PhD, Economics, Georgetown University, Washington DC 2004 MA, Economics, Georgetown University, Washington DC 2002 MSc, Economics and Econometrics, Bristol University, Bristol, UK, 2000 BSc, Economics, London School of Economics and Political Science, London, UK 1998
Research Interests Monetary Economics, Open Economy Macroeconomics, Nonlinear Time Series Econometrics, Macroeconomics, Machine Learning
My research interests lie in the areas of macroeconomics, monetary economics, open economy macroeconomics, machine learning applications to macroeconomics, threshold models and models that incorporate nonlinear dynamics. I have published the results of my research in peer-reviewed journals like the Journal of International Economics, Journal of International Money and Finance, Quarterly Review of Economics and Finance, Economics Letters, Journal of Economics and Finance, Applied Economics, and am currently working on several research projects.
Broadly speaking, much of my current research involves examining the dynamics of macroeconomic variables and the underlying persistence of shocks hitting the macroeconomy. I am interested in understanding the transmission mechanism of monetary policy and its effects on the macroeconomy. My other research interests involve examining the time series properties and dynamics of both nominal and real exchange rates, as well as other macroeconomic variables.
Teaching Experience
UW - Whitewater Principles of Macroeconomics, ECON 202 Money and Banking, ECON 354 Business Cycle Theory, ECON 402 Intermediate Macroeconomics, ECON 302 Advanced Economic Analysis, ECON 413 Business Conditions Analysis (Graduate), ECON 736 Research Methods and Data Handling, ECON 740 Quantitative Methods in Economics (Graduate), ECON 738 Time Series Econometrics (Graduate), ECON 761
Previous Institution Mathematical Economics (Graduate Level) Macroeconomics (Graduate) Macroeconomic Theory (Intermediate Macroeconomics) International Finance
Service
Community Service:
Assurance of Learning Advisement Committee (College)
Scholarship and Awards (College)
L&S Curriculum Committee (College)
Strategic Planning Committee (Department)
Assessment (ad hoc, Department)
Whitewater Economics Society (Department)
Professional Service: Referee for: Contemporary Economic Policy, Economics Letters, Economic Modeling, Emerging Markets Finance and Trade, International Journal of Financial Studies, International Journal of Managerial Finance, Journal of Business and Economic Statistics, Journal of Economics and Business, Journal of Economics and Finance, Journal of Economic Interaction and Coordination, Journal of International Economics, Journal of International Money and Finance, Journal of Money Credit and Banking, Journal of Macroeconomics, Macroeconomic Dynamics, Quarterly Review of Economics and Finance, Studies in Nonlinear Dynamics and Econometrics
Select Publications:
"Temporal Aggregation of Random Walk Processes and Implications for Asset prices", (with Ivan Paya), Studies in Nonlinear Dynamics and Econometrics, 24 (2), pp. 20170102
April 2020
"Nonlinearities in Real Exchange Rates: New Evidence", (with Ming Chien Lo and Olena M. Staveley-O'Carroll), Applied Economics, 51 (25), pp. 2731-2743
September 2019
"Exploring International Differences in Inflation Dynamics", (with Olena M. Staveley-O'Carroll), Journal of International Money and Finance, 79, pp. 115 - 135
December 2017
"Outliers and Persistence in Threshold Autoregressive Processes", (with Luiggi Donayre), Studies in Nonlinear Dynamics and Econometrics, 20 (1), pp. 37-56
February 2016
"Causes of Nonlinearities in Low-Order Models of the Real Exchange Rate", (with Ming Chien Lo and Olena Mykhaylova), Journal of International Economics, 91 (1), pp. 128-141
September 2013
"Temporal Aggregation and Purchasing Power Parity Persistence", (with William Craighead), Journal of International Money and Finance, 30 (5), pp. 817-830
September 2011
Yamin Ahmad is a Professor in the Department of Economics at the University of Wisconsin -Whitewater. He holds a P.h.D. and a Masters Degree in Economics from Georgetown University, a Masters Degree in Econometrics (MSc in Economics and Econometrics) from the University of Bristol, and a Bachelors Degree in Economics from the London School of Economics and Political Science. His dissertation was in the area of Monetary Economics and is titled "The Transmission mechanism of Monetary Policy". His research interests lie in the area of monetary economics, open economy macroeconomics, machine learning applications to macroeconomics, threshold models and models that incorporate nonlinear dynamics.
At UW-Whitewater, he currently teaches a range of classes, from introductory classes like Principles of Macroeconomics, elective classes like Money and Banking and graduate level classes in macroeconomics.
