photo of Daniel F. Waggoner

Daniel F. Waggoner

Research Economist and Policy Adviser

Research Department
Federal Reserve Bank of Atlanta
1000 Peachtree Street N.E.
Atlanta, Georgia 30309-4470
404-498-8278
daniel.f.waggoner@atl.frb.org

To interview economists, press should contact Public Affairs at 404-498-8748.

  • Biography

    Daniel Waggoner is a research economist and policy adviser with the macroeconomics group of the research department of the Federal Reserve Bank of Atlanta. His interests include Bayesian econometrics and economic and mathematical modeling.

    Before joining the Fed, he was an assistant professor of mathematics at Agnes Scott College and, before that, a visiting assistant professor at Lehigh University. Dr. Waggoner's work has been published in a number of journals, including the Review of Economic Studies, Journal of Econometrics, and Transactions of the American Mathematical Society.

    Dr. Waggoner earned his bachelor's degree in mathematics from the University of Mississippi. He earned a master's degree and a doctorate in mathematics from the University of Kentucky. He also holds a master's degree in finance from Georgia State University.

  • Research

    Publications

    Journal Publications

    "Confronting Model Misspecification in Macroeconomics," with Tao Zha, Journal of Econometrics 171 (2), December 2012: 167–84.

    "Minimal State Variable Solutions to Markov-Switching Rational Expectations Models," with Roger Farmer and Tao Zha, Journal of Economic Dynamics and Control 35 (12), December 2011: 2150–66.

    “Sources of Macroeconomic Fluctuations: A Regime-Switching DSGE Approach," Quantitative Economics 2 (2), July 2011: 251–301.

    "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," with Juan Rubio-Ramirez and Tao Zha, Review of Economic Studies 77-2, April 2010: 665–96.

    "Generalizing the Taylor Principle: A Comment," with Roger Farmer and Tao Zha, American Economic Review 100-1, March 2010: 608–17.

    "Understanding Markov-switching rational expectations models," with Roger Farmer and Tao Zha, Journal of Economic Theory 144-5, September 2009: 1849–67.

    "Aymmetric Expectations Effects of Regime Shifts in Monetary Policy," with Zheng Liu and Tao Zha, Review of Economic Dynamics 12-2, April 2009: 284–303.

    "Indeterminacy in a forward-looking regime switching model," with Roger Farmer and Tao Zha, International Journal of Economic Theory 5-1, March 2009: 69–84.

    "Methods for Inference in Large Multiple-Equation Markov-Switching Models," Journal of Econometrics, with Christopher A. Sims and Tao Zha, 148 (2), October 2008: 255–74.

    "Normalization in Econometrics," Econometric Reviews, with James D. Hamilton and Tao Zha, 26 (2-4), March 2007: 221–52.

    "Update: Evaluating Wall Street Journal Survey of Forecasters," Business Economics, with Robert Eisenbeis and Tao Zha, January 2004.

    "A Gibbs Sampler for Structural Vector Autoregressions," with Tao Zha, Journal of Economic Dynamics and Control 28 (2), November 2003: 349–66.

    "Likelihood Preserving Normalization in Multiple Equation Models," with Tao Zha, Journal of Econometrics 114, June 2003: 329–47.

    "Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach," with Robert Eisenbeis and Tao Zha, Business Economics, July 2002. (Winner of Abramson Scroll Award)

    "Conditional Forecasts in Dynamic Multivariate Models," with Tao Zha, The Review of Economics and Statistics 81(4), November 1999: 639–61.

    "On the Homology of SU(n) Instantons," with Charles P. Boyer and Benjamin M. Mann, Transactions of the American Mathematical Society 323 (2), February 1991: 529–61.

    Atlanta Fed Publications

    "Transparency, Expectations, and Forecasts." Federal Reserve Bank of Atlanta Economic Review, First Quarter 2006 (with Andrew Bauer, Robert A. Eisenbeis, and Tao Zha).

    "The Risks and Rewards of Selling Volatility." Federal Reserve Bank of Atlanta Economic Review, First Quarter 2001 (with Saikat Nandi).

