Juan Francisco Rubio-Ramirez

Federal Reserve Bank of Atlanta - Research Department

Research Economist

1000 Peachtree Street, NE

Atlanta, GA 30309-4470

United States

http://www.econ.umn.edu/~rubio

SCHOLARLY PAPERS

46

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634

Scholarly Papers (46)

The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

PIER Working Paper No. 10-011
Number of pages: 50 Posted: 15 Mar 2010 Last Revised: 15 Sep 2013
University of Pennsylvania - The Wharton School, University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of Atlanta - Research Department
Downloads 990 (21,004)
Citation 10

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The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

NBER Working Paper No. w15890
Number of pages: 49 Posted: 12 Apr 2010
University of Pennsylvania - The Wharton School, University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business and Federal Reserve Bank of Atlanta - Research Department
Downloads 47 (396,842)
Citation 10

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The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences

CEPR Discussion Paper No. DP7781
Number of pages: 51 Posted: 19 May 2010
University of Pennsylvania - Department of Economics, University of Chicago - Booth School of Business, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - The Wharton School
Downloads 4 (632,280)
Citation 10
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DSGE models, Epstein-Zin Preferences, Likelihood Estimation

2.

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 602 (42,582)
Citation 6

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Markov switching, regime changes, volatility, identification

3.

A, B, C's (and D'S) for Understanding Vars

PIER Working Paper No. 05-018; FRB of Atlanta Working Paper No. 2005-9
Number of pages: 49 Posted: 04 May 2005
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Thomas J. Sargent
University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 321 (91,500)
Citation 25

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VARs , Invertibility, Estimation of Dynamic Equilibrium Models, economic shocks, innovations

Some Results on the Solution of the Neoclassical Growth Model

PIER Working Paper No. 04-002
Number of pages: 27 Posted: 12 Jan 2004
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 121 (227,486)
Citation 2

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Dynamic Equilibrium Economies, Computational Methods, Changes

Some Results on the Solution of the Neoclassical Growth Model

FRB of Atlanta Working Paper No. 2003-34
Number of pages: 26 Posted: 25 Jan 2004
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 105 (252,403)
Citation 2

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Dynamic equilibrium economies, computational methods, changes of variables, linear and nonlinear solution methods

5.

Comparing New Keynesian Models of the Business Cycle: A Bayesian Approach

FRB of Atlanta Working Paper No. 2001-22b
Number of pages: 36 Posted: 06 Dec 2001
Pau Rabanal and Juan Francisco Rubio-Ramirez
La Caixa and Federal Reserve Bank of Atlanta - Research Department
Downloads 223 (133,867)
Citation 71

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nominal rigidities, indexation, Bayesian econometrics, model comparison

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

Economic Research Initiatives at Duke Working Paper No. 86
Number of pages: 17 Posted: 15 Dec 2010
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University and Federal Reserve Bank of Atlanta - Research Department
Downloads 188 (157,059)
Citation 2

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CUDA, Dynamic Programming, Parallelization, Growth Model, Business Cycles

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models with Graphics Processors

NBER Working Paper No. w15909
Number of pages: 13 Posted: 19 Apr 2010
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University and Federal Reserve Bank of Atlanta - Research Department
Downloads 30 (468,689)
Citation 2

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Comparing Solution Methods for Dynamic Equilibrium Economies

PIER Working Paper No. 04-003
Number of pages: 76 Posted: 12 Jan 2004
S. Borağan Aruoba, Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 112 (240,996)
Citation 51

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Dynamic Equilibrium Economies, Computational Methods, Linear and Nonlinear Solution Methods

Comparing Solution Methods for Dynamic Equilibrium Economies

FRB of Atlanta Working Paper No. 2003-27
Number of pages: 39 Posted: 17 Feb 2004
S. Borağan Aruoba, Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Maryland - Department of Economics, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 105 (252,403)
Citation 51

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Dynamic equilibrium economies, computational methods, linear and nonlinear solution methods

Estimating Nonlinear Dynamic Equilibrium Economies: A Likelihood Approach

PIER Working Paper No. 04-001
Number of pages: 56 Posted: 12 Jan 2004
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 145 (197,045)
Citation 25

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Likelihood-Based Inference, Dynamic Equilibrium Economies, Nonlinear Filtering, Sequential Monte Carlo

