Refereed Journal

Multivariate Methods for Monitoring Structural Change
With George Kapetanios and Simon Price
Journal of Applied Econometrics, Forthcoming
See also QMUL Working Paper No. 658

Financial Amplification of Foreign Exchange Risk Premia 
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  

A Real Time Evaluation of Bank of England Forecasts of Inflation and Growth 
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 Premia 
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 Panel 
Journal of Money, Credit, and Banking, 2005, Vol. 37, pp. 495-516

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

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

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

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

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

Other Publications

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.62-71

Jan J. J. Groen's CV

The 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.