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Details about Daniel F. Waggoner

E-mail:
Phone:404.498.8278
Postal address:Research Department Federal Reserve Bank of Atlanta 1000 Peachtree Rd NE Atlanta, GA 30309
Workplace:Center for Quantitative Economic Research (CQER), Federal Reserve Bank of Atlanta, (more information at EDIRC)
Economic Research Department, Federal Reserve Bank of Atlanta, (more information at EDIRC)

Access statistics for papers by Daniel F. Waggoner.

Last updated 2019-10-07. Update your information in the RePEc Author Service.

Short-id: pwa463


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Working Papers

2018

  1. Inference in Bayesian Proxy-SVARs
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2018) Downloads
    Working Papers, FEDEA (2018) Downloads

2017

  1. Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (4)
  2. Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (35)
    Also in Working Papers, BBVA Bank, Economic Research Department (2013) Downloads View citations (12)
    Working Papers, FEDEA (2013) Downloads View citations (16)
    2014 Meeting Papers, Society for Economic Dynamics (2014) Downloads View citations (35)
    Dynare Working Papers, CEPREMAP (2014) Downloads
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2014) Downloads View citations (67)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (23)
    2016 Meeting Papers, Society for Economic Dynamics (2016) Downloads View citations (11)

2015

  1. Trends and Cycles in China's Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in Emory Economics, Department of Economics, Emory University (Atlanta) (2015) Downloads View citations (11)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2015) Downloads View citations (11)

    See also Journal Article in NBER Macroeconomics Annual (2016)
    Chapter (2015)

2014

  1. Perturbation Methods for Markov-Switching DSGE Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (8)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2013) Downloads View citations (9)
    2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (6)
    Research Working Paper, Federal Reserve Bank of Kansas City (2013) Downloads View citations (12)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2014) Downloads View citations (30)
    Working Papers, FEDEA (2013) Downloads View citations (14)

    See also Journal Article in Quantitative Economics (2016)
  2. The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)

2013

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

2012

  1. Confronting Model Misspecification in Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (37)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2010) Downloads View citations (1)
    Emory Economics, Department of Economics, Emory University (Atlanta) (2010) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)

2010

  1. Density-Conditional Forecasts in Dynamic Multivariate Models
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (1)
  2. Minimal State Variable Solutions to Markov-switching Rational Expectations Models
    Emory Economics, Department of Economics, Emory University (Atlanta) Downloads View citations (29)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2008) Downloads View citations (40)

    See also Journal Article in Journal of Economic Dynamics and Control (2011)
  3. Sources of Macroeconomic Fluctuations: A Regime-switching DSGE Approach
    Emory Economics, Department of Economics, Emory University (Atlanta) Downloads View citations (56)
    See also Journal Article in Quantitative Economics (2011)

2009

  1. Sources of the Great Moderation: shocks, friction, or monetary policy?
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (10)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009) Downloads View citations (9)
  2. Understanding Markov-Switching Rational Expectations Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (89)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2009) Downloads View citations (86)

    See also Journal Article in Journal of Economic Theory (2009)

2008

  1. Asymmetric expectation effects of regime shifts in monetary policy
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (6)
    See also Journal Article in Review of Economic Dynamics (2009)
  2. Generalizing the Taylor principle: comment
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in American Economic Review (2010)
  3. Structural vector autoregressions: theory of identification and algorithms for inference
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (53)
    See also Journal Article in Review of Economic Studies (2010)

2007

  1. Asymmetric Expectation Effects of Regime Shifts and the Great Moderation
    Kiel Working Papers, Kiel Institute for the World Economy (IfW) Downloads View citations (1)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2007) Downloads View citations (3)
    Working Papers, Federal Reserve Bank of Minneapolis (2007) Downloads View citations (1)
  2. Indeterminacy in a forward-looking regime-switching model
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (11)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (13)
  3. Macroeconomic Volatility and Monetary Policy Regimes
    2007 Meeting Papers, Society for Economic Dynamics
  4. Understanding the New Keynesian model when monetary policy switches regimes
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (15)

2006

  1. Assessing Changes in U.S. Monetary Policy in a Regime-Switching Rational Expectations Model
    2006 Meeting Papers, Society for Economic Dynamics
  2. Markov-Switching Structural Vector Autoregressions: Theory and Application
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (45)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2005) Downloads View citations (18)
  3. Methods for inference in large multiple-equation Markov-switching models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2008)
  4. Transparency, expectations, and forecasts
    Working Paper Series, European Central Bank Downloads View citations (12)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2006) Downloads View citations (11)

    See also Journal Article in Economic Review (2006)

2004

  1. Effects of monetary policy regime changes in the Euro Economy
    2004 Meeting Papers, Society for Economic Dynamics View citations (1)
  2. Normalization in econometrics
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (17)
    See also Journal Article in Econometric Reviews (2007)

