My research interests are quite broad, ranging from Econometrics and Applied Macroeconomics to Empirical Finance

"Asymmetric effects of uncertainty shocks: a FAIR approach", with Hyejin Park 


“Conditional Moment Restrictions Estimation of the New Keynesian Phillips Curve”, with Luis Martins


S. Julião, Setúbal

© V. J. Gabriel


R. Sta. Catarina, Setúbal

© V. J. Gabriel


Institutional Arrangements and Inflation Bias: A Dynamic Heterogeneous Panel Approach” (2022), Journal of Money, Credit and Banking, with Diana Lima and Ioannis Lazopoulos, forthcoming.

[Replication files][Supplementary Appendix]

[SUERF Policy Brief]

“The inflation-unemployment trade-off: empirical considerations and a simple US-Euro Area comparison” (2022), Notas Económicas, forthcoming, with Youg-Bae Kim, Luis Martins and Paul Middleditch.

“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]

Policy Mandates and Institutional Architecture” (2019), Journal of Banking and Finance, 100, 122-134, with Ioannis Lazopoulos.

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 Fernando Alexandre and Pedro Bação.


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.


The Consumption-Wealth Ratio under Asymmetric Adjustment” (2008), Studies in Nonlinear Dynamics and Econometrics, 12, 1-32.


Volatility in asset prices and long-run wealth effect estimates” (2007), Economic Modelling, 24, 1048-1064, with Pedro Bacao 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.

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.

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.

"Testes de Alteração de Estrutura em Modelos Multivariados: uma visita guiada pela literatura” (2002), Notas Económicas, 16, 16-33.


"Monetary Growth Rules in an Emerging Open Economy", with Maryam Mirfatah and Paul Levine, revise-and-resubmit.

[WP version][Replication files][Supplementary Appendix]

“GMM Model Averaging Using Higher Order Approximations”, with Luis Martins, revise-and-resubmit.

[Replication files]

“Modelling Low-Frequency Covariability of Paleoclimatic Data“, with Anthoulla Phella and Luis Martins, reject-and-resubmit.

“Partial Dollarization and Financial Frictions in Emerging Economies”, with Paul Levine and Bo Yang, revise-and-resubmit

"Imperfect Exchange Rate Pass-through: Empirical Evidence and Monetary Policy Implications", with Maryam Mirfatah and Paul Levine

“Predicting tail risks and the evolution of temperatures”, with Anthoulla Phella and Luis Martins


Academia Luisa Todi, Setúbal

© V. J. Gabriel


 “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.

[Working paper version]


The science and art of DSGE modelling: I – construction and Bayesian estimation" (2013)



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.

[Working paper version]

[Replication files]