Curriculum Vitae: pdf

 

 

 

Barbara Rossi

Department of Economics

213 Social Sciences
Duke University 
Durham NC27708 USA

Phone: (919) 660 1801     Fax: (919) 684 8974

Homepage: http://www.econ.duke.edu/~brossi/

E-mail: brossi@econ.duke.edu

Citizenship: Italian

U.S. Permanent resident (Green Card)

 

 

 

 

CURRENT POSITION

July 2008 to present: Associate Professor (with tenure), Department of Economics, DUKE UNIVERSITY, Durham, NC, USA

Sept. 2001 to June 2008: Assistant Professor, Department of Economics, DUKE UNIVERSITY, Durham, NC, USA

 

OTHER PROFESSIONAL AFFILIATIONS

  • Associate Editor, Journal of Business and Economic Statistics, 2008
  • Associate Editor, Journal of Economic Dynamics and Control,  2008
  • Associate Editor, Journal of Applied Econometrics, 2009-2011
  • CEPR Fellow, 2008-2012

 

VISITING POSITIONS:

 

Visiting Researcher, Dept of Economics, Concordia University, May 2004

Visiting Researcher, Dept of Economics, UCSD                       Fall 2004

Visiting Researcher, Universite’ de Montreal                         Oct. 10-15, 2005

Visiting Researcher, Atlanta Fed                                         Feb.  6-13, 2005

Visiting Researcher, CREST                                                 Nov. 2007

Visiting Researcher, Dept of Economics, Berkeley,                  Spring 2009

PUBLISHED PAPERS

1. Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle,

International Economic Review 46(1), February 2005, 61-92.

 

2. Optimal Tests for Nested Model Selection with Underlying Parameter Instability,

Econometric Theory 21(5), October 2005.

 

3. Confidence Intervals for Half-Life Deviations from Purchasing Power Parity,

Journal of Business and Economic Statistics 23(4), October 2005, 432-442.

The paper is also available in the Proceedings of the 2002 North American Summer Meetings of the Econometric Society: Economic Theory, edited by David K. Levine, William Zame, Lawrence Ausubel, Pierre-Andre Chiappori, Bryan Ellickson, Ariel Rubinstein and Larry Samuelson: http://www.dklevine.com/proceedings/economic-theory.html

 

4. Small Sample Confidence Bands for Multivariate Impulse Response Functions, with E. Pesavento,

Journal of Applied Econometrics, 21(8), December 2006, 1135-1155.

 

5. Do Technology Shocks Drive Hours Up or Down? A Little Evidence From an Agnostic Procedure, with E. Pesavento,

Macroeconomic Dynamics 9(4), September 2005.

 

6. Recursive Predictability Tests for Real Time Data, with A. Inoue,

Journal of Business and Economic Statistics 23(3), July 2005, 336-345.

 

7. Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability,

Macroeconomic Dynamics 10(1), February 2006, 20-38.

 

8. Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?, with E. Pesavento,

Journal of Economic Dynamics and Control, forthcoming

 

9. How stable is the forecasting performance of the yield curve for output growth? with R. Giacomini.

Oxford Bulletin of Economics and Statistics, 68(s1), December 2006, 783-795.

 

10. Monitoring and Forecasting Financial Crises, with A. Inoue, Journal of Money Credit and Banking, forthcoming

 

11. Expectations Hypotheses Tests at Long Horizons.

Econometrics Journal 10(3), October 2007, 1-26

 

12. Detecting and Predicting Forecast Breakdowns, with R. Giacomini.

The Review of Economic Studies, forthcoming

 

13. “Forecast Comparisons in Unstable Environments”, with R. Giacomini.

Journal of Applied Econometrics, forthcoming.

 

14. Model Selection for Nested and Overlapping Non-Linear and Possibly Misspecified Models, with M. Marcellino.

Oxford Bulletin of Economics and Statistics, forthcoming.

 

 

 

OTHER PUBLICATIONS:

 

14. Comments on: “Exchange Rate Models Are Not As Bad As You Think”, by Charles Engel, Nelson Mark, and Ken West, NBER Macroeconomics Annual, 2007

 

 

WORKING PAPERS (SUBMITTED):

 

1. Can Exchange Rates Forecast Commodity Prices?, with Y. Chen and K. Rogoff. NBER Working Paper w13901, March 2008.

 

2. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models, with A. Hall, Atsushi Inoue, and J. Nason. Duke University Working Paper 2007-04

 

3. Which Structural Parameters Are “Structural”? Identifying the Sources of Instability in Economic Models, with A. Inoue. Duke University Working Paper 2008-02.

