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

    • Email
    • Tel: 404-521-8278
SCHOLARLY PAPERS

35

DOWNLOADS
Rank 12,962

SSRN RANKINGS

Top 12,962

in Total Papers Downloads

7,341

SSRN CITATIONS
Rank 2,080

SSRN RANKINGS

Top 2,080

in Total Papers Citations

671

CROSSREF CITATIONS

186

Scholarly Papers (35)

Actions:
Email selected abstracts
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 1,687 (20,910)
Citation 56

Abstract:

Loading...

2.

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 948 (48,450)
Citation 33

Abstract:

Loading...

Markov switching, regime changes, volatility, identification

3.

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 795 (61,662)
Citation 2

Abstract:

Loading...

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

4.

Trends and Cycles in China's Macroeconomy

Downloads 204 (199,013)
Citation 51

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 163 (350,944)

Abstract:

Loading...

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

NBER Working Paper No. w21244
Number of pages: 75 Posted: 08 Jun 2015 Last Revised: 20 Jul 2023
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 41 (822,903)
Citation 18

Abstract:

Loading...

5.

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 271 (218,782)
Citation 85

Abstract:

Loading...

identification, sign restrictions, simulation

6.

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 260 (227,942)
Citation 2

Abstract:

Loading...

7.

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 237 (249,653)
Citation 6

Abstract:

Loading...

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

8.

Perturbation Methods for Markov-Switching DSGE Models

Downloads 219 (269,124)
Citation 11

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 148 (380,730)
Citation 5

Abstract:

Loading...

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 43 (807,712)

Abstract:

Loading...

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: 15 Aug 2022
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 24 (977,210)
Citation 3

Abstract:

Loading...

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 (1,211,111)
  • Add to Cart

Abstract:

Loading...

DSGE, Markov-Switching, Perturbation

9.

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 219 (269,124)
Citation 115

Abstract:

Loading...

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

10.

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 204 (287,457)
Citation 16

Abstract:

Loading...

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

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 184 (315,517)
Citation 4

Abstract:

Loading...

12.

The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime Switching Framework

Downloads 181 (320,310)
Citation 2

The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime Switching Framework

Number of pages: 52 Posted: 01 Feb 2021 Last Revised: 01 Jun 2022
Kirstin Hubrich and Daniel F. Waggoner
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Atlanta
Downloads 109 (483,752)
Citation 2

Abstract:

Loading...

Regime switching models, time-varying transition probabilities, financial shocks, leverage, bank and non-bank financial institutions, heterogeneity

The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime Switching Framework

FEDS Working Paper No. 2022-34
Number of pages: 53 Posted: 07 Jun 2022
Kirstin Hubrich and Daniel F. Waggoner
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Atlanta
Downloads 50 (757,862)

Abstract:

Loading...

Regime switching models, Time-varying transition probabilities, Financial shocks, Leverage, Bank and nonbank financial institutions, Heterogeneity

The Transmission of Financial Shocks and Leverage of Financial Institutions: An Endogenous Regime-Switching Framework

FRB Atlanta Working Paper No. 2022-5
Number of pages: 52 Posted: 16 Nov 2022
Kirstin Hubrich and Daniel F. Waggoner
Board of Governors of the Federal Reserve System and Federal Reserve Bank of Atlanta
Downloads 22 (998,804)

Abstract:

Loading...

regime switching, time-varying transition probabilities, financial shocks, leverage, bank and nonbank financial institutions, heterogeneity

13.

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 155 (366,170)
Citation 50

Abstract:

Loading...

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

14.

Inference in Bayesian Proxy-Svars

Downloads 139 (399,700)
Citation 24

Inference in Bayesian Proxy-Svars

FRB of Philadelphia Working Paper No. 18-25/R
Number of pages: 52 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 70 (642,259)

Abstract:

Loading...

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 F. Rubio-Ramírez and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Emory University and Federal Reserve Bank of Atlanta
Downloads 69 (647,403)

Abstract:

Loading...

SVARs, external instruments, importance sampler

15.

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 135 (408,952)

Abstract:

Loading...

Transparency, common errors, idiosyncratic errors

16.

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

Downloads 68 (426,104)
Citation 9

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

NBER Working Paper No. w27763
Number of pages: 119 Posted: 31 Aug 2020 Last Revised: 15 May 2023
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 68 (652,571)

Abstract:

Loading...

17.