Estimating Nonlinear Dynamic Equilibrium Economies: A Likelihood Approach

FRB of Atlanta Working Paper No. 2004-1
Number of pages: 56 Posted: 16 Feb 2004
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 49 (389,524)
Citation 34

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dynamic equilibrium economies, likelihood function, nonlinear solution methods

Solution and Estimation Methods for DSGE Models

Handbook of Macroeconomics, Volume 2, Forthcoming, PIER Working Paper No. 15-042
Number of pages: 245 Posted: 08 Jan 2016
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Frank Schorfheide
University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - Department of Economics
Downloads 163 (178,462)

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approximation error analysis, Bayesian inference, DSGE model, frequentist inference, GMM estimation, impulse response function matching, likelihood-based inference, Metropolis-Hastings algorithm, minimum distance estimation, particle filter, perturbation methods, projection methods, sequential Monte

Solution and Estimation Methods for DSGE Models

CEPR Discussion Paper No. DP11032
Number of pages: 245 Posted: 12 Jan 2016
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Frank Schorfheide
University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - Department of Economics
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approximation error analysis, Bayesian inference, DSGE model, frequentist inference, GMM estimation, impulse response function matching, likelihood-based inference, Metropolis-Hastings algorithm, minimum distance estimation, particle filter, perturbation methods, projection methods, sequential Monte Carlo

10.

Comparing New Keynesian Models in the Euro Area: A Bayesian Approach

FRB of Atlanta Working Paper No. 2003-30a
Number of pages: 23 Posted: 02 Dec 2003
Pau Rabanal and Juan Francisco Rubio-Ramirez
La Caixa and Federal Reserve Bank of Atlanta - Research Department
Downloads 141 (200,965)
Citation 15

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nominal rigidities, indexation, Bayesian econometrics, model comparison

Reading the Recent Monetary History of the U.S., 1959-2007

PIER Working Paper No. 10-016
Number of pages: 41 Posted: 18 Apr 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 68 (331,094)
Citation 2

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DSGE models, Stochastic volatility, Parameter drifting, Bayesian methods

Reading the Recent Monetary History of the U.S., 1959-2007

FRB of Philadelphia Working Paper No. 10-15
Number of pages: 41 Posted: 06 May 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 31 (463,669)
Citation 2

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DSGE models, Stochastic volatility, Parameter drifting, Bayesian methods

Reading the Recent Monetary History of the U.S., 1959-2007

NBER Working Paper No. w15929
Number of pages: 40 Posted: 26 Apr 2010 Last Revised: 12 Jul 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 30 (468,689)
Citation 2

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Reading the Recent Monetary History of the U.S., 1959-2007

CEPR Discussion Paper No. DP7812
Number of pages: 42 Posted: 19 May 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 3 (640,631)
Citation 2
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Bayesian methods, DSGE models, Parameter drifting, Stochastic volatility

12.

Comparing Dynamic Equilibrium Models to Data

PIER Working Paper No. 01-037
Number of pages: 32 Posted: 01 Nov 2001
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 128 (217,139)
Citation 50

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13.
Downloads 127 (218,437)
Citation 18

Fiscal Volatility Shocks and Economic Activity

FRB of Philadelphia Working Paper No. 11-32
Number of pages: 53 Posted: 11 Aug 2011
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 58 (359,805)
Citation 18

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DSGE models, Uncertainty, Fiscal Policy, Monetary Policy

Fiscal Volatility Shocks and Economic Activity

PIER Working Paper No. 11-022
Number of pages: 47 Posted: 12 Aug 2011
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 51 (382,716)
Citation 18

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DSGE models, Uncertainty, Fiscal Policy, Monetary Policy

Fiscal Volatility Shocks and Economic Activity

NBER Working Paper No. w17317
Number of pages: 47 Posted: 29 Aug 2011
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 18 (539,861)
Citation 18

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14.
Downloads 123 (223,739)
Citation 25

Risk Matters: The Real Effects of Volatility Shocks

PIER Working Paper No. 09-013
Number of pages: 56 Posted: 06 Apr 2009
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Atlanta - Research Department and Columbia University - Graduate School of Arts and Sciences - Department of Economics
Downloads 95 (270,216)
Citation 25

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Small Open Economy, DSGE Models, Stochastic Volatility

Risk Matters: The Real Effects of Volatility Shocks

NBER Working Paper No. w14875
Number of pages: 55 Posted: 13 Apr 2009 Last Revised: 25 Aug 2010
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Atlanta - Research Department and Columbia University - Graduate School of Arts and Sciences - Department of Economics
Downloads 27 (484,745)
Citation 25

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Risk Matters: The Real Effects of Volatility Shocks

CEPR Discussion Paper No. DP7264
Number of pages: 57 Posted: 19 May 2009
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Atlanta - Research Department and Columbia University - Graduate School of Arts and Sciences - Department of Economics
Downloads 1 (665,168)
Citation 25
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DSGE Models, Small Open Economy, Stochastic Volatility

15.

