Search Results
Working Paper
The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models
Zha, Tao; Waggoner, Daniel F.; Wu, Hongwei
(2014-11-01)
Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from both the equi-energy sampler and the sequential Monte Carlo sampler by avoiding the weaknesses of the straight Metropolis-Hastings algorithm as well as those of importance sampling. In particular, the DSMH sampler possesses the capacity to cope with incredibly irregular distributions that are full ...
FRB Atlanta Working Paper
, Paper 2014-21
Working Paper
Do credit constraints amplify macroeconomic fluctuations?
Zha, Tao; Wang, Pengfei; Liu, Zheng
(2009)
Previous studies on financial frictions have been unable to establish the empirical significance of credit constraints in macroeconomic fluctuations. This paper argues that the muted impact of credit constraints stems from the absence of a mechanism to explain the observed persistent comovements between housing prices and business investment. We develop such a mechanism by incorporating two key features into a DSGE model: we identify shocks that shift the demand for collateral assets and we allow productive agents to be credit-constrained. A combination of these two features enables our model ...
Working Paper Series
, Paper 2009-28
Working Paper
Assessing simple policy rules: a view from a complete macro model
Zha, Tao; Leeper, Eric M.
(2000)
We explore two popular approaches to empirical analysis of monetary policy: the New Keynesian and the identified vector autoregression approaches. Stylized models of private behavior coupled with simple rules describing policy behavior characterize New Keynesian work. Vector autoregressions consist of minimally identified dynamic descriptions of private behavior coupled with a detailed rule for policy behavior. The simplicity of New Keynesian models aids in communication but leaves the models? implications vulnerable. By relating the New Keynesian models to identified vector autoregressions, ...
FRB Atlanta Working Paper
, Paper 2000-19
Working Paper
Sources of the Great Moderation: shocks, frictions, or monetary policy?
Zha, Tao; Waggoner, Daniel F.; Liu, Zheng
(2009)
We study the sources of the Great Moderation by estimating a variety of medium-scale dynamic stochastic general equilibrium (DSGE) models that incorporate regime switches in shock variances and the inflation target. The best-fit model?the one with two regimes in shock variances?gives quantitatively different dynamics compared with the benchmark constant-parameter model. Our estimates show that three kinds of shocks accounted for most of the Great Moderation and business-cycle fluctuations: capital depreciation shocks, neutral technology shocks, and wage markup shocks. In contrast to the ...
FRB Atlanta Working Paper
, Paper 2009-03
Working Paper
Structural vector autoregressions: theory of identification and algorithms for inference
Rubio-Ramirez, Juan F.; Zha, Tao; Waggoner, Daniel F.
(2008)
Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic general equilibrium models. Yet there have been no workable rank conditions to ascertain whether an SVAR is globally identified. When identifying restrictions such as long-run restrictions are imposed on impulse responses, there have been no efficient algorithms for small-sample estimation and inference. To fill these important gaps in the literature, this paper makes four contributions. First, we establish general rank conditions for global identification of both ...
FRB Atlanta Working Paper
, Paper 2008-18
Working Paper
Evaluating Wall Street Journal survey forecasters: a multivariate approach
Eisenbeis, Robert A.; Zha, Tao; Waggoner, Daniel F.
(2002)
This paper proposes a methodology for assessing the joint performance of multivariate forecasts of economic variables. The methodology is illustrated by comparing the rankings of forecasters by the Wall Street Journal with the authors? alternative rankings. The results show that the methodology can provide useful insights as to the certainty of forecasts as well as the extent to which various forecasts are similar or different.
FRB Atlanta Working Paper
, Paper 2002-8
Journal Article
A dynamic multivariate model for use in formulating policy
Zha, Tao
(1998-01-01)
A policy action by the Federal Reserve consists of using any one of various instruments, such as the federal funds rate and different measures of money, to pursue its multiple objectives. Because of long and variable lags in the effects of policy actions, the process of anticipating the future is indispensable in formulating sound monetary policy. For the same reason, projecting policy effects accurately is a challenging task. An essential step is to develop good forecasting models. ; This article presents a forecasting model that seems to overcome conceptual and empirical difficulties ...
Economic Review
, Volume 83
, Issue Q 1
, Pages 16-29
Working Paper
Modest policy interventions
Zha, Tao; Leeper, Eric M.
(2003)
The authors present a theoretical and empirical framework for computing and evaluating linear projections conditional on hypothetical paths of monetary policy. A modest policy intervention does not significantly shift agents' beliefs about policy regime and does not induce the changes in behavior that Lucas (1976) emphasizes. Applied to an econometric model of U.S. monetary policy, the authors find that a rich class of interventions routinely considered by the Federal Reserve is modest and their impacts can be reliably forecast by an identified linear model. Modest interventions can shift ...
FRB Atlanta Working Paper
, Paper 2003-24
Working Paper
Macroeconomic Effects of China's Financial Policies
Zha, Tao; Chen, Kaiji
(2018-11-01)
The Chinese economy has undergone three major phases: the 1978?97 period marked as the SOE-led economy, the 1998?2015 phase as the investment-driven economy, and the new normal economy since 2016. All three economies have been shaped by the government financial policies, defined as a set of credit policy, monetary policy, and regulatory policy. We analyze the macroeconomic effects of these financial policies throughout the three phases and provide the stylized facts to substantiate our analysis. The stylized facts differ qualitatively across different phases or economies. We argue that the ...
FRB Atlanta Working Paper
, Paper 2018-12
Working Paper
A Gibbs simulator for restricted VAR models
Zha, Tao; Waggoner, Daniel F.
(2000)
Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show that the required computation is of an SUR type, and thus our method can be implemented cheaply even for large systems of multiple equations.
FRB Atlanta Working Paper
, Paper 2000-3
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