Daniel Lewis

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

http://https://www.newyorkfed.org/research/economists/lewis

SCHOLARLY PAPERS

4

DOWNLOADS

52

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Identifying Shocks via Time-Varying Volatility

FRB of New York Staff Report No. 871
Number of pages: 45 Posted: 23 Oct 2018 Last Revised: 25 May 2019
Daniel Lewis
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 20 (533,460)
Citation 1

Abstract:

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identification, impulse response function, structural shocks, SVAR, fiscal multiplier, time-varying volatility, heteroskedasticity

2.

Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects

FRB of New York Staff Report No. 891, June 2019
Number of pages: 43 Posted: 27 Jun 2019 Last Revised: 22 Oct 2019
Daniel Lewis
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 19 (539,523)
Citation 2

Abstract:

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high-frequency identification, time-varying volatility, monetary policy shocks, forward guidance, quantitative easing

3.

Robust Inference in Models Identified via Heteroskedasticity

FRB of New York Staff Report No. 876
Number of pages: 32 Posted: 22 Dec 2018 Last Revised: 14 Aug 2019
Daniel Lewis
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 12 (582,708)

Abstract:

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heteroskedasticity, weak identification, robust inference, pretesting, monetary policy, impulse response function

4.

Do Monetary Policy Announcements Shift Household Expectations?

FRB of Dallas Working Paper No. 1906
Number of pages: 48 Posted: 22 Oct 2019
Daniel Lewis, Christos Makridis and Karel Mertens
Federal Reserve Banks - Federal Reserve Bank of New York, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Federal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 1 (664,566)

Abstract:

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Monetary policy shocks, central bank communication, information rigidities, consumer confidence, high frequency identification