Precautionary Saving and Aggregate Demand

Banque de France Working Paper No. 535
Number of pages: 49 Posted: 21 Jan 2015
Edouard Challe, Julien Matheron, Xavier Ragot and Juan Francisco Rubio-Ramirez
Ecole Polytechnique, Banque de France, National Center for Scientific Research (CNRS) and Federal Reserve Bank of Atlanta - Research Department
Downloads 121 (226,530)

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Incomplete markets, DSGE model, Bayesian estimation, Great Recession

16.

Estimating Dynamic Equilibrium Economies: Linear Versus Nonlinear Likelihood

PIER Working Paper No. 04-005; FRB of Atlanta Working Paper No. 2004-3
Number of pages: 37 Posted: 04 Feb 2004
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 117 (232,300)
Citation 33

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Likelihood-Based Inference, Dynamic Equilibrium Economies, Nonlinear Filtering, Kalman Filter, Sequential Monte Carlo

17.
Downloads 115 (235,231)
Citation 2

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 88 (283,941)
Citation 2

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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 15 (558,986)
Citation 2

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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
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 8 (604,829)
Citation 2

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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 (632,280)
Citation 2
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DSGE, Markov-Switching, Perturbation

18.

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 111 (241,239)
Citation 19

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

19.
Downloads 97 (264,662)
Citation 7

Computing DSGE Models with Recursive Preferences

PIER Working Paper No. 09-018
Number of pages: 41 Posted: 27 May 2009
Dario Caldara, Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Wen Yao
Institute for International Economic Studies, University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - Department of Economics
Downloads 64 (342,096)
Citation 7

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DSGE Models, Recursive Preferences, Perturbation

Computing DSGE Models with Recursive Preferences

NBER Working Paper No. w15026
Number of pages: 41 Posted: 03 Jun 2009 Last Revised: 24 Jul 2010
Dario Caldara, Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Wen Yao
Institute for International Economic Studies, University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - Department of Economics
Downloads 29 (473,875)
Citation 7

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Computing DSGE Models with Recursive Preferences

CEPR Discussion Paper No. DP7312
Number of pages: 43 Posted: 15 Jul 2009
Dario Caldara, Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Wen Yao
Institute for International Economic Studies, University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - Department of Economics
Downloads 4 (632,280)
Citation 7
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DSGE models, perturbation, recursive preferences

20.

Redistribution and Fiscal Policy

FRB of Atlanta Working Paper No. 2002-32
Number of pages: 29 Posted: 18 Apr 2003
Juan Francisco Rubio-Ramirez
Federal Reserve Bank of Atlanta - Research Department
Downloads 97 (264,662)
Citation 1

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optimal taxation, income distribution

The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure

FRB International Finance Discussion Paper No. 1131
Number of pages: 44 Posted: 25 Apr 2015
Jonas Arias, Dario Caldara and Juan Francisco Rubio-Ramirez
Federal Reserve Bank of Philadelphia, Board of Governors of the Federal Reserve System and Federal Reserve Bank of Atlanta - Research Department
Downloads 54 (372,796)

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SVARs; Monetary policy shocks; Systematic component of monetary policy

22.
Downloads 92 (273,838)
Citation 4

MEDEA: A DSGE Model for the Spanish Economy

PIER Working Paper No. 09-017
Number of pages: 72 Posted: 06 May 2009
Pablo Burriel, Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
Banco de España, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 91 (277,920)
Citation 4

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DSGE Models, Likelihood Estimation, Bayesian Methods

MEDEA: A DSGE Model for the Spanish Economy

CEPR Discussion Paper No. DP7297
Number of pages: 73 Posted: 15 Jul 2009
Pablo Burriel, Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
Banco de España, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 1 (665,168)
Citation 4
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Bayesian Methods, DSGE Models, Likelihood Estimation

23.

