Jonathan H Wright

Biographic Data

ID5730808
NAMEJonathan H Wright
GIVEN NAMESJonathan H
FAMILY NAMEWright
SIGNATUREWRIGHT J H
AFFILIATIONSJohns Hopkins University
ORCID0000-0002-1182-3286
VERIFIEDYes
TOTAL WORKS13
TOTAL CITATIONS10
AUTHOR COUNT13
EDITOR COUNT0
FIRST PUBLICATION YEAR2000
LATEST PUBLICATION YEAR2025
H-INDEX1

  • Breaks in the Phillips Curve: Evidence From Panel Data

    Open AccessSimon C Smith, Allan Timmermann et al.ARTICLEJournal of Applied Econometrics2025

    We revisit the Phillips curve, applying new Bayesian panel methods with structural breaks to US and EU disaggregate data. Our approach lets us estimate both the number and timing of breaks and to determine the existence of clusters of industries, cities, or countries whose Phillips curves display similar patterns. We find evidence of a flattening for US sectoral data and among EU countries, particularly poorer ones. Evidence of flattening is weak…

  • Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach

    Jon Faust, Simon Gilchrist et al.ARTICLEThe Review of Economics and…2013

    Employing a large number of financial indicators, we use Bayesian model averaging (BMA) to forecast real-time measures of economic activity. The indicators include credit spreads based on portfolios, constructed directly from the secondary market prices of outstanding bonds, sorted by maturity and credit risk. Relative to an autoregressive benchmark, BMA yields consistent improvements in the prediction of the cyclically sensitive measures of econ…

  • What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound

    Open AccessJonathan H WrightARTICLEThe Economic Journal2012Cited by: 10References: 23

    Journal Article What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound? Get access Jonathan H. Wright Jonathan H. Wright Department of Economics, Johns Hopkins University Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 122, Issue 564, November 2012, Pages F447–F466, https://doi.org/10.1111/j.1468-0297.2012.02556.x Published: 29 October 2012

  • Efficient Prediction of Excess Returns

    Jon Faust, Jonathan H WrightARTICLEThe Review of Economics and…2011

    It is well known that augmenting a standard linear regression model with variables that are correlated with the error term but uncorrelated with the original regressors will increase the asymptotic efficiency of the original coefficients. We argue that in the context of predicting excess returns, valid augmenting variables exist and are likely to yield substantial gains in estimation efficiency and, hence, predictive accuracy. The proposed augmen…

  • Reformationsforschung in Europa und Nordamerika, eine historiographische Bilanz/Reformation Research in Europe and North America, a Historical Assessment

    Jonathan Wright, Jonathan H WrightARTICLESixteenth Century Journal2011

  • Forecasting Professional Forecasters

    Éric Ghysels, Jonathan H WrightARTICLEJournal of Business and Economic…2009

    Surveys of forecasters, containing respondents’ predictions of future values of key macroeconomic variables, receive a lot of attention in the financial press, from investors and from policy makers. They are apparently widely perceived to provide useful information about agents’ expectations. Nonetheless, these survey forecasts suffer from the crucial disadvantage that they are often quite stale, as they are released only infrequently. In this ar…

  • Comparing Greenbook and Reduced Form Forecasts Using a Large Realtime Dataset

    Jon Faust, Jonathan H WrightARTICLEJournal of Business and Economic…2009

    Many recent articles have found that atheoretical forecasting methods using many predictors give better predictions for key macroeconomic variables than various small-model methods. The practical relevance of these results is open to question, however, because these articles generally use ex post revised data not available to forecasters and because no comparison is made to best actual practice. We provide some evidence on both of these points us…

  • A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments

    James H Stock, Jonathan H Wright et al.ARTICLEJournal of Business and Economic…2002

    Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are mis…

  • High-Frequency Data, Frequency Domain Inference, and Volatility Forecasting

    Tim Bollerslev, Jonathan H WrightARTICLEThe Review of Economics and…2001

    Although it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the most appropriate parametric model for characterizing this temporal dependence. In this paper, we propose a simple way of modeling financial market volatility using high-frequency data. The method avoids using a tight parametric model by instead simply fitting a long autoregression to log-squared, squared, or absolute high-freq…

  • GMM with Weak Identification

    Open AccessJames H Stock, Jonathan H WrightARTICLEEconometrica2000

    This paper develops asymptotic distribution theory for GMM estimators and test statistics when some or all of the parameters are weakly identified. General results are obtained and are specialized to two important cases: linear instrumental variables regression and Euler equations estimation of the CCAPM. Numerical results for the CCAPM demonstrate that weak-identification asymptotics explains the breakdown of conventional GMM procedures document…

  • Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests

    Jonathan H WrightARTICLEJournal of Business and Economic…2000

    Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I consider an alternative approach to inference in a cointegrating system. This involves testing the hypothesis that a cointegrating vector takes on a specified value by testing for the stationarity of the associated residual. Confidence sets for the coin…

  • Alternative Variance-Ratio Tests Using Ranks and Signs

    Jonathan H WrightARTICLEJournal of Business and Economic…2000

    This article proposes using variance-ratio tests based on the ranks and signs of a time series to test the null that the series is a martingale difference sequence. Unlike conventional variance-ratio tests, these tests can be exact. In Monte Carlo simulations, I find that they can also be more powerful than conventional variance-ratio tests. I apply the proposed tests to five exchange-rate series and find that they are capable of detecting violat…

  • Confidence Intervals for Univariate Impulse Responses With a Near Unit Root

    Jonathan H WrightARTICLEJournal of Business and Economic…2000

    This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output