“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.
“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.
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)
RECENT AND FORTHCOMING PUBLICATIONS
"Government Bond Yields At The Effective Lower Bound: International Evidence" Contemporary Economic Policy (with Domenico Lombardi and Samantha Sr. Amand), forthcoming.
"Central Bank Credibility Before and After the Crisis" (with Michael Bordo), Open Economies Review (2016).
"Macroeconomic Consequences of the Real-Financial Nexus: Imbalances and Spillovers Between China and the U.S." (with Ke Pang), Journal of International Money and Finance 65 (July 2016): 195-212.
“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.
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.
Research Papers in Economics: working papers and publications in progress
Previous and some ongoing papers of mine can be downloaded from several locations. They include:
“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.
“Central Bank Transparency: An Updated Look”, Applied Economics Letters 18 (July 2011): 929-33.
The central bank transparency index data can be obtained (in Excel format) from the Central Bank Communication Network website, http://www.central-bank-communication.net/.
Note that the data are up to 2011. A version which updates data until 2013 will be made available sometime early 2017.
Centre for International Governance Innovation: working papers, policy briefs, and Op-Eds
C.D. Howe Institute: e-briefs, communiques, chapters in books
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.
@ January 2017, Google Scholar h-index=32 (since 2007)
@ January 2017, Top 5% of authors in 26 categories, IDEAS
Michael D. Bordo and Pierre L. Siklos (2015), "Central Bank Credibility: An Historical and Quantitative Exploration," NBER working paper w20824, forthcoming in Of the Uses of Central Banks: Lessons From History (Cambridge University Press, 2016), The raw data in Excel format can be downloaded here.
SELECTED WORK IN PROGRESS
“Price Discovery in Chinese Index Futures Markets” (with J. Diesteldorf and M. Bohl).
“Monetary Policy Spillovers: A Global Empirical Perspective” (with D. Lombardi, S. St. Amand)
"Monetary Policy, Medium and Long-Term Yields at the Effective Lower Bound: International Evidence" (with D. Lombardi, S. St. Amand)
“Short-Selling Bans and the Global Financial Crisis: Are They Inter-Connected?” (with M. Bohl and B. Essid).
"The Cross-Border Credit Channel: Implications for the Effectiveness of Unconventional Monetary Policy" (with A. Filardo)
"Together or Apart? Monetary Policy Divergences in the G4" (with D. Lombardi and S. Howorth)
"The Speculative Component in Chinese Agricultural Commodity Prices" (with M. Bohl and C. Wellenreuther)
"The Transmission of Financial Shocks on a Global Scale: How Important Are They?" (with D. Lombardi and G.-C. Beaino)
"Second Guessing Monetary Policy Decisions: The Preferences of Central Bankers and Policy Committees" (with D. Lombardi and S. St. Amand)
DATA AND PROGRAMS
I post datasets/code that might still be useful or have been requested on a regular basis
Copyright © Pierre L. Siklos, Professor of Economics. All rights reserved.
"Benchmarking Macroprudential Policies: An Initial Assessment" (with D. Lombardi), Journal of Financial Stability (2016).