Tao A. Zha

Federal Reserve Bank of Atlanta

Senior Economist and Policy Advisor

1000 Peachtree Street N.E.

Atlanta, GA 30309-4470

United States

SCHOLARLY PAPERS

51

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Scholarly Papers (51)

1.

Markov-Switching Structural Vector Autoregressions: Theory and Application

FRB of Atlanta Working Paper No. 2005-27
Number of pages: 48 Posted: 19 Dec 2005
Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 612 (42,868)
Citation 26

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Markov switching, regime changes, volatility, identification

2.

Were There Regime Switches in U.S. Monetary Policy?

FRB of Atlanta Working Paper No. 2004-14
Number of pages: 42 Posted: 22 Aug 2004
Christopher A. Sims and Tao A. Zha
Princeton University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 242 (126,449)
Citation 244

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Counterfactuals, Lucas critique, policy rule, monetary targeting, simultaneity, volatility, model comparison

3.

A Gibbs Simulator for Restricted VAR Models

FRB of Atlanta Working Paper No. 2000-3
Number of pages: 25 Posted: 02 May 2000
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 221 (138,270)
Citation 2

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4.

Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach

FRB of Atlanta Working Paper No. 2002-8
Number of pages: 24 Posted: 17 Aug 2002
Independent, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 177 (169,844)
Citation 4

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Wall Street Journal, joint forecast, probability, ranking, correlation, variance, multivariate assessment

5.
Downloads 164 (181,500)
Citation 11

Trends and Cycles in China's Macroeconomy

FRB Atlanta Working Paper No. 2015-5
Number of pages: 74 Posted: 02 Jul 2015
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Emory University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 125 (227,062)

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reallocation, between-sector effect, total factor productivity growth, heavy versus light sectors, long-term versus short-term loans, labor share, lending frictions, incentive compatibility

Trends and Cycles in China's Macroeconomy

Number of pages: 76 Posted: 11 May 2018
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Emory University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 26 (502,751)
Citation 1

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Reallocation, between-sector effect, TFP growth, heavy vs. light sectors, long-term vs. short-term loans, labor share, lending frictions, incentive compatibility

Trends and Cycles in China's Macroeconomy

NBER Working Paper No. w21244
Number of pages: 75 Posted: 08 Jun 2015
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Emory University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 13 (586,846)
Citation 3

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6.

Normalization in Econometrics

FRB of Atlanta Working Paper No. 2004-13
Number of pages: 69 Posted: 22 Aug 2004
University of California at San Diego, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 164 (181,500)
Citation 13

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Normalization, mixture distributions, vector autoregressions, cointegration, regime switching, numerical Bayesian methods, small sample distributions, weak identification

7.

Assessing Simple Policy Rules: A View from a Complete Macro Model

FRB of Atlanta Working Paper No. 2000-19
Number of pages: 57 Posted: 01 Feb 2001
Eric M. Leeper and Tao A. Zha
University of Virginia and Federal Reserve Bank of Atlanta
Downloads 149 (196,677)
Citation 8

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monetary policy, identification, New Keynesian, policy analysis, VAR

Perturbation Methods for Markov-Switching DSGE Models

Federal Reserve Bank of Kansas City Working Paper No. RWP 13-01
Number of pages: 35 Posted: 08 Mar 2013 Last Revised: 21 Nov 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 92 (282,127)
Citation 3

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Perturbation Methods for Markov-Switching DSGE Models

FRB Atlanta Working Paper No. 2014-16
Number of pages: 39 Posted: 04 Apr 2015
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 18 (553,608)

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partition principle, naive perturbation, uncertainty, Taylor series, high-order expansion, time-varying coefficients, nonlinearity, Gröbner bases

Perturbation Methods for Markov-Switching DSGE Models

NBER Working Paper No. w20390
Number of pages: 39 Posted: 25 Aug 2014 Last Revised: 01 Sep 2014
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 10 (607,732)
Citation 1

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Perturbation Methods for Markov-Switching DSGE Models

CEPR Discussion Paper No. DP9464
Number of pages: 88 Posted: 08 May 2013
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 4 (651,151)
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DSGE, Markov-Switching, Perturbation

9.

