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Publications

by members of

Center for Quantitative Economic Research (CQER)
Federal Reserve Bank of Atlanta
Atlanta, Georgia (United States)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles | Software components |

Working papers

2014

  1. Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2014. "Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications," Dynare Working Papers 30, CEPREMAP.

2013

  1. Andrew Foerster & Juan Rubio-Ramirez & Dan Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE model," Research Working Paper RWP 13-01, Federal Reserve Bank of Kansas City.
  2. Tao Zha & Daniel Waggoner, 2013. "Monetary Policy at the Zero Lower Bound: An Endogenous Switching Approach to Forward Guidance," 2013 Meeting Papers 519, Society for Economic Dynamics.
  3. Zheng Liu & Jianjun Miao & Tao Zha, 2013. "Land Prices and Unemployment," NBER Working Papers 19382, National Bureau of Economic Research, Inc.

2011

  1. Zheng Liu & Pengfei Wang & Tao Zha, 2011. "Land-price dynamics and macroeconomic fluctuations," NBER Working Papers 17045, National Bureau of Economic Research, Inc.

2010

  1. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2010. "Sources of Macroeconomic Fluctuations: A Regime-switching DSGE Approach," Emory Economics 1002, Department of Economics, Emory University (Atlanta).
  2. Andersson, Michael K. & Palmqvist, Stefan & Waggoner, Daniel F., 2010. "Density-Conditional Forecasts in Dynamic Multivariate Models," Working Paper Series 247, Sveriges Riksbank (Central Bank of Sweden).
  3. Daniel F. Waggoner & Tao Zha, 2010. "Confronting Model Misspecification in Macroeconomics," Emory Economics 1012, Department of Economics, Emory University (Atlanta).
  4. Tao Zha & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Andrew T. Foerster, 2010. "Perturbation Methods for Markov-Switching Models," 2010 Meeting Papers 239, Society for Economic Dynamics.

2009

  1. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2009. "Understanding Markov-switching rational expectations models," Working Paper 2009-05, Federal Reserve Bank of Atlanta.
  2. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2009. "Sources of the Great Moderation: shocks, friction, or monetary policy?," Working Paper Series 2009-01, Federal Reserve Bank of San Francisco.
  3. Zheng Liu & Pengfei Wang & Tao Zha, 2009. "Do Credit Constraints Amplify Macroeconomic Fluctuations?," Emory Economics 0910, Department of Economics, Emory University (Atlanta).
  4. Kaz Miyagiwa, 2009. "International Harmonization of the Patent-awarding Rules," Emory Economics 0909, Department of Economics, Emory University (Atlanta).

2008

  1. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2008. "Minimal state variable solutions to Markov-switching rational expectations models," Working Paper 2008-23, Federal Reserve Bank of Atlanta.
  2. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2008. "Learning, Adaptive Expectations, and Technology Shocks," Emory Economics 0803, Department of Economics, Emory University (Atlanta).
  3. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2008. "Generalizing the Taylor principle: comment," Working Paper 2008-19, Federal Reserve Bank of Atlanta.
  4. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2008. "Asymmetric expectation effects of regime shifts in monetary policy," Working Paper Series 2008-22, Federal Reserve Bank of San Francisco.
  5. Juan F. Rubio-Ramírez & Daniel F.Waggoner & Tao Zha, 2008. "Structural vector autoregressions: theory of identification and algorithms for inference," Working Paper 2008-18, Federal Reserve Bank of Atlanta.

2007

  1. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2007. "Indeterminacy in a forward-looking regime-switching model," Working Paper 2006-19, Federal Reserve Bank of Atlanta.
  2. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Asymmetric expectation effects of regime shifts and the Great Moderation," Working Papers 653, Federal Reserve Bank of Minneapolis.
  3. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2007. "Expectation Effects of Regimes Shifts in Monetary Policy," Kiel Working Papers 1357, Kiel Institute for the World Economy.
  4. Roger E.A. Farmer & Daniel F. Waggoner & Tao Zha, 2007. "Understanding the New-Keynesian Model when Monetary Policy Switches Regimes," NBER Working Papers 12965, National Bureau of Economic Research, Inc.
  5. Zheng Liu & Dan Waggoner & Tao Zha, 2007. "Macroeconomic Volatility and Monetary Policy Regimes," 2007 Meeting Papers 558, Society for Economic Dynamics.

