Tao A. Zha

Federal Reserve Bank of Atlanta

Senior Economist and Policy Advisor

1000 Peachtree Street N.E.

Atlanta, GA 30309-4470

United States

Emory University

201 Dowman Drive

Atlanta, GA 30322

United States

  • Federal Reserve Bank of Atlanta

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    • Tel: 404-521-8353
    • Fax: 404-521-8956

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SCHOLARLY PAPERS

64

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8,437

SSRN CITATIONS
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Top 788

in Total Papers Citations

1,710

CROSSREF CITATIONS

215

Scholarly Papers (64)

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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
Juan Francisco Rubio-Ramirez, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 948 (48,301)
Citation 33

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Markov switching, regime changes, volatility, identification

2.

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

Downloads 517 (106,461)
Citation 8

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

Journal of Monetary Economics, Forthcoming
Number of pages: 62 Posted: 28 Jan 2018 Last Revised: 07 Mar 2022
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 472 (117,451)
Citation 10

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Stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

Does Fiscal Policy Matter for Stock-Bond Return Correlation?

NBER Working Paper No. w27861
Number of pages: 50 Posted: 28 Sep 2020 Last Revised: 16 Feb 2023
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 45 (791,199)

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3.

Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime

FRB Atlanta Working Paper No. 2020-19
Number of pages: 54 Posted: 20 Apr 2021
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 331 (176,978)

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stock-bond return correlation, consumption-inflation correlation, fiscal-monetary policy regime, bond risk premium, technology shock, investment shock

4.

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 318 (184,651)
Citation 449

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

5.

Trends and Cycles in China's Macroeconomy

Downloads 204 (198,438)
Citation 51

Trends and Cycles in China's Macroeconomy

FRB Atlanta Working Paper No. 2015-5
Number of pages: 74 Posted: 02 Jul 2015
Chun Chang, Kaiji Chen, Daniel F. Waggoner and Tao A. Zha
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 163 (349,955)

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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

NBER Working Paper No. w21244
Number of pages: 75 Posted: 08 Jun 2015 Last Revised: 20 Jul 2023
Chun Chang, Kaiji Chen, Daniel F. Waggoner and Tao A. Zha
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 41 (821,377)
Citation 18

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6.

The Conquest of South American Inflation

Downloads 265 (223,063)
Citation 18

The Conquest of South American Inflation

FRB of Atlanta Working Paper No. 2006-20
Number of pages: 61 Posted: 26 Nov 2006
Thomas J. Sargent, Noah Williams and Tao A. Zha
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 159 (357,467)
Citation 5

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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: 12 Dec 2022
Thomas J. Sargent, Noah Williams and Tao A. Zha
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 106 (492,434)
Citation 1

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7.

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 260 (227,341)
Citation 2

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8.

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
Robert Eisenbeis, Daniel F. Waggoner and Tao A. Zha
Independent, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 237 (248,968)
Citation 6

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

9.

Estimating and Forecasting Disease Scenarios for Covid-19 with an Sir Model

NBER Working Paper No. w27335
Number of pages: 150 Posted: 10 Jun 2020 Last Revised: 11 Mar 2023
Andrew Atkeson, Karen A. Kopecky and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Cleveland and Federal Reserve Bank of Atlanta
Downloads 236 (249,940)
Citation 9

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10.

Perturbation Methods for Markov-Switching DSGE Models

Downloads 218 (270,644)
Citation 11

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
Andrew T. Foerster, Juan Francisco Rubio-Ramirez, Daniel F. Waggoner and Tao A. Zha
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 147 (383,815)
Citation 5

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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
Andrew T. Foerster, Juan Francisco Rubio-Ramirez, Daniel F. Waggoner and Tao A. Zha
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 43 (806,167)

Abstract:

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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: 15 Aug 2022
Andrew T. Foerster, Juan Francisco Rubio-Ramirez, Daniel F. Waggoner and Tao A. Zha
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 24 (975,409)
Citation 3

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Perturbation Methods for Markov-Switching DSGE Models

CEPR Discussion Paper No. DP9464
Number of pages: 88 Posted: 08 May 2013
Andrew T. Foerster, Juan Francisco Rubio-Ramirez, Daniel F. Waggoner and Tao A. Zha
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 (1,207,582)
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DSGE, Markov-Switching, Perturbation

11.

