Jon Faust

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Who?

When not playing with my kids, riding a bike, fighting entropy, or sneaking a moment with my wife, I do economics, mainly at the intersection between macro and finance with an emphasis on time series econometrics » more

I am a Professor of Economics at Johns Hopkins and director of the fledgling Center for Financial Economics. Things are really starting to move at the CFE: we have new faculty, a new minor, and best of all, a website. Ok, that last one is still a few weeks off.

Some years ago, I began to suspect that I am not the most famous Faust. Troubled, I set out … » more

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Papers

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Recent

• Comments on “US Shocks and Global Exchange Rate Configurations” by Michael Ehrmann and Marcel Fratzscher; Jon Faust; Presented at IFM session, NBER summer institute, 2007.
  »slides
• Comments on “Bond Supply, Expectations, and the Yield Curve,” by Monika Piazzesi and Martin Schneider; Jon Faust; presented at FRBAtlanta/CAPR Conference: Fiscal Policy and Monetary/Fiscal Policy Interactions, Apr. 19, 2007.
  »slides
• Comments on “On the fit of new-Keynesian models” by Del Negro, Schorfheide, Smets, and Wouters; Jon Faust; JBES, 25:2, April 2007 154-156..
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• Inflation Targeting: Why is it wonderful? Why might it fail?; Jon Faust; presented at Norges Bank Lecture, Oslo, March 27, 2007.
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• Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset; Faust, Jon; Wright, Jonathan H.; Manuscript, 2007.
  »paper [pdf 212k] »abstract »Appendix »data
• Comments on “Optimal Monetary Policy in an Environment of Low Inflation and Rising Asset Prices” (by Takatoshi Ito); Jon Faust; presented at Bank of Korea Int'l Conf. 2006, (June 16), published in Monetary policy in an environment low inflation, proceedings of Bank of Korea International Conference, 2006.
  »paper [pdf 37k] »slides
• The High Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements; Faust, Jon; Rogers, John H.; Wang, Shing-Yi; Wright, Jonathan H.; Journal of Monetary Economics, 54:4, May 2005, 1051-1068.
  »get a copy »abstract
• Efficient forecast tests for conditional policy forecasts; Faust, Jon; Wright, Jonathan H.; forthcoming, Journal of Econometrics.
  »paper [pdf 271k] »abstract