Edward Herbst

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

18

DOWNLOADS

945

SSRN CITATIONS
Rank 2,990

SSRN RANKINGS

Top 2,990

in Total Papers Citations

266

CROSSREF CITATIONS

188

Scholarly Papers (18)

Estimating (Markov-Switching) VAR Models Without Gibbs Sampling: A Sequential Monte Carlo Approach

FRB of Cleveland Working Paper No. 14-27
Number of pages: 50 Posted: 22 Nov 2014 Last Revised: 10 Jan 2015
Mark Bognanni and Edward Herbst
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 103 (322,253)
Citation 1

Abstract:

Loading...

Vector Autoregressions, Sequential Monte Carlo, Regime-Switching Models, Bayesian Analysis

Estimating (Markov-Switching) VAR Models Without Gibbs Sampling: A Sequential Monte Carlo Approach

FEDS Working Paper No. 2015-116
Number of pages: 56 Posted: 22 Dec 2015
Mark Bognanni and Edward Herbst
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 63 (432,622)

Abstract:

Loading...

The Empirical Implications of the Interest-Rate Lower Bound

FEDS Working Paper No. 2012-83
Number of pages: 76 Posted: 08 Jan 2013
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Hutchin Hill Capital
Downloads 136 (263,164)
Citation 28

Abstract:

Loading...

Zero lower bound, DSGE model, Bayesian estimation

The Empirical Implications of the Interest-Rate Lower Bound

FEDS Working Paper No. 2012-83
Number of pages: 57 Posted: 19 Jul 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Downloads 0

Abstract:

Loading...

3.
Downloads 126 (277,768)
Citation 2

Online Estimation of DSGE Models

PIER Working Paper No. 19-014, July 2019
Number of pages: 70 Posted: 25 Jul 2019
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 108 (311,836)
Citation 2

Abstract:

Loading...

adaptive algorithms, Bayesian inference, density forecasts, online estimation, sequential Monte Carlo methods

Online Estimation of DSGE Models

FRB of New York Staff Report No. 893, August 2019
Number of pages: 70 Posted: 06 Aug 2019
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 18 (673,632)

Abstract:

Loading...

adaptive algorithms, Bayesian inference, density forecasts, online estimation, sequential Monte Carlo methods

4.
Downloads 13 (289,696)
Citation 15

Evaluating DSGE Model Forecasts of Comovements

FEDS Working Paper No. 2012-11
Number of pages: 43 Posted: 02 Jun 2017
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 11 (731,391)
Citation 1

Abstract:

Loading...

Evaluating DSGE Model Forecasts of Comovements

FRB of Philadelphia Working Paper No. 11-5
Number of pages: 45 Posted: 15 Jul 2021
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 2 (810,743)

Abstract:

Loading...

5.

Monetary Policy, Real Activity, and Credit Spreads: Evidence from Bayesian Proxy Svars

FEDS Working Paper No. 2016-49
Number of pages: 52 Posted: 20 Jun 2016 Last Revised: 21 Sep 2016
Dario Caldara and Edward Herbst
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 89 (351,496)
Citation 41

Abstract:

Loading...

6.

Bias in Local Projections

FEDS Working Paper No. 2020-010R1
Number of pages: 62 Posted: 14 May 2020
Edward Herbst and Benjamin K. Johannsen
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 75 (388,973)
Citation 1

Abstract:

Loading...

Local projections; Bias

7.
Downloads 72 (397,790)
Citation 37

Sequential Monte Carlo Sampling for DSGE Models

FRB of Philadelphia Working Paper No. 12-27
Number of pages: 64 Posted: 30 Nov 2012
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 38 (540,583)

Abstract:

Loading...

Bayesian Analysis, DSGE Models, Monte Carlo Methods, Parallel Computing

Sequential Monte Carlo Sampling for DSGE Models

FEDS Working Paper No. 2013-43
Number of pages: 42 Posted: 11 Oct 2013
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 23 (635,094)
Citation 14

Abstract:

Loading...

Bayesian Analysis, DSGE Models, Monte Carlo Methods, Parallel Computing

Sequential Monte Carlo Sampling for DSGE Models

NBER Working Paper No. w19152
Number of pages: 42 Posted: 21 Jun 2013 Last Revised: 02 May 2021
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 11 (731,391)
Citation 16

Abstract:

Loading...

