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.
My email address is: em at elmarmertens dot com
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 necessarily represents the
views of the Board of Governors, the Federal Reserve System or the Federal Open Market
Committee.
News
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Note on Disturbance Smoothing
Durbin and Koopman (2002) derive an efficient smoothing algorithm for the Kalman filter as well as a neat sampling scheme for drawing from the posterior density of the states, conditional ...
Posted Jan 17, 2012 11:36 AM by Elmar Mertens
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Comparison: Westelius (2009, JEDC) vs. "Managing Beliefs ..."
Westelius (2009, JEDC) studies the consequences of intransparent output targets in a simple New Keynesian Model. The model is identical to the simple model used to illustrate the optimal policy ...
Posted Nov 14, 2011 2:39 PM by Elmar Mertens
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New Paper on Trend Inflation
"Measuring the Level and Uncertainty of Trend Inflation" extracts a measure of trend inflation from a panel of indicator variables for the U.S. since the 1960s. A central element ...
Posted Nov 19, 2011 5:10 AM by Elmar Mertens
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Revised: "Managing Beliefs about Monetary Policy under Discretion"
The paper (pdf) derives the optimal, time-consistent policy when the policymaker has private information, e.g. about future fundamentals or about his policy targets, in a generic linear-quadratic ...
Posted Nov 19, 2011 5:13 AM by Elmar Mertens
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Dynare Conference
Here are the slides for my talk (pdf) at the Dynare conference about my "Discreet Commitments" paper (pdf, revision to be posted soon). Below are a few summary slides.
Posted Sep 8, 2011 6:12 AM by Elmar Mertens
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