Welcome to my personal website!

I am an applied macroeconomist and time-series econometrician with the Research Centre of the Deutsche Bundesbank.  

My research is focused on forecast uncertainty and the formation of expectations, informational frictions and the dynamics of survey expectations. Most of the time, I end up solving signal extraction problems. 

You can find my work also at IDEAS, GoogleScholar, ResarchGate, LinkedIn, SSRN, ResearcherID, ORCID, GitHub, and the Bundesbank.

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

  • Just presented at NBER-SI: Addressing COVID-19 Outliers in BVARs w/SV At the NBER Summer Institute, I just presented joint work with A Carriero, M Marcellino and T Clark on handling outliers in VAR models with outlier-adjusted SV. Such models ...
    Posted Jul 17, 2021, 5:00 AM by Elmar Mertens
  • Updated estimates for the Johannsen-Mertens real-rate trend By popular demand, the spreadsheet below provides a set of updated estimates for the real-rate trend based on Johannsen and Mertens (2021, JMCB). The paper and replication codes can ...
    Posted May 12, 2021, 1:28 PM by Elmar Mertens
  • 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 Jun 25, 2021, 9:32 AM by Elmar Mertens
  • 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
  • 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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