Professor Shaun Vahey
Shaun is Professor of Economic Modelling and Forecasting at the University of Warwick and Research Associate at CAMA (ANU). He has previously worked at the Bank of England, Norges Bank, and the Reserve Bank of New Zealand.
Shaun’s current research interests include macro and money, with a particular interest in fiscal rules and macro forecasting.
- “Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian Copula Model of cross-Sectional and serial dependence”, (with Smith, M. S.), Journal of Business & Economic Statistics , 34, 3, 416-434, 2016.
- “Forecast densities for economic aggregates from disaggregate ensembles”, (with Ravazzolo, F.), Studies in Nonlinear Dynamics and Econometrics, Volume 18, Number 4, 367-381, 2014.
- “Measuring output gap nowcast uncertainty”, (with Garratt, A. and Mitchell, J.) International Journal of Forecasting, Volume 30, Number 2, 268-279, 2014.
- “UK World War I and interwar data for business cycle and growth analysis”, (with Nason, J. M.), Cliometrica, Volume 6, Number 2, 115-142, 2012.
- “Combining VAR and DSGE forecast densities”, (with Wolden Bache, I., Jore, A. S. and Mitchell, J.) Journal of Economic Dynamics and Control, Vol.35, No.10, 1659-1670, 2011.
- “Real-time inflation forecast densities from ensemble Phillips curves”, (with Garratt, A., Mitchell, J. and Wakerly, E. C.) The North American Journal of Economics and Finance, Volume 22, Number 1, 77-87, 2011.
- “Combining forecast densities from VARs with uncertain instabilities”, (with Jore, A. S. and Mitchell, J.) Journal of Applied Econometrics, Vol.25, No.4, 621-634, 2010.
- “RBCs and DSGEs : the computational approach to business cycle theory and evidence”, (with Karagedikli, Ö., Matheson, T. D. and Smith, C.) Journal of Economic Surveys, Volume 24, Number 1, 113-136, 2010.
- “Real-time prediction with U.K. monetary aggregates in the presence of model uncertainty”, (with Garratt, A., Koop, G. and Mise, E.) Journal of Business & Economic Statistics , Volume 27, Number 4, 480-491, 2009.
- “Forecasting substantial data revisions in the presence of model uncertainty”, (with Garratt, A. and Koop, G.) The Economic Journal, Volume 118, Number 530, 1128-1144, 2008.