Elmar Mertens

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

15

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1,100

SSRN CITATIONS
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Top 4,964

in Total Papers Citations

130

CROSSREF CITATIONS

136

Scholarly Papers (15)

Predictability in Financial Markets: What do Survey Expectations Tell Us?

Swiss Finance Institute Research Paper No. 06-15, HKIMR Working Paper No. 10/2006
Number of pages: 59 Posted: 06 Oct 2006
University of Lausanne, Deutsche Bundesbank and University of Virginia - Department of Economics
Downloads 313 (114,949)
Citation 8

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excess returns, expectations survey, predictability

Predictability in Financial Markets: What Do Survey Expectations Tell Us?

CEPR Discussion Paper No. 5770
Number of pages: 70 Posted: 20 Sep 2006
University of Lausanne, Deutsche Bundesbank and University of Virginia - Department of Economics
Downloads 35 (533,564)
Citation 16
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Excess returns, expectations survey, predictability

A Time Series Model of Interest Rates with the Effective Lower Bound

BIS Working Paper No. 715
Number of pages: 55 Posted: 18 Apr 2018
Benjamin K. Johannsen and Elmar Mertens
Board of Governors of the Federal Reserve System and Deutsche Bundesbank
Downloads 155 (225,867)
Citation 3

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shadow rate, effective lower bound, trend real rate, monetary policy shocks, bayesian time series

A Time Series Model of Interest Rates with the Effective Lower Bound

FEDS Working Paper No. 2016-033
Number of pages: 47 Posted: 02 May 2016
Benjamin K. Johannsen and Elmar Mertens
Board of Governors of the Federal Reserve System and Deutsche Bundesbank
Downloads 64 (411,009)
Citation 11

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Bayesian Econometrics, Effective Lower Bound, Shadow Rate, State-Space Model, Term Structure of Interest Rates

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

CAMA Working Paper No. 6/2015
Number of pages: 41 Posted: 16 Mar 2015 Last Revised: 18 Mar 2015
Elmar Mertens and James M. Nason
Deutsche Bundesbank and North Carolina State University - Department of Economics
Downloads 73 (382,471)
Citation 5

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Inflation, professional forecasters, sticky information, particle filter, Bayesian estimation, Markov chain Monte Carlo, stochastic volatility, time-varying persistence

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

CAMA Working Paper No. 60/2017
Number of pages: 70 Posted: 27 Sep 2017
Elmar Mertens and James M. Nason
Deutsche Bundesbank and North Carolina State University - Department of Economics
Downloads 43 (494,063)
Citation 2

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Inflation, Unobserved Components, Professional Forecasts, Sticky Information, Stochastic Volatility, Time-Varying Parameters, Bayesian, Particle Filter

Inflation and Professional Forecast Dynamics: An Evaluation of Stickiness, Persistence, and Volatility

BIS Working Paper No. 713
Number of pages: 47 Posted: 06 Apr 2018
Elmar Mertens and James M. Nason
Deutsche Bundesbank and North Carolina State University - Department of Economics
Downloads 25 (594,489)

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inflation; unobserved components;professional forecasts; sticky information; stochastic volatility; time-varying parameters; Bayesian; particle filter

4.

Measuring the Level and Uncertainty of Trend Inflation

FEDS Working Paper No. 2011-42
Number of pages: 52 Posted: 09 Nov 2011
Elmar Mertens
Deutsche Bundesbank
Downloads 76 (369,720)
Citation 18

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Trend cycle model, inflation target, stochastic volatility, surveys, bayesian econometrics

5.

Stock Prices, News, and Economic Fluctuations: Comment

FEDS Working Paper No. 2013-08
Number of pages: 44 Posted: 06 Apr 2013
André Kurmann and Elmar Mertens
Drexel University - LeBow College of Business and Deutsche Bundesbank
Downloads 55 (436,703)
Citation 6

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Vector Error Correction Model, long-run restrictions, news shocks

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

BIS Working Paper No. 667
Number of pages: 58 Posted: 10 Nov 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 30 (561,876)

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stochastic volatility, survey forecasts, fan charts

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB St. Louis Working Paper No. 2017-26
Number of pages: 44 Posted: 07 Sep 2017 Last Revised: 05 Jan 2019
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 13 (684,166)
Citation 9

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Stochastic volatility, survey forecasts, prediction

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB of Cleveland Working Paper No. 17-15
Number of pages: 57 Posted: 27 Sep 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 10 (708,139)

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Stochastic Volatility, Survey Forecasts, Fan Charts

7.

