Department of Economics
223L Gatton College of
Business and Economics
University of Kentucky
Lexington, KY 40506-0034

Office: B&E 223L
Phone: (859) 257-1119
Fax: (859) 323-1920
amherrera@uky.edu

Research

Work in Progress and/or Submitted

"Nonparametric Local Projections" (with Silvia Goncalves, Lutz Kilian and Elena Pesavento).

"Monetary Policy and Credit Flows: A Tale of Two Effective Lower Bounds" (with Timothy Bianco).

Publications

Journal Articles

"State-Dependent Local Projections" (with Silvia Goncalves, Lutz Kilian and Elena Pesavento), Appendix, forthcoming Journal of Econometrics. This paper was previously criculated under the title "When do state-dependent local projections work?". Codes

"Financial Liberalization, Credit Market Dynamism and Allocative Efficiency" (with Raoul Minetti and Matthew Schaffer), (Appendix), forthcoming Journal of Money, Credit and Banking.

"Oil News Shocks and the U.S. Stock Market" (with Zeina Alsalman and Sandeep Kumar Rangaraju), forthcoming Energy Economics (Appendix).

"Oil Price Volatility, Endogenous Regime Switching and Inflation Anchoring" (with Yoosoon Chang and Elena Pesavento), Journal of Applied Econometrics, Volume 38, Issue 6, 820-839, September/October, 2023.(Appendix).

"Policy and Misallocation: Evidence from Chinese Firm-Level Data" (with Guowen Chen and Steven Lugauer), European Economic Review 149, 104260, 2022. 6*, 2022. (Appendix).

"Tax News in Good and Bad Times" (with Sandeep Kumar Rangaraju), Economics Letters, Vol. 207, October 2021. (Appendix).

"Impulse response analysis for structural dynamic models with nonlinear regressors" (with Silvia Goncalves, Lutz Kilian and Elena Pesavento), Journal of Econometrics, Vol 225, Issue 1, 107-130, November 2021.(Appendix). Generic Matlab code for computing plug-in estimator of structural impulse responses in stationary model with nonlinearly transformed regressors, Plugin Code, Matlab code for replicating Figure 5, Fig5 Code.

"The Effect of Oil Supply Shocks on U.S. Economic Activity: What Have We Learned?" (with Sandeep Kumar Rangaraju), Journal of Applied Econometrics, Vol.32, Issue 2, pp. 141-159, March 2020. (Appendix).

"The Quantitative Effects of Tax Foresight: Not All States Are Equal" (with Sandeep K. Rangaraju), Journal of Economic Dynamics and Control, Vol. 107, 103726, Octover 2019.(Appendix).

"Oil Price Shocks and U.S. Economic Activity", (with Mohamad B. Karaki and Sandeep Kumar Rangaraju), Energy Policy, Vol. 129, 89-99, June 2019.

"Forecasting Crude Oil Price Volatility", (with Liang Hu and Daniel Pastor), International Journal of Forecasting, Vol. 34, No. 4, 622-635, December 2018.

"Oil Price Shocks, Inventories and Macroeconomic Dynamics", Macroeconomic Dynamics, Vol. 22, Issue 3, 620-639, April 2018. (Appendix).

"Where Do Jobs Go When Oil Prices Drop?", (with Mohamad B. Karaki and Sandeep Kumar Rangaraju), Energy Economics, Vol. 64, 469-483, May 2017. (Appendix).

"The Effects of Oil Price Shocks on Job Reallocation" (with Mohamad B. Karaki), Journal of Economic Dynamics and Control, Vol. 61, Issue C, 95-113, 2015. Previously circulated under the title "Another Look at the Effects of Oil Shocks on Labor Reallocation". (Appendix).

"Oil Price Shocks and the U.S. Stock Market: Do Sign and Size Matter?" (with Zeina Alsalman), The Energy Journal, Vol. 36, No. 3, 171-188, July 2015. (Appendix)

“Asymmetries in the Response of Economic Activity to Oil Price Increases and Decreases?” (with Latika G. Lagalo and Tatsuma Wada), Journal of International Money and Finance, Vol. 50, 108-133, February 2015. Previously circulated under the titles "Nonlinearities in the Oil Price-Industrial Production Relationship: Evidence from 18 OECD Countries" and "Asymmetries in the Transmission of Oil Price Shocks to Industrial Production? Evidence from 18 OECD Countries", (Appendix).

