Details about Daniel F. Waggoner

Access statistics for papers by Daniel F. Waggoner.

Last updated 2023-05-08. Update your information in the RePEc Author Service.

Short-id: pwa463

Working Papers

2024

1. Inference Based On Time-Varying SVARs Identified with Time Restrictions
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
2. Inference Based on Time-Varying SVARs Identified with Sign Restrictions
   Working Papers, Federal Reserve Bank of Philadelphia
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2024)

2023

3. Uniform Priors for Impulse Responses
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2020) View citations (1)

2022

4. The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2022)

2020

5. Monetary Stimulus Amidst the Infrastructure Investment Spree: Evidence from China's Loan-Level Data
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2020)
   See also Journal Article Monetary Stimulus amidst the Infrastructure Investment Spree: Evidence from China's Loan‐Level Data, Journal of Finance, American Finance Association (2023) View citations (2) (2023)

2018

6. Inference in Bayesian Proxy-SVARs
   Working Papers, Federal Reserve Bank of Philadelphia View citations (6)
   Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2018) View citations (5)
   Working Papers, FEDEA (2018) View citations (11)
   See also Journal Article Inference in Bayesian Proxy-SVARs, Journal of Econometrics, Elsevier (2021) View citations (39) (2021)

2016

7. Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (19)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (14)
8. Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
   2016 Meeting Papers, Society for Economic Dynamics View citations (15)
   Also in Dynare Working Papers, CEPREMAP (2014) View citations (159)
   Working Papers, BBVA Bank, Economic Research Department (2013) View citations (17)
   Working Papers, FEDEA (2013) View citations (20)
   FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) View citations (54)
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (109)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (89)
   2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (136)

2015

9. Trends and Cycles in China's Macroeconomy
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
   Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2015) View citations (20)
   See also Chapter Trends and Cycles in China's Macroeconomy, NBER Chapters, National Bureau of Economic Research, Inc (2015) View citations (32) (2015)
   Journal Article Trends and Cycles in China's Macroeconomy, NBER Macroeconomics Annual, University of Chicago Press (2016) View citations (26) (2016)

2014

10. Perturbation Methods for Markov-Switching DSGE Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
    Also in Working Papers, FEDEA (2013) View citations (36)
    2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (20)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) View citations (34)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2013) View citations (14)
    Research Working Paper, Federal Reserve Bank of Kansas City (2013) View citations (24)
    See also Journal Article Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models, Quantitative Economics, Econometric Society (2016) View citations (42) (2016)
11. The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)

2013

12. Monetary Policy at the Zero Lower Bound: An Endogenous Switching Approach to Forward Guidance
    2013 Meeting Papers, Society for Economic Dynamics

2012

13. Confronting Model Misspecification in Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (74)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2010) View citations (3)
    See also Journal Article Confronting model misspecification in macroeconomics, Journal of Econometrics, Elsevier (2012) View citations (72) (2012)

2010

14. Density-Conditional Forecasts in Dynamic Multivariate Models
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (14)

2009

15. Sources of the Great Moderation: shocks, friction, or monetary policy?
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (11)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009) View citations (14)
16. Understanding Markov-Switching Rational Expectations Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (153)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009) View citations (144)
    See also Journal Article Understanding Markov-switching rational expectations models, Journal of Economic Theory, Elsevier (2009) View citations (155) (2009)

2008

17. Asymmetric expectation effects of regime shifts in monetary policy
    Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
    See also Journal Article Asymmetric Expectation Effects of Regime Shifts in Monetary Policy, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2009) View citations (57) (2009)
18. Generalizing the Taylor principle: comment
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)
    See also Journal Article Generalizing the Taylor Principle: Comment, American Economic Review, American Economic Association (2010) View citations (41) (2010)
19. Minimal state variable solutions to Markov-switching rational expectations models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (62)
    See also Journal Article Minimal state variable solutions to Markov-switching rational expectations models, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (125) (2011)
20. Structural vector autoregressions: theory of identification and algorithms for inference
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (55)
    See also Journal Article Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference, The Review of Economic Studies, Review of Economic Studies Ltd (2010) View citations (759) (2010)