Indeterminacy in a Forward-Looking Regime-Switching Model

Downloads 122 (442,112)
Citation 3

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 Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 74 (622,526)
Citation 2

Abstract:

Loading...

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: 08 Oct 2022
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 34 (881,004)

Abstract:

Loading...

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 Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 14 (1,090,974)
  • Add to Cart

Abstract:

Loading...

Indeterminacy, regime switching, Taylor Principle

18.

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

Downloads 120 (447,520)
Citation 6

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 87 (564,707)
Citation 3

Abstract:

Loading...

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: 22 May 2023
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 33 (889,995)
Citation 1

Abstract:

Loading...

19.

Understanding the New Keynesian Model When Monetary Policy Switches Regimes

Downloads 120 (447,520)

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 Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 79 (599,309)

Abstract:

Loading...

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: 05 Dec 2022
Roger E. A. Farmer, Daniel F. Waggoner and Tao A. Zha
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 41 (822,903)

Abstract:

Loading...

20.

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 Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 115 (462,165)
Citation 61

Abstract:

Loading...

regime switching, volatility, rational expectations

21.

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 Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 113 (468,295)
Citation 14

Abstract:

Loading...

bounded solutions, multiple fundamental equilibria, historical dependence

22.

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 108 (483,858)
Citation 4

Abstract:

Loading...

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

23.

Understanding Markov-Switching Rational Expectations Models

Downloads 99 (514,474)
Citation 30

Understanding Markov-Switching Rational Expectations Models

NBER Working Paper No. w14710
Number of pages: 27 Posted: 17 Feb 2009 Last Revised: 13 Mar 2022
Roger E. A. Farmer, Tao A. Zha and Daniel F. Waggoner
University of Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 57 (713,410)
Citation 3

Abstract:

Loading...

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 Warwick, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 42 (815,219)
Citation 7

Abstract:

Loading...

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

24.

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 96 (524,991)
Citation 26

Abstract:

Loading...

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

25.

Confronting Model Misspecification in Macroeconomics

NBER Working Paper No. w17791
Number of pages: 52 Posted: 27 Jan 2012 Last Revised: 11 Feb 2023
Daniel F. Waggoner and Tao A. Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 96 (524,991)
Citation 10

Abstract:

Loading...

26.

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 89 (550,809)
Citation 10

Abstract:

Loading...

Central Bank, Market Expectation, Restrictions, Uncertainty

27.

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 79 (591,362)
Citation 8

Abstract:

Loading...

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

28.

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 67 (646,760)
Citation 20

Abstract:

Loading...

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

29.

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 47 (760,267)
Citation 1

Abstract:

Loading...

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

30.

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

FRB Atlanta Working Paper No. 2020-16
Number of pages: 80 Posted: 20 Apr 2021
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 46 (766,952)

Abstract:

Loading...

infrastructure investment; monetary policy transmission; fiscal shocks; policy interaction; credit reallocation; LGFVs

31.

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 46 (766,952)
Citation 2

Abstract:

Loading...

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

32.

Inference Based on Time-Varying Svars Identified with Sign Restrictions

FRB of Philadelphia Working Paper No. 24-5
Number of pages: 56 Posted: 29 Feb 2024
Jonas Arias, Juan F. Rubio-Ramírez, Minchul Shin and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Emory University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta
Downloads 37 (832,447)

Abstract:

Loading...

time-varying parameters, structural vector autoregressions, identification

33.

Uniform Priors for Impulse Responses

FRB Atlanta Working Paper No. 2023-13
Number of pages: 37 Posted: 29 Sep 2023
Jonas Arias, Juan F. Rubio-Ramírez and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Emory University and Federal Reserve Bank of Atlanta
Downloads 24 (947,853)
Citation 1

Abstract:

Loading...

Bayesian, SVARs, uniform prior, sign restrictions

34.

Inference Based on Time-Varying Svars Identified with Time Restrictions

FRB Atlanta Working Paper No. 2024-4
Number of pages: 55 Posted: 01 Apr 2024
Jonas Arias, Juan F. Rubio-Ramírez, Minchul Shin and Daniel F. Waggoner
Federal Reserve Bank of Philadelphia, Emory University, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of Atlanta
Downloads 11 (1,087,909)

Abstract:

Loading...

time-varying parameters, structural vector autoregressions, identification

35.

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 (1,215,948)
  • Add to Cart

Abstract:

Loading...

Fiscal Shocks, Optimism, Sign and Zero Restrictions, SVARs