 

4. “Testing for Weak Identification in Possibly Non-linear Models”, with A. Inoue

 

5. “Has Models’ Forecasting Performance Changed Over Time, and When?”, with T. Sekhoposyan. Revise and resubmit at the International Journal of Forecasting

 

6. What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?, with S. Zubairy

 

 

 

 

WORK IN PROGRESS:

 

 

“Model Selection in Unstable Environments”, with R. Giacomini.

 

FELLOWSHIPS AND GRANTS

  • SAS Grant, 2008
  • NSF Grant, 2007-2009: “Model Selection and Forecasting in Unstable Environments”.
  • Arts and Sciences Committee on Faculty Research Grant, Duke University, Spring 2006.
  • Trent Foundation, Conference organization grant, Duke University, Fall 2005.
  • The Office of International Affairs, and the Center for European Studies, Conference Organization grants, Duke University, Fall 2005.
  • Princeton University Fellowship 1996-2000.
  • International Finance Summer Fellowship, June-July 1999 & July-August 2000.
  • Mediocredito Centrale Fellowship “Marco Fanno”, 11 July 1996 (not used for incompatibility – I was already enrolled in a PhD program in Bologna).
  • Invernizzi Scholarship, Bocconi University, Milan, September 1995.

 

PROFESSIONAL EXPERIENCE

  • 2001 to present: DUKE UNIVERSITY

Teacher of the following courses:

 

Econ 51D, National Income and Public Policy, 1st year Undergraduate course, Fall 2001-2002

Econ 341, Graduate Econometrics, 1st year PhD course, Fall 2001, 2002, 2003, 2005, 2006, 2007

Econ 220, Time Series Econometrics, 2nd year MA course, Fall 2005-2006, Spring 2007

Econ 327, Empirical methods in macroeconomics and forecasting in Time Series, 2nd year PhD course, Fall 2005-2006, Spring 2007

Econ 141, Applied International Macroeconomics and Finance, Advanced Undergraduate course, Spring 2004

  • 1998-2000 PRINCETON UNIVERSITY Princeton, NJ, USA


T.A. for the following courses:

Prof. Giovanni Maggi (Woodrow Wilson School), International Trade (Master course), spring 2001
Prof. Silvia Weyerbrock (Woodrow Wilson School), International Economics (Master course), spring 2001
Prof. Helene Rey (Woodrow Wilson School), International Macroeconomics (Master course), fall 2000
Prof. Paul Krugman (Woodrow Wilson School), Advanced Macroeconomics (Master course), fall 2000
Prof. Elisabeth Bogan, The National Economy (Macroeconomics for undergraduates), fall 1999 e spring 2000
Prof. Elie Tamer, Basic Econometrics (Econometrics for undergraduates), spring 2000
Prof. Han Hong, Advanced Econometrics – Non-linear models (2nd year PhD course), spring 1999
Prof. Mark Watson e Yacine Ait-Sahalia, Advanced Econometrics – Time Series models (2nd year PhD course), fall 1998

  • July 1998 PRINCETON UNIVERSITY Princeton, NJ, USA

Research Assistant for Prof. Kenneth Rogoff
Analysis of long-run determinants of nominal exchange rates.

  • Spring 1995 UNIVERSITA DEGLI STUDI DI BOLOGNA Bologna, Italy

Research assistant for Prof. Orazio Attanasio.

EDUCATION 

Ph.D., Economics, 2001
M.A., Economics, May 1998
Thesis title: Essays in long horizon testing and predictive ability in the presence of high persistence with applications to international macroeconomics
GRE: Quantitative 92%, Analytical 70%. TOEFL: 610/630
Main Advisors: Prof. Mark Watson e Prof. Kenneth Rogoff

Dottorato (Ph.D.) in Economia Politica, February 12, 1999
Thesis on: Central Banking and International Macroeconomics.

M.A. with Distinction in Economics, MEc, July 8, 1996
Focus on Macroeconomics, Econometrics and Finance.

B.A. with Honors and Dignita di Stampa in Economics, July 10, 1995
Thesis on International Trade and Macroeconomic Growth.
Advisors: Prof. Giorgio Basevi and Prof. Vincenzo Denicolo’.

Diploma in Accounting, July 19, 1990
Grade: 60/60.

