Daniel F. Waggoner

Federal Reserve Bank of Atlanta

Research Economist and Advisor

1000 Peachtree Street N.E.

Atlanta, GA 30309-4470

United States

SCHOLARLY PAPERS

29

DOWNLOADS
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SSRN RANKINGS

Top 9,951

in Total Papers Downloads

4,834

SSRN CITATIONS
Rank 2,785

SSRN RANKINGS

Top 2,785

in Total Papers Citations

214

CROSSREF CITATIONS

181

Scholarly Papers (29)

1.

Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices

Federal Reserve Bank of Atlanta Working Paper 97-10
Number of pages: 23 Posted: 13 May 1998
Daniel F. Waggoner
Federal Reserve Bank of Atlanta
Downloads 1,307 (15,076)
Citation 41

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2.

Closing the Question on the Continuation of Turn-of-The-Month Effects: Evidence from the S&P 500 Index Futures Contract

FRB Atlanta Working Paper 2000-11
Number of pages: 28 Posted: 16 Nov 2000
Edwin D. Maberly and Daniel F. Waggoner
Monash University and Federal Reserve Bank of Atlanta
Downloads 718 (35,944)
Citation 1

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Disappearing turn-of-the-month effect, S&P 500 futures, market efficiency

3.

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 627 (43,156)
Citation 28

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Markov switching, regime changes, volatility, identification

4.

A Gibbs Simulator for Restricted VAR Models

FRB of Atlanta Working Paper No. 2000-3
Number of pages: 25 Posted: 02 May 2000
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 223 (142,098)
Citation 2

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5.

Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach

FRB of Atlanta Working Paper No. 2002-8
Number of pages: 24 Posted: 17 Aug 2002
Robert Eisenbeis, Daniel F. Waggoner and Tao A. Zha
Independent, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 180 (173,377)
Citation 6

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Wall Street Journal, joint forecast, probability, ranking, correlation, variance, multivariate assessment

6.
Downloads 172 (180,440)
Citation 17

Trends and Cycles in China's Macroeconomy

FRB Atlanta Working Paper No. 2015-5
Number of pages: 74 Posted: 02 Jul 2015
Chun Chang, Kaiji Chen, Daniel F. Waggoner and Tao A. Zha
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Emory University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 128 (231,008)

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reallocation, between-sector effect, total factor productivity growth, heavy versus light sectors, long-term versus short-term loans, labor share, lending frictions, incentive compatibility

Trends and Cycles in China's Macroeconomy

Number of pages: 76 Posted: 11 May 2018
Chun Chang, Kaiji Chen, Daniel F. Waggoner and Tao A. Zha
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Emory University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 31 (491,734)
Citation 1

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Reallocation, between-sector effect, TFP growth, heavy vs. light sectors, long-term vs. short-term loans, labor share, lending frictions, incentive compatibility

Trends and Cycles in China's Macroeconomy

NBER Working Paper No. w21244
Number of pages: 75 Posted: 08 Jun 2015
Chun Chang, Kaiji Chen, Daniel F. Waggoner and Tao A. Zha
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Emory University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 13 (607,337)
Citation 10

Abstract:

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7.

Normalization in Econometrics

FRB of Atlanta Working Paper No. 2004-13
Number of pages: 69 Posted: 22 Aug 2004
James D. Hamilton, Daniel F. Waggoner and Tao A. Zha
University of California at San Diego, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 165 (186,984)
Citation 14

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Normalization, mixture distributions, vector autoregressions, cointegration, regime switching, numerical Bayesian methods, small sample distributions, weak identification

8.

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 129 (228,764)
Citation 46

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

9.
Downloads 126 (232,923)
Citation 10

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
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 94 (288,174)
Citation 5

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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
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 18 (572,839)
Citation 1

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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
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 10 (629,140)
Citation 1

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Perturbation Methods for Markov-Switching DSGE Models

CEPR Discussion Paper No. DP9464
Number of pages: 88 Posted: 08 May 2013
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 (673,793)
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DSGE, Markov-Switching, Perturbation

10.

