Gregor W Smith
Biographic Data
| ID | 5729807 |
|---|---|
| NAME | Gregor W Smith |
| GIVEN NAMES | Gregor W |
| FAMILY NAME | Smith |
| SIGNATURE | SMITH G W |
| AFFILIATIONS | Queen's University |
| ORCID | 0000-0002-1566-7567 |
| VERIFIED | Yes |
| TOTAL WORKS | 11 |
| TOTAL CITATIONS | 11 |
| AUTHOR COUNT | 11 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1990 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 2 |
US fiscal policy shocks
Using external instruments, one can recover the effects of individual shocks without fully identifying a vector autoregression (VAR). We show that fully or almost fully instrumenting a VAR—that is, using an instrument for each shock—allows one to overidentify the model by incorporating the condition that the structural shocks are uncorrelated, via the generalized method of moments (GMM). We apply our approach to a fiscal VAR for the United States…
The All‐Gap Phillips Curve
The all‐gap Phillips curve (PC) explains inflation by expected inflation and an activity variable such as output or the unemployment rate, but with both inflation and the activity variable measured relative to their stochastic trends and thus as gaps. We study this relationship with minimal auxiliary assumptions and under rational expectations (RE). We show restrictions on an unobserved components model that identify the PC parameters, first with…
Measuring the slowly evolving trend in US inflation with professional forecasts
Much research studies US inflation history with a trend‐cycle model with unobserved components, where the trend may be viewed as the Fed's evolving inflation target or long‐horizon expected inflation. We provide a novel way to measure the slowly evolving trend and the cycle (or inflation gap), by combining inflation predictions from the Survey of Professional Forecasters (SPF) with realized inflation. The SPF forecasts may be treated either as ra…
Two Types of (Slight) Flexibility in Bank of Canada Projections, 2003–2019
Central bankers and other economists sometimes describe the inflation targeting practiced in Canada as flexible. This flexibility refers to deferring the planned return of the Consumer Price Index (CPI) inflation rate to the 2 percent target. In this article, I outline two ways to measure flexibility: by seeing whether the forecast for future inflation varies with either (1) current values of inflation or output growth or (2) the forecast for fut…
Testing for Forecast Consensus
A panel of forecasts may be defined to be in consensus when individual forecasters place identical weights on a common latent variable. We suggest this definition and formulate a dynamic latent-variable model to test for consensus. This method also tests whether it is valid to use the mean forecast as the consensus forecast. In applications to surveys of U.S. macroeconomic forecasters, there is greater consensus in forecasts for output growth tha…
Suez and Sterling, 1956
Greenback-Gold Returns and Expectations of Resumption, 1862–1879
This article proposes a unified framework for studying the greenback-gold price during the U.S. suspension of convertibility from 1862 to 1879.The gold price is viewed as a floating exchange rate, with a fixed destination given by gold standard parity because of the prospect of resumption. This perspective is tested using daily data for the entire period, and the effect of news during and after the Civil War is measured. New evidence of a decline…
Business Cycle Theory and Econometrics
Journal Article Business Cycle Theory and Econometrics Get access Allan W. Gregory, Allan W. Gregory Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar Gregor W. Smith Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 105, Issue 433, 1 November 1995, Pages 1597–1608, https://doi.org/10.2307/2235121 Publis…
Reading a Target Zone in Keynes's `Indian Currency and Finance
Journal Article Reading a Target Zone in Keynes’s ‘Indian Currency and Finance’ Get access Gregor W. Smith Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 105, Issue 430, 1 May 1995, Pages 661–668, https://doi.org/10.2307/2235024 Published: 01 May 1995
Calibration as Testing
A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. We calculate the size of tests of the model studied by Mehra and Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rate…
Stochastic Process Switching and the Return to Gold, 1925
Journal Article Stochastic Process Switching and the Return to Gold, 1925 Get access Gregor W. Smith, Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar R. Todd Smith R. Todd Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 100, Issue 399, 1 March 1990, Pages 164–175, https://doi.org/10.2307/223360…
Greenback-Gold Returns and Expectations of Resumption, 1862–1879
This article proposes a unified framework for studying the greenback-gold price during the U.S. suspension of convertibility from 1862 to 1879.The gold price is viewed as a floating exchange rate, with a fixed destination given by gold standard parity because of the prospect of resumption. This perspective is tested using daily data for the entire period, and the effect of news during and after the Civil War is measured. New evidence of a decline…
Reading a Target Zone in Keynes's `Indian Currency and Finance
Journal Article Reading a Target Zone in Keynes’s ‘Indian Currency and Finance’ Get access Gregor W. Smith Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 105, Issue 430, 1 May 1995, Pages 661–668, https://doi.org/10.2307/2235024 Published: 01 May 1995