Methods for Inference in Large Multiple-Equation Markov-Switching Models

FRB of Atlanta Working Paper No. 2006-22
Number of pages: 46 Posted: 09 Feb 2007
Princeton University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 123 (229,020)
Citation 41

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volatility, coefficient changes, discontinuous shifts, Lucas critique, independent Markov processes

10.

Normalization, Probability Distribution, and Impulse Responses

Working Paper Number 97-11
Number of pages: 21 Posted: 22 Feb 1998
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 119 (234,715)

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What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending

FRB Atlanta Working Paper No. 2016-1
Number of pages: 63 Posted: 01 Feb 2016
Kaiji Chen, Jue Ren and Tao A. Zha
Emory University - Department of Economics, Emory University and Federal Reserve Bank of Atlanta
Downloads 99 (268,883)

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Regulatory arbitrage, asset pricing, institutional asymmetry, entrusted loans, risk taking, shadow loans, bank loans, nonloan investment, nonbank trustees, small banks, large banks, balance sheet, optimal decisions

What We Learn from China's Rising Shadow Banking: Exploring the Nexus of Monetary Tightening and Banks' Role in Entrusted Lending

NBER Working Paper No. w21890
Number of pages: 64 Posted: 20 Jan 2016
Kaiji Chen, Jue Ren and Tao A. Zha
Emory University - Department of Economics, Emory University and Federal Reserve Bank of Atlanta
Downloads 18 (553,608)

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12.

Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference

Federal Reserve Bank of Atlanta Working Paper No. 2008-18
Number of pages: 69 Posted: 16 Nov 2008
Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 117 (237,678)
Citation 21

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linear and nonlinear restrictions, global identification, almost everywhere, rank conditions, orthogonal rotation, transformation, simultaneity

13.

Active Monetary or Fiscal Policy and Stock-Bond Correlation

Number of pages: 59 Posted: 28 Jan 2018 Last Revised: 29 Jun 2018
Erica X. N. Li, Tao A. Zha, Ji Zhang and Hao Zhou
Cheung Kong Graduate School of Business, Federal Reserve Bank of Atlanta, Tsinghua University - PBC School of Finance and Tsinghua University - PBC School of Finance
Downloads 116 (239,139)

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bond-stock return correlation, monetary-fiscal policy regime, inflation risk premium

14.
Downloads 116 (239,139)
Citation 8

The Conquest of South American Inflation

FRB of Atlanta Working Paper No. 2006-20
Number of pages: 61 Posted: 26 Nov 2006
New York University (NYU) - Department of Economics, Leonard N. Stern School of Business, Princeton University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 87 (292,631)
Citation 6

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self-conirming equilibria, rational expectations, adaptation, inflation, seigniorage, deficits, escape dynamics

The Conquest of South American Inflation

NBER Working Paper No. w12606
Number of pages: 61 Posted: 23 Oct 2006 Last Revised: 08 Mar 2007
New York University (NYU) - Department of Economics, Leonard N. Stern School of Business, Princeton University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 29 (485,602)

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15.

MCMC Method for Markov Mixture Simultaneous-Equation Models: A Note

FRB of Atlanta Working Paper No. 2004-15
Number of pages: 21 Posted: 22 Aug 2004
Christopher A. Sims and Tao A. Zha
Princeton University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 106 (254,898)
Citation 3

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Simultaneity, identification, time variation, volatility, Bayesian method

16.

Trends in Velocity and Policy Expectations

FRB Atlanta Working Paper 97-7
Number of pages: 39 Posted: 04 Jan 1998
University of Virginia, Clemson University - John E. Walker Department of Economics and Federal Reserve Bank of Atlanta
Downloads 103 (260,063)

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17.

Do Credit Constraints Amplify Macroeconomic Fluctuations?