Methods for Inference in Large Multiple-Equation Markov-Switching Models

FRB of Atlanta Working Paper No. 2006-22
Number of pages: 46 Posted: 09 Feb 2007
Christopher A. Sims, Daniel F. Waggoner and Tao A. Zha
Princeton University - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 125 (234,353)
Citation 43

Abstract:

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volatility, coefficient changes, discontinuous shifts, Lucas critique, independent Markov processes

11.

Normalization, Probability Distribution, and Impulse Responses

Working Paper Number 97-11
Number of pages: 21 Posted: 22 Feb 1998
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 119 (243,092)
Citation 2

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12.

Transparency, Expectations, and Forecasts

ECB Working Paper No. 637, FRB of Atlanta Working Paper No. 2006-3
Number of pages: 52 Posted: 26 Apr 2006
Andy Bauer, Robert Eisenbeis, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Richmond, Independent, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 104 (267,470)

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Transparency, common errors, idiosyncratic errors

13.

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 90 (294,030)
Citation 47

Abstract:

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identification, sign restrictions, simulation

Indeterminacy in a Forward-Looking Regime-Switching Model

FRB of Atlanta Working Paper No. 2006-19
Number of pages: 16 Posted: 26 Nov 2006
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 53 (398,193)
Citation 1

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policy rule, inflation, serial dependence, multiple equilibria, regime switching

Indeterminacy in a Forward Looking Regime Switching Model

NBER Working Paper No. w12540
Number of pages: 16 Posted: 02 Oct 2006 Last Revised: 31 Dec 2006
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 19 (565,969)

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Indeterminacy in a Forward Looking Regime Switching Model

CEPR Discussion Paper No. 5919
Number of pages: 18 Posted: 29 Dec 2006
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 14 (600,310)
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Indeterminacy, regime switching, Taylor Principle

15.

Likelihood-Preserving Normalization in Multiple Equation Models

FRB of Atlanta Working Paper No. 2000-8
Number of pages: 28 Posted: 10 Oct 2000
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 81 (313,810)
Citation 3

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Bayesian methods, causal analysis, supply and demand, simultaneity, likelihood shape, equilibrium effects

Understanding the New Keynesian Model When Monetary Policy Switches Regimes

FRB Atlanta Working Paper No. 2007-12
Number of pages: 24 Posted: 27 Dec 2007
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 55 (391,372)
Citation 1

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active and passive regimes, indeterminacy, cross-regime spillovers, conditioning, expectations formation, inflation hawk, inflation dove

Understanding the New-Keynesian Model When Monetary Policy Switches Regimes

NBER Working Paper No. w12965
Number of pages: 24 Posted: 15 Mar 2007 Last Revised: 30 Mar 2007
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 25 (526,509)

Abstract:

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17.

Minimal State Variable Solutions to Markov-Switching Rational Expectations Models

FRB of Atlanta Working Paper No. 2008-23
Number of pages: 30 Posted: 13 Nov 2008
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 74 (330,766)
Citation 33

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regime switching, volatility, rational expectations

18.

Generalizing the Taylor Principle: Comment

Federal Reserve Bank of Atlanta Working Paper 2008-19
Number of pages: 14 Posted: 16 Nov 2008
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 68 (346,535)
Citation 3

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bounded solutions, multiple fundamental equilibria, historical dependence

Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China

FRB Atlanta Working Paper No. 2016-9
Number of pages: 52 Posted: 26 Sep 2016 Last Revised: 21 Oct 2017
Kaiji Chen, Daniel F. Waggoner, Patrick C. Higgins and Tao A. Zha
Emory University - Department of Economics, Federal Reserve Bank of Atlanta, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 48 (416,347)
Citation 1

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asymmetric credit allocation, endogenous regime switching, debt-to-GDP ratio, heavy GDP, heavy loans, real estate, land prices, GDP growth target, nonlinear effects

Impacts of Monetary Stimulus on Credit Allocation and the Macroeconomy: Evidence from China

NBER Working Paper No. w22650
Number of pages: 53 Posted: 20 Sep 2016 Last Revised: 01 Oct 2016
Kaiji Chen, Patrick C. Higgins, Daniel F. Waggoner and Tao A. Zha
Emory University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 12 (614,698)

Abstract:

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Understanding Markov-Switching Rational Expectations Models