    Working Papers

    2014-21
    The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models
    Daniel F. Waggoner, Hongwei Wu, and Tao Zha
    November 2014
    Abstract | Full text in PDF (961 KB)

    2014-16
    Perturbation Methods for Markov-Switching DSGE Models
    Andrew Foerster, Juan Rubio-Ramírez, Daniel F. Waggoner, and Tao Zha
    August 2014
    Abstract | Full text in PDF (90 KB)

    2014-1
    Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
    Jonas E. Arias, Juan F. Rubio-Ramírez, and Daniel F. Waggoner
    March 2014
    Abstract | Full text in PDF (2.16 MB)

    2013-1
    Perturbation Methods for Markov-Switching DSGE Models
    Andrew Foerster, Juan Rubio-Ramírez, Daniel F. Waggoner, and Tao Zha
    March 2013
    Abstract | Full text in PDF (565 KB)

    2010-18a
    Confronting Model Misspecification in Macroeconomics
    Daniel F. Waggoner, and Tao Zha
    Revised February 2012
    Abstract | Full text in PDF (418 KB)

    2009-5
    Understanding Markov-Switching Rational Expectations Models
    Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
    March 2009
    Abstract | Full text in PDF (668 KB)

    2009-3a
    Sources of Macroeconomic Fluctuations: A Regime-Switching DSGE Approach
    Zheng Liu, Daniel F. Waggoner, and Tao Zha
    Revised October 2010
    Abstract | Full text in PDF (755 KB)

    2008-23a
    Minimal State Variable Solutions to Markov-Switching Rational Expectations Models
    Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
    Revised September 2010
    Abstract | Full text in PDF (244 KB)

    2008-19
    Generalizing the Taylor Principle: Comment
    Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
    September 2008
    Abstract | Full text in PDF (228 KB)

    2008-18
    Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
    Juan F. Rubio-Ramí­rez, Daniel F. Waggoner, and Tao Zha
    September 2008
    Abstract | Full text in PDF (548 KB)

    2007-23
    Asymmetric Expectation Effects of Regime Shifts and the Great Moderation
    Zheng Liu, Daniel F. Waggoner, and Tao Zha
    October 2007
    Abstract | Full text in PDF (769 KB)

    2007-12
    Understanding the New Keynesian Model When Monetary Policy Switches Regimes
    Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
    July 2007
    Abstract | Full text in PDF (478 KB)

    2006-22
    Methods for Inference in Large Multiple-Equation Markov-Switching Models
    Christopher A. Sims, Daniel F. Waggoner, and Tao Zha
    November 2006
    Abstract | Full text in PDF (311 KB)

    2006-19a
    Indeterminacy in a Forward-Looking Regime-Switching Model
    Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
    Revised September 2007
    Abstract | Full text in PDF (561 KB)

    2006-3
    Transparency, Expectations, and Forecasts
    Andrew Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, and Tao Zha
    April 2006
    Abstract | Full text in PDF (420 KB)

    2005-27
    Markov-Switching Structural Vector Autoregressions: Theory and Application
    Juan Francisco Rubio-Ramírez, Daniel Waggoner, and Tao Zha
    December 2005
    Abstract | Full text in PDF (1 MB)

    2004-13
    Normalization in Econometrics
    James D. Hamilton, Daniel F. Waggoner, and Tao Zha
    June 2004
    Abstract | Full text in PDF (1.1 MB)

    2002-8a
    Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach
    Robert Eisenbeis, Daniel Waggoner, and Tao Zha
    July 2002
    Abstract | Full text in PDF (117 KB)

    2000-11
    Closing the Question on the Continuation of Turn-of-the-Month Effects: Evidence from the S&P 500 Index Futures Contract
    Edwin D. Maberly and Daniel F. Waggoner
    August 2000
    Abstract | Full text in PDF (130 KB)

    2000-8
    Likelihood-Preserving Normalization in Multiple Equation Models
    Daniel F. Waggoner and Tao Zha
    June 2000
    Abstract | Full text in PDF (203 KB)

    2000-3
    A Gibbs Simulator for Restricted VAR Models
    Daniel F. Waggoner and Tao Zha
    March 2000
    Abstract | Full text in PDF (384 KB)

    1998-22
    Conditional Forecasts in Dynamic Multivariate Models
    Daniel F. Waggoner and Tao Zha
    December 1998
    Abstract | Full text in PDF (199 KB)

    1997-11
    Normalization, Probability Distribution, and Impulse Responses
    Daniel F. Waggoner and Tao Zha
    November 1997
    Abstract | Full text in PDF (160 KB)

    1997-10
    Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices
    Daniel F. Waggoner
    November 1997
    Abstract | Full text in PDF (125 KB)