Thomas M. Mertens

Federal Reserve Bank of San Francisco

Senior Economist

101 Market Street

San Francisco, CA 94105

United States

  • Federal Reserve Bank of San Francisco

SCHOLARLY PAPERS

13

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4,382

SSRN CITATIONS
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Top 8,125

in Total Papers Citations

127

CROSSREF CITATIONS

53

Scholarly Papers (13)

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1.

Market Sentiment: A Tragedy of the Commons

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-07
Number of pages: 6 Posted: 19 Dec 2010 Last Revised: 29 Jul 2011
Tarek A. Hassan and Thomas M. Mertens
Boston University and Federal Reserve Bank of San Francisco
Downloads 848 (46,148)
Citation 4

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Noisy Rational Expectations, Sentiment, Dispersed Information

2.

Solving an Incomplete Markets Model with a Large Cross-Section of Agents

Downloads 750 (54,523)
Citation 14

Solving an Incomplete Markets Model with a Large Cross-Section of Agents

Number of pages: 41 Posted: 08 Jun 2011 Last Revised: 18 Dec 2017
Thomas M. Mertens and Kenneth L. Judd
Federal Reserve Bank of San Francisco and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 689 (60,210)
Citation 12

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Incomplete Markets, Heterogeneity, Perturbation Methods

Equilibrium Existence and Approximation for Incomplete Market Models with Substantial Heterogeneity

NYU Working Paper No. 2451/31656
Number of pages: 41 Posted: 24 Apr 2013
Thomas M. Mertens and Kenneth L. Judd
Federal Reserve Bank of San Francisco and Stanford University - The Hoover Institution on War, Revolution and Peace
Downloads 61 (566,988)

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Uninsurable risk, portfolio choice, perturbation methods

3.

The Social Cost of Near-Rational Investment

Downloads 599 (73,018)
Citation 16

The Social Cost of Near-Rational Investment

AFA 2012 Chicago Meetings Paper
Number of pages: 83 Posted: 18 Mar 2008 Last Revised: 31 Jul 2016
Tarek A. Hassan and Thomas M. Mertens
Boston University and Federal Reserve Bank of San Francisco
Downloads 566 (77,444)
Citation 1

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Near-rationality, investment, capital accumulation

The Social Cost of Near-Rational Investment

NBER Working Paper No. w17027
Number of pages: 84 Posted: 09 May 2011 Last Revised: 09 Jan 2023
Tarek A. Hassan and Thomas M. Mertens
Boston University and Federal Reserve Bank of San Francisco
Downloads 33 (733,563)

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The Social Cost of Near-Rational Investment

CEPR Discussion Paper No. DP10007
Number of pages: 73 Posted: 25 Sep 2014
Tarek A. Hassan and Thomas M. Mertens
Boston University and Federal Reserve Bank of San Francisco
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Citation 2
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dispersed information, information aggregation, information externality, stock market dysfunctionality

4.

Volatile Stock Markets: Equilibrium Computation and Policy Analysis

Number of pages: 52 Posted: 18 Mar 2009 Last Revised: 22 Nov 2011
Thomas M. Mertens
Federal Reserve Bank of San Francisco
Downloads 525 (86,125)
Citation 6

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5.

Extrapolative Expectations and the Equity Premium

Number of pages: 28 Posted: 11 Oct 2019
James J. Choi and Thomas M. Mertens
Yale School of Management and Federal Reserve Bank of San Francisco
Downloads 335 (144,833)
Citation 7

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equity premium puzzle, riskfree rate puzzle, equity volatility puzzle, noise traders, irrational expectations, adaptive expectations, heterogeneous agents, elasticity of intertemporal substitution

6.

A Risk-Based Theory of Exchange Rate Stabilization

Downloads 325 (149,595)
Citation 3

A Risk-Based Theory of Exchange Rate Stabilization

Number of pages: 105 Posted: 07 Aug 2016 Last Revised: 30 Jul 2021
Tarek A. Hassan, Thomas M. Mertens and Tony Zhang
Boston University, Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 270 (180,634)

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fixed exchange rate, managed float, exchange rate stabilization, uncovered interest parity, currency returns

A Risk-Based Theory of Exchange Rate Stabilization

NBER Working Paper No. w22790
Number of pages: 86 Posted: 31 Oct 2016 Last Revised: 13 Mar 2023
Tarek A. Hassan, Thomas M. Mertens and Tony Zhang
Boston University, Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 55 (596,832)

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Currency Manipulation

CEPR Discussion Paper No. DP11581
Number of pages: 77 Posted: 01 Nov 2016 Last Revised: 04 Oct 2019
Tarek A. Hassan, Thomas M. Mertens and Tony Zhang
Boston University, Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
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Citation 1
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currency returns, exchange rate stabilization, fixed exchange rate, managed float, uncovered interest parity

7.