2006

  1. Juan F. Rubio-Ramirez & Daniel Waggoner & Tao Zha, 2006. "Markov-Switching Structural Vector Autoregressions: Theory and Application," Computing in Economics and Finance 2006 69, Society for Computational Economics.
  2. Christopher A. Sims & Daniel F. Waggoner & Tao Zha, 2006. "Methods for inference in large multiple-equation Markov-switching models," Working Paper 2006-22, Federal Reserve Bank of Atlanta.
  3. Andrew Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2006. "Transparency, expectations, and forecasts," Working Paper 2006-03, Federal Reserve Bank of Atlanta.
  4. Roger E. A. Farmer & Tao Zha & Dan Waggoner, 2006. "Assessing Changes in U.S. Monetary Policy in a Regime-Switching Rational Expectations Model," 2006 Meeting Papers 334, Society for Economic Dynamics.
  5. Thomas Sargent & Noah Williams & Tao Zha, 2006. "The conquest of South American inflation," Working Paper 2006-20, Federal Reserve Bank of Atlanta.

2004

  1. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," Working Paper 2004-13, Federal Reserve Bank of Atlanta.
  2. Tao Zha & Juan Rubio & Daniel Waggoner, 2004. "Effects of monetary policy regime changes in the Euro Economy," 2004 Meeting Papers 459, Society for Economic Dynamics.
  3. Christopher A. Sims & Tao Zha, 2004. "MCMC method for Markov mixture simultaneous-equation models: a note," Working Paper 2004-15, Federal Reserve Bank of Atlanta.
  4. Christopher A. Sims & Tao Zha, 2004. "Were there regime switches in U.S. monetary policy?," Working Paper 2004-14, Federal Reserve Bank of Atlanta.
  5. Thomas Sargent & Noah Williams & Tao Zha, 2004. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," NBER Working Papers 10764, National Bureau of Economic Research, Inc.

2002

  1. Robert Eisenbeis & Daniel Waggoner & Tao Zha, 2002. "Evaluating Wall Street Journal survey forecasters: a multivariate approach," Working Paper 2002-8, Federal Reserve Bank of Atlanta.
  2. Eric M. Leeper & Tao Zha, 2002. "Modest Policy Interventions," NBER Working Papers 9192, National Bureau of Economic Research, Inc.
  3. Eric M. Leeper & Tao Zha, 2002. "Empirical Analysis of Policy Interventions," NBER Working Papers 9063, National Bureau of Economic Research, Inc.

2000

  1. Daniel F. Waggoner & Tao Zha, 2000. "Likelihood-preserving normalization in multiple equation models," Working Paper 2000-8, Federal Reserve Bank of Atlanta.
  2. Daniel F. Waggoner & Tao Zha, 2000. "A Gibbs simulator for restricted VAR models," Working Paper 2000-3, Federal Reserve Bank of Atlanta.
  3. Edwin D. Maberly & Daniel F. Waggoner, 2000. "Closing the question on the continuation of turn-of-the-month effects: evidence from the S&P 500 Index futures contract," Working Paper 2000-11, Federal Reserve Bank of Atlanta.
  4. Eric M. Leeper & Tao Zha, 2000. "Assessing simple policy rules: a view from a complete macro model," Working Paper 2000-19, Federal Reserve Bank of Atlanta.

1999

  1. Lutz Kilian & Tao Zha, 1999. "Quantifying the half-life of deviations from PPP: The role of economic priors," Working Paper 99-21, Federal Reserve Bank of Atlanta.

1998

  1. Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," Working Paper 98-22, Federal Reserve Bank of Atlanta.
  2. Christopher A. Sims & Tao A. Zha, 1998. "Does monetary policy generate recessions?," Working Paper 98-12, Federal Reserve Bank of Atlanta.

1997

  1. Daniel F. Waggoner & Tao Zha, 1997. "Normalization, probability distribution, and impulse responses," Working Paper 97-11, Federal Reserve Bank of Atlanta.
  2. Daniel F. Waggoner, 1997. "Spline methods for extracting interest rate curves from coupon bond prices," Working Paper 97-10, Federal Reserve Bank of Atlanta.
  3. David B. Gordon & Eric M. Leeper & Tao Zha, 1997. "Trends in velocity and policy expectations," Working Paper 97-7, Federal Reserve Bank of Atlanta.