Predicting the Distribution of Inflation Expectations: A Machine Learning Perspective
Yanif Ahmad
Predicting the Distribution of Inflation Expectations: A Machine Learning Perspective
Yanif Ahmad
An Exploration of the Distribution of Inflation Expectations
The role of Limited Information in Asset Price Dynamics
Eylem Ersal
This note examines the role of information in determining asset price dynamics under rational expectations.
Under the no-bubbles solution, we generate and compare price dynamics arising from different informational assumptions on the part of households. W...
Bubble-like Behavior in Asset Markets: The Role of Limited Information
Eylem Ersal
This note examines the role of information in determining asset price dynamics under rational expectations. Under the no-bubbles solution, we generate and compare price dynamics arising from different informational assumptions on the part of households. W...
A historical view of the determinants of real exchange rate volatility
Bubble-like Behavior in Asset Markets: The role of limited Information
Eylem Ersal
This note examines the role of information in determining asset price dynamics under rational expectations.
Under the no-bubbles solution, we generate and compare price dynamics arising from
dierent informational assumptions on the part of households. We ...
Exploring International Differences in Inflation Dynamics
Olena Mykhaylova
Standard closed-economy DSGE models have dificulty replicating the persistence of inflation. We use a multicountry dataset to establish some empirical regularities on persistence and volatility of aggregate consumer prices for 161 countries. We find persi...
Bubble-like Behavior in Asset Markets: The role of limited Information
Eylem Ersal
This note examines the role of information in determining asset price dynamics under rational expectations.
Under the no-bubbles solution, we generate and compare price dynamics arising from
dierent informational assumptions on the part of households. We ...
Exploring International Differences in Inflation Dynamics
Olena Mykhaylova
Standard closed-economy DSGE models have dificulty replicating the persistence of inflation. We
use a multicountry dataset to establish some empirical regularities on persistence and volatility of aggregate consumer prices for 161 countries. We find persi...
Inflation Persistence and Volatility in Two Country New Keynesian Models
Olena Mykhaylova
Standard closed-economy DSGE models have dificulty replicating the persistence of inflation. We use
a multicountry dataset to establish some empirical regularities on persistence and volatility of aggregate
consumer prices for 161 countries. In addition, ...
Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle?
Luiggi Donayre
This paper uses Monte Carlo simulations to investigate the effects of outlier observations on the
properties of Hansen's (1996) grid bootstrap linearity test against threshold autoregressive (TAR)
processes. By considering different specifications and lev...
Inflation Persistence in Closed and Open Economies
Olena Mykhaylova
Standard closed-economy DSGE models have difficulty replicating the persistence of inflation. We use
a multicountry dataset to establish some empirical regularities on persistence and volatility of aggregate
consumer prices for 161 countries. In addition,...
Nonlinearities in Real Exchange Rates: New Evidence
Ming Chien Lo and Olena Mykhaylova
This paper investigates the ability of econometric tests to correctly identify nonlinearities in the dynamics of real exchange rates. We demonstrate that test outcomes depend critically on the underlying data generating process. More specifically, in thos...
Nonlinearities in Real Exchange Rates: New Evidence
Ming Chien Lo and Olena Mykhaylova
This paper investigates the ability of econometric tests to correctly identify nonlinearities in the dynamics of real exchange rates. We demonstrate that test outcomes depend critically on the underlying data generating process. More specifically, in thos...
Temporal Biases of Random Walk Processes and Implications for Asset Prices
Ivan Paya
This paper examines the impact of time averaging and interval sampling data assuming that the data generating process for a given series follows a random walk with uncorrelated increments. We provide expressions for the corresponding variances, and covari...
Temporal Aggregation of Random Walk Processes and Implications for Asset Prices
Ivan Paya
This paper examines the impact of time averaging and interval sampling data assuming that the data generating process for a given series follows a random walk with uncorrelated increments. We provide expressions for the corresponding variances, and covari...
The Persistence of Cyclical Unemployment
This paper seeks to understand the factors that affect the persistence of cyclical unemployment. I decompose the unemployment rate into its trend (nonstationary) component, and a cyclical (stationary) component through a variety of methods for a number of...
Causes of Nonlinearities in Low Order Models of the Real Exchange Rate
Olena Mykhaylova and Ming Chien Lo
This paper investigates the extent to which modern DSGE models, which feature local currency pricing, home bias, nontraded goods, and incomplete markets, can generate nonlinear real exchange rate dynamics that are consistent with those found in the time s...
The Persistence of Cyclical Unemployment
This paper seeks to understand the factors that affect the persistence of cyclical unemployment. I decompose the unemployment rate into its trend (nonstationary) component, and a cyclical (stationary) component through a variety of methods for a number of...