Cointegrated TFP Processes and International Business Cycles

Economic Research Initiatives at Duke (ERID) Working Paper No. 25, "la Caixa" Working Paper No. 03/2008
Number of pages: 54 Posted: 05 Aug 2008
Pau Rabanal, Juan Francisco Rubio-Ramirez and Vicente Tuesta Reátegui
La Caixa, Federal Reserve Bank of Atlanta - Research Department and Banco Central de Reserva del Peru
Downloads 92 (273,838)
Citation 8

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International Business Cycles, Real Exchange Rates, Cointegration

Convergence Properties of the Likelihood of Computed Dynamic Models

PIER Working Paper No. 04-034; FRB Atlatnta Working Paper No. 2004-27
Number of pages: 52 Posted: 03 Sep 2004
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Manuel Santos
University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and Arizona State University (ASU) - Economics Department
Downloads 58 (359,805)
Citation 13

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computed dynamic models, likelihood inference, asymptotic properties

Convergence Properties of the Likelihood of Computed Dynamic Models

NBER Working Paper No. t0315
Number of pages: 53 Posted: 24 Jan 2007 Last Revised: 12 Mar 2010
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Manuel Santos
University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and Arizona State University (ASU) - Economics Department
Downloads 27 (484,745)
Citation 13

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25.

Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications

FRB Atlanta Working Paper No. 2014-1
Number of pages: 71 Posted: 30 Mar 2015
Jonas Arias, Juan Francisco Rubio-Ramirez and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Atlanta - Research Department and Federal Reserve Bank of Atlanta
Downloads 84 (289,908)

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identification, sign restrictions, simulation

26.

Optimal Minimum Wage in a Competitive Economy

FRB of Atlanta Working Paper No. 2004-30
Number of pages: 35 Posted: 04 Jan 2005
Arantza Gorostiaga and Juan Francisco Rubio-Ramirez
Universidad del País Vasco (UPV/EHU) and Federal Reserve Bank of Atlanta - Research Department
Downloads 84 (289,908)

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minimum wage, optimal taxation, redistribution

27.

Comparing Dynamic Equilibrium Economies to Data

FRB of Atlanta Working Paper No. 2001-23
Number of pages: 32 Posted: 06 Dec 2001
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 73 (314,829)
Citation 41

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Bayesian inference, asymptotics, cattle cycle

Cointegrated TFP Processes and International Business Cycles

IMF Working Paper No. 09/212
Number of pages: 54 Posted: 13 Oct 2009
Pau Rabanal, Vicente Tuesta and Juan Francisco Rubio-Ramirez
International Monetary Fund, Deutsche Bank AG and Federal Reserve Bank of Atlanta - Research Department
Downloads 41 (419,598)
Citation 8

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Business cycles, Consumer goods, Demand, Economic models, Exchange rates, External shocks, Industrial production, International trade, Price elasticity, Prices, Private consumption, Productivity, Real effective exchange rates, Spillovers

Cointegrated TFP Processes and International Business Cycles

Federal Reserve Bank of Atlanta Working Paper Series No. 2009-23
Number of pages: 44 Posted: 04 Oct 2009
Pau Rabanal, Juan Francisco Rubio-Ramirez and Vicente Tuesta Reátegui
International Monetary Fund, Federal Reserve Bank of Atlanta - Research Department and Banco Central de Reserva del Peru
Downloads 30 (468,689)
Citation 8

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international business cycles, real exchange rates, cointegration

29.

On the Solution of the Growth Model with Investment-Specific Technological Change

FRB of Atlanta Working Paper No. 2004-39
Number of pages: 11 Posted: 11 Feb 2005
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 65 (335,082)

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Growth model with investment-specific technological change, closed-form solution, long-run growth, business cycle fluctuations

Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data

PIER Working Paper No. 10-015
Number of pages: 73 Posted: 18 Apr 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 26 (490,486)
Citation 10

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DSGE models, Stochastic volatility, Parameter drifting, Bayesian methods

Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data

FRB of Philadelphia Working Paper No. 10-14
Number of pages: 73 Posted: 06 May 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 22 (514,711)
Citation 10

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DSGE models, Stochastic volatility, Parameter drifting, Bayesian methods

Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data

NBER Working Paper No. w15928
Number of pages: 72 Posted: 26 Apr 2010 Last Revised: 11 Jul 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 12 (578,534)
Citation 10

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Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data

CEPR Discussion Paper No. DP7813
Number of pages: 74 Posted: 19 May 2010
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 2 (651,388)
Citation 10
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Bayesian methods, DSGE models, Parameter drifting, Stochastic volatility

31.