1996

  1. Tao Zha, 1996. "Identification, vector autoregression, and block recursion," Working Paper 96-8, Federal Reserve Bank of Atlanta.
  2. Christopher A. Sims & Tao Zha, 1996. "Bayesian methods for dynamic multivariate models," Working Paper 96-13, Federal Reserve Bank of Atlanta.

1995

  1. Christopher A. Sims & Tao Zha, 1995. "Error bands for impulse responses," Working Paper 95-6, Federal Reserve Bank of Atlanta.
  2. David O. Cushman & Tao Zha, 1995. "Identifying monetary policy in a small open economy under flexible exchange rates," Working Paper 95-7, Federal Reserve Bank of Atlanta.
  3. Tao Zha, 1995. "Bankruptcy law, capital allocation, and aggregate effects: a dynamic heterogeneous agent model with incomplete markets," Working Paper 95-8, Federal Reserve Bank of Atlanta.

1992

  1. Zha, T., 1992. "Heterogeneity, Capital Allocation and Bankruptcy Law in an Economy with Incomplete Asset Markets," Papers 92-9, Saskatchewan - Department of Economics.

Journal articles

2013

  1. Zheng Liu & Pengfei Wang & Tao Zha, 2013. "Land‐Price Dynamics and Macroeconomic Fluctuations," Econometrica, Econometric Society, vol. 81(3), pages 1147-1184, 05.

2012

  1. Waggoner, Daniel F. & Zha, Tao, 2012. "Confronting model misspecification in macroeconomics," Journal of Econometrics, Elsevier, vol. 171(2), pages 167-184.

2011

  1. Zheng Liu & Daniel F. Waggoner & Tao Zha, 2011. "Sources of macroeconomic fluctuations: A regime‐switching DSGE approach," Quantitative Economics, Econometric Society, vol. 2(2), pages 251-301, 07.
  2. Farmer, Roger E.A. & Waggoner, Daniel F. & Zha, Tao, 2011. "Minimal state variable solutions to Markov-switching rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(12), pages 2150-2166.

2010

  1. Roger E. A. Farmer & Daniel F. Waggoner & Tao Zha, 2010. "Generalizing the Taylor Principle: Comment," American Economic Review, American Economic Association, vol. 100(1), pages 608-17, March.
  2. Juan F. Rubio-Ram�rez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, Oxford University Press, vol. 77(2), pages 665-696.

2009

  1. Farmer, Roger E.A. & Waggoner, Daniel F. & Zha, Tao, 2009. "Understanding Markov-switching rational expectations models," Journal of Economic Theory, Elsevier, vol. 144(5), pages 1849-1867, September.
  2. Roger E. A. Farmer & Daniel F. Waggoner & Tao Zha, 2009. "Indeterminacy in a forward-looking regime switching model," International Journal of Economic Theory, The International Society for Economic Theory, vol. 5(1), pages 69-84.
  3. Zheng Liu & Daniel Waggoner & Tao Zha, 2009. "Asymmetric Expectation Effects of Regime Shifts in Monetary Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 284-303, April.
  4. KevinX.D. Huang & Zheng Liu & Tao Zha, 2009. "Learning, Adaptive Expectations and Technology Shocks," Economic Journal, Royal Economic Society, vol. 119(536), pages 377-405, 03.
  5. Thomas Sargent & Noah Williams & Tao Zha, 2009. "The Conquest of South American Inflation," Journal of Political Economy, University of Chicago Press, vol. 117(2), pages 211-256, 04.

2008

  1. Sims, Christopher A. & Waggoner, Daniel F. & Zha, Tao, 2008. "Methods for inference in large multiple-equation Markov-switching models," Journal of Econometrics, Elsevier, vol. 146(2), pages 255-274, October.

2007

  1. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2007. "Normalization in Econometrics," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 221-252.
  2. Tao Zha, 2007. "Comment on An and Schorfheide's Bayesian Analysis of DSGE Models," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 205-210.

