Universitat Pompeu Fabra
Department of Economics and Business
Ramon Trias Fargas, 25-27
NOTE : In the case of publications that are not open-access, downloading, copying or printing for, or on behalf of, any for-profit commercial firm or other commercial purpose should not be done without the explicit permission of the corresponding publisher.
Quantitative Economics, 12 (4), 2021, 1085-1138
Journal of Economic Literature, 59 (4), 2021, 1135-1190
The Econometrics Journal, 24 (1), 2021, C1-C32
Journal of Business and Economic Statistics, 39 (1), 2021, 307-324
Journal of Monetary Economics, 110, 2020, 1-18
Journal of Econometrics, 208 (2), 2019, 638-657
Journal of International Economics, 118, 2019, 419-447
Journal of International Money and Finance, 88 (1), 2018, 242-259
Empirical Economics, 53 (1), 2017, 41-62
Journal of Econometrics, 196 (1), 2017, 55-67
Journal of Applied Econometrics, 31 (3), 2016, 507-532
Heterogeneous Consumers and Policy Shocks (with E. Anderson and A. Inoue)
Journal of Money, Credit and Banking, 48 (8), 2016, 1877-1888
In-sample Inference and Forecasting in Misspecified Factor Models (with M. Carrasco)
Journal of Business and Economic Statistics, 34 (3), 2016, 313-338
Model Comparisons in Unstable Environments (with R. Giacomini)
International Economic Review, 57 (2), 2016, 369-392
Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models (with R. Giacomini)
Annual Review of Economics, 7, 2015, 207-229
Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions (with T. Sekhposyan)
American Economic Review: Papers and Proceedings, 105 (5), 2015, 650-55
Indices in Excel [+]
Can Oil Prices Forecast Exchange Rates? An Empirical Analysis of the Relationship between Commodity Prices and Exchange Rates (with D. Ferraro and K. Rogoff)
Journal of International Money and Finance, 54 (1), 2015, 116-141
Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set (with T. Sehkposyan)
International Journal of Forecasting, 30 (3), 2014, 662-682
Comment on Central Bank Macroeconomic Forecasting During the Financial Crisis: the European Central Bank and Federal Reserve Bank of New York Experiences by Alessi, Ghysels, Onorante, Peach and Potter
Journal of Business and Economic Statistics, 32 (4), 2014, 510-514
Conditional Predictive Density Evaluation in the Presence of Instabilities (with T. Sehkposyan)
Journal of Econometrics, 177 (2), 2013, 199-212
Comment on Taylor Rule Exchange Rate Forecasting during the Financial Crisis by T. Molodtsova and D. Papell
NBER International Seminar on Macroeconomics 2012, Chicago: University of Chicago Press, 2013
Do DSGE Models Forecast More Accurately Out-of-Sample than Reduced-Form Models? (with R. Gürkaynak and Burçin Kısacıkoğlu). In T. Fomby, L. Kilian and A. Murphy (eds.), “VAR Models in Macroeconomics, Financial Econometrics, and Forecasting – New Developments and Applications: Essays in Honor of Christopher A. Sims”, Advances in Econometrics, 32, 2013, 27-80
The Changing Relationship between Commodity Prices and Equity Prices in Commodity Exporting Countries
IMF Economic Review, 60 (4), 2012, 533-539
Out-of-Sample Forecast Tests Robust to the Choice of Window Size (with A. Inoue)
Journal of Business and Economic Statistics, 30 (3), 2012, 432-453
Simple Matlab code to implement the tests proposed in this paper [+]
Monte Carlo simulation codes [+]
Information Criteria for Impulse Response Function Matching Estimation of DSGE Models (with A. Hall, A. Inoue, and J. Nason)
Journal of Econometrics, 170 (2), 2012, 499-518
Matlab codes [+]
Comment on Forecast Rationality Tests Based on Multi-Horizon Bounds by A. Patton and A. Timmermann
Journal of Business and Economic Statistics, 30 (1), 2012, 25-29
Identifying the Sources of Instabilities in Macroeconomic Fluctuations (with A. Inoue)
The Review of Economics and Statistics, 93 (4), 2011, 1186-1204
Matlab codes: Main empirical results [+] · Additional Not-for-Publication Appendix [+]
What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations? (with S. Zubairy)
Journal of Money, Credit and Banking, 43 (6), 2011, 1247-1270
Not-for-Publication Appendix [+]
Testing for Weak Identification in Possibly Nonlinear Models (with A. Inoue)
Journal of Econometrics, 161 (2), 2011, 246-261
Have Models’ Forecasting Performance Changed over Time, and When? (with T. Sekhposyan)
International Journal of Forecasting, 26 (4), 2010, 808-835
Matlab codes [+] · Additional appendix [+]
Detecting and Predicting Forecasts Breakdowns (with R. Giacomini)
The Review of Economic Studies, 76 (2), 2009, 669-705
Matlab codes: Wald test variance [+] · Empirical [+] · Some Monte Carlos [+] · Maincodes [+]
Model Selection for Nested and Overlaping Non-linear and Possibly Misspecified Models (with M. Marcellino)
Oxford Bulletin of Economics and Statistics, 70 (s1), 2008, 867-893
Comment on Exchange Rate Models Are Not As Bad As You Think by C. Engel, N. Mark and K. West in D. Acemoglu, K. Rogoff and M. Woodford (eds.) NBER Macroeconomics Annual 2007, vol. 22, Chicago: Chicago University Press, 2008
Impulse Response Confidence Intervals for Persistent Data: What Have We Learned? (with E. Pesavento)
Journal of Economic Dynamics and Control, 31 (1), 2007, 2398-2412
Matlab codes [+]
Small Sample Confidence Bans for Multivariate Impulse Response Functions (with E. Pesavento)
Journal of Applied Econometrics, 21 (8), 2006, 1135-1155
Matlab codes [+] · Additional appendix [+]
Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability
Macroeconomic Dynamics, 10 (1), 2006, 20-38
Matlab codes [+] · Additional Matlab codes [+]
Conficence Intervals for Half-Life Deviations from Purchasing Power Parity
Journal of Business and Economic Statistics, 23 (4), 2005, 432-442
Matlab codes [+] · Additional figures [+]
Optimal Tests for Nested Model Selection with Underlying Parameter Instability
Econometric Theory, 21 (5), 2005, 962-990
Matlab codes [+]
Do Technology Shocks Drive Hours Up or Down? A Little Evidence from an Agnostic Procedure (with E. Pesavento)
Macroeconomic Dynamics, 9 (4), 2005, 478-488
Gauss codes [+]
Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle
International Economic Review, 46 (1), 2005, 61-92
Short Bio and Picture
Barbara Rossi is an ICREA Professor of Economics at Pompeu Fabra University. She previously has been an Associate Professor with tenure at the department of Economics at Duke University, after earning her Ph.D. from Princeton University. She is a Fellow of the International Association of Applied Econometrics, a Fellow of the Econometric Society, a CEPR Fellow, and currently serves as a Director of the International Association of Applied Econometrics. In the past, she served as a member of the Euro-Area Business Cycle Dating Committee.