Tapping the Supercomputer Under Your Desk: Solving Dynamic Equilibrium Models With Graphics Processors

PIER Working Paper No. 10-014
Number of pages: 13 Posted: 12 Apr 2010
University of California, Santa Cruz, University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business, Economics Group and Federal Reserve Bank of Atlanta - Research Department
Downloads 61 (346,060)
Citation 2

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GPU computing, Dynamic Equilibrium models

Investment-Specific Technology Shocks and International Business Cycles: An Empirical Assessment

Federal Reserve Bank of Atlanta Working Paper Series No. 2010-3
Number of pages: 50 Posted: 02 Mar 2010
Federico Mandelman, Pau Rabanal, Juan Francisco Rubio-Ramirez and Diego Vilán
Federal Reserve Bank of Atlanta, International Monetary Fund, Federal Reserve Bank of Atlanta - Research Department and University of Southern California - Department of Economics
Downloads 37 (436,362)
Citation 5

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international business cycles, cointegration, investment-specific technology shocks

Investment-Specific Technology Shocks and International Business Cycles: An Empirical Assessment

IMF Working Paper No. 10/207
Number of pages: 44 Posted: 01 Feb 2011
Federico Mandelman, Pau Rabanal, Juan Francisco Rubio-Ramirez and Diego Vilán
Federal Reserve Bank of Atlanta, International Monetary Fund, Federal Reserve Bank of Atlanta - Research Department and University of Southern California - Department of Economics
Downloads 22 (514,711)
Citation 5

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Business cycles, Consumption, Cross country analysis, Demand, Economic models, External shocks, International trade, Investment, Productivity, United States

33.

Fiscal Policy and Minimum Wage for Redistribution: An Equivalence Result

FRB of Atlanta Working Paper No. 2005-8
Number of pages: 8 Posted: 07 Jun 2005
Arantza Gorostiaga and Juan Francisco Rubio-Ramirez
Universidad del País Vasco (UPV/EHU) and Federal Reserve Bank of Atlanta - Research Department
Downloads 58 (354,724)

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Distribution policy, minimum wage, tax-transfer scheme, equivalence result

34.
Downloads 57 (357,744)
Citation 3

Nonlinear Adventures at the Zero Lower Bound

FRB of Philadelphia Working Paper No. 12-10
Number of pages: 47 Posted: 08 May 2012
University of Pennsylvania - Department of Economics, Indiana University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 40 (423,666)
Citation 3

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Zero lower bound, New Keynesian models, Nonlinear solution methods

Nonlinear Adventures at the Zero Lower Bound

NBER Working Paper No. w18058
Number of pages: 46 Posted: 12 May 2012
University of Pennsylvania - Department of Economics, Indiana University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
Downloads 17 (546,209)
Citation 3

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35.

A, B, C's (and D)'s for Understanding Vars

NBER Working Paper No. t0308
Number of pages: 49 Posted: 06 Jul 2005
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Thomas J. Sargent
University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 50 (379,698)
Citation 26

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36.
Downloads 49 (382,939)
Citation 53

Estimating Macroeconomic Models: A Likelihood Approach

NBER Working Paper No. t0321
Number of pages: 55 Posted: 27 Apr 2006
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 27 (484,745)
Citation 52

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Estimating Macroeconomic Models: A Likelihood Approach

CEPR Discussion Paper No. 5513
Number of pages: 56 Posted: 06 Jun 2006
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 22 (514,711)
Citation 53
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Dynamic macroeconomic models, particle filtering, nonlinear and/or non-normal models, business cycle, stochastic volatility

37.