Volatility Persistence and Nonlinearity of Simulated DSGE Real Exchange Rates
Olena Mykhaylova and Ming Chien Lo
This paper investigates the time series properties of real exchange rates series produced by DSGE models. We simulate a variety of new open economy DSGE models that incorporate features such as local currency pricing, home bias, non-traded goods and incom...
On the Correlation between Inflation Persistence and the Implicit Inflation Target
Stuart Glosser
The majority of the literature on monetary policy that utilizes a Taylor rule assumes a constant inflation target. This paper two different approaches to derive a series for the implicit inflation target embedded within the Taylor rule. The first is metho...
Volatility Persistence and Nonlinearity of Simulated DSGE Real Exchange Rates
Olena Mykhaylova and Ming Chien Lo
This paper investigates the time series properties of real exchange rates series produced by DSGE models. We simulate a variety of new open economy DSGE models that incorporate features such as local currency pricing, home bias, non-traded goods and incom...
Persistence and Non-Linearity of Simulated DSGE Real Exchange Rates
Olena Mykhaylova, Ming Chien Lo
Temporal Biases of Unit Root Processes and Implications for Asset Prices
Ivan Paya
Persistence and Non-Linearity of Simulated DSGE Real Exchange Rates
Olena Mykhaylova, Ming Chien Lo
Temporal Biases of Unit Root Processes and Implications for Asset Prices
Ivan Paya
On the Correlation Between Inflation Persistence and the Implicit Inflation Target
Stuart Glosser
Industrial Specialization, Financial Integration and International Consumption Risk Sharing
Temporal Aggregation and Purchasing Power Parity Persistence
William Craighead
Temporal Aggregation and Persistence of Nominal Exchange Rates: Are Exchange Rates Too Stationary
Ivan Paya
Wage-Price Flexibility, Exchange Rate Flexibility, Capital Controls and the Speed of Adjustment in the Money Market
Temporal Aggregation and PPP Persistence
William Craighead
This paper uses a new monthly US-UK real exchange rate series for the period 1794-2005 to reexamine the academic debate over purchasing power parity (PPP). The consensus view described by Rogoff (1996) is that PPP holds in the long-run, but short run dev...
Temporal Aggregation and PPP Persistence
William Craighead
This paper uses a new monthly US-UK real exchange rate series for the period 1794-2005 to reexamine the academic debate over purchasing power parity (PPP). The consensus view described by Rogoff (1996) is that PPP holds in the long-run, but short run dev...
Oil Shocks, Inflation Expectations and the Lucas Critique
Searching for Nonlinearity in Real Exchange Rates
Stuart Glosser
A recent innovation in modeling exchange rates has been the use of nonlinear techniques such as the exponential smooth transition autoregressive model as used by Lothian and Taylor (2004) and the Markov Switching model as used by Engel and Hamilton (1990)...
Searching for Nonlinearity in Real Exchange Rates
Stuart Glosser
A recent innovation in modeling exchange rates has been the use of nonlinear techniques such as the exponential smooth transition autoregressive model as used by Lothian and Taylor (2004) and the Markov Switching model as used by Engel and Hamilton (1990)...
The Impact of Temporal Sampling and Temporal Aggregation as Explanations for the Nominal Exchange Rate Puzzle
This paper investigates whether temporal biases arising from sampling and aggregation can be used to explain the unusual persistence in the nominal exchange rate - what is referred to as the nominal exchange rate puzzle. I use daily exchange rate data to ...
Discussion of "A Bayesian Analysis of Exchange Rate Dynamics" by Ming Lo and James Morley
Financial Fragility and Exchange Rate Regimes in a Small Open Economy - A Discussion
U.S. Bankruptcy in the 90’s: A Vector Autoregressive Analysis - A Discussion
Demutualization: A Hazard Analysis of the Conversion of Former Credit Unions to Publically Traded Financial Institutions
Russ Kashian
International Observations of Monetary Policy Periods
I identify twenty observations of monetary policy periods within six of the G7 countries, following the spirit of the Narrative Approach used by Romer and Romer (1989). Statistics are used to characterize the state of these economies from the 1970's until...
Searching for Nonlinearity is Real Exchange Rates
Stuart Glosser
A recent innovation in modeling exchange rates has been the use of nonlinear techniques such as the exponential smooth transition autoregressive model as used by Lothian and Taylor (2004) and the Markov Switching model as used by Engel and Hamilton (1990)...
An Empirical Investigation of a Nonlinear Exchange Rate Model
Stuart Glosser
A recent innovation in modeling exchange rates has been the use of nonlinear techniques such as the exponential smooth transition autoregressive model as used by Lothian and Taylor (2004) and the Markov Switching model as used by Engel and Hamilton (1990)...