SEMINARS & CONFERENCE PRESENTATIONS (asterisks mean presented by a co-author)

  • 2001
  • Universita Bocconi
  • Duke University
  • Iowa State University
  • Rutgers University
  • University of Toronto
  • Vanderbilt University
  • UCLA
  • UCSD
  • University of Wisconsin-Madison
  • University of Virginia
  • Triangle Econometrics Conference, Durham, December 2001

 

  • 2002
  • North American Meetings of the Econometric Society, Atlanta, January 2002 (discussant)
  • UNC Chapel Hill (International macro seminar)
  • Forecasting Conference, CIRANO and CIREQ, Montreal, June 2002
  • North American Meetings of the Econometric Society, Los Angeles, June 2002
  • NBER summer institute, Boston, July 2002
  • Midwest Economic Group Meeting, Ohio State University, October 2002
  • Triangle Econometrics Conference, Durham, December 2002

 

  • 2003
  • University of Virginia, Econometrics seminar, April 2003
  • Emory University, Atlanta, April 2003
  • Duke Financial Econometrics Lunch, April 2003
  • ECARES, Université Libre de Bruxelles, May 2003
  • Econometric Society Summer Meetings, Evanston, June 2003
  • NBER/NSF Time Series Conference, Chicago, September 2003
  • University of Houston and Rice University, September 2003
  • University of Maryland, Department of Economics, September 2003
  • Virginia Tech, Department of Economics, October 2003
  • Midwest Econometrics Group Meetings, University of Missouri-Columbia, October 2003
  • Euro Area Business Cycle Network Conference, Frankfurt am Main, December 2003
  • EC2 Conference on Endogeneity, Instruments and Identification in Econometrics, CEMMAP UCL and IFS, London, poster session, December 2003

 

  • 2004
  • Econometric Society Winter Meetings, San Diego, January 2004
  • Society for Non-linear Dynamics and Econometrics, Atlanta, March 2004 *
  • Duke Conference on Forecasting, May 2004
  • Concordia University, May 2004
  • Econometric Society Summer Meetings, Brown University, June 2004 *
  • U.C. Davis, October 2004
  • UCLA, November 2004
  • Ohio State University, November 2004
  • CSWEP, Session on Co-integration and Empirical Applications, New Orleans, November 2004
  • Southern Economic Association, New Orleans, November 2004
  • U.C. Riverside, December 2004
  • Stanford University, December 2004

 

2005

  • Econometric Society Winter Meetings, Philadelphia, January 2005

 

2006

  • Econometric Society Winter Meetings*, Boston, January 
  • SAMSI Workshop, National Institute of Statistical Sciences, February
  • NC State University, Raleigh, April
  • Atlanta Fed, February
  • Board of governors of the Federal Reserve, Washington, April
  • University of Pittsburgh, April
  • University of Bologna, Statistics Department, Bologna, June
  • Bank of Italy and Ente Einaudi, Rome, June
  • Econometric Society Summer Meetings, Minneapolis, June
  • Society for Economic Dynamics, Vancouver, July
  • Econometrics in Rio, Rio de Janeiro, July
  • Stanford Institute for Theoretical Economics, Stanford, July
  • UNC Chapel Hill, September
  • NBER-NSF Time Series Conference, poster session, Montreal, September
  • University of Austin, October
  • Cleveland Fed Workshop on “Methods and Applications for Dynamic Stochastic General Equilibrium Models”, October
  • Conference on “Breaks and Persistence in Econometrics” *, Cass Business School, London, December
  • EC2 Conference on “The Econometrics of Monetary Policy and Financial Decision Making”, Rotterdam, December
  • CIREQ Conference on Time Series, Montreal, December

 

2007

  • Michigan State, March
  • NBER Macroeconomics Annual Conference, Boston, March
  • Conference on the Macroeconomics of Technology Shocks, Laurier Center for Economic Policy, April
  • University of Cincinnati, April
  • Brown University, May
  • Society for Economic Dynamics, Prague, June
  • Joint Statistical Meetings, Salt Lake City, July
  • NBER Summer Institute, Boston, July
  • Conference on “Time Series Econometrics with Applications to Macroeconomics and Finance”, St. Louis Fed, August
  • Federal Reserve Bank of Philadelphia, October
  • St. Louis Fed, October
  • University of Virginia, October
  • University of California, Irvine, October
  • University of British Columbia, October
  • University of Washington, October
  • Princeton University, November
  • Bank of France and CREST Workshop on "Model Validation, Predictive Ability, and Model Risk", November
  • University of Warwick, October
  • University of Cambridge, November
  • London School of Economics, December
  • Fifth ECB Workshop on Forecasting Techniques: “Forecast Uncertainty in Macroeconomics and Finance” (European Central Bank, Frankfurt, Germany)
  • Bocconi University