2006

  1. Andrew Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2006. "Transparency, expectations and forecasts," Economic Review, Federal Reserve Bank of Atlanta, issue Q 1, pages 1-25.
  2. Sims, Christopher A. & Zha, Tao, 2006. "Does Monetary Policy Generate Recessions?," Macroeconomic Dynamics, Cambridge University Press, vol. 10(02), pages 231-272, April.
  3. Christopher A. Sims & Tao Zha, 2006. "Were There Regime Switches in U.S. Monetary Policy?," American Economic Review, American Economic Association, vol. 96(1), pages 54-81, March.
  4. Thomas Sargent & Noah Williams & Tao Zha, 2006. "Shocks and Government Beliefs: The Rise and Fall of American Inflation," American Economic Review, American Economic Association, vol. 96(4), pages 1193-1224, September.

2005

  1. Lee E. Ohanian & Marco Del Negro & Tao Zha, 2005. "Monetary policy and learning," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 257-261, April.

2003

  1. Waggoner, Daniel F. & Zha, Tao, 2003. "Likelihood preserving normalization in multiple equation models," Journal of Econometrics, Elsevier, vol. 114(2), pages 329-347, June.
  2. Andy Bauer & Robert A. Eisenbeis & Daniel F. Waggoner & Tao Zha, 2003. "Forecast evaluation with cross-sectional data: The Blue Chip Surveys," Economic Review, Federal Reserve Bank of Atlanta, issue Q2, pages 17-31.
  3. Waggoner, Daniel F. & Zha, Tao, 2003. "A Gibbs sampler for structural vector autoregressions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 349-366, November.
  4. Leeper, Eric M. & Zha, Tao, 2003. "Modest policy interventions," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.

2002

  1. Lutz Kilian & Tao Zha, 2002. "Quantifying the uncertainty about the half-life of deviations from PPP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(2), pages 107-125.
  2. Eric Leeper & Tao Zha, 2002. "Empirical analysis of policy interventions," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  3. Christopher Sims & Tao Zha, 2002. "Macroeconomic switching," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.

2001

  1. Saikat Nandi & Daniel Waggoner, 2001. "The risks and rewards of selling volatility," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 31-39.
  2. Eric M. Leeper & Tao Zha, 2001. "Assessing simple policy rules: a view from a complete macroeconomic model," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 83-112.
  3. Tao Zha, 2001. "Bankruptcy Law, Capital Allocation, and Aggregate Effects: A Dynamic Heterogenous Agent Model with Incomplete Markets," Annals of Economics and Finance, Society for AEF, vol. 2(2), pages 379-400, November.

2000

  1. Saikat Nandi & Daniel F. Waggoner, 2000. "Issues in hedging options positions," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 24-39.
  2. Madeline Zavodny & Tao Zha, 2000. "Monetary policy and racial unemployment rates," Economic Review, Federal Reserve Bank of Atlanta, issue Q4, pages 1-16.

1999

  1. Daniel F. Waggoner & Tao Zha, 1999. "Conditional Forecasts In Dynamic Multivariate Models," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 639-651, November.
  2. Christopher A. Sims & Tao Zha, 1999. "Error Bands for Impulse Responses," Econometrica, Econometric Society, vol. 67(5), pages 1113-1156, September.
  3. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
  4. Tao Zha, 1999. "Evaluating the effects of monetary policy with economic models," Economic Review, Federal Reserve Bank of Atlanta, issue Q4, pages 4-15.

1998

  1. Sims, Christopher A & Zha, Tao, 1998. "Bayesian Methods for Dynamic Multivariate Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-68, November.
  2. Gordon, David B. & Leeper, Eric M. & Zha, Tao, 1998. "Trends in velocity and policy expectations," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 265-304, December.
  3. Tao Zha, 1998. "A dynamic multivariate model for use in formulating policy," Economic Review, Federal Reserve Bank of Atlanta, issue Q 1, pages 16-29.

1997

  1. Cushman, David O. & Zha, Tao, 1997. "Identifying monetary policy in a small open economy under flexible exchange rates," Journal of Monetary Economics, Elsevier, vol. 39(3), pages 433-448, August.
  2. Tao Zha, 1997. "Identifying monetary policy: a primer," Economic Review, Federal Reserve Bank of Atlanta, issue Q 2, pages 26-43.

1996

  1. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.

Software components

2009

  1. Zheng Liu & Daniel Waggoner & Tao Zha, 2009. "Code files for "Asymmetric Expectation Effects of Regime Shifts in Monetary Policy"," Computer Codes 08-80, Review of Economic Dynamics.