Discussion of "Actual and Optimal Average Propensities to Consume Out of Wealth" by Laurie Pounder
Reconciling the Effects of Monetary Policy Actions on Consumption Within A Heterogeneous Agent Framework
This paper incorporates heterogeneous agents into a NNS model with nominal inertia. Heterogeneous households are introduced into NNS models to try and reconcile the movements in interest rates, consumption and inflation. The key findings here are that het...
Reconciling the Effects of Monetary Policy Actions on Consumption Within A Heterogeneous Agent Framework
This paper incorporates heterogeneous agents into a NNS model with nominal inertia. Heterogeneous households are introduced into NNS models to try and reconcile the movements in interest rates, consumption and inflation. The key findings here are that het...
Learning, Commitment and Monetary Policy - A Discussion by Yamin Ahmad
Foreign Direct Invest vs Portfolio Investment: A Global Games Approach
Pietro Cova and Rodrigo Harrison
Money Market Rates and Implied CCAPM Rates: Some International Evidence
Money Market Rates and Implied CCAPM Rates: Some International Evidence
Money Market Rates and Implied CCAPM Rates: Some International Evidence
Foreign Direct Investment versus Portfolio Investment: A Global Games Approach
Journal Article, Academic Journal
Heterogeneity and Limited Participation: Implication for Interest Rates
Journal Article, Academic Journal
The Impact of Temporal Sampling and Temporal Aggregation as Explanations for the Nominal Exchange Rate Puzzle
Journal Article, Academic Journal
Reconciling the Effects of Monetary Policy on Consumption Within a Heterogeneous Agent Framework
Journal Article, Academic Journal
Unit Roots in Macroeconomic Time Series: A comparison of Classical, Bayesian and Machine Learning Approaches
Computational Economics
Journal Article, Academic Journal
Pg. 35
May 2023
Implications for Determinacy with Average Inflation Targeting
Economics Bulletin
Journal Article, Academic Journal
Pg. 9
March 2023
Temporal Aggregation of Random Walk Processes and Implications for Asset Prices
Studies in Nonlinear Dynamics and Econometrics
Journal Article, Academic Journal
Vol. 24 Iss. 2
April (2nd Quarter/Spring) 2020
Nonlinearities in the Real Exchange Rate: New Evidence from Developed and Developing Countries
Applied Economics
Journal Article, Academic Journal
Vol. 51 Iss. 25 Pg. 2731 - 2743
December 2018
Exploring International Differences in Inflation Dynamics
Journal of International Money and Finance
Journal Article, Academic Journal
Vol. 79 Pg. 115-135
December 2017
Government Digital Information Discovery and Exploration: The Case of Unravelling Tourism-led Growth Paradox in China
Information Discovery and Delivery
Journal Article, Academic Journal
Vol. 45 Iss. 4 Pg. 212-219
November 2017
Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle?
Studies in Nonlinear Dynamics and Econometrics
Journal Article, Academic Journal
Vol. 20 Iss. 1 Pg. 37 - 56
February 2016
Nonlinear Time Series Models and Model Selection
Springer
Book, Chapter in Scholarly Book-New
October (4th Quarter/Autumn) 2013
Causes of Nonlinearities in Low-Order Models of the Real Exchange Rate
Journal of International Economics
Journal Article, Academic Journal
Vol. 91 Iss. 1 Pg. 128 - 141
August 2013
Volatility and Persistence of Simulated DSGE Real Exchange Rates
Economics Letters
Journal Article, Academic Journal
Vol. 119 Iss. 1 Pg. 38 - 41
April (2nd Quarter/Spring) 2013
Temporal Aggregation and Purchasing Power Parity Persistence
Journal of International Money and Finance
Journal Article, Academic Journal
Vol. 30 Iss. 5 Pg. 817 - 830
September 2011
Searching for Nonlinearities in Real Exchange Rates
Applied Economics
Journal Article, Academic Journal
Vol. 43 Iss. 15 Pg. 1829 - 1845
May 2011
Modeling the Time to an Initial Public Offering: When does the Fruit Ripen?
Journal of Economics and Finance
Journal Article, Academic Journal
Vol. 34 Iss. 4 Pg. 391-414
October (4th Quarter/Autumn) 2010
International Observations of Monetary Policy Periods
IUP Journal of Monetary Economics
Journal Article, Academic Journal
Vol. 7 Iss. 3 & 4 Pg. 7 - 43
August 2009
The Effects of Small Sample Bias in Threshold Autoregressive Models
Economics Letters
Journal Article, Academic Journal
Vol. 101 Pg. 6-9
September 2008
Money Market Rates and Implied CCAPM Rates: Some International Evidence
Quarterly Review of Economics and Finance
Journal Article, Academic Journal
Vol. 45 Pg. 699-729
September 2005
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