FRB Atlanta Working Paper No. 2010-1
Number of pages: 40 Posted: 23 Mar 2015
Zheng Liu, Pengfei Wang and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, HKUST, Department of Economics and Federal Reserve Bank of Atlanta
Downloads 102 (261,808)
Citation 10

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credit constraints, collateral asset, housing prices, investment, financial multiplier, business cycle, structural estimation

18.

Transparency, Expectations, and Forecasts

ECB Working Paper No. 637, FRB of Atlanta Working Paper No. 2006-3
Number of pages: 52 Posted: 26 Apr 2006
Federal Reserve Bank of Richmond, Independent, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 102 (261,808)

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Transparency, common errors, idiosyncratic errors

Indeterminacy in a Forward-Looking Regime-Switching Model

FRB of Atlanta Working Paper No. 2006-19
Number of pages: 16 Posted: 26 Nov 2006
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 53 (384,915)
Citation 1

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policy rule, inflation, serial dependence, multiple equilibria, regime switching

Indeterminacy in a Forward Looking Regime Switching Model

NBER Working Paper No. w12540
Number of pages: 16 Posted: 02 Oct 2006 Last Revised: 31 Dec 2006
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 19 (547,109)

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Indeterminacy in a Forward Looking Regime Switching Model

CEPR Discussion Paper No. 5919
Number of pages: 18 Posted: 29 Dec 2006
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 14 (580,048)
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Indeterminacy, regime switching, Taylor Principle

20.

Likelihood-Preserving Normalization in Multiple Equation Models

FRB of Atlanta Working Paper No. 2000-8
Number of pages: 28 Posted: 10 Oct 2000
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 81 (303,176)
Citation 3

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Bayesian methods, causal analysis, supply and demand, simultaneity, likelihood shape, equilibrium effects

Understanding the New Keynesian Model When Monetary Policy Switches Regimes

FRB Atlanta Working Paper No. 2007-12
Number of pages: 24 Posted: 27 Dec 2007
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 54 (381,568)
Citation 1

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active and passive regimes, indeterminacy, cross-regime spillovers, conditioning, expectations formation, inflation hawk, inflation dove

Understanding the New-Keynesian Model When Monetary Policy Switches Regimes

NBER Working Paper No. w12965
Number of pages: 24 Posted: 15 Mar 2007 Last Revised: 30 Mar 2007
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 25 (508,786)

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22.

Minimal State Variable Solutions to Markov-Switching Rational Expectations Models

FRB of Atlanta Working Paper No. 2008-23
Number of pages: 30 Posted: 13 Nov 2008
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 73 (322,110)
Citation 24

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regime switching, volatility, rational expectations

23.

Generalizing the Taylor Principle: Comment

Federal Reserve Bank of Atlanta Working Paper 2008-19
Number of pages: 14 Posted: 16 Nov 2008
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 67 (337,422)
Citation 3

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bounded solutions, multiple fundamental equilibria, historical dependence

24.
Downloads 65 (342,824)
Citation 13

Forecasting China's Economic Growth and Inflation

FRB Atlanta Working Paper No. 2016-7
Number of pages: 24 Posted: 14 Jul 2016 Last Revised: 30 Aug 2017
Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Shanghai Jiao Tong University (SJTU)
Downloads 51 (391,761)
Citation 3

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out of sample, policy projections, scenario analysis, probability bands, density forecasts, random walk, Bayesian priors

Forecasting China's Economic Growth and Inflation

NBER Working Paper No. w22402
Number of pages: 25 Posted: 11 Jul 2016
Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Shanghai Jiao Tong University (SJTU)
Downloads 14 (580,048)
Citation 3

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Shocks and Government Beliefs: The Rise and Fall of American Inflation

NBER Working Paper No. w10764
Number of pages: 50 Posted: 29 Sep 2004 Last Revised: 07 Jul 2014
New York University (NYU) - Department of Economics, Leonard N. Stern School of Business, Princeton University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 45 (413,706)
Citation 1

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Shocks and Government Beliefs: The Rise and Fall of American Inflation

FRB Atlanta Working Paper No. 2004-22
Number of pages: 41 Posted: 23 Feb 2015
New York University (NYU) - Department of Economics, Leonard N. Stern School of Business, Princeton University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 13 (586,846)
Citation 19