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
Juan Francisco Rubio-Ramirez, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta - Research Department, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 218 (269,505)
Citation 115

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

12.

Four Stylized Facts About Covid-19

Downloads 205 (285,427)
Citation 2

Four Stylized Facts About Covid-19

NBER Working Paper No. w27719
Number of pages: 44 Posted: 25 Aug 2020 Last Revised: 29 Mar 2023
Andrew Atkeson, Karen A. Kopecky and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Cleveland and Federal Reserve Bank of Atlanta
Downloads 162 (351,845)
Citation 6

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Four Stylized Facts about COVID-19

FRB Atlanta Working Paper No. 2020-15
Number of pages: 43 Posted: 22 Apr 2021
Andrew Atkeson, Karen A. Kopecky and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Cleveland and Federal Reserve Bank of Atlanta
Downloads 43 (806,167)
Citation 1

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COVID-19; death; dispersion; NPI policy; reproduction number; transmission rate

13.

Normalization in Econometrics

FRB of Atlanta Working Paper No. 2004-13
Number of pages: 69 Posted: 22 Aug 2004
James D. Hamilton, Daniel F. Waggoner and Tao A. Zha
University of California at San Diego, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 204 (286,652)
Citation 16

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

14.

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

Downloads 190 (305,799)
Citation 3

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 Last Revised: 22 Jun 2022
Kaiji Chen, Jue Ren and Tao A. Zha
Emory University - Department of Economics, Texas Christian University - M.J. Neeley School of Business and Federal Reserve Bank of Atlanta
Downloads 138 (401,662)

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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 sheets, 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 Last Revised: 24 Apr 2023
Kaiji Chen, Jue Ren and Tao A. Zha
Emory University - Department of Economics, Texas Christian University - M.J. Neeley School of Business and Federal Reserve Bank of Atlanta
Downloads 52 (743,134)
Citation 1

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15.

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 184 (314,620)
Citation 4

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16.

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 182 (317,761)
Citation 16

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

17.

A Theory of Housing Demand Shocks

Downloads 174 (330,887)
Citation 2

A Theory of Housing Demand Shocks

FRB Atlanta Working Paper No. 2019-4
Number of pages: 40 Posted: 28 Mar 2019 Last Revised: 29 Apr 2020
Zheng Liu, Pengfei Wang and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 129 (423,794)

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

A Theory of Housing Demand Shocks

NBER Working Paper No. w25667
Number of pages: 41 Posted: 19 Mar 2019 Last Revised: 18 Feb 2023
Zheng Liu, Pengfei Wang and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 45 (791,199)

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18.

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, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 169 (339,422)
Citation 15

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

19.

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

Downloads 162 (351,933)
Citation 44

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: 01 Dec 2022
Thomas J. Sargent, Noah Williams and Tao A. Zha
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 128 (426,294)
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
Thomas J. Sargent, Noah Williams and Tao A. Zha
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 34 (879,356)
Citation 17

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

20.

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
Christopher A. Sims, Daniel F. Waggoner and Tao A. Zha
Princeton University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 155 (365,127)
Citation 50

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

21.

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 152 (371,047)
Citation 4

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Simultaneity, identification, time variation, volatility, Bayesian method

22.

Macroeconomic Effects of China's Financial Policies

Downloads 146 (383,362)
Citation 4

Macroeconomic Effects of China's Financial Policies

FRB Atlanta Working Paper No. 2018-12
Number of pages: 40 Posted: 28 Jan 2019 Last Revised: 29 Apr 2020
Kaiji Chen and Tao A. Zha
Emory University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 112 (472,658)
Citation 3

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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 Last Revised: 02 Jun 2023
Kaiji Chen and Tao A. Zha
Emory University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 34 (879,356)

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23.

