Copyright © Pierre L. Siklos, Professor of Economics. All rights reserved.
"The Transmission of Financial Shocks on a Global Scale: How Important Are They?", with G-C. Beaino and D. Lombardi, Emerging Market Finance and Trade (2019). The button to the right contains the raw data as well as an illustration of the Excel spreadsheet used with the GVAR Toolbox (version 2.0, in 2016).
The GVAR toolbox requires Matlab.
“Austerity and Recovery: Exchange Rate Regime Choice, Economic Growth and Financial Crises” (with M. Bohl and P. Michaelis), Economic Modelling (forthcoming). The raw data in Excel format can be downloaded here.
"Monetary Policy Spillovers: A Global Empirical Perspective", International Journal of Central Banking (2019), with D. Lombardi and S. St. Amand
Michael D. Bordo and Pierre L. Siklos (2016), "Central Bank Credibility: An Historical and Quantitative Exploration," NBER working paper w20824, in Central Banks At A Crossroads (Cambridge University Press, 2016), pp. 62-144. The raw data in Excel format can be downloaded here.
Essentially the same data were used in our paper "Central Banks: Evolution and innovation in Historical Perspective', in Sveriges Riksbank and the History of Central Banking (Cambridge University Press 2018), pp. 26-89.
“Cointegration and Threshold Adjustment” (with W. Enders, Universityof Alabama), Journal of Business and Economic Statistics 19 (April 2001): 166-177.
The RATS program and data that replicates our paper is available from the ESTIMA procedures and examples page at
In 2012, Eren Ocakverdi, Head of Analytical Modeling & Macroeconomic Research, Yapi Kredit Invest (TURKEY) has written an EVIEWS add-in which is available from http://www.eviews.com/cgi/ai_download.cgi?ID=tarcoint.aipz.
Note that the add-in is not as flexible as the original program. In particular, the threshold is assumed to be zero when this is often not the case. Still it is an extremely easy and useful quick test procedure.
“Not Quite as Advertized: Canada’s Managed Float During the 1950s and bank of Canada Intervention” European Review of Economic History 13 (December 2009): 413.-35.
An Excel file with the real time data can be downloaded here.
DATA AND PROGRAMS
I post datasets/code that might still be useful or have been requested on a regular basis
Centre for International Governance Innovation: working papers, policy briefs, and Op-Eds
C.D. Howe Institute: e-briefs, communiques, chapters in books
Research Papers in Economics: working papers and publications in progress
Social Science Research Network: working papers and publications in progress
From Michael Parkin and Robin Bade, MACROECONOMICS: Canada in the Global economic Environment, Eighth Edition (Toronto: Pearson, 2013)
Over my career I have done research in econometrics (time series analysis) while in recent years I have devoted more attention to monetary policy, central banking issues, and finance issues. I have also always been interested in how forecasts are made and change over time either because of inherent biases of forecasters or because of the policy regime in which the forecasts are prepared. I retain an abiding interest in how econometric techniques can be used to illuminate policy problems. I also have a great interest in examples and illustrations from economic history.
Previous and some ongoing papers of mine can be downloaded from several locations. They include:
"Quantifying the Impact of the November 2014 Shanghai-Hong Kong Stock Connect", International Review of Economics and Finance 58 (September 2018): 156-163.
"Benchmarking Macroprudential Policies: An Initial Assessment" (with D. Lombardi), Journal of Financial Stability (2016).
SELECTED WORK IN PROGRESS
“The Cross-Border Credit Channel: Implications for the Effectiveness of Unconventional Monetary Policies”, (with A. Filardo, BIS).
“Sixty Years of FOMC Minutes: Quantifying and Interpreting Their Links to the Macroeconomy”.
“Monetary Policy Setting in Australia, Canada, and the Euro Area: Insights From the Shadows” (with Domenico Lombardi and Samantha St. Amand, CIGI).
“Together or Apart? Monetary Policy Divergences in the G4” (with Samuel Howorth and Domenico Lombardi, CIGI).
“The Network Properties of Capital Flows: How Connected is the Global Financial System?”, with D. Lombardi and Joanna Wajda.
“Inflation and Monetary Policy: What South African Newspapers Report in an Era of Policy Transparency”, with M. Reid, Z. Bergman, S. du Plessis, and M. Max Bergman.
“No Single Definition of Central Bank Independence is Right for All Countries”, European Journal of Political Economy 24 (December 2008): 802-16.
An Excel file with the cross-country central bank independence and other institutional data can be downloaded here.
Centre for Applied Macroeconomic Analysis
"Monetary Policy Transmission in Systemically Important Economies and China’s Impact" (with D. Lombardi and X. Xie), Journal of Asian Economics (forthcoming) - The R code is a zipped file
RECENT AND FORTHCOMING PUBLICATIONS AND WORK IN PROGRESS
Occasionally, I will post some papers that are in progress but not quite ready for wider distribution.
None of these papers are to be quoted or cited without my permission.
Comments, of course, are more than welcome.
@ October 2018, Google Scholar h-index=36 (since 2007)
@ October 2018, Top 5% of authors in 30 categories, IDEAS
@ October 2018, Top 10% of authors on SSRN by all time downloads
"Monetary Policy Transmission in Systemically Important Economies: Is China Different?', with D. Lombardi and X. Xie Journal of Asian Economics (forthcoming)
"The Effectiveness of Unconventional Monetary Policies: A Survey of the International Evidence", Journal of Economic Surveys (forthcoming)
"The Transmission of Financial Shocks on a Global Scale: How Important Are They?", with D. Lombardo and G.-C. Beaino Emerging Market Finance and Trade (forthcoming)