 

2008

  • University Carlos III (Madrid, Spain), January
  • University of Montreal, January
  • NBER IFM Meeting, March (*)
  • NC State, April
  • 28th Annual Symposium on Forecasting, July (France)
  • Forecasting in Rio, July (Rio de Janeiro, Brazil)
  • NBER-NSF Time Series Conference, September (Aarhus, Denmark)
  • Federal Reserve Bank of New York, October
  • Applied Econometrics Workshop at St. Louis Fed (October)
  • EABCN Workshop on Business Cycle Developments, Financial Fragility, Housing and Commodity Prices (Barcelona, November)
  • 9-th IWH-CIREQ workshop (Halle, December)
  • Central Bank of New Zealand (Wellington, December)
  • Research workshop on Monetary Policy in Open Economies at the Bank of Australia (Sydney, December).

 

2009

  • AEA Meetings, January (S. Francisco)
  • UC Davis, April
  • Conference on “Business Cycles: Theoretical and Empirical Advances” at UC Riverside, April
  • Third CIREQ Time Series Conference at University of Montreal (May)
  • Joint Statistical Meetings, August (*)
  • Boston University, October

 

 

DISCUSSIONS AT CONFERENCES AND PROFESSIONAL MEETINGS

 

  • North American Meetings of the Econometric Society, Atlanta, January 2002 (discussant of: “A Test for Superior Predictive Ability”, by P.R. Hansen)
  • Financial Econometrics Conference, CIRANO and CIREQ, Montreal, May (discussant of “Asymptotic Confidence Intervals for Impulse Responses for Near Integrated Processes”, by N. Gospodinov).
  • Financial Econometrics Conference, CIRANO, CIREQ and MITACS, Montreal, May 2003 (discussant of “Cross Sectional Forecasts of the Equity Premium”, by Polk, Thompson, and Vuoltenaaho).
  • Southern Economic Association, New Orleans, November 2004 (discussant of: “Understanding the Evolution of World Business Cycles”, by Kose, Otrok and Whiteman)
  • CSWEP, New Orleans, November 2004 (discussant of: “Inflation Dynamics in Japan: Evidence of Price Rigidity and Structural Breaks”, by D. Sanchez)
  • Econometric Society Winter Meetings, Philadelphia, January 2005 (discussant of “Large Shocks vs. Small Shocks”, by J. Gonzalo and Martinez.
  • Southern Economic Association, Washington, November 2005 (discussant of: “Monetary Policy and the House Price Boom Across U.S. States”, by M. Del Negro and C. Otrok)
  • Econometric Society Winter Meetings, Boston, January 2006 (discussant of “Testable Implications of Forecast Optimality”, by A. Patton and A. Timmermann, and of An Efficient IRF Matching Estimator for Rational Expectations Models by Jorda and Kozicki)
  • Conference on “Real-Time Data Analysis and Methods in Economics”, Philadelphia Fed, April 2007 (discussant of: “Testing Equal Predictive Ability with Real-time Data”, by Clark and McCracken)
  • Cleveland Workshop on Methods and Applications for Dynamic Stochastic General Equilibrium Models (discussant of: D. Giannone and L. Reichlin, "Bayesian VARs with large panels").

 

OTHER CONFERENCE PARTICIPATION:

 

  • NBER Summer Institute on Forecasting and Empirical Methods in Macroeconomics and Finance, July
  • SAMSI Financial Mathematics, Statistics and Econometrics Workshop, National Institute of Statistical Science, September
  • CeMent Workshop, AEA, Boston
  • NBER Conference, San Francisco Fed, February
  • SAMSI Workshop on Model Uncertainty, National Institute of Statistical Sciences, January
  • NBER Macro Annual Conference, April 2006
  • NBER Summer Meetings, Forecasting and Empirical Methods in Macroeconomics and Finance, and Economic Fluctuations, Boston, July 2006
  • Conference on Real Time Data Analysis and Methods in Economics, Philadelphia Fed, April 2007
  • NBER Summer Meetings, Economic Fluctuations and Growth, and Methods and Applications for DSGE Models, Boston, July 2007
  • NBER MacroAnnual, April 2008
  • NBER Summer Meetings, Forecasting and Empirical Methods in Macroeconomics and Finance, Methods and Applications for DSGE Models, and Economic Fluctuations, Boston, July 2008
  • Joint Statistical Meetings, Denver, August 2008

