Daniel F. Waggoner
Research Economist and Advisercurriculum vitae
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personal website
email :: 404-498-8278
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Biography
Daniel Waggoner is a research economist and adviser on the macroeconomics and monetary policy team in 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.
Working Papers
Atlanta Fed Working Papers
2018-16
Inference in Bayesian Proxy-SVARs
Jonas E. Arias, Juan F. Rubio-Ramírez, and Daniel F. Waggoner
December 2018
Abstract | Full text (1,813 KB)
2016-9a
Impacts of Monetary Stimulus on Credit Allocation and Macroeconomy: Evidence from China
Kaiji Chen, Patrick Higgins, Daniel F. Waggoner, and Tao Zha
September 2016 (Revised October 2017)
Abstract | Full text (518 KB)
2015-5
Trends and Cycles in China's Macroeconomy
Chun Chang, Kaiji Chen, Daniel F. Waggoner, and Tao Zha
June 2015
Abstract | Full text (649 KB)
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 (957 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 (489 KB)
2014-1b
Inference Based on SVARs Identified with Sign and Zero Restrictions: Theory and Applications
Jonas E. Arias, Juan F. Rubio-Ramírez, and Daniel F. Waggoner
February 2014 (Revised October 2017)
Abstract | Full text (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 (565 KB)
2010-18a
Confronting Model Misspecification in Macroeconomics
Daniel F. Waggoner, and Tao Zha
(Revised) February 2012
Abstract | Full text (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 (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 (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 (244 KB)
2008-19
Generalizing the Taylor Principle: Comment
Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
September 2008
Abstract | Full text (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 (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 (769 KB)
2007-12
Understanding the New Keynesian Model When Monetary Policy Switches Regimes
Zheng Liu, Daniel F. Waggoner, and Tao Zha
October 2007
Abstract | Full text (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 (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 (561 KB)
2006-3
Transparency, Expectations, and Forecasts
Andrew Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, and Tao Zha
April 2006
Abstract | Full text (420 KB)
2005-27
Markov-Switching Structural Vector Autoregressions: Theory and Application
Juan Francisco Rubio-RamÃrez, Daniel Waggoner, and Tao Zha
December 2005
Abstract | Full text (1 MB)
2004-13
Normalization in Econometrics
James D. Hamilton, Daniel F. Waggoner, and Tao Zha
June 2004
Abstract | Full text (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 (116 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 (130 KB)
2000-8
Likelihood-Preserving Normalization in Multiple Equation Models
Daniel F. Waggoner and Tao Zha
June 2000
Abstract | Full text (203 KB)
2000-3
A Gibbs Simulator for Restricted VAR Models
Daniel F. Waggoner and Tao Zha
March 2000
Abstract | Full text (384 KB)
1998-22
Conditional Forecasts in Dynamic Multivariate Models
Daniel F. Waggoner and Tao Zha
December 1998
Abstract | Full text (199 KB)
1997-11
Normalization, Probability Distribution, and Impulse Responses
Daniel F. Waggoner and Tao Zha
November 1997
Abstract | Full text (160 KB)
1997-10
Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices
Daniel F. Waggoner
November 1997
Abstract | Full text (125 KB)
Other Fed Work
Articles
with Andy Bauer, Robert A. Eisenbeis, Tao Zha, "Transparency, Expectations, and Forecasts," Federal Reserve Bank of Atlanta Economic Review 91 (First Quarter 2006).
with Andy Bauer, Robert A. Eisenbeis, Tao Zha, "Forecast Evaluation with Cross-Sectional Data: The Blue Chip Surveys," Federal Reserve Bank of Atlanta Economic Review 88 (Second Quarter 2003).
with Saikat Nandi, "The Risks and Rewards of Selling Volatility," Federal Reserve Bank of Atlanta Economic Review 86 (First Quarter 2001).
with Saikat Nandi, "Issues in Hedging Options Positions," Federal Reserve Bank of Atlanta Economic Review 85 (First Quarter 2000).
Publications
Journal Publications
with Andrew Foerster, Juan Rubio-Ramírez, and Tao Zha, "Perturbation Methods for MarkovSwitching DSGE Models," Quantative Economics, 7 (2), July 2016, 637–669.
with Hongwei Wu and Tao Zha, "Striated Metropolis-Hasting sampler for high-diemensional models," Journal of Econometrics, 192 (2), June 2016, 406–420.
with Chun Chang, Kaiji Chen, and Tao Zha, "Trends and Cycles in China's Macroeconomy," NBER Macroeconomics Annual 2015, Volume 30, Eichenbaum and Parker.
with Tao Zha, "Confronting Model Misspecification in Macroeconomics," Journal of Econometrics, 171 (2), December 2012, 167–184.
with Roger Farmer and Tao Zha, "Minimal State Variable Solutions to Markov-Switching Rational Expectations Models," Journal of Economic Dynamics and Control, 35 (12), December 2011, 2150–2166.
with Zheng Liu and Tao Zha, "Sources of Macroeconomic Fluctuations: A Regime-Switching DSGE Approach," Quantitative Economics, 2 (2), July 2011, 251–301.
with Juan Rubio-Ramírez and Tao Zha, "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," Review of Economic Studies, 77-2, April 2010, 665–696.
with Roger Farmer and Tao Zha, "Generalizing the Taylor Principle: A Comment," American Economic Review, 100-1, March 2010, 608–617.
with Roger Farmer and Tao Zha, "Understanding Markov-switching rational expectations models," Journal of Economic Theory, 144-5,September 2009, 1849–1867.
with Zheng Liu and Tao Zha, "Aymmetric Expectations Effects of Regime Shifts in Monetary Policy," Review of Economic Dynamics, 12-2, April 2009, 284–303.
with Roger Farmer and Tao Zha, "Indeterminacy in a forward-looking regime switching model," International Journal of Economic Theory, 5-1, March 2009, 69–84.
with Christopher A. Sims, and Tao Zha, "Methods for Inference in Large Multiple-Equation Markov-Switching Models," Journal of Econometrics, 148 (2), October 2008, 255–274.
with James D. Hamilton and Tao Zha, "Normalization in Econometrics," Econometric Reviews, 26 (2-4), March 2007, 221–252.
with Robert Eisenbeis and Tao Zha, "Update: Evaluating Wall Street Journal Survey of Forecasters," Business Economics, January 2004.
with Tao Zha, "A Gibbs Sampler for Structural Vector Autoregressions," Journal of Economic Dynamics and Control, November 2003, 28 (2), 349–366.
with Tao Zha, "Likelihood Preserving Normalization in Multiple Equation Models," Journal of Econometrics 114, June 2003, 329–347.
with Robert Eisenbeis and Tao Zha, "Evaluating Wall Street Journal Survey Forecasters: A Multivariate Approach," Business Economics, July 2002. (Winner of Abramson Scroll Award)
with Tao Zha, "Conditional Forecasts in Dynamic Multivariate Models," The Review of Economics and Statistics, November 1999, 81(4), 639–661.
with Charles P. Boyer and Benjamin M. Mann, "On the Homology of SU(n) Instantons," Transactions of the American Mathematical Society, February 1991323 (2), 529–561.