Contact Information
202-452-3605
jonathan.h.wright@frb.gov

Fields of Interest
Econometrics and Statistics
Financial Markets
Macroeconomics

Education
Ph.D., Economics, Harvard University, 1997
M.Sc., Econometrics, London School of Economics, 1991
B.A., Economics, Trinity College, Dublin, 1990

Professional Experience
Board of Governors of the Federal Reserve System, 1999-present
Associate Editor, Journal of Applied Econometrics, 2007-present
Visiting Professor, University of Pennsylvania, 2006-2007
Associate Editor, Journal of Business and Economic Statistics, 2004-present
Assistant Professor, University of Virginia, 1997-1999

Selected Publications

• ''Forecasting Professional Forecasters'' (with Eric Ghysels), Journal of Business and Economic Statistics (forthcoming).
• ''The U.S. Treasury Yield Curve: 1961 to the Present'' (with Refet S. Gurkaynak and Brian Sack), Journal of Monetary Economics (forthcoming).
• ''Cracking the Conundrum'' (with David Backus), Brookings Papers on Economic Activity, vol. 1 (2007), pp. 293-329.
• ''The High Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements'' (with Jon Faust, John H. Rogers, and Shing-Yi B. Wang), Journal of Monetary Economics, vol. 54 (2007), pp. 1051-1068.
• ''Uncovered Interest Parity: It Works, but not for long'' (with Alain Chaboud), Journal of International Economics, vol. 66 (2005), pp. 349-362.
• ''News and Noise in G-7 GDP Announcements'' (with Jon Faust and John H. Rogers), Journal of Money, Credit and Banking, vol. 37 (2005), pp. 403-419.
• ''Identifying VARs Based on High Frequency Futures Data'' (with Jon Faust and Eric T. Swanson), Journal of Monetary Economics, vol. 51 (2004), pp. 1107-1131.
• ''Exchange Rate Forecasting: The Errors We've Really Made'' (with Jon Faust and John H. Rogers), Journal of International Economics, vol. 60 (2003), pp. 35-59.
• ''Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High Frequency Data'' (with Jon Faust, John H. Rogers, and Eric T. Swanson), Journal of the European Economic Association, vol. 1 (2003), pp. 1031-1057.
• ''Detecting Lack of Identification in GMM,'' Econometric Theory, vol. 19 (2003), pp. 322-330.
• ''A Survey of Weak Instruments and Weak Identification in GMM'' (with James H. Stock and Motohiro Yogo), Journal of Business and Economic Statistics, vol. 20 (2002), pp. 518-529.
• ''High Frequency Data, Frequency Domain Inference and Volatility Forecasting'' (with Tim Bollerslev), Review of Economics and Statistics, vol. 83 (November 2001), pp. 596-602.
• ''GMM With Weak Identification'' (with James H. Stock), Econometrica, vol. 68 (September 2000), pp. 1055-1096.
• ''Log-Periodogram Estimation of Long Memory Volatility Dependencies with Conditionally Heavy Tailed Returns,'' Econometric Reviews, vol. 21 (2002), pp. 397-417.
• ''Semiparametric Estimation of Long-Memory Volatility Dependencies: The Role of High Frequency Data'' (with Tim Bollerslev), Journal of Econometrics, vol. 98 (September 2000), pp. 81-106.
• ''Confidence Intervals for Univariate Impulse Responses with a Near Unit Root,'' Journal of Business and Economic Statistics, vol. 18 (July 2000), pp. 368-373.
• ''Confidence Sets for Cointegrating Coefficients Based on Stationarity Tests,'' Journal of Business and Economic Statistics, vol. 18 (April 2000), pp. 211-222.
• ''Alternative Variance-Ratio Tests Using Ranks and Signs,'' Journal of Business and Economic Statistics, vol. 18 (January 2000), pp. 1-9.
• ''The Local Asymptotic Power of Certain Tests for Fractional Integration,'' Econometric Theory, vol. 15 (October 1999), pp. 704-709.
• ''Testing for a Unit Root in the Volatility of Asset Returns,'' Journal of Applied Econometrics, vol. 14 (1999), pp. 309-318.