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updating beliefs, policy evaluation, self-confirming equilibrium, Nash inflation, Ramsey outcomes

Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China

FRB Atlanta Working Paper No. 2016-9
Number of pages: 52 Posted: 26 Sep 2016 Last Revised: 21 Oct 2017
Emory University - Department of Economics, Federal Reserve Bank of Atlanta, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 45 (413,706)
Citation 1

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asymmetric credit allocation, endogenous regime switching, debt-to-GDP ratio, heavy GDP, heavy loans, real estate, land prices, GDP growth target, nonlinear effects

Impacts of Monetary Stimulus on Credit Allocation and the Macroeconomy: Evidence from China

NBER Working Paper No. w22650
Number of pages: 66 Posted: 20 Sep 2016 Last Revised: 01 Oct 2016
Emory University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 11 (600,749)

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27.
Downloads 53 (378,785)
Citation 12

Modest Policy Interventions

NBER Working Paper No. w9192
Number of pages: 41 Posted: 14 Sep 2002 Last Revised: 09 Jul 2014
Eric M. Leeper and Tao A. Zha
University of Virginia and Federal Reserve Bank of Atlanta
Downloads 27 (496,886)
Citation 1

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Modest Policy Interventions

FRB Atlanta Working Paper Series No. 99-22
Number of pages: 66 Posted: 25 Jan 2015
Eric M. Leeper and Tao A. Zha
University of Virginia and Federal Reserve Bank of Atlanta
Downloads 14 (580,048)
Citation 8

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monetary policy, identification, forecasting, policy analysis, VAR, Lucas critique

Modest Policy Interventions

FRB Atlanta Working Paper No. 2002-19
Number of pages: 41 Posted: 23 Feb 2015
Eric M. Leeper and Tao A. Zha
University of Virginia and Federal Reserve Bank of Atlanta
Downloads 12 (593,915)

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monetary policy, identification, forecasting, policy analysis, VAR, Lucas critique

Understanding Markov-Switching Rational Expectations Models

NBER Working Paper No. w14710
Number of pages: 27 Posted: 17 Feb 2009 Last Revised: 05 Jul 2014
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 37 (446,863)

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Understanding Markov-Switching Rational Expectations Models

FRB Atlanta Working Paper 2009-5
Number of pages: 26 Posted: 17 Mar 2015
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 15 (573,285)
Citation 1

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stability, nonlinearity, unique equilibrium, cross-regime indeterminacy, expectations formation, necessary and sufficient conditions

Macroeconomic Effects of China's Financial Policies

FRB Atlanta Working Paper No. 2018-12
Number of pages: 40 Posted: 28 Jan 2019 Last Revised: 21 Feb 2019
Kaiji Chen and Tao A. Zha
Emory University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 36 (451,234)

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marketized tools, regime change, growth, investment, capital intensity, local governments, regulations, shadow banking, debts, real estate, preferential credits, industrialization, SOEs, POEs, heavy and light sectors, monetary stimulus, trends and cycles

Macroeconomic Effects of China's Financial Policies

NBER Working Paper No. w25222
Number of pages: 41 Posted: 05 Nov 2018
Kaiji Chen and Tao A. Zha
Emory University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 10 (607,732)
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30.

The Nexus of Monetary Policy and Shadow Banking in China

NBER Working Paper No. w23377
Number of pages: 96 Posted: 08 May 2017
Kaiji Chen, Jue Ren and Tao A. Zha
Emory University - Department of Economics, Emory University and Federal Reserve Bank of Atlanta
Downloads 42 (417,246)
Citation 5

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31.

The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models

FRB Atlanta Working Paper No. 2014-21
Number of pages: 35 Posted: 04 Apr 2015
Daniel F. Waggoner, Hongwei Wu and Tao A. Zha
Federal Reserve Bank of Atlanta, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 42 (417,246)
Citation 3

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dynamic striation adjustments, simultaneous equations, Phillips curve, winding ridges, multiple peaks, independent striated draws, irregular posterior distribution, importance weights, tempered posterior density, effective sample size

32.