Modest Policy Interventions

Downloads 146 (383,362)
Citation 63

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 59 (700,380)
Citation 16

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

Modest Policy Interventions

NBER Working Paper No. w9192
Number of pages: 41 Posted: 14 Sep 2002 Last Revised: 13 Feb 2022
Eric M. Leeper and Tao A. Zha
University of Virginia and Federal Reserve Bank of Atlanta
Downloads 52 (743,134)
Citation 13

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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 35 (870,411)

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

24.

Forecasting China's Economic Growth and Inflation

Downloads 142 (391,901)
Citation 27

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
Patrick C. Higgins, Tao A. Zha and Karen Zhong
Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Shanghai Jiao Tong University (SJTU)
Downloads 101 (510,149)
Citation 4

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out of sample, policy projections, scenario analyses, 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 Last Revised: 19 Mar 2023
Patrick C. Higgins, Tao A. Zha and Karen Zhong
Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Shanghai Jiao Tong University (SJTU)
Downloads 41 (821,377)
Citation 16

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25.

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
Andy Bauer, Robert Eisenbeis, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Richmond, Independent, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 135 (407,725)

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Transparency, common errors, idiosyncratic errors

26.

Trends in Velocity and Policy Expectations

FRB Atlanta Working Paper 97-7
Number of pages: 39 Posted: 04 Jan 1998
Eric M. Leeper, David B. Gordon and Tao A. Zha
University of Virginia, Clemson University - John E. Walker Department of Economics and Federal Reserve Bank of Atlanta
Downloads 133 (412,645)
Citation 2

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27.

Monetary Stimulus Amidst the Infrastructure Investment Spree: Evidence from China's Loan-Level Data

Downloads 68 (424,879)
Citation 9

Monetary Stimulus Amidst the Infrastructure Investment Spree: Evidence from China's Loan-Level Data

NBER Working Paper No. w27763
Number of pages: 119 Posted: 31 Aug 2020 Last Revised: 15 May 2023
Kaiji Chen, Haoyu Gao, Patrick C. Higgins, Daniel F. Waggoner and Tao A. Zha
Emory University - Department of Economics, Renmin University of China, Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 68 (650,942)

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28.

Indeterminacy in a Forward-Looking Regime-Switching Model

Downloads 121 (443,556)
Citation 3

Indeterminacy in a Forward-Looking Regime-Switching Model

FRB of Atlanta Working Paper No. 2006-19
Number of pages: 16 Posted: 26 Nov 2006
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 73 (625,728)
Citation 2

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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: 08 Oct 2022
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 34 (879,356)

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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
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 14 (1,088,843)
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Indeterminacy, regime switching, Taylor Principle

29.

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

Downloads 120 (446,358)
Citation 6

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
Kaiji Chen, Daniel F. Waggoner, Patrick C. Higgins and Tao A. Zha
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 87 (563,097)
Citation 3

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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: 53 Posted: 20 Sep 2016 Last Revised: 22 May 2023
Kaiji Chen, Patrick C. Higgins, Daniel F. Waggoner and Tao A. Zha
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 33 (888,373)
Citation 1

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30.

Understanding the New Keynesian Model When Monetary Policy Switches Regimes

Downloads 120 (446,358)

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
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 79 (597,636)

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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: 05 Dec 2022
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 41 (821,377)

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31.

The Nexus of Monetary Policy and Shadow Banking in China

NBER Working Paper No. w23377
Number of pages: 96 Posted: 08 May 2017 Last Revised: 18 May 2023
Kaiji Chen, Jue Ren and Tao A. Zha
Emory University - Department of Economics, Texas Christian University - M.J. Neeley School of Business and Federal Reserve Bank of Atlanta
Downloads 119 (449,074)
Citation 31

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32.

Land-Price Dynamics and Macroeconomic Fluctuations

Downloads 117 (454,856)
Citation 105

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, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 59 (700,380)
Citation 25

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

Land-Price Dynamics and Macroeconomic Fluctuations

NBER Working Paper No. w17045
Number of pages: 44 Posted: 16 May 2011 Last Revised: 28 Jan 2023
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, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 58 (706,161)
Citation 17

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33.

