I am an Associate Professor in the Department of Economics at Texas A&M University, specializing in applied macroeconomics, time series (classical and Bayesian) econometrics, and forecasting.
My current research focuses on the identification of monetary policy shocks, monetary policy communication, uncertainty, and their macroeconomic implications. I also work on model selection and evaluation tools in the context of time variation.
I am the President of the Society for Nonlinear Dynamics and Econometrics, a Board Member of the Armenian Economic Association, and a Research Fellow of the Centre for Economic Policy Research.
I most recently taught ECMT 674, Economic Forecasting & ECMT 638, Applied Time Series Econometrics. I will be teaching ECMT 475 in the Fall of 2022.
The pre-publication versions of my manuscripts are below. My Google Scholar page summarizes the overall research output. You can reach me at email addresses tsekhposyan (at) tamu (dot) edu & tatevik (dot) sekhposyan (at) gmail (dot) com.
Working Papers
"Networking the Yield Curve: Implications for Monetary Policy" (with Tatjana Dahlhaus and Julia Schaumburg), December 2020.
→ Short presentation."Survey-based Monetary Policy Uncertainty and its Asymmetric Effects" (with Tatjana Dahlhaus), updated in March 2020. The previous version is available as a Bank of Canada Working Paper.
→ Short discussion in Central Banking
→ Monetary Policy Uncertainty Index in Excel
"Understanding the Sources of Macroeconomic Uncertainty" (with Barbara Rossi and Matthieu Soupre), updated in April 2020.
→ Uncertainty Indices in Excel
Academic Publications
"Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence" (with Lukas Hoesch and Barbara Rossi), American Economic Journal: Macroeconomics. Conditionally Accepted. Online Appendix, Not-For-Publication Appendix.
→ Short discussion in VoxEU & Brookings Hutchins Roundup"Markov Switching Rationality" (with Florens Odendahl and Barbara Rossi), Appendix, Advances in Econometrics, forthcoming.
"From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts" (with Gergely Ganics and Barbara Rossi), Journal of Money, Credit and Banking, forthcoming.
"Evaluating Forecast Performance with State Dependence" (with Florens Odendahl and Barbara Rossi), Journal of Econometrics, forthcoming.
"Real-Time Forecasting and Scenario Analysis using a Large Mixed Frequency Bayesian VAR" (with Michael McCracken and Michael Owyang), International Journal of Central Banking 18(5), 2021, 327-367.
"Predicting Relative Forecasting Performance: an Empirical Investigation" (with Eleonora Granziera), International Journal of Forecasting 35(4), 2019, 1636-1657. Appendix.
"Alternative Tests for Correct Specification of Conditional Predictive Densities" (with Barbara Rossi), Journal of Econometrics 208(2), 2019, 638-657. Replication Matlab codes.
→ Simple codes to implement the tests
→ Tests are also available in software packages F.I.T. and BEAR"Macroeconomic Uncertainty Indices for the Euro Area and its Individual Member Countries" (with Barbara Rossi), Empirical Economics 53(1), 2017, 41-62. Replication Matlab codes.
→ Working paper with additional robustness results
→ Macroeconomic Uncertainty Indices in Excel
"Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts" (with Barbara Rossi), Journal of Applied Econometrics 31(3), 2016, 507-532. Appendix. Replication Matlab codes.
→ Tests are also available in software packages F.I.T. and BEAR"Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions" (with Barbara Rossi), American Economic Review: Papers & Proceedings 105(5), 2015, 650-655. Appendix. Replication Matlab codes.
→ Matlab codes for updating the series as new data become available
→ Macroeconomic Uncertainty Index in Excel, last updated in July 2021
"Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set" (with Barbara Rossi), International Journal of Forecasting 30(3), 2014, 662-682. Replication Matlab codes. Comment.
→ Winner of the IJF's Outstanding Paper Award
"Conditional Predictive Density Evaluation in the Presence of Instabilities" (with Barbara Rossi), Journal of Econometrics 177(2), 2013, 199-212. Replication Matlab codes.
"Okun’s Law over the Business Cycle: Was the Great Recession All That Different?" (with Michael Owyang), Federal Reserve Bank of St. Louis Review, September/October 2012, 94(5), 399-418. Replication Matlab codes.
"The Local Effects of Monetary Policy" (with Neville Francis and Michael Owyang), The B.E. Journal of Macroeconomics 12(2) (Advances), 2012. Appendix, Replication Matlab codes.
"Understanding Models' Forecasting Performance" (with Barbara Rossi), Journal of Econometrics 164(1), 2011, 158-172. Replication Matlab codes.
"Have Economic Models' Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?" (with Barbara Rossi), International Journal of Forecasting 26(4), 2010, 808-835. Appendix. Replication Matlab codes.
Policy Publications
"The Fog of Numbers" (with Òscar Jordà, Noah Kouchekinia and Colton Merrill) FRBSF Economic Letter 2020-20, July 2020.
→ Short discussion in The FRED Blog, The WSJ's Real Time Economics, Econbrowser"Methodology for Constructing an Economic Index for the College Station-Bryan Metropolitan Statistical Area" (with Dennis Jansen, Carlos Navarro and Andrew Rettenmaier), Private Enterprise Research Center Policy Studies, October 2018.
"Output and Unemployment: How Do They Relate Today?" (with Michael Owyang and E. Katarina Vermann), Federal Reserve Bank of St. Louis The Regional Economist, October 2013, 5-9.
→ Short discussion in The WSJ's Real Time Economics, Conversable Economist
Miscellaneous
The 27th Annual Meeting of the Midwest Econometrics Group at Texas A&M University in 2017
Slides for the 2015 Armenian Economic Association Workshop on "Forecasting Techniques and Forecast Evaluation"