 

 

REFEREE:

American Economic Review

Canadian Journal of Economics

Computational Statistics and Data Analysis

Econometrica

Econometrics Journal

Econometrics Reviews

Economica

Economic Bulletin

Economics e-journal

Economics Letters

Econometric Theory

International Economic Review

International Journal of Forecasting

Journal of the American Statistical Association

Journal of Applied Economics

Journal of Applied Econometrics

Journal of Business and Economic Statistics

Journal of Econometrics

Journal of Economic Dynamics and Control

Journal of Economic Theory

Journal of Empirical Finance

Journal of the European Economic Association

Journal of Finance

Journal of Financial Econometrics

Journal of International Economics

Journal of International Money and Finance

Journal of Monetary Economics

Journal of Money Credit and Banking

Journal of Risk and Insurance

Journal of Time Series Analysis

Journal of Time Series Econometrics

Macroeconomic Dynamics

Oxford Bulletin of Economics and Statistics

Research in Labor Economics

Review of Economics and Statistics

Review of Economic Studies

Review of Financial Econometrics

Rivista Internazionale di Scienze Economiche e Commerciali

Studies in Nonlinear Dynamics and Econometrics

Studies in Economics and Finance

Southern Economic Journal

Book review for Oxford University Press

NSF Grant review.

ESRC Grant review.

ECB Working Papers Review.

IMF Staff Papers Review.

 

 

OTHER PROFESSIONAL SERVICES:

          Program Chair-Elect, Business and Economics Section, American Statistical Association, 2008         

Program committee member, Annual Conference of the Italian Society of Economists, Naples, Italy, Fall 2005

          Conference organization: Forecasting Conference, Duke University, May 2004; Second Forecasting Conference, Duke University, March 2007.

Workshop organization: Special Applied Macro Workshop I, Duke University, November 2005; Special Applied Macro Workshop II, Duke University, April 2006; Special Applied Macro Workshop III, Duke University, October 2006; Special Applied Macro Workshop III, Duke University, March 2007. Econometrics Jamboree, Duke University, November 2008. Duke Conference on Identification, October 2008.

 

DEPARTMENT SERVICE AT DUKE UNIVERSITY:

Exam committee member: International Macro Field Exam Committee, Macroeconomic Qualifiers Committee, Econometrics Field Exam Committee.

Member of the Committee for Reforming the Core Undergraduate Education (Macroeconomics).

Graduate Students Admissions Committee (2002, 2003, 2004, 2006).

Ph.D. Theses Committee member: V. Khatchatrian (private consulting), M. Dedov (private consulting), A. Palandri (now at University of Copenhagen), A. Kozlovskaya (Southern Methodist University), Anamaria Piesachon (Stanford), Roberto Pancrazi, Sarah Zubairy, Jeremy Chiu, Hernan Seoane, Angelo Marsiglia Fasolo, Alexandra Tabova.

Master Thesis Committee member: Marco Rossi (now at Penn State), Michael O’Grady.

M.A. students: Rubi Sugana, Dan Taylor (now a Ph.D. student at Stanford GSB), Nujin Prasertsom (now a Ph.D. student at Duke University), Tae-Bong Kim (now a Ph.D. student at Duke University), Sarah Wei Jia (now a Ph.D. student at Wharton, UPenn), Chen Ying Yang (now a Ph.D. student at U. Wisconsin-Madison), Kultida Khunwisetphong, CY Lee (current MA student).

 

DUKE INTERNAL SEMINAR PRESENTATIONS:

Financial Econometrics Lunch seminar: December 2001, August 2002, April 2003, October 2003, June 2004.

Macroeconomics seminar, September 2003.

Empirical Macro Study Group, September 2005, March 2006, November 2006, February 2007.

 

 

MEMBERSHIP OF PROFESSIONAL ORGANIZATIONS

 

American Economic Association

Econometric Society

European Area Business Cycle Network Fellow

American Statistical Association

 

LANGUAGES AND TECHNICAL KNOWLEDGE
 

  • Italian (native), English (good) and French (okay).
  • Good working knowledge of Microsoft Word, Excel, Scientific Workplace, GAUSS, MATLAB, EVIEWS, PCGIVE and PCFIML; superficial working knowledge of Stata e TSP.

 

OTHER INTERESTS

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*Means presented by a co-author