Professor Shaun Vahey
Professor of Economic Modelling and Forecasting
Research Interests
Current research interests include macro and money, with a particular interest in fiscal rules and macro forecasting.
Teaching in 2017-2018
Evening Executive MBA (London)
- IB93RN: Economics of the Business Environment
Executive MBA
- IB9FA0: Economics in a Global Environment
Finance
- IB9T00: Empirical Applications in Macro, Financial and Energy Economics
Management
- IB9140: Economics in the Global Environment
Economic Modelling & Forecasting, Global Energy Research Network
Email: Shaun.Vahey@wbs.ac.uk / Tel: 024 765 28107 / Room: 1.020
Biography
Shaun joined WBS in August 2013. He previously taught at the University of Cambridge, the University of British Columbia, Claremont McKenna College, Melbourne Business School and the Australian National University. Shaun has delivered Executive-level education to the Reserve Bank of New Zealand, Norges Bank, Bank Negara Malaysia and the Australian Treasury. Shaun?s research has been published in academic journals including the American Economic Review, the Journal of Business and Economic Statistics, the Journal of Applied Econometrics and the Economic Journal. He has previously served as a Bank Official at the Bank of England, a Senior Adviser at the Reserve Bank of New Zealand, and as a Special Adviser at Norges Bank. Formerly a visiting scholar at the Reserve Bank of New Zealand and Norges Bank, Shaun's consultancy experience includes forecasting advice to Rio Tinto. He earned his PhD from the University of British Columbia in 1995.
Publications
Journal Articles
- Smith, M. S. and Vahey, S. P. (2016) "Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian Copula Model of cross-Sectional and serial dependence", Journal of Business & Economic Statistics , 34, 3, 416-434
- Ravazzolo, F. and Vahey, S. P. (2014) "Forecast densities for economic aggregates from disaggregate ensembles", Studies in Nonlinear Dynamics and Econometrics, Volume 18, Number 4, 367-381
- Garratt, A., Mitchell, J. and Vahey, S. P. (2014) "Measuring output gap nowcast uncertainty", International Journal of Forecasting, Volume 30, Number 2, 268-279
- Nason, J. M. and Vahey, S. P. (2012) "UK World War I and interwar data for business cycle and growth analysis", Cliometrica, Volume 6, Number 2, 115-142
- Wolden Bache, I., Sofie Jore, A., Mitchell, J. and Vahey, S. P. (2011) "Combining VAR and DSGE forecast densities", Journal of Economic Dynamics and Control, Vol.35, No.10, 1659-1670
- Garratt, A., Mitchell, J., Vahey, S. P. and Wakerly, E. C. (2011) "Real-time inflation forecast densities from ensemble Phillips curves", The North American Journal of Economics and Finance, Volume 22, Number 1, 77-87
- Jore, A. S., Mitchell, J. and Vahey, S. P. (2010) "Combining forecast densities from VARs with uncertain instabilities", Journal of Applied Econometrics, Vol.25, No.4, 621-634
- Karagedikli, Ö., Matheson, T. D., Smith, C. and Vahey, S. P. (2010) "RBCs and DSGEs : the computational approach to business cycle theory and evidence", Journal of Economic Surveys, Volume 24, Number 1, 113-136
- Garratt, A., Koop, G., Mise, E. and Vahey, S. P. (2009) "Real-time prediction with U.K. monetary aggregates in the presence of model uncertainty", Journal of Business & Economic Statistics , Volume 27, Number 4, 480-491
- Garratt, A., Koop, G. and Vahey, S. P. (2008) "Forecasting substantial data revisions in the presence of model uncertainty", The Economic Journal, Volume 118, Number 530, 1128-1144