2007

21. Asymmetric Expectation Effects of Regime Shifts and the Great Moderation
    Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (1)
    Also in Working Papers, Federal Reserve Bank of Minneapolis (2007) View citations (1)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) View citations (2)
22. Indeterminacy in a forward-looking regime-switching model
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (17)
    NBER Working Papers, National Bureau of Economic Research, Inc (2006) View citations (12)
    See also Journal Article Indeterminacy in a forward‐looking regime switching model, International Journal of Economic Theory, The International Society for Economic Theory (2009) View citations (26) (2009)
23. Macroeconomic Volatility and Monetary Policy Regimes
    2007 Meeting Papers, Society for Economic Dynamics
24. Understanding the New Keynesian model when monetary policy switches regimes
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (19)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (18)

2006

25. Assessing Changes in U.S. Monetary Policy in a Regime-Switching Rational Expectations Model
    2006 Meeting Papers, Society for Economic Dynamics
26. Markov-Switching Structural Vector Autoregressions: Theory and Application
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (46)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2005) View citations (21)
27. Methods for inference in large multiple-equation Markov-switching models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (11)
    See also Journal Article Methods for inference in large multiple-equation Markov-switching models, Journal of Econometrics, Elsevier (2008) View citations (188) (2008)
28. Transparency, expectations, and forecasts
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (13)
    Also in Working Paper Series, European Central Bank (2006) View citations (26)
    See also Journal Article Transparency, expectations and forecasts, Economic Review, Federal Reserve Bank of Atlanta (2006) View citations (24) (2006)

2004

29. Effects of monetary policy regime changes in the Euro Economy
    2004 Meeting Papers, Society for Economic Dynamics View citations (1)
30. Normalization in econometrics
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (19)
    See also Journal Article Normalization in Econometrics, Econometric Reviews, Taylor & Francis Journals (2007) View citations (60) (2007)

2002

31. Evaluating Wall Street Journal survey forecasters: a multivariate approach
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (25)

2000

32. A Gibbs simulator for restricted VAR models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)
33. Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (4)
34. Likelihood-preserving normalization in multiple equation models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (13)
    See also Journal Article Likelihood preserving normalization in multiple equation models, Journal of Econometrics, Elsevier (2003) View citations (55) (2003)

1998

35. Conditional forecasts in dynamic multivariate models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (56)
    See also Journal Article Conditional Forecasts In Dynamic Multivariate Models, The Review of Economics and Statistics, MIT Press (1999) View citations (221) (1999)

1997

36. Normalization, probability distribution, and impulse responses
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (15)
37. Spline methods for extracting interest rate curves from coupon bond prices
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (66)

Journal Articles

2023

1. Monetary Stimulus amidst the Infrastructure Investment Spree: Evidence from China's Loan‐Level Data
   Journal of Finance, 2023, 78, (2), 1147-1204 View citations (2)
   See also Working Paper Monetary Stimulus Amidst the Infrastructure Investment Spree: Evidence from China's Loan-Level Data, NBER Working Papers (2020) View citations (1) (2020)

2021

2. Inference in Bayesian Proxy-SVARs
   Journal of Econometrics, 2021, 225, (1), 88-106 View citations (39)
   See also Working Paper Inference in Bayesian Proxy-SVARs, Working Papers (2018) View citations (6) (2018)

2018

3. Incentive compensation, accounting discretion and bank capital
   Journal of Economics and Business, 2018, 95, (C), 119-140 View citations (3)
4. Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
   Econometrica, 2018, 86, (2), 685-720 View citations (360)

2016

5. Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models
   Quantitative Economics, 2016, 7, (2), 637-669 View citations (42)
   See also Working Paper Perturbation Methods for Markov-Switching DSGE Models, NBER Working Papers (2014) View citations (20) (2014)
6. Striated Metropolis–Hastings sampler for high-dimensional models
   Journal of Econometrics, 2016, 192, (2), 406-420 View citations (9)
7. Trends and Cycles in China's Macroeconomy
   NBER Macroeconomics Annual, 2016, 30, (1), 1 - 84 View citations (26)
   See also Chapter Trends and Cycles in China's Macroeconomy, NBER Chapters, 2015, 1-84 (2015) View citations (32) (2015)
   Working Paper Trends and Cycles in China's Macroeconomy, NBER Working Papers (2015) View citations (20) (2015)

2012

8. Confronting model misspecification in macroeconomics
   Journal of Econometrics, 2012, 171, (2), 167-184 View citations (72)
   See also Working Paper Confronting Model Misspecification in Macroeconomics, NBER Working Papers (2012) View citations (74) (2012)

