Welcome to my personal website!
My research is focused on 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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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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Accepted in REStat: Time-varying fan charts around survey forecasts
Forthcoming in the Review of Economics and Statistics , with Todd Clark (FRB Cleveland) and Michael McCracken (FRB St. Louis):We estimate uncertainty measures for point forecasts obtained from survey data ...
Posted Feb 27, 2019, 5:10 AM by Elmar Mertens
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Accepted in JMCB: Shadow rates and the long-run level of the real rate
Together with my former Board colleague Ben Johannsen, we revised our work on estimating the long-run level of the real rate from a time-series model with shadow rates ...
Posted Nov 10, 2019, 3:14 AM by Elmar Mertens
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Kilian and Luetkepohl: Nice Section on Kurmann and Mertens (2014)
Kilian and Luetkepohl's SVAR monograph is out; a great book! A nice bit is also their description of my paper with Andre Kurmann (2014, AER) that showed how the ...
Posted Mar 19, 2018, 11:24 PM by Elmar Mertens
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