My research interests are quite broad, ranging from Econometrics and Applied Macroeconomics to Empirical Finance and Economic History
WORK IN PROGRESS
"Down to the Last of the Mohicans: Disease, Trade and Conflict in the Great Lakes", with Paul Levine and Neil Rickman
"Estimating the impact of monetary policy shocks: a model averaging approach", with Roshni Tara.
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"Asymmetric effects of uncertainty shocks: a FAIR approach", with Hyejin Park and Mohamed Zahran
“Conditional Moment Restrictions Estimation of the New Keynesian Phillips Curve”, with Luis Martins
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S. Julião, Setúbal
© V. J. Gabriel
R. Sta. Catarina, Setúbal
© V. J. Gabriel
PUBLICATIONS
"LAMP, Informality and Monetary Growth Rules in an Emerging Economy", Economic Modelling, with Maryam Mirfatah and Paul Levine, conditionally accepted.
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“Predicting tail risks and the evolution of temperatures” (2024), Energy Economics, 131, 107286, with Anthoulla Phella and Luis Martins.
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“GMM Model Averaging Using Higher Order Approximations”, (2023), Econometrics and Statistics, with Luis Martins, forthcoming.
[Replication files][Supplementary Appendix]
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“Partial Dollarization and Financial Frictions in Emerging Economies” (2023), Review of International Economics, 31(2), 609-651, with Paul Levine and Bo Yang.
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“Institutional Arrangements and Inflation Bias: A Dynamic Heterogeneous Panel Approach” (2023), Journal of Money, Credit and Banking, 55(1), 43-76, with Diana Lima and Ioannis Lazopoulos.
[Replication files][Supplementary Appendix]
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“The inflation-unemployment trade-off: empirical considerations and a simple US-Euro Area comparison” (2022), Notas Económicas, 54, 7-26, with Youg-Bae Kim, Luis Martins and Paul Middleditch.
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“Individual incentives and workers’ contracts: evidence from a field experiment” (2021), Oxford Economic Papers, 73, 248-272, with Ali Choudhary and Neil Rickman.
[Replication files] [Supplementary Appendix]
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“Policy Mandates and Institutional Architecture” (2019), Journal of Banking and Finance, 100, 122-134, with Ioannis Lazopoulos.
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“Modelling long run comovements in equity markets: A flexible approach” (2014), Journal of Banking and Finance, 47, 288-295, with Luis Martins.
“Linear Instrumental Variables Model Averaging Estimation" (2014), Computational Statistics and Data Analysis, 71, 709-724, with Luis Martins.
”Time varying cointegration, identification and cointegration spaces” (2013), Studies in Nonlinear Dynamics and Econometrics, 17, 199-210, with Luis Martins.
”Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship” (2011), Empirical Economics, 41, 639-662, with Luis Martins.
“Assessing Fiscal Sustainability Subject to Policy Changes: a Markov Switching Cointegration Approach” (2011), Empirical Economics, 41(2), 371-385, with Pataaree Sangduan.
“The cost channel reconsidered: a comment using an identification-robust approach” (2010), Journal of Money, Credit and Banking, 42, 1703-1712, with Luis Martins.
“An Efficient Test for Fiscal Sustainability” (2010), Applied Economics Letters, 17, 1819-1822, with Pataaree Sangduan.
”Soft landing in a Markov-Switching economy” (2010), Economics Letters, 107, 169-172, with Pedro Bação and Fernando Alexandre.
”How forward-looking is the Fed? Direct estimates from a `Calvo-type’ rule” (2009), Economics Letters, 104, 92-95, with Paul Levine and Christopher Spencer.
“New Keynesian Phillips Curves and Potential Identification Failures: a Generalized Empirical Likelihood Analysis” (2009), Journal of Macroeconomics, 31, 561-571, with Luis Martins.
“Is there really a gap between aggregate productivity and technology?” (2009), Applied Economics, 41, 3499-3503, with Ali Choudhary.
“The Consumption-Wealth Ratio under Asymmetric Adjustment” (2008), Studies in Nonlinear Dynamics and Econometrics, 12, 1-32, with Pedro Bação and Fernando Alexandre.
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“Volatility in asset prices and long-run wealth effect estimates” (2007), Economic Modelling, 24, 1048-1064, with Pedro Bação and Fernando Alexandre.
“On the forecasting abilitiy of ARFIMA models when infrequent breaks occur” (2004), Econometrics Journal, 7, 455-475, with Luis Martins.
“Tests for the Null Hypothesis of Cointegration: A Monte Carlo Comparison” (2003), Econometric Reviews, 22 (4), 411-435.
“Cointegration and the joint confirmation hypothesis“ (2003), Economics Letters, 78, 17-25.
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“Instability in cointegration regressions: a brief review with an application to money demand in Portugal” (2003), Applied Economics, 35, 893-900, with Artur C. B. Lopes and Luis C. Nunes.
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“A simple method of testing for cointegration subject to multiple regime changes“ (2002), Economics Letters, 76 (2), 213-221, with Martin Sola and Zacharias Psaradakis.
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"Testes de Alteração de Estrutura em Modelos Multivariados: uma visita guiada pela literatura” (2002), Notas Económicas, 16, 16-33.
SUBMITTED PAPERS
"Climate change: across time and frequencies", with Luis Aguiar-Conraria, Luis Martins and Anthoulla Phella, revise-and-resubmit.
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"Persistent Cycles and Long-run Covariability in Paleoclimate Time Series", with Anthoulla Phella and Luis Martins, revise-and-resubmit.
“Modelling Low-Frequency Covariability of Paleoclimatic Data“, with Anthoulla Phella and Luis Martins, reject-and-resubmit.
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"Imperfect Exchange Rate Pass-through: Empirical Evidence and Monetary Policy Implications", with Maryam Mirfatah and ​Paul Levine
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Academia Luisa Todi, Setúbal
© V. J. Gabriel
BOOK CHAPTERS
“An Estimated DSGE Open Economy Model of the Indian Economy with Financial Frictions” (2016), with Paul Levine and Bo Yang B, Monetary Policy in India A Modern Macroeconomic Perspective (Eds. C. Ghate C and K. Kletzer), Springer.
“The science and art of DSGE modelling: I – construction and Bayesian estimation" (2013)
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“The science and art of DSGE modelling: II – model comparisons, model validation, policy analysis and general discussion" (2013), with Cristiano Cantore, Paul Levine, Joseph Pearlman and Bo Yang, Handbook of Research Methods and Applications in Empirical Macroeconomics (Ed. Nigar Hashimzade and Michael A. Thornton), Edward Elgar.
“An estimated DSGE of the Indian economy" (2012), with Paul Levine, Joseph Pearlman and Bo Yang, Oxford Handbook of the Indian Economy (Ed. Chetan Ghate), Oxford University Press, New York.