8.
Downloads 67 (413,546)
Citation 2

Tempered Particle Filtering

PIER Working Paper No. 16-017
Number of pages: 67 Posted: 27 Oct 2016
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 30 (586,440)

Abstract:

Loading...

Bayesian Analysis, DSGE Models, Nonlinear Filtering, Monte Carlo Methods

Tempered Particle Filtering

FEDS Working Paper No. 2016-72
Number of pages: 67 Posted: 08 Sep 2016 Last Revised: 09 Sep 2016
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 27 (606,296)
Citation 1

Abstract:

Loading...

Tempered Particle Filtering

NBER Working Paper No. w23448
Number of pages: 73 Posted: 30 May 2017 Last Revised: 28 Jul 2021
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 10 (739,739)

Abstract:

Loading...

9.

Forward Guidance with Bayesian Learning and Estimation

FEDS Working Paper No. 2018-72
Number of pages: 43 Posted: 27 Nov 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 49 (479,167)
Citation 4

Abstract:

Loading...

10.

Using the \&Quot;Chandrasekhar Recursions\&Quot; for Likelihood Evaluation of DSGE Models

FEDS Working Paper No. 2012-35
Number of pages: 15 Posted: 30 May 2017
Edward Herbst
Board of Governors of the Federal Reserve System
Downloads 28 (583,447)
Citation 7

Abstract:

Loading...

11.

Using the 'Chandrasekhar Recursions' for Likelihood Evaluation of DSGE Models

FEDS Working Paper 2012-35
Number of pages: 15 Posted: 28 Jun 2012
Edward Herbst
Board of Governors of the Federal Reserve System
Downloads 26 (596,097)
Citation 4

Abstract:

Loading...

Kalman filter, likelihood estimation, computational techniques

Short-term Planning, Monetary Policy, and Macroeconomic Persistence

FEDS Working Paper No. 2020-3
Number of pages: 46 Posted: 14 May 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 25 (620,417)
Citation 2

Abstract:

Loading...

Finite-horizon planning; Learning; Monetary policy; New keynesian model; Bayesian estimation

Short-Term Planning, Monetary Policy, and Macroeconomic Persistence

CEPR Discussion Paper No. DP16141
Number of pages: 57 Posted: 14 May 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 0
  • Add to Cart

Abstract:

Loading...

13.

How Robust are Makeup Strategies to Key Alternative Assumptions?

FEDS Working Paper No. 2020-69
Number of pages: 42 Posted: 23 Sep 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 23 (615,979)

Abstract:

Loading...

14.
Downloads 20 (636,899)

The Factor Structure of Disagreement

Number of pages: 76 Posted: 08 Jul 2021
Edward Herbst and Fabian Winkler
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 14 (705,926)

Abstract:

Loading...

Disagreement, Forecast Dispersion, Heterogeneous Expectations, Noisy Information, Dynamic Factor Model

The Factor Structure of Disagreement

FEDS Working Paper No. 2021-46
Number of pages: 76 Posted: 05 Aug 2021
Edward Herbst and Fabian Winkler
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 6 (774,033)

Abstract:

Loading...

15.
Downloads 16 (665,529)
Citation 2

Online Estimation of DSGE Models

FEDS Working Paper No. 2020-23
Number of pages: 55 Posted: 18 May 2020
Northwestern University, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 10 (739,739)
Citation 2

Abstract:

Loading...

Adaptive algorithms; Bayesian inference; Density forecasts; Online estimation; Sequential Monte Carlo methods

Online Estimation of DSGE Models

NBER Working Paper No. w26826
Number of pages: 55 Posted: 09 Mar 2020 Last Revised: 24 Jun 2021
Northwestern University, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 6 (774,033)
  • Add to Cart

Abstract:

Loading...

16.

Effective Monetary Policy Strategies in New Keynesian Models: A Re-Examination

NBER Working Paper No. w20611
Number of pages: 50 Posted: 27 Oct 2014 Last Revised: 30 May 2021
Hess T. Chung, Edward Herbst and Michael T. Kiley
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 14 (680,661)
Citation 3

Abstract:

Loading...

17.

Sequential Monte Carlo Sampling for DSGE Models

FEDS Working Paper No. 2013-43
Posted: 15 Jul 2021 Last Revised: 22 Jul 2021
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics

Abstract:

Loading...

18.

Sequential Monte Carlo Sampling for DSGE Models

FRB of Philadelphia Working Paper No. 12-27
Number of pages: 64 Posted: 15 Jul 2021
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Downloads 0

Abstract:

Loading...