Computing DSGE Models with Recursive Preferences and Stochastic Volatility

FEDS Working Paper No. 2012-04
Number of pages: 44 Posted: 01 Feb 2012
Dario Caldara, Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Wen Yao
Institute for International Economic Studies, University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and University of Pennsylvania - Department of Economics
Downloads 47 (389,859)
Citation 1

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DSGE models, recursive preferences, perturbation

Macroeconomics and Volatility: Data, Models, and Estimation

NBER Working Paper No. w16618
Number of pages: 46 Posted: 18 Dec 2010
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 42 (415,648)
Citation 5

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Macroeconomics and Volatility: Data, Models, and Estimation

CEPR Discussion Paper No. DP8169
Number of pages: 48 Posted: 18 Jan 2011
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
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Citation 5
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Bayesian methods, DSGE models, Stochastic volatility

39.
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Citation 1

Supply-Side Policies and the Zero Lower Bound

FRB of Philadelphia Working Paper No. 11-47
Number of pages: 31 Posted: 28 Oct 2011
Jesús Fernández-Villaverde, Juan Francisco Rubio-Ramirez and Pablo Guerrón-Quintana
University of Pennsylvania - Department of Economics, Federal Reserve Bank of Atlanta - Research Department and Federal Reserve Banks - Federal Reserve Bank of Philadelphia
Downloads 23 (508,489)
Citation 1

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Zero lower bound, supply-side policies, New Keynesian models

Supply-Side Policies and the Zero Lower Bound

NBER Working Paper No. w17543
Number of pages: 31 Posted: 29 Oct 2011 Last Revised: 01 Nov 2011
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
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Citation 1

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Supply-Side Policies and the Zero Lower Bound

CEPR Discussion Paper No. DP8642
Number of pages: 33 Posted: 24 Nov 2011
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
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Citation 1
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New Keynesian models, supply-side policies, zero lower bound

40.

Using the Kalman Filter to Smooth the Shocks of a Dynamic Stochastic General Equilibrium Model

FRB Atlanta Working Paper No. 2003-32
Number of pages: 16 Posted: 23 Feb 2015
Andy Bauer, Nicholas Haltom and Juan Francisco Rubio-Ramirez
Federal Reserve Bank of Richmond, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta - Research Department
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dynamic equilibrium economies, the Kalman filter, smoothing

41.

Can International Macroeconomic Models Explain Low-Frequency Movements of Real Exchange Rates?

IMF Working Paper No. NO.12/13
Number of pages: 42 Posted: 02 Feb 2012
Pau Rabanal and Juan Francisco Rubio-Ramirez
International Monetary Fund and Federal Reserve Bank of Atlanta - Research Department
Downloads 31 (452,184)
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International Business Cycles, Spectrum, Cointegration, Economic Models, Real Effective Exchange Rates

Estimating Dynamic Equilibrium Models with Stochastic Volatility

FRB of Philadelphia Working Paper No. 13-19
Number of pages: 72 Posted: 13 May 2013
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
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Dynamic equilibrium models, Stochastic volatility, Parameter drifting, Bayesian methods

Estimating Dynamic Equilibrium Models with Stochastic Volatility

NBER Working Paper No. w18399
Number of pages: 71 Posted: 15 Sep 2012
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
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Estimating Dynamic Equilibrium Models with Stochastic Volatility

CEPR Discussion Paper No. DP9130
Number of pages: 73 Posted: 28 Sep 2012
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta - Research Department
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Bayesian methods., Dynamic equilibrium models, Parameter drifting, Stochastic volatility

43.

Comparing Dynamic Equilibrium Economies to Data: A Bayesian Approach

FRB Atlanta Working Paper Series No. 2001-23a
Number of pages: 51 Posted: 25 Jan 2015
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 18 (521,280)
Citation 31

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Bayesian inference, asymptotics, cattle cycle

44.

How Structural are Structural Parameters?

NBER Working Paper No. w13166
Number of pages: 50 Posted: 23 Jun 2012
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
Downloads 14 (544,156)
Citation 32

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45.

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

NBER Working Paper No. w18983
Number of pages: 65 Posted: 20 Apr 2013
Martin M. Andreasen, Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
Aarhus University, University of Pennsylvania - Department of Economics and Federal Reserve Bank of Atlanta - Research Department
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Citation 7

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46.

Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications

CEPR Discussion Paper No. DP9796
Number of pages: 74 Posted: 02 Jun 2014
Jonas Arias, Juan Francisco Rubio-Ramirez and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Federal Reserve Bank of Atlanta - Research Department and Federal Reserve Bank of Atlanta
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Fiscal Shocks, Optimism, Sign and Zero Restrictions, SVARs