Stochastic Process Switching and the Return to Gold, 1925
Journal Article Stochastic Process Switching and the Return to Gold, 1925 Get access Gregor W. Smith, Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar R. Todd Smith R. Todd Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 100, Issue 399, 1 March 1990, Pages 164–175, https://doi.org/10.2307/223360…
Two Types of (Slight) Flexibility in Bank of Canada Projections, 2003–2019
Central bankers and other economists sometimes describe the inflation targeting practiced in Canada as flexible. This flexibility refers to deferring the planned return of the Consumer Price Index (CPI) inflation rate to the 2 percent target. In this article, I outline two ways to measure flexibility: by seeing whether the forecast for future inflation varies with either (1) current values of inflation or output growth or (2) the forecast for fut…
Suez and Sterling, 1956
Stochastic Process Switching and the Return to Gold, 1925
Journal Article Stochastic Process Switching and the Return to Gold, 1925 Get access Gregor W. Smith, Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar R. Todd Smith R. Todd Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 100, Issue 399, 1 March 1990, Pages 164–175, https://doi.org/10.2307/223360…
Calibration as Testing
A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. We calculate the size of tests of the model studied by Mehra and Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rate…
Business Cycle Theory and Econometrics
Journal Article Business Cycle Theory and Econometrics Get access Allan W. Gregory, Allan W. Gregory Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar Gregor W. Smith Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 105, Issue 433, 1 November 1995, Pages 1597–1608, https://doi.org/10.2307/2235121 Publis…
Reading a Target Zone in Keynes's `Indian Currency and Finance
Journal Article Reading a Target Zone in Keynes’s ‘Indian Currency and Finance’ Get access Gregor W. Smith Gregor W. Smith Queen's University, Canada Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 105, Issue 430, 1 May 1995, Pages 661–668, https://doi.org/10.2307/2235024 Published: 01 May 1995
Greenback-Gold Returns and Expectations of Resumption, 1862–1879
This article proposes a unified framework for studying the greenback-gold price during the U.S. suspension of convertibility from 1862 to 1879.The gold price is viewed as a floating exchange rate, with a fixed destination given by gold standard parity because of the prospect of resumption. This perspective is tested using daily data for the entire period, and the effect of news during and after the Civil War is measured. New evidence of a decline…
Suez and Sterling, 1956
Testing for Forecast Consensus
A panel of forecasts may be defined to be in consensus when individual forecasters place identical weights on a common latent variable. We suggest this definition and formulate a dynamic latent-variable model to test for consensus. This method also tests whether it is valid to use the mean forecast as the consensus forecast. In applications to surveys of U.S. macroeconomic forecasters, there is greater consensus in forecasts for output growth tha…
Two Types of (Slight) Flexibility in Bank of Canada Projections, 2003–2019
Central bankers and other economists sometimes describe the inflation targeting practiced in Canada as flexible. This flexibility refers to deferring the planned return of the Consumer Price Index (CPI) inflation rate to the 2 percent target. In this article, I outline two ways to measure flexibility: by seeing whether the forecast for future inflation varies with either (1) current values of inflation or output growth or (2) the forecast for fut…
Measuring the slowly evolving trend in US inflation with professional forecasts
Much research studies US inflation history with a trend‐cycle model with unobserved components, where the trend may be viewed as the Fed's evolving inflation target or long‐horizon expected inflation. We provide a novel way to measure the slowly evolving trend and the cycle (or inflation gap), by combining inflation predictions from the Survey of Professional Forecasters (SPF) with realized inflation. The SPF forecasts may be treated either as ra…
The All‐Gap Phillips Curve
The all‐gap Phillips curve (PC) explains inflation by expected inflation and an activity variable such as output or the unemployment rate, but with both inflation and the activity variable measured relative to their stochastic trends and thus as gaps. We study this relationship with minimal auxiliary assumptions and under rational expectations (RE). We show restrictions on an unobserved components model that identify the PC parameters, first with…
US fiscal policy shocks
Using external instruments, one can recover the effects of individual shocks without fully identifying a vector autoregression (VAR). We show that fully or almost fully instrumenting a VAR—that is, using an instrument for each shock—allows one to overidentify the model by incorporating the condition that the structural shocks are uncorrelated, via the generalized method of moments (GMM). We apply our approach to a fiscal VAR for the United States…
Economics (11 works) · Monetary Policy and Economic Impact (9 works) · Econometrics (6 works) · Macroeconomics (5 works) · Market Dynamics and Volatility (5 works) · Mathematics (5 works) · Monetary economics (5 works) · Monetary policy (4 works) · Statistics (4 works) · Computer Science (3 works)