Welcome to my personal website!This website contains some of my research, codes and other material. My research interests are monetary economics, asset pricing and time series econometrics.
I work as Economist at the Federal Reserve Board where you can also find my professional website.
None of the material posted on this personal website does necessarily represent the
views of the Federal Reserve System or the Federal Open Market
Committee.
Email: em at elmarmertens dot com
News
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Revised: Comovements between Output and Interest Rates (forth. JEDC)
My first thesis chapter revisited the output-interest rate puzzle of King and Watson (1996, REStat), who found it hard to match the comomvents between output and interest rates (real and nominal) with a wide array of DSGE models. My thesis already found that conditional on shocks to technology and monetary policy, comovements were in line with standard models, where different shocks induce different comomvents.In a revised version, I have added now more shocks and also did some sub-sample analysis, where I found that the puzzling anti-cyclical behavior of the real rate, vanishes over the Great Moderation (see picture below, click to enlarge). Interestingly, this is mostly due to a change in the composition of shocks hitting ...
Posted Jan 28, 2010 7:44 AM by Elmar Mertens
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Matlab codes
started posting matlab codes as well as lecture notes of a matlab course I taught in 2008. more to follow soon ...
Posted Jan 28, 2010 2:39 PM by Elmar Mertens
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Welcome to my personal website!
This website
contains some of my research, codes and other material. My research
interests are monetary economics, asset pricing and time series
econometrics. I just migrated my old website to Google Sites ...
Posted Feb 4, 2010 9:53 AM by Elmar Mertens
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