Information Aggregation in a DSGE Model

Downloads 256 (191,410)
Citation 3

Information Aggregation in a DSGE Model

Fama-Miller Working Paper
Number of pages: 46 Posted: 22 Mar 2014 Last Revised: 26 Jun 2016
Tarek A. Hassan and Thomas M. Mertens
Boston University and Federal Reserve Bank of San Francisco
Downloads 241 (202,379)

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Noisy Rational Expectations, Dispersed Information, Business Cycles, Asset Prices, Investment, Portfolio Choice

Information Aggregation in a DSGE Model

NBER Working Paper No. w20193
Number of pages: 47 Posted: 11 Jun 2014 Last Revised: 06 Mar 2022
Tarek A. Hassan and Thomas M. Mertens
Boston University and Federal Reserve Bank of San Francisco
Downloads 15 (887,274)
Citation 1

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Information Aggregation in a DSGE Model

CEPR Discussion Paper No. DP10020
Number of pages: 49 Posted: 25 Sep 2014
Tarek A. Hassan and Thomas M. Mertens
Boston University and Federal Reserve Bank of San Francisco
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Asset Prices, Business Cycles, Dispersed Information, Investment, Noisy Rational Expectations, Portfolio Choice

8.

Not So Disconnected: Exchange Rates and the Capital Stock

Downloads 231 (211,603)
Citation 13

Not So Disconnected: Exchange Rates and the Capital Stock

Sloan Foundation Economics Research Paper Forthcoming, Fama-Miller Working Paper
Number of pages: 55 Posted: 30 May 2015 Last Revised: 02 Mar 2018
Tarek A. Hassan, Thomas M. Mertens and Tony Zhang
Boston University, Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 213 (227,965)

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exchange rate disconnect, capital accumulation, international capital flows, uncovered interest parity

Not so Disconnected: Exchange Rates and the Capital Stock

NBER Working Paper No. w21445
Number of pages: 56 Posted: 18 Aug 2015 Last Revised: 05 Feb 2023
Tarek A. Hassan, Thomas M. Mertens and Tony Zhang
Boston University, Federal Reserve Bank of San Francisco and Board of Governors of the Federal Reserve System
Downloads 18 (859,019)
Citation 7

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9.

Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds

FRB of New York Staff Report No. 1011, Rev. May 2022
Number of pages: 44 Posted: 18 Apr 2022 Last Revised: 19 Jul 2022
Brandyn Bok, Thomas M. Mertens and John C. Williams
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 149 (312,168)

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interest, uncertainty, inflation, equilibrium, lower bound, shocks, liquidity

10.

Fraud Deterrence in Dynamic Mirrleesian Economies

FRB of Philadelphia Working Paper No. 10-7
Number of pages: 46 Posted: 12 Mar 2010 Last Revised: 17 Feb 2011
Roc Armenter and Thomas M. Mertens
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Federal Reserve Bank of San Francisco
Downloads 148 (313,835)
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11.

Tying Down the Anchor: Monetary Policy Rules and the Lower Bound on Interest Rates

FRB of New York Staff Report No. 887 (2019)
Number of pages: 42 Posted: 06 May 2019 Last Revised: 17 Aug 2019
Thomas M. Mertens and John C. Williams
Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 111 (389,846)
Citation 33

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monetary policy; inflation expectations; lower bound; inflation target

12.

What to Expect From the Lower Bound on Interest Rates: Evidence from Derivatives Prices

FRB of New York Staff Report No. 865
Number of pages: 54 Posted: 30 Aug 2018 Last Revised: 24 Jun 2020
Thomas M. Mertens and John C. Williams
Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 84 (468,442)
Citation 4

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zero lower bound, inflation expectations, monetary policy, multiple equilibria

13.

Monetary Policy Frameworks and the Effective Lower Bound on Interest Rates

FRB of New York Staff Report No. 877
Number of pages: 15 Posted: 07 Jul 2019
Thomas M. Mertens and John C. Williams
Federal Reserve Bank of San Francisco and Federal Reserve Bank of New York
Downloads 21 (804,439)
Citation 10

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monetary policy, zero lower bound, natural rate of interest, inflation targeting, inflation expectations