Daniel J. Lewis

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

12

DOWNLOADS

827

SSRN CITATIONS
Rank 19,660

SSRN RANKINGS

Top 19,660

in Total Papers Citations

44

CROSSREF CITATIONS

8

Scholarly Papers (12)

1.

Latent Heterogeneity in the Marginal Propensity to Consume

FRB of New York Staff Report No. 902, 2019, Rev. July 2021
Number of pages: 66 Posted: 20 Nov 2019 Last Revised: 01 Jul 2021
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New YorkUniversity of Chicago - Department of Economics
Downloads 155 (266,692)
Citation 7

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marginal propensity to consume, consumption, tax rebate, heterogeneous treatment effects, machine learning, clustering, C-means

Measuring Real Activity Using a Weekly Economic Index

FRB of New York Staff Report No. 920, April 2020
Number of pages: 25 Posted: 14 Apr 2020 Last Revised: 14 Sep 2020
Federal Reserve Banks - Federal Reserve Bank of New York, FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas, Harvard University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 130 (307,399)
Citation 6

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weekly economic index, high frequency, measurement of economic activity, forecasting

U.S. Economic Activity During the Early Weeks of the Sars-Cov-2 Outbreak

NBER Working Paper No. w26954
Number of pages: 16 Posted: 13 Apr 2020 Last Revised: 26 Aug 2022
Federal Reserve Banks - Federal Reserve Bank of New York, FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas and Harvard University - Department of Economics
Downloads 12 (813,708)
Citation 4

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Do Monetary Policy Announcements Shift Household Expectations?

FRB of New York Staff Report No. 897, September 2019
Number of pages: 67 Posted: 09 Sep 2019 Last Revised: 22 Jan 2020
Federal Reserve Banks - Federal Reserve Bank of New York, Stanford University and FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 109 (349,439)
Citation 6

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

Do Monetary Policy Announcements Shift Household Expectations?

CEPR Discussion Paper No. DP14360
Number of pages: 69 Posted: 11 Feb 2020
FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Banks - Federal Reserve Bank of New York and Stanford University
Downloads 2 (934,864)
Citation 1
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central bank communication, consumer con dence, high frequency identi cation, informational rigidities, monetary policy shocks

4.

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 J. Lewis
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 83 (412,516)
Citation 6

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

5.

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

FRB of New York Staff Report No. 891, Rev. May 2021
Number of pages: 63 Posted: 27 Jun 2019 Last Revised: 24 May 2021
Daniel J. Lewis
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 67 (464,148)
Citation 5

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

6.

The Size-Power Tradeoff in HAR Inference

Number of pages: 32 Posted: 15 Aug 2019 Last Revised: 18 Jan 2021
Eben Lazarus, Daniel J. Lewis and James H. Stock
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Federal Reserve Banks - Federal Reserve Bank of New York and Harvard University - Department of Economics
Downloads 57 (502,220)
Citation 5

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heteroskedasticity- and autocorrelation-robust estimation, HAR, long-run variance estimator

7.

Do Monetary Policy Announcements Shift Household Expectations?

FRB of Dallas Working Paper No. 1906
Number of pages: 67 Posted: 22 Oct 2019 Last Revised: 29 Apr 2020
Federal Reserve Banks - Federal Reserve Bank of New York, Stanford University and FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 55 (510,526)

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

8.

High Frequency Data and a Weekly Economic Index during the Pandemic

FRB of New York Staff Report No. 954
Number of pages: 9 Posted: 23 Dec 2020
Federal Reserve Banks - Federal Reserve Bank of New York, FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas, Harvard University - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 50 (532,379)
Citation 1

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weekly economic index, high frequency, measurement of economic activity, forecasting _________________

9.

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 J. Lewis
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 47 (546,164)
Citation 2

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

10.

Measuring Real Activity Using a Weekly Economic Index

FRB of Dallas Working Paper No. 2011
Number of pages: 31 Posted: 29 Apr 2020 Last Revised: 08 May 2020
Federal Reserve Banks - Federal Reserve Bank of New York, FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas and affiliation not provided to SSRN
Downloads 23 (690,054)
Citation 3

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Dynamic Identification Using System Projections and Instrumental Variables

FRB of Dallas Working Paper No. 2204
Number of pages: 54 Posted: 01 Apr 2022
Daniel J. Lewis, Karel Mertens and Karel Mertens
Federal Reserve Banks - Federal Reserve Bank of New York and FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 19 (745,781)

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Structural Equations, Instrumental Variables, Impulse Responses, Robust Inferences, Phillips Curve, Inflation Dynamics

Dynamic Identification Using System Projections and Instrumental Variables

CEPR Discussion Paper No. DP17153
Number of pages: 56 Posted: 27 May 2022
Daniel J. Lewis, Karel Mertens and Karel Mertens
Federal Reserve Banks - Federal Reserve Bank of New York and FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas
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Impulse Responses, inflation dynamics, instrumental variables, Phillips curve, Robust inference, Structural equations

A Robust Test for Weak Instruments with Multiple Endogenous Regressors

FRB of Dallas Working Paper No. 2208
Number of pages: 33 Posted: 23 Jun 2022
Daniel J. Lewis, Karel Mertens and Karel Mertens
Federal Reserve Banks - Federal Reserve Bank of New York and FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 12 (813,708)

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Instrumental Variables, Weak Instruments Test, Multiple Endogenous Regressors, Heteroskedasticity, Serial Correlation

A Robust Test for Weak Instruments with Multiple Endogenous Regressors

FRB of New York Staff Report No. 1020
Number of pages: 33 Posted: 24 Jun 2022
Daniel J. Lewis, Karel Mertens and Karel Mertens
Federal Reserve Banks - Federal Reserve Bank of New York and FRB DallasFederal Reserve Banks - Federal Reserve Bank of Dallas
Downloads 6 (880,399)

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instrumental variables, weak instruments test, multiple endogenous regressors, heteroskedasticity, serial correlation