Welcome to my personal website!
My research is focused on forecast uncertainty and the formation of expectations, informational frictions and the dynamics of survey expectations.
My email address is: em at elmarmertens dot com
NONE of the material posted on this personal website necessarily represents the
views of the Deutsche Bundesbank, the Eurosystem, the Bank for International Settlements, the Board of Governors of the Federal Reserve System or the Federal Open Market
Committee.
News
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VARs in 2020: outliers, the economic effects of uncertainty, and interest rates at the lower bound
The effects of COVID-19 have generated remarkable movements in macroeconomic and financial data in 2020. Amongst others, these extreme observations have potentially strong effects on conventional VAR estimates, commonly ...
Posted Apr 6, 2021, 1:47 AM by Elmar Mertens
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Fully revised: Indeterminacy and Imperfect Information
with Thomas A. Lubik (FRB Richmond), Christian Matthes (FRB Richmond):We study equilibrium determination in an environment where two types of agents have different information sets: Fully informed agents observe ...
Posted Aug 20, 2020, 7:22 AM by Elmar Mertens
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Accepted at QE: Sticky-Information Forecast paper with Jim Nason
Using state-of-the-art particle filtering and smoothing, we show that inflation forecasts from the US SPF became “sticky” (more inattentive) only with the decline in inflation persistence that ...
Posted May 21, 2020, 3:07 AM by Elmar Mertens
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Replication codes for Johannsen and Mertens Real-Rate Trend Estimate
Replication files for my paper with Ben Johannsen on estimating the longer-run level of the real rate from a shadow-rate model are now available on GitHub. The paper ...
Posted Nov 10, 2019, 5:21 AM by Elmar Mertens
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REVISED: Time-varying Forecast Stickiness w/Jim Nason
Finally, together with Jim Nason, we just finished a thorough revision of our paper on time-varying stickiness --- i.e. a time/varying frequency of updating information -- in professional forecasts ...
Posted Jun 4, 2019, 11:00 AM by Elmar Mertens
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