Details about Elmar Mertens

Access statistics for papers by Elmar Mertens.

Last updated 2025-03-05. Update your information in the RePEc Author Service.

Short-id: pme274

Working Papers

2024

1. Constructing Fan Charts from the Ragged Edge of SPF Forecasts
   Working Papers, Federal Reserve Bank of Cleveland
   Also in Working Papers, Banco de España (2024)
   Working Papers, Federal Reserve Bank of Cleveland (2022)
   Discussion Papers, Deutsche Bundesbank (2024)

2023

2. Precision-based sampling for state space models that have no measurement error
   Discussion Papers, Deutsche Bundesbank
   See also Journal Article Precision-based sampling for state space models that have no measurement error, Journal of Economic Dynamics and Control, Elsevier (2023) (2023)
3. Shadow-rate VARs
   Discussion Papers, Deutsche Bundesbank
4. What Is the Predictive Value of SPF Point and Density Forecasts?
   VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage", Verein für Socialpolitik / German Economic Association
   Also in Working Papers, Federal Reserve Bank of Cleveland (2022)

2022

5. Addressing COVID-19 outliers in BVARs with stochastic volatility
   Discussion Papers, Deutsche Bundesbank View citations (25)
   Also in Working Papers, Federal Reserve Bank of Cleveland (2021) View citations (21)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (28)
   See also Journal Article Addressing COVID-19 Outliers in BVARs with Stochastic Volatility, The Review of Economics and Statistics, MIT Press (2024) View citations (3) (2024)
6. Measuring Uncertainty and Its Effects in the COVID-19 Era
   Working Papers, Federal Reserve Bank of Cleveland View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (2)
7. Online Appendix to "Indeterminacy and Imperfect Information"
   Online Appendices, Review of Economic Dynamics View citations (1)
   See also Journal Article Indeterminacy and Imperfect Information, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2023) View citations (1) (2023)

2021

8. Forecasting with Shadow-Rate VARs
   Working Papers, Federal Reserve Bank of Cleveland View citations (1)

2020

9. Indeterminacy and imperfect information
   Discussion Papers, Deutsche Bundesbank View citations (4)
   Also in 2017 Meeting Papers, Society for Economic Dynamics (2017)
   Working Paper, Federal Reserve Bank of Richmond (2019) View citations (2)
   See also Journal Article Indeterminacy and Imperfect Information, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2023) View citations (1) (2023)

2018

10. A time series model of interest rates with the effective lower bound
    BIS Working Papers, Bank for International Settlements View citations (12)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016) View citations (12)
    See also Journal Article A Time‐Series Model of Interest Rates with the Effective Lower Bound, Journal of Money, Credit and Banking, Blackwell Publishing (2021) View citations (24) (2021)
11. Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility
    BIS Working Papers, Bank for International Settlements View citations (8)
    Also in CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2015) View citations (11)
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017) View citations (3)
    See also Journal Article Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility, Quantitative Economics, Econometric Society (2020) View citations (17) (2020)

2017

12. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
    Working Papers, Federal Reserve Bank of Cleveland View citations (7)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2017) View citations (7)
    BIS Working Papers, Bank for International Settlements (2017) View citations (6)
    Working Papers, Federal Reserve Bank of St. Louis (2017) View citations (6)
    See also Journal Article Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors, The Review of Economics and Statistics, MIT Press (2020) View citations (21) (2020)

2016

13. The Expected Real Interest Rate in the Long Run: Time Series Evidence with the Effective Lower Bound
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (15)

2013

14. Stock prices, news, and economic fluctuations: comment
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article Stock Prices, News, and Economic Fluctuations: Comment, American Economic Review, American Economic Association (2014) View citations (26) (2014)
15. Trend inflation in advanced economies
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    See also Journal Article Trend Inflation in Advanced Economies, International Journal of Central Banking, International Journal of Central Banking (2015) View citations (29) (2015)

2011

16. Measuring the level and uncertainty of trend inflation
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (16)
    See also Journal Article Measuring the Level and Uncertainty of Trend Inflation, The Review of Economics and Statistics, MIT Press (2016) View citations (85) (2016)

2010

17. Are spectral estimators useful for implementing long-run restrictions in SVARs?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2008) View citations (2)
18. Discreet Commitments and Discretion of Policymakers with Private Information
    2010 Meeting Papers, Society for Economic Dynamics View citations (3)
19. Managing beliefs about monetary policy under discretion
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2008) View citations (12)
    See also Journal Article Managing Beliefs about Monetary Policy under Discretion, Journal of Money, Credit and Banking, Blackwell Publishing (2016) View citations (7) (2016)
20. Structural shocks and the comovements between output and interest rates
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    See also Journal Article Structural shocks and the comovements between output and interest rates, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (6) (2010)

