Oscar Jorda

Federal Reserve Banks - Federal Reserve Bank of San Francisco

Research Advisor

101 Market Street

San Francisco, CA 94105

United States

http://www.frbsf.org/economic-research/economists/oscar-jorda/

University of California, Davis - Department of Economics

Professor

One Shields Drive

Davis, CA 95616-8578

United States

http://old.econ.ucdavis.edu/faculty/jorda/

SCHOLARLY PAPERS

41

DOWNLOADS
Rank 15,437

SSRN RANKINGS

Top 15,437

in Total Papers Downloads

4,019

SSRN CITATIONS
Rank 905

SSRN RANKINGS

Top 905

in Total Papers Citations

443

CROSSREF CITATIONS

824

Scholarly Papers (41)

1.
Downloads 649 ( 50,738)
Citation 73

A Model for the Federal Funds Rate Target

UC Davis Working Paper No. 99-07
Number of pages: 44 Posted: 09 Nov 1999
James D. Hamilton and Oscar Jorda
University of California at San Diego and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 588 (56,955)

Abstract:

Loading...

A Model for the Federal Funds Rate Target

NBER Working Paper No. w7847
Number of pages: 50 Posted: 15 Aug 2000 Last Revised: 29 Aug 2021
James D. Hamilton and Oscar Jorda
University of California at San Diego and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 61 (438,880)
Citation 9

Abstract:

Loading...

The Announcement Effect: Evidence from Open Market Desk Data

UC Davis Working Paper No. 01-04
Number of pages: 39 Posted: 25 Jul 2001
Selva Demiralp and Oscar Jorda
Koc University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 215 (176,140)
Citation 24

Abstract:

Loading...

Open market operations, announcement effect, term structure

The Announcement Effect: Evidence from Open Market Desk Data

Economic Policy Review, Vol. 8, No. 1, May 2002
Number of pages: 20 Posted: 20 Sep 2005
Selva Demiralp and Oscar Jorda
Koc University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 89 (353,553)

Abstract:

Loading...

open market operations, monetary policy

3.

Measuring Systematic Monetary Policy

UC Davis Working Paper No. 00-05
Number of pages: 64 Posted: 12 Dec 2000
Kevin D. Hoover and Oscar Jorda
Duke University - Departments of Economics and Philosophy and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 272 (140,252)
Citation 2

Abstract:

Loading...

systematic monetary policy, VAR, structural break

4.

The Transmission of Monetary Policy Via Announcement Effects

UC Davis Working Paper No. 99-06
Number of pages: 45 Posted: 12 Oct 1999
Selva Demiralp and Oscar Jorda
Koc University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 269 (141,882)
Citation 10

Abstract:

Loading...

The Carry Trade and Fundamentals: Nothing to Fear But Feer Itself

NBER Working Paper No. w15518
Number of pages: 38 Posted: 17 Nov 2009 Last Revised: 29 Aug 2021
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 251 (151,495)

Abstract:

Loading...

The Carry Trade and Fundamentals: Nothing to Fear But Feer Itself

CEPR Discussion Paper No. DP7568
Number of pages: 40 Posted: 11 Jan 2010
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 12 (721,334)
Citation 7
  • Add to Cart

Abstract:

Loading...

efficient markets hypothesis, foreign exchange market

6.

Model-Free Impulse Responses

UC Davis Working Paper No. 03-08
Number of pages: 42 Posted: 06 Nov 2003
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 235 (162,078)

Abstract:

Loading...

impulse response function, local projection, vector autoregression, nonlinear

7.

Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency Fx Data

UC Davis Working Paper No. 00-02
Number of pages: 43 Posted: 14 Jun 2000
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 191 (196,707)
Citation 1

Abstract:

Loading...

8.

Joint Inference and Counterfactual Experimentation for Impulse Response Functions By Local Projections

U.C. Davis Working Paper No. 06-24R
Number of pages: 47 Posted: 17 Sep 2006
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 144 (250,002)
Citation 1

Abstract:

Loading...

impulse response, local projections, time-profile bands, counterfactual

9.