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
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 115 (460,851)
Citation 61

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regime switching, volatility, rational expectations

34.

Generalizing the Taylor Principle: Comment

Federal Reserve Bank of Atlanta Working Paper 2008-19
Number of pages: 14 Posted: 16 Nov 2008
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 113 (466,910)
Citation 14

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bounded solutions, multiple fundamental equilibria, historical dependence

35.

Liquidity Premia, Price-Rent Dynamics, and Business Cycles

Downloads 108 (482,519)
Citation 6

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, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 82 (584,283)
Citation 7

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

Discount Shock, Price-Rent Dynamics, and the Business Cycle

NBER Working Paper No. w20377
Number of pages: 56 Posted: 18 Aug 2014 Last Revised: 06 Mar 2023
Jianjun Miao, Pengfei Wang and Tao A. Zha
Boston University - Department of Economics, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 26 (954,707)
Citation 1

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36.

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 108 (482,519)
Citation 4

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

37.

Understanding Markov-Switching Rational Expectations Models

Downloads 98 (516,383)
Citation 30

Understanding Markov-Switching Rational Expectations Models

NBER Working Paper No. w14710
Number of pages: 27 Posted: 17 Feb 2009 Last Revised: 13 Mar 2022
Roger E. A. Farmer, Tao A. Zha and Daniel F. Waggoner
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 57 (711,920)
Citation 3

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Understanding Markov-Switching Rational Expectations Models

FRB Atlanta Working Paper 2009-5
Number of pages: 26 Posted: 17 Mar 2015
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 41 (821,377)
Citation 7

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

38.

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 96 (523,447)
Citation 26

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

39.

Confronting Model Misspecification in Macroeconomics

NBER Working Paper No. w17791
Number of pages: 52 Posted: 27 Jan 2012 Last Revised: 11 Feb 2023
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 94 (530,622)
Citation 10

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40.

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 79 (589,738)
Citation 8

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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

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
Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of Atlanta
Downloads 73 (616,364)
Citation 12

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

42.

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 Last Revised: 26 Sep 2017
Kaiji Chen and Tao A. Zha
Emory University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 72 (621,078)
Citation 1

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

43.

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 67 (645,121)
Citation 20

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

44.

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, Kevin X. D. Huang, Zheng Liu and Tao A. Zha
Federal Reserve Bank of PhiladelphiaVanderbilt University - College of Arts and Science - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of San Francisco and Federal Reserve Bank of Atlanta
Downloads 67 (645,121)
Citation 9

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

45.

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 66 (650,116)
Citation 2

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

46.

Cyclical Lending Standards: A Structural Analysis

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Cyclical Lending Standards: A Structural Analysis

FRB Atlanta Working Paper No. 2020-6
Number of pages: 53 Posted: 23 May 2020
Kaiji Chen, Patrick C. Higgins and Tao A. Zha
Emory University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 31 (906,440)

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

Cyclical Lending Standards: A Structural Analysis

NBER Working Paper No. w27214
Number of pages: 54 Posted: 26 May 2020 Last Revised: 12 May 2023
Kaiji Chen, Patrick C. Higgins and Tao A. Zha
Emory University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 18 (1,042,024)

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47.

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 47 (758,792)
Citation 1

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

48.

Monetary Stimulus Amid the Infrastructure Investment Spree: Evidence from China's Loan-Level Data

FRB Atlanta Working Paper No. 2020-16
Number of pages: 80 Posted: 20 Apr 2021
Kaiji Chen, Haoyu Gao, Patrick C. Higgins, Daniel F. Waggoner and Tao A. Zha
Emory University - Department of Economics, Renmin University of China, Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
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infrastructure investment; monetary policy transmission; fiscal shocks; policy interaction; credit reallocation; LGFVs

49.

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 46 (765,465)
Citation 2

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

50.

Empirical Analysis of Policy Interventions

NBER Working Paper No. w9063
Number of pages: 40 Posted: 11 Jul 2002 Last Revised: 10 Oct 2022
Eric M. Leeper and Tao A. Zha
University of Virginia and Federal Reserve Bank of Atlanta
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Citation 3

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51.