2006

21. Predictability in Financial Markets: What Do Survey Expectations Tell Us?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)
    Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2006) View citations (12)
    Working Papers, Hong Kong Institute for Monetary Research (2006) View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (6)
    See also Journal Article Predictability in financial markets: What do survey expectations tell us?, Journal of International Money and Finance, Elsevier (2009) View citations (160) (2009)

2005

22. Puzzling Comovements between Output and Interest Rates? Multiple Shocks are the Answer
    Working Papers, Swiss National Bank, Study Center Gerzensee View citations (1)

Journal Articles

2024

1. Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
   The Review of Economics and Statistics, 2024, 106, (5), 1403-1417 View citations (3)
   See also Working Paper Addressing COVID-19 outliers in BVARs with stochastic volatility, Discussion Papers (2022) View citations (25) (2022)

2023

2. Indeterminacy and Imperfect Information
   Review of Economic Dynamics, 2023, 49, 37-57 View citations (1)
   See also Software Item Code and data files for "Indeterminacy and Imperfect Information", Computer Codes (2022) (2022)
   Working Paper Indeterminacy and imperfect information, Discussion Papers (2020) View citations (4) (2020)
   Working Paper Online Appendix to "Indeterminacy and Imperfect Information", Online Appendices (2022) View citations (1) (2022)
3. Precision-based sampling for state space models that have no measurement error
   Journal of Economic Dynamics and Control, 2023, 154, (C)
   See also Working Paper Precision-based sampling for state space models that have no measurement error, Discussion Papers (2023) (2023)

2021

4. A Time‐Series Model of Interest Rates with the Effective Lower Bound
   Journal of Money, Credit and Banking, 2021, 53, (5), 1005-1046 View citations (24)
   See also Working Paper A time series model of interest rates with the effective lower bound, BIS Working Papers (2018) View citations (12) (2018)

2020

5. Inflation and professional forecast dynamics: An evaluation of stickiness, persistence, and volatility
   Quantitative Economics, 2020, 11, (4), 1485-1520 View citations (17)
   See also Working Paper Inflation and professional forecast dynamics: an evaluation of stickiness, persistence, and volatility, BIS Working Papers (2018) View citations (8) (2018)
6. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
   The Review of Economics and Statistics, 2020, 102, (1), 17-33 View citations (21)
   See also Working Paper Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors, Working Papers (2017) View citations (7) (2017)

2016

7. Managing Beliefs about Monetary Policy under Discretion
   Journal of Money, Credit and Banking, 2016, 48, (4), 661-698 View citations (7)
   See also Working Paper Managing beliefs about monetary policy under discretion, Finance and Economics Discussion Series (2010) View citations (1) (2010)
8. Measuring the Level and Uncertainty of Trend Inflation
   The Review of Economics and Statistics, 2016, 98, (5), 950-967 View citations (85)
   See also Working Paper Measuring the level and uncertainty of trend inflation, Finance and Economics Discussion Series (2011) View citations (16) (2011)

2015

9. Trend Inflation in Advanced Economies
   International Journal of Central Banking, 2015, 11, (4), 65-136 View citations (29)
   See also Working Paper Trend inflation in advanced economies, Finance and Economics Discussion Series (2013) View citations (5) (2013)

2014

10. Stock Prices, News, and Economic Fluctuations: Comment
    American Economic Review, 2014, 104, (4), 1439-45 View citations (26)
    See also Working Paper Stock prices, news, and economic fluctuations: comment, Finance and Economics Discussion Series (2013) View citations (2) (2013)

2012

11. Are spectral estimators useful for long-run restrictions in SVARs?
    Journal of Economic Dynamics and Control, 2012, 36, (12), 1831-1844 View citations (5)

2010

12. Structural shocks and the comovements between output and interest rates
    Journal of Economic Dynamics and Control, 2010, 34, (6), 1171-1186 View citations (6)
    See also Working Paper Structural shocks and the comovements between output and interest rates, Finance and Economics Discussion Series (2010) View citations (3) (2010)

2009

13. Predictability in financial markets: What do survey expectations tell us?
    Journal of International Money and Finance, 2009, 28, (3), 406-426 View citations (160)
    See also Working Paper Predictability in Financial Markets: What Do Survey Expectations Tell Us?, Swiss Finance Institute Research Paper Series (2006) View citations (6) (2006)

Chapters

2024

1. Survey expectations and forecast uncertainty
   Chapter 12 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 305-333

Software Items

2022

1. Code and data files for "Indeterminacy and Imperfect Information"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Indeterminacy and Imperfect Information, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2023) View citations (1) (2023)