2011

9. Minimal state variable solutions to Markov-switching rational expectations models
   Journal of Economic Dynamics and Control, 2011, 35, (12), 2150-2166 View citations (125)
   See also Working Paper Minimal state variable solutions to Markov-switching rational expectations models, FRB Atlanta Working Paper (2008) View citations (62) (2008)
10. Sources of macroeconomic fluctuations: A regime‐switching DSGE approach
    Quantitative Economics, 2011, 2, (2), 251-301 View citations (131)

2010

11. Generalizing the Taylor Principle: Comment
    American Economic Review, 2010, 100, (1), 608-17 View citations (41)
    See also Working Paper Generalizing the Taylor principle: comment, FRB Atlanta Working Paper (2008) View citations (3) (2008)
12. Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
    The Review of Economic Studies, 2010, 77, (2), 665-696 View citations (759)
    See also Working Paper Structural vector autoregressions: theory of identification and algorithms for inference, FRB Atlanta Working Paper (2008) View citations (55) (2008)

2009

13. Asymmetric Expectation Effects of Regime Shifts in Monetary Policy
    Review of Economic Dynamics, 2009, 12, (2), 284-303 View citations (57)
    See also Working Paper Asymmetric expectation effects of regime shifts in monetary policy, Working Paper Series (2008) View citations (8) (2008)
    Software Item Code files for "Asymmetric Expectation Effects of Regime Shifts in Monetary Policy", Computer Codes (2009) (2009)
14. Indeterminacy in a forward‐looking regime switching model
    International Journal of Economic Theory, 2009, 5, (1), 69-84 View citations (26)
    See also Working Paper Indeterminacy in a forward-looking regime-switching model, FRB Atlanta Working Paper (2007) View citations (5) (2007)
15. Understanding Markov-switching rational expectations models
    Journal of Economic Theory, 2009, 144, (5), 1849-1867 View citations (155)
    See also Working Paper Understanding Markov-Switching Rational Expectations Models, NBER Working Papers (2009) View citations (153) (2009)

2008

16. Methods for inference in large multiple-equation Markov-switching models
    Journal of Econometrics, 2008, 146, (2), 255-274 View citations (188)
    See also Working Paper Methods for inference in large multiple-equation Markov-switching models, FRB Atlanta Working Paper (2006) View citations (11) (2006)

2007

17. Normalization in Econometrics
    Econometric Reviews, 2007, 26, (2-4), 221-252 View citations (60)
    See also Working Paper Normalization in econometrics, FRB Atlanta Working Paper (2004) View citations (19) (2004)

2006

18. Transparency, expectations and forecasts
    Economic Review, 2006, 91, (Q 1), 1-25 View citations (24)
    See also Working Paper Transparency, expectations, and forecasts, FRB Atlanta Working Paper (2006) View citations (13) (2006)

2003

19. A Gibbs sampler for structural vector autoregressions
    Journal of Economic Dynamics and Control, 2003, 28, (2), 349-366 View citations (99)
20. Forecast evaluation with cross-sectional data: The Blue Chip Surveys
    Economic Review, 2003, 88, (Q2), 17-31 View citations (27)
21. Likelihood preserving normalization in multiple equation models
    Journal of Econometrics, 2003, 114, (2), 329-347 View citations (55)
    See also Working Paper Likelihood-preserving normalization in multiple equation models, FRB Atlanta Working Paper (2000) View citations (13) (2000)

2001

22. The risks and rewards of selling volatility
    Economic Review, 2001, 86, (Q1), 31-39

2000

23. Issues in hedging options positions
    Economic Review, 2000, 85, (Q1), 24-39 View citations (2)

1999

24. Conditional Forecasts In Dynamic Multivariate Models
    The Review of Economics and Statistics, 1999, 81, (4), 639-651 View citations (221)
    See also Working Paper Conditional forecasts in dynamic multivariate models, FRB Atlanta Working Paper (1998) View citations (56) (1998)

Chapters

2015

1. Trends and Cycles in China's Macroeconomy
   A chapter in NBER Macroeconomics Annual 2015, Volume 30, 2015, pp 1-84 View citations (32)
   See also Working Paper Trends and Cycles in China's Macroeconomy, National Bureau of Economic Research, Inc (2015) View citations (20) (2015)
   Journal Article Trends and Cycles in China's Macroeconomy, University of Chicago Press (2016) View citations (26) (2016)

Software Items

2009

1. Code files for "Asymmetric Expectation Effects of Regime Shifts in Monetary Policy"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Asymmetric Expectation Effects of Regime Shifts in Monetary Policy, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2009) View citations (57) (2009)