, including changes in Fed policy and credibility. We propose a tightly parameterized model in which the deviation of inflation from a stochastic trend (which we interpret as long-term expected inflation) reacts stably to a new gap measure, which we call the unemployment recession gap. The short-term response of inflation to an increase in this gap is stable, but the long-term response depends on the resilience, or anchoring, of trend inflation. Dynamic simulations (given the path of unemployment) match the paths of inflation during post-1960 downturns, including the current one.
PDF
Stock J. The Other Transformation in Econometric Practice: Robust Tools for Inference. Journal of Economic Perspectives. 2010;24(2):83-94. PDF