Conditional Forecasts in Dynamic Multivariate Models

FRB Atlanta Working Paper Series No. 98-22
Number of pages: 43 Posted: 25 Jan 2015
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 42 (417,246)
Citation 4

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conditional forecasts, hard and soft conditions, Bayesian methods, probability distribution, error bands, likelihood

33.
Downloads 41 (420,962)
Citation 15

Land-Price Dynamics and Macroeconomic Fluctuations

NBER Working Paper No. w17045
Number of pages: 44 Posted: 16 May 2011 Last Revised: 04 Jul 2014
Zheng Liu, Zheng Liu, Pengfei Wang and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Banks - Federal Reserve Bank of San Francisco, HKUST, Department of Economics and Federal Reserve Bank of Atlanta
Downloads 24 (515,037)
Citation 1

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Land-Price Dynamics and Macroeconomic Fluctuations

FRB Atlanta Working Paper No. 2011-11
Number of pages: 43 Posted: 22 Mar 2015
Zheng Liu, Pengfei Wang and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, HKUST, Department of Economics and Federal Reserve Bank of Atlanta
Downloads 17 (560,185)
Citation 13

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land prices, collateral assets, investment, dynamic multiplier, propagation mechanism, co-movements

34.

Assessing the Macroeconomic Impact of Bank Intermediation Shocks: A Structural Approach

FRB Atlanta Working Paper No. 2015-8
Number of pages: 43 Posted: 07 Sep 2017
Kaiji Chen and Tao A. Zha
Emory University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 40 (424,848)

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intermediation cost, credit supply channel, micro bank-level data, call report, senior loan officers, identification, supply and demand, intermediation costs, endogenous monitoring activities

Learning, Adaptive Expectations, and Technology Shocks

FRB of Atlanta Working Paper No. 2008-20
Number of pages: 38 Posted: 13 Nov 2008
Kevin X. D. Huang, Zheng Liu and Tao A. Zha
Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Federal Reserve Bank of Atlanta
Downloads 36 (451,234)
Citation 9

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self-confirming equilibrium, amplification, labor market dynamics, wealth and substitution effects, hump-shaped responses

Learning, Adaptive Expectations and Technology Shocks

The Economic Journal, Vol. 119, Issue 536, pp. 377-405, March 2009
Number of pages: 29 Posted: 27 Apr 2009
Tao A. Zha
Federal Reserve Bank of Atlanta
Downloads 1 (685,321)
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36.
Downloads 32 (458,480)

A Theory of Housing Demand Shocks

FRB Atlanta Working Paper No. 2019-4
Number of pages: 40 Posted: 28 Mar 2019
Zheng Liu, Pengfei Wang and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, HKUST, Department of Economics and Federal Reserve Bank of Atlanta
Downloads 23 (521,195)

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price-rent puzzle, heterogeneity, marginal agent, cutoff point, liquidity premium, price-to-rent ratio, collateral constraint

A Theory of Housing Demand Shocks

NBER Working Paper No. w25667
Number of pages: 41 Posted: 19 Mar 2019
Zheng Liu, Pengfei Wang and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, HKUST, Department of Economics and Federal Reserve Bank of Atlanta
Downloads 9 (614,699)
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37.

Sources of Macroeconomic Fluctuations: A Regime-Switching DSGE Approach

FRB Atlanta Working Paper No. 2009-3a
Number of pages: 75 Posted: 19 Mar 2015
Zheng Liu, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 31 (463,107)
Citation 5

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systematic analysis, regime switching, depreciation shock, efficient estimation methods

Liquidity Premia, Price-Rent Dynamics, and Business Cycles

FRB Atlanta Working Paper No. 2014-15
Number of pages: 54 Posted: 04 Apr 2015
Jianjun Miao, Pengfei Wang and Tao A. Zha
Boston University - Department of Economics, HKUST, Department of Economics and Federal Reserve Bank of Atlanta
Downloads 25 (508,786)

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asset pricing, financial frictions, working capital, cutoff productivity, heterogeneous firms, endogenous TFP, house price, liquidity constraint

Liquidity Premia, Price-Rent Dynamics, and Business Cycles

NBER Working Paper No. w20377
Number of pages: 55 Posted: 18 Aug 2014
Jianjun Miao, Pengfei Wang and Tao A. Zha
Boston University - Department of Economics, HKUST, Department of Economics and Federal Reserve Bank of Atlanta
Downloads 6 (636,054)

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39.

