Daniel F. Waggoner

Federal Reserve Bank of Atlanta

Research Economist and Advisor

1000 Peachtree Street N.E.

Atlanta, GA 30309-4470

United States

  • Federal Reserve Bank of Atlanta

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SCHOLARLY PAPERS

31

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190

Scholarly Papers (31)

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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 1,360 (16,109)
Citation 44

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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 737 (39,076)
Citation 2

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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 667 (44,768)
Citation 30

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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 229 (153,777)
Citation 2

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5.

Trends and Cycles in China's Macroeconomy

Downloads 202 (173,288)
Citation 27

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 134 (246,503)

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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 49 (453,948)
Citation 2

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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 19 (621,071)
Citation 18

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6.

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 189 (184,082)
Citation 6

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

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 167 (205,027)
Citation 15

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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 152 (221,889)
Citation 100

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

9.

Perturbation Methods for Markov-Switching DSGE Models

Downloads 130 (251,488)
Citation 12

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 97 (311,418)
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
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 19 (621,071)

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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 10 (690,235)
Citation 3

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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 (738,220)
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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 127 (255,863)
Citation 48

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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 123 (262,186)
Citation 4

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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 106 (291,554)

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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 104 (297,281)
Citation 68

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identification, sign restrictions, simulation

14.

Indeterminacy in a Forward-Looking Regime-Switching Model

Downloads 87 (331,280)
Citation 2

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 54 (434,384)
Citation 2

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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 (621,071)

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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 (658,744)
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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 82 (343,352)
Citation 3

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

16.

Understanding the New Keynesian Model When Monetary Policy Switches Regimes

Downloads 80 (348,371)
Citation 1

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 (430,660)
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 (578,161)

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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 76 (358,931)
Citation 47

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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 71 (372,715)
Citation 7

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bounded solutions, multiple fundamental equilibria, historical dependence

19.

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

Downloads 64 (393,796)
Citation 3

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 51 (445,903)
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 13 (666,663)

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20.

Inference in Bayesian Proxy-Svars

Downloads 58 (413,609)

Inference in Bayesian Proxy-Svars

FRB of Philadelphia Working Paper No. 18-25
Number of pages: 49 Posted: 27 Nov 2018 Last Revised: 29 Apr 2020
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 29 (552,235)

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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: 29 Apr 2020
Jonas Arias, Juan Rubio Ramírez and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Emory University and Federal Reserve Bank of Atlanta
Downloads 29 (552,235)

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SVARs, external instruments, importance sampler

21.

Understanding Markov-Switching Rational Expectations Models

Downloads 55 (423,999)
Citation 17

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 40 (493,675)

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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 (650,872)
Citation 17

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

22.

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 53 (431,221)
Citation 22

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

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 48 (449,925)
Citation 6

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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.

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 47 (453,870)
Citation 5

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Central Bank, Market Expectation, Restrictions, Uncertainty

25.

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 34 (511,501)
Citation 14

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

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 17 (613,627)
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 17 (613,627)
Citation 10

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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 16 (620,398)
Citation 1

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

29.

Monetary Stimulus Amidst the Infrastructure Investment Spree: Evidence from China's Loan-Level Data

Downloads 1 (707,172)

Monetary Stimulus Amidst the Infrastructure Investment Spree: Evidence from China's Loan-Level Data

NBER Working Paper No. w27763
Number of pages: 81 Posted: 31 Aug 2020
Kaiji Chen, Haoyu Gao, Patrick C. Higgins, Daniel F. Waggoner and Tao A. Zha
Emory University - Department of Economics, Renmin University of China, Federal Reserve Banks - Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 1 (772,436)
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30.

The transmission of financial shocks and leverage of banks: An endogenous regime switching framework

Number of pages: 35
Kirstin Hubrich and Daniel F. Waggoner
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Atlanta
Downloads 1

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Regime Switching models, time-varying transition probabilities, financial shocks, leverage of financial institutions

31.

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 (755,007)
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Fiscal Shocks, Optimism, Sign and Zero Restrictions, SVARs