Monetary Policy Coordination: A New Empirical Approach

UC Davis Working Paper No. 01-02
Number of pages: 44 Posted: 25 Feb 2001
Paul R. Bergin and Oscar Jorda
University of California, Davis - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 136 (261,545)
Citation 1

Abstract:

Loading...

monetary policy, international coordination, interest rate targets

10.

Leveraged Bubbles

CESifo Working Paper Series No. 5489
Number of pages: 36 Posted: 22 Sep 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 128 (273,774)
Citation 3

Abstract:

Loading...

boom, bust, bank lending, debt overhang, crises, local projections

11.

The Pavlovian Response of Term Rates to Fed Announcements

UC Davis Working Paper No. 99-06R
Number of pages: 47 Posted: 12 Dec 2000
Oscar Jorda and Selva Demiralp
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Koc University - Department of Economics
Downloads 121 (285,471)
Citation 3

Abstract:

Loading...

liquidity effect, announcement effect, term structure, marked point process

12.

Inference for Impulse Responses

Number of pages: 40 Posted: 20 Jul 2007
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 120 (287,207)
Citation 1

Abstract:

Loading...

impulse response, local projections, vector autoregressions

13.

The Response of Term Rates to Monetary Policy Uncertainty

UC Davis Working Paper No. 01-06
Number of pages: 33 Posted: 30 Jul 2001
Oscar Jorda and Kevin D. Salyer
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 110 (305,298)
Citation 4

Abstract:

Loading...

Limited participation, term structure, time-varying uncertainty

Sovereigns Versus Banks: Credit, Crises, and Consequences

CESifo Working Paper Series No. 4431
Number of pages: 44 Posted: 25 Oct 2013 Last Revised: 19 Feb 2014
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 99 (330,051)

Abstract:

Loading...

leverage, booms, recessions, financial crises, business cycles, local projections

Sovereigns Versus Banks: Credit, Crises, and Consequences

CEPR Discussion Paper No. DP9678
Number of pages: 35 Posted: 07 Oct 2013
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 0
Citation 17
  • Add to Cart

Abstract:

Loading...

booms, business cycles, financial crises, leverage, local projections, recessions

15.

Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons

NBER Working Paper No. w16567
Number of pages: 43 Posted: 06 Dec 2010 Last Revised: 29 Aug 2021
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 95 (336,552)
Citation 45

Abstract:

Loading...

Time Scale Transformations of Discrete Time Processes

U of California Davis Working Paper
Number of pages: 29 Posted: 26 Feb 2003
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 79 (380,502)

Abstract:

Loading...

time aggregation, time-scale transformation, irregularly spaced data, autoregressive conditional intensity model

Time-Scale Transformations of Discrete Time Processes

Number of pages: 22 Posted: 18 Oct 2004
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 13 (712,777)
Citation 1
  • Add to Cart

Abstract:

Loading...

17.

Sovereigns Versus Banks: Credit, Crises and Consequences

Institute for New Economic Thinking Working Paper Series No. 3
Number of pages: 43 Posted: 27 Mar 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 88 (353,116)

Abstract:

Loading...

18.

Estimation and Inference by the Method of Projection Minimum Distance

Number of pages: 68 Posted: 20 Jul 2007
Oscar Jorda and Sharon Kozicki
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bank of Canada
Downloads 82 (368,507)
Citation 5

Abstract:

Loading...

impulse response, local projection, minimum chi-square, minimum distance

19.

When Credit Bites Back: Leverage, Business Cycles and Crises

Institute for New Economic Thinking Working Paper Series No. 20
Number of pages: 42 Posted: 29 Oct 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 79 (376,652)
Citation 12

Abstract:

Loading...

20.