Empirical Analysis of Policy Interventions

NBER Working Paper No. w9063
Number of pages: 40 Posted: 11 Jul 2002 Last Revised: 19 Jul 2002
Eric M. Leeper and Tao A. Zha
University of Virginia and Federal Reserve Bank of Atlanta
Downloads 30 (467,917)
Citation 2

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40.

Land Prices and Unemployment

FRB Atlanta Working Paper No. 2013-6
Number of pages: 45 Posted: 22 Mar 2015
Zheng Liu, Jianjun Miao and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Boston University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 29 (472,786)
Citation 2

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Housing and labor markets, volatility, match value of employment, marginal utility of consumption, credit channel, labor channel

41.

Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors

FRB Atlanta Working Paper Series No. 99-21
Number of pages: 35 Posted: 25 Jan 2015
Lutz Kilian and Tao A. Zha
University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 17 (540,249)
Citation 6

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purchasing power parity, half-life, mean reversion, persistence, likelihood

42.

Asymmetric Expectation Effects of Regime Shifts and the Great Moderation

FRB Atlanta Working Paper No. 2007-23
Number of pages: 48 Posted: 23 Feb 2015
Zheng Liu, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 16 (546,093)
Citation 2

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structural breaks, expectations formation, monetary policy regime, macroeconomic volatility, Lucas critique

43.

Confronting Model Misspecification in Macroeconomics

NBER Working Paper No. w17791
Number of pages: 52 Posted: 27 Jan 2012 Last Revised: 05 Jul 2014
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 16 (546,093)
Citation 3

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44.

Confronting Model Misspecification in Macroeconomics

FRB Atlanta Working Paper No. 2010-18a
Number of pages: 51 Posted: 23 Mar 2015
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 15 (552,031)
Citation 1

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Markov-switching mixture, heterogenous models, regime-dependent weights, model uncertainty, parameter uncertainty, impulse responses, policy analysis

45.

Land Prices and Unemployment

NBER Working Paper No. w19382
Number of pages: 46 Posted: 30 Aug 2013 Last Revised: 04 Jul 2014
Zheng Liu, Zheng Liu, Jianjun Miao and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Banks - Federal Reserve Bank of San Francisco, Boston University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 5 (615,733)
Citation 1

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46.

Does Monetary Policy Generate Recessions?

Federal Reserve Bank of Atlanta Working Paper 98-12
Posted: 04 Sep 1998
Christopher A. Sims and Tao A. Zha
Princeton University - Department of Economics and Federal Reserve Bank of Atlanta

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48.

Identifying Monetary Policy in a Small Open Economy Under Flexible Exchange Rates

Federal Reserve Bank of Atlanta Working Paper 95-7
Posted: 09 May 1998
David O. Cushman and Tao A. Zha
Westminster College - Department of Economics and BusinessWestminster College, Dept. of Economics and Business and Federal Reserve Bank of Atlanta

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49.

Error Bands for Impulse Responses

Federal Reserve Bank of Atlanta WP 95-6
Posted: 06 May 1998
Christopher A. Sims and Tao A. Zha
Princeton University - Department of Economics and Federal Reserve Bank of Atlanta

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50.

Bayesian Methods for Dynamic Multivariate Models

FRB Atlanta Working Paper No. 96-13
Posted: 04 Feb 1997
Christopher A. Sims and Tao A. Zha
Princeton University - Department of Economics and Federal Reserve Bank of Atlanta

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51.

Identification, Vector Autoregression, and Block Recursion

Federal Reserve Bank of Atlanta Working Paper No. 96-8
Posted: 24 Sep 1996
Tao A. Zha
Federal Reserve Bank of Atlanta

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