2002

  1. Evaluating Wall Street Journal survey forecasters: a multivariate approach
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (24)

2000

  1. A Gibbs simulator for restricted VAR models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (3)
  2. 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 Downloads View citations (2)
  3. Likelihood-preserving normalization in multiple equation models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (12)
    See also Journal Article in Journal of Econometrics (2003)

1998

  1. Conditional forecasts in dynamic multivariate models
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (48)
    See also Journal Article in The Review of Economics and Statistics (1999)

1997

  1. Normalization, probability distribution, and impulse responses
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (13)
  2. Spline methods for extracting interest rate curves from coupon bond prices
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (59)

Journal Articles

2018

  1. Incentive compensation, accounting discretion and bank capital
    Journal of Economics and Business, 2018, 95, (C), 119-140 Downloads
  2. Inference Based on Structural Vector Autoregressions Identified With Sign and Zero Restrictions: Theory and Applications
    Econometrica, 2018, 86, (2), 685-720 Downloads View citations (25)

2016

  1. Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models
    Quantitative Economics, 2016, 7, (2), 637-669 Downloads View citations (17)
    See also Working Paper (2014)
  2. Striated Metropolis–Hastings sampler for high-dimensional models
    Journal of Econometrics, 2016, 192, (2), 406-420 Downloads View citations (2)
  3. Trends and Cycles in China's Macroeconomy
    NBER Macroeconomics Annual, 2016, 30, (1), 1 - 84 Downloads View citations (6)
    See also Working Paper (2015)
    Chapter (2015)

2012

  1. Confronting model misspecification in macroeconomics
    Journal of Econometrics, 2012, 171, (2), 167-184 Downloads View citations (31)
    See also Working Paper (2012)

2011

  1. Minimal state variable solutions to Markov-switching rational expectations models
    Journal of Economic Dynamics and Control, 2011, 35, (12), 2150-2166 Downloads View citations (75)
    See also Working Paper (2010)
  2. Sources of macroeconomic fluctuations: A regime‐switching DSGE approach
    Quantitative Economics, 2011, 2, (2), 251-301 View citations (79)
    See also Working Paper (2010)

2010

  1. Generalizing the Taylor Principle: Comment
    American Economic Review, 2010, 100, (1), 608-17 Downloads View citations (30)
    See also Working Paper (2008)
  2. Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
    Review of Economic Studies, 2010, 77, (2), 665-696 Downloads View citations (279)
    See also Working Paper (2008)

2009

  1. Asymmetric Expectation Effects of Regime Shifts in Monetary Policy
    Review of Economic Dynamics, 2009, 12, (2), 284-303 Downloads View citations (42)
    See also Software Item (2009)
    Working Paper (2008)
  2. Understanding Markov-switching rational expectations models
    Journal of Economic Theory, 2009, 144, (5), 1849-1867 Downloads View citations (107)
    See also Working Paper (2009)

2008

  1. Methods for inference in large multiple-equation Markov-switching models
    Journal of Econometrics, 2008, 146, (2), 255-274 Downloads View citations (134)
    See also Working Paper (2006)

2007

  1. Normalization in Econometrics
    Econometric Reviews, 2007, 26, (2-4), 221-252 Downloads View citations (51)
    See also Working Paper (2004)

2006

  1. Transparency, expectations and forecasts
    Economic Review, 2006, (Q 1), 1-25 Downloads View citations (20)
    See also Working Paper (2006)

2003

  1. A Gibbs sampler for structural vector autoregressions
    Journal of Economic Dynamics and Control, 2003, 28, (2), 349-366 Downloads View citations (73)
  2. Forecast evaluation with cross-sectional data: The Blue Chip Surveys
    Economic Review, 2003, (Q2), 17-31 Downloads View citations (26)
  3. Likelihood preserving normalization in multiple equation models
    Journal of Econometrics, 2003, 114, (2), 329-347 Downloads View citations (39)
    See also Working Paper (2000)

2001

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

2000

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

1999

  1. Conditional Forecasts In Dynamic Multivariate Models
    The Review of Economics and Statistics, 1999, 81, (4), 639-651 Downloads View citations (107)
    See also Working Paper (1998)

Chapters

2015

  1. Trends and Cycles in China's Macroeconomy
    A chapter in NBER Macroeconomics Annual 2015, Volume 30, 2015, pp 1-84 Downloads View citations (17)
    See also Working Paper (2015)
    Journal Article in NBER Macroeconomics Annual (2016)

Software Items

2009

  1. Code files for "Asymmetric Expectation Effects of Regime Shifts in Monetary Policy"
    Computer Codes, Review of Economic Dynamics Downloads
    See also Journal Article in Review of Economic Dynamics (2009)
 
Page updated 2019-10-14