Daniel F. WaggonerResearch Economist and Policy Adviser
Federal Reserve Bank of Atlanta
1000 Peachtree Street N.E.
Atlanta, Georgia 30309-4470
To interview economists, press should contact Public Affairs at 404-498-8748.
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.
"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).
Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
Jonas E. Arias, Juan F. Rubio-Ramírez, and Daniel F. Waggoner
Abstract | Full text in PDF (2.16 MB)
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)
Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
Juan F. Rubio-Ramírez, Daniel F. Waggoner, and Tao Zha
Abstract | Full text in PDF (548 KB)
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
Abstract | Full text in PDF (130 KB)