“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.
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.
Centre for Applied Macroeconomic Analysis
“Together or Apart? Monetary Policy Divergences in the G4” (with Samuel Howorth and Domenico Lombardi, CIGI), Open Economies Review (2019). NOTE that only the Consensus data are omitted from the data file as we are not permitted to circulate this data.
"Benchmarking Macroprudential Policies: An Initial Assessment" (with D. Lombardi), Journal of Financial Stability (2016).
From Michael Parkin and Robin Bade, MACROECONOMICS: Canada in the Global economic Environment, Eighth Edition (Toronto: Pearson, 2013)
Previous and some ongoing papers of mine can be downloaded from several locations. They include:
"Monetary Policy Transmission in Systemically Important Economies and China’s Impact" (with D. Lombardi and X. Xie), Journal of Asian Economics (2018) - The R code is a zipped file
“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.
"Ocean's Apart: China and Other Systemically Important Economies", with Hongi Chen, Hong Kong Institute for Economic Research working paper 04/2020, March.
The research was highlighted on Econbrowser, March 25, 2020
Social Science Research Network: working papers and publications in progress
"Quantifying the Impact of the November 2014 Shanghai-Hong Kong Stock Connect", International Review of Economics and Finance 58 (September 2018): 156-163.
Research Papers in Economics: working papers and publications in progress
"International Effects of Euro Area Forward Guidance", with Maximilan Bock and Martin Feldkircher, February 2020
C.D. Howe Institute: e-briefs, communiques, chapters in books
“Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach” (with Christian Gross), Journal of Applied Econometrics 35 (January-February): 61-81.
"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.
“Global Inflation Dynamics and Inflation Expectations” (with M. Feldkircher), International Review of Economics and Finance 64 (November): 217-41 .Type your paragraph here. make sure to look at the readme.txt file first.
Centre for International Governance Innovation: working papers, policy briefs, and Op-Eds
"The Cross-Border Credit Channel and Lending Standards Surveys: Implications for the International Transmission of Monetary Policies" (with A. Filardo),
Journal of International Financial Markets, Institutions and Money(forthcoming). A previous version appeared as BIS working paper 723, May 2018.
“Austerity and Recovery: Exchange Rate Regime Choice, Economic Growth and Financial Crises” (with M. Bohl and P. Michaelis), Economic Modelling. The raw data in Excel format can be downloaded here.
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.
"Metal Prices Made in China? A Network Analysis of Industrial Futures" (with M. Stefan, and C. Wellenreuther), Journal of Futures Markets (forthcoming).
"The Bank of Canada and Financial Stability: A New Mandate?" (with Michael Bordo) C.D. Howe Institute paper. Also see the Op-Ed in the Globe and Mail, November 24, 2019. A copy is available here. The link provides access to a separate appendix
"Monetary Policy Setting in Australia, Canada, and the EuroArea: Insights From the Shadows" (with Samantha St. Amand and D. Lombardi), Economic Record 95 (December 2019): 425-441.
"Monetary Policy Spillovers: A Global Empirical Perspective", International Journal of Central Banking (2019), with D. Lombardi and S. St. Amand
"Looking Into the Rear-View Mirror: Lessons from Japan for the Eurozone and the U.S.?" IMES Discussion Paper No. 202-E, Bank of Japan.
DATA AND PROGRAMS
I post datasets/code that might still be useful or have been requested on a regular basis. Some of my papers are jointly written with Ph.D. students at the Westfalisches Wilhems Universitat (University of Munster, Germany).
Visit here for the papers. Some data/program not available below requests should be addressed to my co-authors
Copyright © Pierre L. Siklos, Professor of Economics. All rights reserved.
"Sixty Years of FOMC Minutes", Southern Economics Journal 86 (January 2020): 1192-1213. , APPENDIX