The Classification of Economic Activity

Number of pages: 43 Posted: 05 Nov 2009 Last Revised: 04 Mar 2013
Travis J. Berge and Oscar Jorda
Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 77 (382,217)
Citation 3

Abstract:

Loading...

21.

Currency Carry Trades

NBER Working Paper No. w16491
Number of pages: 29 Posted: 25 Oct 2010 Last Revised: 29 Aug 2021
Travis J. Berge, Oscar Jorda and Alan M. Taylor
Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 76 (385,108)
Citation 2

Abstract:

Loading...

22.

Betting the House

CESifo Working Paper Series No. 5147
Number of pages: 43 Posted: 16 Jan 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 75 (388,030)
Citation 3

Abstract:

Loading...

house prices, monetary policy, financial crises

23.

A Chronology of International Business Cycles Through Non-Parametric Decoding

Number of pages: 49 Posted: 08 Nov 2010
University of California, Davis - Department of Statistics, Academia Sinica - Institute of Mathematics, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of San Francisco
Downloads 67 (412,589)
Citation 7

Abstract:

Loading...

decoding, hierarchical factor segmentation, network analysis, business cycles

24.

Projection Minimum Distance: An Estimator for Dynamic Macroeconomic Models

UC Davis Economics Working Paper No. 06-27
Number of pages: 59 Posted: 01 Sep 2006
Oscar Jorda and Sharon Kozicki
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bank of Canada
Downloads 60 (436,339)
Citation 2

Abstract:

Loading...

GMM, impulse response, local projection, minimum distance

25.
Downloads 59 (439,844)
Citation 13

Path Forecast Evaluation

Number of pages: 45 Posted: 18 Jul 2008 Last Revised: 05 Feb 2014
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 57 (454,011)
Citation 3

Abstract:

Loading...

path forecast, simultaneous confidence region, error bands

Path Forecast Evaluation

CEPR Discussion Paper No. DP7009
Number of pages: 48 Posted: 18 Dec 2008
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Bocconi University - Department of Economics
Downloads 2 (809,377)
Citation 1
  • Add to Cart

Abstract:

Loading...

error bands, path forecast, simultaneous confidence region

26.

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

HKIMR Working Paper No.25/2014
Number of pages: 46 Posted: 25 Sep 2014
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 43 (504,053)
Citation 2

Abstract:

Loading...

Leverage, Recessions, Mortgage Lending, Financial Crises, Business Cycles, Local Projections

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and Their Long-Run Equilibrium

NBER Working Paper No. w15868
Number of pages: 31 Posted: 05 Apr 2010 Last Revised: 29 Aug 2021
Yanping Chong, Oscar Jorda and Alan M. Taylor
Winona State University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 39 (534,140)
Citation 1

Abstract:

Loading...

The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and Their Long-Run Equilibrium

CEPR Discussion Paper No. DP7902
Number of pages: 33 Posted: 19 Jul 2010
Yanping Chong, Oscar Jorda and Alan M. Taylor
Winona State University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 3 (798,587)
Citation 2
  • Add to Cart

Abstract:

Loading...

cointegration, Harrod-Balassa-Samuelson hypothesis, local projections, panel data

28.

Performance Evaluation of Zero Net-Investment Strategies

NBER Working Paper No. w17150
Number of pages: 42 Posted: 20 Jun 2011 Last Revised: 29 Aug 2021
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 23 (614,654)
Citation 1

Abstract:

Loading...

29.

The Total Risk Premium Puzzle

CEPR Discussion Paper No. DP13595
Number of pages: 59 Posted: 27 Mar 2019
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 4 (757,406)
Citation 1
  • Add to Cart

Abstract:

Loading...

Consumption-based asset pricing, Equity premium, housing premium, risk aversion

30.

Leveraged Bubbles

CEPR Discussion Paper No. DP10781
Number of pages: 37 Posted: 27 Aug 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 4 (757,406)
Citation 21
  • Add to Cart

Abstract:

Loading...

bank lending, boom, bust, crises, debt overhang, local projections

31.