"Dynamic Pricing and Asymmetries in Retail Gasoline Markets: What Do They Tell Us About Price Stickiness?" (with Christopher Douglas), Economics Letters, Vol. 112, No. 2, 247-252, February 2014.

"Unit Roots, Cointegration and Pre-Testing in VAR Models" (with Nikolay Gospodinov and Elena Pesavento), Advances in Econometrics: VAR Models in Macroeconomics - New Developments and Applications: Essays in Honor of Christopher A. Sims, Vol. 32, 81-115, 2013.

"Credit Reallocation" (with Marek Kolar and Raoul Minetti), Journal of Monetary Economics, Vol.58, Issues 6–8, 551–563, September–November 2011.

"Oil Price Shocks and Industrial Production: Is the Relationship Linear?" (with Latika Gupta Lagalo and Tatsuma Wada), Macroeconomic Dynamics, Vol. 15 (S3), 472-497, November 2011. (Appendix and Full version).

"Testing for the Cartel in OPEC: Noncooperative Collusion or Just Noncooperative?" (with Pedro Almoguera and Christopher Douglas), Oxford Review of Economic Policy, Vol.27 No.1, 144-168, Spring 2011. Previously circulated under the title "A Study of OPEC Cartel Stability".

"Dynamic censored regression and the Open Market Desk reaction function" (with Robert de Jong), Journal of Business & Economic Statistics, Vol.29, No.2, 228-237, April 2011. (Full version)

"Why are Gasoline Prices Sticky? A Test of Alternative Models of Price Adjustment" (with Christopher Douglas), Journal of Applied Econometrics, Vol. 25, No.6, 903-928, September/October 2010.

"Oil Price Shocks, Systematic Monetary Policy and the 'Great Moderation'" (with Elena Pesavento), Macroeconomic Dynamics, Vol.13, No.1, 107-137, February 2009.

"The Comovement between Inventory Investment and Sales: Higher and Higher" (with Irina Murtashazvili and Elena Pesavento), Economics Letters, Vol.99, No.1, 155-158, April 2008.

"Informed Finance and Technological Change: Evidence from Credit Relationships" (with Raoul Minetti), Journal of Financial Economics, Vol.83, No.1, 223-269, January 2007.

"The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment" (with Elena Pesavento). Previously circulated under the title "The Decline in US Output Volatility: Structural Change in Inventories or Sales?", Journal of Business & Economic Statistics, Vol.23, No.4, October 2005.

"Why So Small? Explaining the Size of Firms in Latin America" (with Eduardo Lora), The World Economy, Vol.28, No.7, July 2005.

"Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy" (with James D. Hamilton), Journal of Money, Credit, and Banking, Vol.36, No.2, April 2004.

Other Articles, Books and Book Chapters

"Tax Incidence in Colombia: A General Equilibrium Analysis" (with Eduardo Lora), in Fiscal Reform, Stabilization and Structural Adjustment in Developing Countries (Guillermo Perry, John Whalley and Gary McMahon, eds.), St. Martin's Press, New York, 2000, 18-50.

"Fiscal Reform, Stabilization and Structural Adjustment in Colombia" (with Guillermo Perry), in Fiscal Reform, Stabilization and Structural Adjustment in Developing Countries (Guillermo Perry, John Whalley and Gary McMahon, eds.), St. Martin's Press, New York, 2000, 51-91.

"Ingresos Rurales y Evolución Macroeconómica" (with Eduardo Lora), in Competitividad sin Pobreza: Estudios para el Desarrollo del Campo en Colombia, D.N.P.-World Bank, Bogotá, Colombia, 1994, 31-54.

Public Finance, Stabilization and Structural Reform in Latin America. Inter-American Development Bank, Washington, D.C., 1994, (with Guillermo Perry).

Old Working Papers

"Just-in-Time Inventories and Business Cycles" (with Yong-Gook Jung and Robert J. Rossana).

A Dynamic Model of Central Bank Intervention: Evidence from Turkey (with Pinar Özbay)

Bribery and the Nature of Corruption (with Lebohang Lijane and Peter Rodriguez),

Predicting U.S. Recessions Using an Autoregressive Conditional Binomial Model