Managing Beliefs About Monetary Policy Under Discretion

FEDS Working Paper No. 2010-11
Number of pages: 75 Posted: 12 Mar 2011
Elmar Mertens
Deutsche Bundesbank
Downloads 44 (480,011)
Citation 8

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Optimal monetary policy, discretion, time-consistent policy, Markov-perfect equilibrium, incomplete information, Kalman filter

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

FRB of Cleveland Working Paper No. 21-02
Number of pages: 129 Posted: 03 Feb 2021
Federal Reserve Bank of Cleveland, Queen Mary, University of London, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 40 (513,169)

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Bayesian VARs, stochastic volatility, outliers, pandemics, forecasts

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

CEPR Discussion Paper No. DP15964
Number of pages: 130 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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Measuring Uncertainty and Its Effects in the COVID-19 Era

FRB of Cleveland Working Paper No. 20-32
Number of pages: 35 Posted: 26 Oct 2020
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 34 (539,079)

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Bayesian VARs, stochastic volatility, pandemics

Measuring Uncertainty and its Effects in the COVID-19 Era

CEPR Discussion Paper No. DP15965
Number of pages: 40 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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Indeterminacy and Imperfect information

Deutsche Bundesbank Discussion Paper No. 01/2020
Number of pages: 64 Posted: 26 Feb 2020
Thomas Lubik, Christian Matthes and Elmar Mertens
Federal Reserve Banks - Federal Reserve Bank of Richmond, Indiana University and Deutsche Bundesbank
Downloads 14 (676,199)

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Limited information; rational expectations; signal extraction; belief shocks

Indeterminacy and Imperfect Information

FRB Richmond Working Paper No. 19-17
Number of pages: 62 Posted: 22 Oct 2019
Thomas Lubik, Christian Matthes and Elmar Mertens
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond and Deutsche Bundesbank
Downloads 12 (692,206)

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Limited information, rational expectations, Kalman filter, belief shocks

11.

Trend Inflation in Advanced Economies

FEDS Working Paper No. 2013-74
Number of pages: 49 Posted: 31 May 2017
Christine Garnier, Elmar Mertens and Edward Nelson
Harvard University, Deutsche Bundesbank and Board of Governors of the Federal Reserve System
Downloads 20 (609,996)
Citation 4

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12.

Structural Shocks and the Comovements between Output and Interest Rates

FEDS Working Paper No. 21
Number of pages: 59 Posted: 12 Mar 2011
Elmar Mertens
Deutsche Bundesbank
Downloads 20 (609,996)
Citation 1

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Interest Rates, Business Cycles, Structural VAR, Bandpass Filter

13.

Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?

FEDS Working Paper No. 2010-09
Number of pages: 48 Posted: 12 Mar 2011
Elmar Mertens
Deutsche Bundesbank
Downloads 17 (630,336)
Citation 1

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Structural VAR, long-run identification, non-parametric estimation, spectral factorization

14.

Forecasting with Shadow-Rate VARs

FRB of Cleveland Working Paper No. 21-09
Number of pages: 56 Posted: 01 Apr 2021
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland, Bocconi University and Deutsche Bundesbank
Downloads 7 (703,092)

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macroeconomic forecasting, effective lower bound, term structure, censored observations

15.

The Expected Real Interest Rate in the Long Run: Time Series Evidence with the Effective Lower Bound

FEDS Notes No. 2016-02-09 https://doi.org/10.17016/2380-7172.1703
Posted: 17 Mar 2016
Benjamin K. Johannsen and Elmar Mertens
Board of Governors of the Federal Reserve System and Deutsche Bundesbank

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