The S-Curve: Understanding the Dynamics of Worldwide Financial Liberalization

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The S-Curve: Understanding the Dynamics of Worldwide Financial Liberalization

FRB Atlanta Working Paper No. 2021-19
Number of pages: 55 Posted: 14 Jul 2021
Nan Li, Chris Papageorgiou and Tao A. Zha
International Monetary Fund (IMF), International Monetary Fund (IMF) - Research Department and Federal Reserve Bank of Atlanta
Downloads 21 (1,007,931)

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The S-Curve: Understanding the Dynamics of Worldwide Financial Liberalization

NBER Working Paper No. w28994
Number of pages: 56 Posted: 05 Jul 2021 Last Revised: 23 Mar 2023
Nan Li, Chris Papageorgiou, Tong Xu and Tao A. Zha
International Monetary Fund (IMF), International Monetary Fund (IMF) - Research Department, Southwestern University of Finance and Economics and Federal Reserve Bank of Atlanta
Downloads 16 (1,065,200)

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52.

Discount Shock, Price-Rent Dynamics, and the Business Cycle

FRB Atlanta Working Paper No. 2020-7
Number of pages: 43 Posted: 23 May 2020 Last Revised: 22 Apr 2022
Jianjun Miao, Pengfei Wang and Tao A. Zha
Boston University - Department of Economics, Peking University HSBC Business School and Federal Reserve Bank of Atlanta
Downloads 36 (838,852)

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liquidity premium, heterogeneous firms, endogenous TFP, stochastic discount factor, general equilibrium, asset pricing, comovements, production economy, bank loans, business cycles, debt

53.

Land Prices and Unemployment

NBER Working Paper No. w19382
Number of pages: 46 Posted: 30 Aug 2013 Last Revised: 18 Jun 2023
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 33 (863,877)
Citation 7

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54.

Aggregate and Distributional Impacts of Ltv Policy: Evidence from China's Micro Data

NBER Working Paper No. w28092
Number of pages: 74 Posted: 16 Nov 2020 Last Revised: 05 Apr 2023
Kaiji Chen, Qing Wang, Tong Xu and Tao A. Zha
Emory University - Department of Economics, Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics and Federal Reserve Bank of Atlanta
Downloads 22 (966,340)

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55.

China's Macroeconomic Development: The Role of Gradualist Reforms

NBER Working Paper No. w31395
Number of pages: 37 Posted: 26 Jun 2023 Last Revised: 10 Jul 2023
Kaiji Chen and Tao A. Zha
Emory University - Department of Economics and Federal Reserve Bank of Atlanta
Downloads 11 (1,085,469)
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56.

The Impact of Monetary Policy on Bank Funding Composition: The Role of Deposit Market Regulation

NBER Working Paper No. w31396
Number of pages: 24 Posted: 26 Jun 2023 Last Revised: 10 Jul 2023
Kaiji Chen, Yiqing Xiao and Tao A. Zha
Emory University - Department of Economics, Peking University and Federal Reserve Bank of Atlanta
Downloads 8 (1,118,231)
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57.

Privatization's Impacts on State-Owned Enterprises: A Tale of Zombie Versus Healthy Firms

NBER Working Paper No. w32795
Number of pages: 55 Posted: 06 Aug 2024
Ruiting Wang, Yuki Wang, Gang Xu and Tao A. Zha
Okayama University, Emory University, School of Economics, Nankai University and Federal Reserve Bank of Atlanta
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58.

Constructing Quarterly Chinese Time Series Usable for Macroeconomic Analysis

NBER Working Paper No. w32087
Number of pages: 87 Posted: 29 Jan 2024
Kaiji Chen, Patrick C. Higgins and Tao A. Zha
Emory University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
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59.

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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61.

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, David O. Cushman and Tao A. Zha
Westminster College, Dept. of Economics and BusinessWestminster College - Department of Economics and Business and Federal Reserve Bank of Atlanta

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62.

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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63.

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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64.

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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