photo of Daniel F. Waggoner

Daniel F. Waggoner

Research Economist and Adviser
curriculum vitae Adobe PDF file format
email :: 404-498-8278

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

  • 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

    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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (565 KB)

    2010-18a
    Confronting Model Misspecification in Macroeconomics
    Daniel F. Waggoner, and Tao Zha
    (Revised) February 2012
    Abstract | Full text Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (244 KB)

    2008-19
    Generalizing the Taylor Principle: Comment
    Roger E.A. Farmer, Daniel F. Waggoner, and Tao Zha
    September 2008
    Abstract | Full text Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (561 KB)

    2006-3
    Transparency, Expectations, and Forecasts
    Andrew Bauer, Robert A. Eisenbeis, Daniel F. Waggoner, and Tao Zha
    April 2006
    Abstract | Full text Adobe PDF file format (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 Adobe PDF file format (1 MB)

    2004-13
    Normalization in Econometrics
    James D. Hamilton, Daniel F. Waggoner, and Tao Zha
    June 2004
    Abstract | Full text Adobe PDF file format (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 Adobe PDF file format (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 Adobe PDF file format (130 KB)

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

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

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

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

    1997-10
    Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices
    Daniel F. Waggoner
    November 1997
    Abstract | Full text Adobe PDF file format (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.