Professor Rossi specializes in the fields of time series econometrics, as well as applied international finance and macroeconomics. Her current research focuses on forecasting and macroeconometrics. Professor Rossi has published her research findings in the Review of Economic Studies, Quarterly Journal of Economics, the Journal of Business and Economic Statistics, the International Economic Review, Econometric Theory, the Journal of Applied Econometrics, the Journal of Money, Credit and Banking, the Journal of Econometrics, the Journal of Monetary Economics, the Review of Economics and Statistics, the Journal of International Money and Finance and Macroeconomic Dynamics. She also wrote a chapter on “Advances in Forecasting under Model Instabilities” for the Handbook of Economic Forecasting (Elsevier-North Holland eds.), a chapter on “Forecasting in Macroeconomics” for the Handbook of Research Methods and Applications in Empirical Macroeconomics, and an article for the Journal of Economic Literature.
Along with her teaching and research responsibilities, Professor Rossi holds various other professional positions. She serves as the Editor of the Journal of Applied Econometrics. She has served as a coeditor of the International Journal of Central Banking, and associate editor of Quantitative Economics, an associate editor for the Journal of Business and Economic Statistics and the Journal of Economic Dynamics and Control. She was the Program Chair for the 2016 Econometric Society European Summer Meetings and the 2014 International Association of Applied Econometrics Conference.
Barbara Rossi’s research has been supported by the National Science Foundation through Grants NSF #0647627 and #1022125, the Marie Curie Fellowship program, the Spanish Ministry of Research and the ERC through Grant 615608.
Professor Rossi has presented her findings at a variety of professional conferences and meetings, including the Econometric Society Meetings, the SED meetings, the Joint Statistical Meetings, the NBER-NSF Time Series Conference, the NBER, the IAAE as well as the AEA meetings. She has held visiting researcher at the University of California-Berkeley, the University of Montreal in Canada, UC San Diego, the Federal Reserve Banks of Atlanta and Philadelphia, Norges Bank, Bank of France, the New York Fed and ENSAE-CREST in France.
- “Identifying the Sources of Model Misspecification”, (with C. H. Kuo and A. Inoue), Journal of Monetary Economics, 110, 2020, 1-18.
- “Alternative Tests for Correct Specification of Conditional Forecast Densities”, (with T. Sekhposyan), Journal of Econometrics, 208, 2019, 638-657.
- “Detecting and Predicting Forecast Breakdown”, (with R. Giacomini), Review of Economic Studies, 6 (2), 2009, 669-705.
- “Can Exchange Rates Forecast Commodity Prices?”, (with Y. Chen and K. Rogoff), Quarterly Journal of Economics, 125 (3), 2010, 1145-1194. Reprinted in: M. Taylor and M. Manzur (eds.), Recent Developments in Exchange Rate Economics, Edward Elgar.
- “Exchange Rate Predictability”, Journal of Economic Literature, 51 (4), 2013, 1063–1119.
- “Advances in Forecasting in Unstable Environments”, Handbook of Economic Forecasting, Vol. 2B, G. Elliott and A. Timmermann (eds.), Elsevier-North Holland, 2013, 1203-1324.
VAR-based Granger-causality Tests in the Presence of Instabilities, (with Y. Wang), Stata Journal, 19 (4), 2019, 883-899.
Implementing Tests For Forecast Evaluation in the Presence of Instabilities, (with M. Soupre), Stata Journal, 17 (4), 2017, 850-865.
Euro Area Business Cycle Dating Committee: Euro Area Out of Recession, in Unusually Weak Expansion, October 2015.
When Economic Models are Unable to fit the Data, What can Researchers do? (with A. Inoue and C. Kuo)
VoxEu.org, 24 November 2014.
Els Opuscles del CREI, 37, September 2014.
Eurozone Mired in Recession Pause (CEPR Business Cycle Dating Committee: D. Giannone, R. Gürkaynak, M. Merz, R. Portes, L. Reichlin, A. Ritschl, B. Rossi, P. Weil and K. Whelan)
VoxEu.org, 14 June 2014.
VoxEu.org, 14 November 2013.
Where Are Commodity Prices Headed Next? Look at the Exchange Rates (with Y. Chen and K. Rogoff)
VoxEu.org, 8 September 2008.