NBER Working Paper No. w14710
Number of pages: 27 Posted: 17 Feb 2009 Last Revised: 05 Jul 2014
Roger E. A. Farmer, Tao A. Zha and Daniel F. Waggoner
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 37 (462,405)

Abstract:

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Understanding Markov-Switching Rational Expectations Models

FRB Atlanta Working Paper 2009-5
Number of pages: 26 Posted: 17 Mar 2015
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of California, Los Angeles (UCLA) - Department of Economics, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 15 (593,106)
Citation 12

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stability, nonlinearity, unique equilibrium, cross-regime indeterminacy, expectations formation, necessary and sufficient conditions

21.

Conditional Forecasts in Dynamic Multivariate Models

FRB Atlanta Working Paper Series No. 98-22
Number of pages: 43 Posted: 25 Jan 2015
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 48 (409,020)
Citation 10

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conditional forecasts, hard and soft conditions, Bayesian methods, probability distribution, error bands, likelihood

22.

Density-Conditional Forecasts in Dynamic Multivariate Models

Riksbank Research Paper Series No. 78, Sveriges Riksbank Working Paper Series No. 247
Number of pages: 22 Posted: 26 Jan 2011
Stefan Palmqvist, Daniel F. Waggoner and Michael Andersson
affiliation not provided to SSRN, Federal Reserve Bank of Atlanta and Finansinspektionen
Downloads 46 (416,336)
Citation 4

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Central Bank, Market Expectation, Restrictions, Uncertainty

23.

The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models

FRB Atlanta Working Paper No. 2014-21
Number of pages: 35 Posted: 04 Apr 2015
Daniel F. Waggoner, Hongwei Wu and Tao A. Zha
Federal Reserve Bank of Atlanta, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 43 (427,756)
Citation 4

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dynamic striation adjustments, simultaneous equations, Phillips curve, winding ridges, multiple peaks, independent striated draws, irregular posterior distribution, importance weights, tempered posterior density, effective sample size

24.

Sources of Macroeconomic Fluctuations: A Regime-Switching DSGE Approach

FRB Atlanta Working Paper No. 2009-3a
Number of pages: 75 Posted: 19 Mar 2015
Zheng Liu, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 33 (469,815)
Citation 12

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systematic analysis, regime switching, depreciation shock, efficient estimation methods

25.
Downloads 31 (479,282)

Inference in Bayesian Proxy-Svars

FRB of Philadelphia Working Paper No. 18-25
Number of pages: 49 Posted: 27 Nov 2018 Last Revised: 21 Feb 2019
Jonas Arias, Juan F. Rubio-Ramirez and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 17 (579,609)

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SVARs, External Instruments, Importance Sampler

Inference in Bayesian Proxy-Svars

FRB Atlanta Working Paper No. 2018-16
Number of pages: 48 Posted: 05 Feb 2019 Last Revised: 21 Feb 2019
Jonas Arias, Juan Rubio Ramírez and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Emory University and Federal Reserve Bank of Atlanta
Downloads 14 (600,310)

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SVARs, external instruments, importance sampler

26.

Asymmetric Expectation Effects of Regime Shifts and the Great Moderation

FRB Atlanta Working Paper No. 2007-23
Number of pages: 48 Posted: 23 Feb 2015
Zheng Liu, Daniel F. Waggoner and Tao A. Zha
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 16 (564,964)
Citation 2

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structural breaks, expectations formation, monetary policy regime, macroeconomic volatility, Lucas critique

27.

Confronting Model Misspecification in Macroeconomics

NBER Working Paper No. w17791
Number of pages: 52 Posted: 27 Jan 2012 Last Revised: 05 Jul 2014
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 16 (564,964)
Citation 6

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28.

Confronting Model Misspecification in Macroeconomics

FRB Atlanta Working Paper No. 2010-18a
Number of pages: 51 Posted: 23 Mar 2015
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 15 (571,146)
Citation 1

Abstract:

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Markov-switching mixture, heterogenous models, regime-dependent weights, model uncertainty, parameter uncertainty, impulse responses, policy analysis

29.

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
Downloads 0 (691,249)
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Fiscal Shocks, Optimism, Sign and Zero Restrictions, SVARs