When Credit Bites Back: Leverage, Business Cycles, and Crises

CEPR Discussion Paper No. DP8678
Number of pages: 39 Posted: 22 Dec 2011
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 4 (757,406)
Citation 106
  • Add to Cart

Abstract:

Loading...

business cycles, financial crises, leverage, local projections

32.

Bank Capital Redux: Solvency, Liquidity, and Crisis

CEPR Discussion Paper No. DP11934
Number of pages: 78 Posted: 27 Mar 2017 Last Revised: 16 Aug 2020
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Universitat Pompeu Fabra, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 3 (765,467)
Citation 5
  • Add to Cart

Abstract:

Loading...

bank liabilities, capital ratio, crisis prediction, financial crises, local projections, macroprudential regulation, Risk Taking

33.

Empirical Simultaneous Confidence Regions for Path-Forecasts

CEPR Discussion Paper No. DP7797
Number of pages: 51 Posted: 19 May 2010
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and Bocconi University - Department of Economics
Downloads 2 (774,925)
Citation 3
  • Add to Cart

Abstract:

Loading...

forecast uncertainty, path forecast, Scheffe;'s S-method, simultaneous confidence region

34.

Betting the House

CEPR Discussion Paper No. DP10305
Number of pages: 44 Posted: 23 Jan 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 1 (786,430)
Citation 33
  • Add to Cart

Abstract:

Loading...

credit, financial crises, house prices, instrumental variables, leverage, local projections, monetary policy

35.

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

CEPR Discussion Paper No. DP10161
Number of pages: 50 Posted: 25 Sep 2014
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 1 (786,430)
Citation 34
  • Add to Cart

Abstract:

Loading...

business cycles, financial crises, leverage, local projections, mortgage lending, recessions

36.

The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy

CEPR Discussion Paper No. DP9646
Number of pages: 39 Posted: 17 Sep 2013
Oscar Jorda and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco and University of California, Davis - Department of Economics
Downloads 1 (786,430)
Citation 27
  • Add to Cart

Abstract:

Loading...

allocation bias, austerity, average treatment effect, booms, fiscal policy, identification, inverse probability weighting, matching, multipliers, output fluctuations, slumps

37.

The Effects of Quasi-Random Monetary Experiments

CEPR Discussion Paper No. DP11801
Number of pages: 47 Posted: 30 Jan 2017 Last Revised: 04 Jun 2018
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 0 (803,409)
Citation 15
  • Add to Cart

Abstract:

Loading...

fixed exchange rates, instru- mental variables, interest rates, local average treatment effect, local projections, monetary experiments, trilemma

38.

Macrofinancial History and the New Business Cycle Facts

CEPR Discussion Paper No. DP11587
Number of pages: 58 Posted: 01 Nov 2016
Federal Reserve Banks - Federal Reserve Bank of San Francisco, University of Bonn - Department of Economics and University of California, Davis - Department of Economics
Downloads 0 (803,409)
Citation 58
  • Add to Cart

Abstract:

Loading...

credit, financial hockey stick, leverage, Macroeconomics, moments

39.

A Model of the Federal Funds Rate Target

Posted: 05 Nov 2002
James D. Hamilton and Oscar Jorda
University of California at San Diego and Federal Reserve Banks - Federal Reserve Bank of San Francisco

Abstract:

Loading...

40.

Random-Time Aggregation in Partial Adjustment Models

UC Davis Working Paper #97-32
Posted: 07 Feb 1998
Oscar Jorda
Federal Reserve Banks - Federal Reserve Bank of San Francisco

Abstract:

Loading...

41.

Improved Testing and Specification of Smooth Transition Regression Models

UC Davis Working Paper #97-26
Posted: 29 Nov 1997
Álvaro Escribano and Oscar Jorda
Universidad Carlos III de Madrid - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of San Francisco

Abstract:

Loading...