Eric T. Swanson

Welcome

I am an economist on the research staff of the Federal Reserve Bank of San Francisco. We have economist web pages at work, and you can visit mine directly. Space and the material we are allowed to present there are limited, however, so this page provides additional working papers, computer programs and data, research in more preliminary stages, and other miscellaneous information about me.

My contact information (of course, electronic communication is always best):	Eric Swanson Economic Research, MS 1130 Federal Reserve Bank of San Francisco 101 Market Street San Francisco, CA 94105 (415) 974-3172 eric.swanson@sf.frb.org
My curriculum vitae (in PDF) (updated 2/4) A more personal overview of me

The page you are viewing (http://www.ericswanson.org or, equivalently, http://www.ericswanson.us) is the up-to-date location of my site. I expect to maintain this URL as my home page for the next few years.

Research

My research interests include the relationship between macroeconomics and financial markets, the use of high-frequency financial market data to answer questions about macroeconomics, and questions regarding optimal monetary policy. Here are current versions of my research papers in these areas:

Macro-Finance Papers:

“Risk Aversion, the Labor Margin, and Asset Pricing in DSGE Models,” Federal Reserve Bank of San Francisco Working Paper 2009-26, submitted (new!, paper updated to version 1.6 on 2/4) (abstract)
(full paper)

“The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks,” (with Glenn Rudebusch), Federal Reserve Bank of San Francisco Working Paper 2008-31, submitted. (paper updated 10/5, slides updated 1/5) (abstract)
(full paper) (FRB Chicago presentation)
(AEA presentation, Atlanta)

“Examining the Bond Premium Puzzle with a DSGE Model,” (with Glenn Rudebusch), published in Journal of Monetary Economics 55, October 2008, pp. 111-26. (computer code updated 4/3) (abstract)
(full paper) (WFA presentation, Hawaii)
(computer code)

“Convergence and Anchoring of Yield Curves in the Euro Area,” (with Michael Ehrmann, Marcel Fratzscher, and Refet Gürkaynak), Federal Reserve Bank of San Francisco Working Paper 2007-24, forthcoming in Review of Economics and Statistics. (paper updated 10/1) (abstract)
(full paper) (Atlanta presentation)

“Macroeconomic Implications of Changes in the Term Premium,” (with Glenn Rudebusch and Brian Sack), Federal Reserve Bank of St. Louis Economic Review 89, July/August 2007, pp. 241-69. (abstract)
(full paper) (St. Louis presentation)
(AEA presentation, Chicago)

“The Bond Yield ‘Conundrum’ from a Macro-Finance Perspective,” (with Glenn Rudebusch and Tao Wu), published in Monetary and Economic Studies (Special Edition) 24, December 2006, pp. 83-109. (abstract)
(full paper) (presentation slides)

“Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K., and Sweden,” (with Refet Gürkaynak and Andrew Levin), forthcoming in Journal of the European Economic Association. (abstract)
(full paper)
(presentation slides)

“Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere,” (with Refet Gürkaynak, Andrew Levin, and Andrew Marder), published in Frederic Mishkin and Klaus Schmidt-Hebbel (eds.), Series on Central Banking, Analysis and Economic Policies X: Monetary Policy under Inflation Targeting (Santiago, Chile: Banco Central de Chile), 2006, pp. 415-65. (abstract)
(full paper)

“Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements” (with Refet Gürkaynak and Brian Sack), published in International Journal of Central Banking 1, May 2005, pp. 55-93 (premier issue). (abstract)
(full paper)
(data appendix)
(CNN article)
(Globe & Mail article)

“Futures Rates as Risk-Adjusted Forecasts of Monetary Policy” (with Monika Piazzesi), published in Journal of Monetary Economics 55, May 2008, pp. 677-91. (abstract)
(full paper)
(NYT article)

“The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models” (with Refet Gürkaynak and Brian Sack), published in American Economic Review 95, March 2005, pp. 425-36. (abstract)
( full paper)
(Forbes article)
(FT article)
(Reuters article)

“Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?” published in Journal of Money, Credit, and Banking 38, April 2006, pp. 791-819. (abstract)
(full paper)

“Do Federal Reserve Policy Surprises Reveal Superior Information About the Economy?” (with Jon Faust and Jonathan Wright), published in Contributions to Macroeconomics 4, 2004, article 10, Berkeley Electronic Press. (abstract)
(full paper) (NYT article)

“Identifying VARs Based on High-Frequency Futures Data” (with Jon Faust and Jonathan Wright), published in Journal of Monetary Economics 51, September 2004, pp. 1107-31. (abstract)
(full paper)

“Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High-Frequency Data” (with Jon Faust, John Rogers, and Jonathan Wright), published in Journal of the European Economic Association 1, September 2003, pp. 1031-57. (abstract)
(full paper)

“Market-Based Measures of Monetary Policy Expectations” (with Refet Gürkaynak and Brian Sack), published in Journal of Business and Economic Statistics 25, April 2007, pp. 201-12. (abstract)
(full paper)

“Econometric Estimation when the ‘True’ Model Forecasts or Errors Are Observed.” (paper is still very preliminary)
(abstract)
(full paper)

Optimal Monetary Policy and Computational Methods Papers:

“Optimal Time-Consistent Monetary Policy in the New Keynesian Model with Repeated Simultaneous Play” (with Gauti Eggertsson). (abstract)
(full paper)
(NBERSI presentation)
(SCE presentation, Paris)

“Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models” (with Gary Anderson and Andrew Levin), revision requested by Journal of Economic Dynamics and Control. (computer code updated 4/3) (abstract)
(full paper)
(Perturbation AIM
code & examples )

“Bayesian Optimal Policy in the Presence of Regime Change and Local Parameter Uncertainty.” (paper is still very preliminary) (abstract)
(full paper)

“NAIRU Uncertainty and Nonlinear Policy Rules” (with Laurence Meyer and Volker Wieland), published in American Economic Review 91, May 2001, pp. 226-31. (abstract)
(full paper)

“Optimal Nonlinear Policy: Signal Extraction with a Non-Normal Prior,” published in Journal of Economic Dynamics and Control 30, February 2006, pp. 185-203. (abstract)
(full paper)

“Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary Policy Rules,” published in Macroeconomic Dynamics 8, January 2004, pp. 27-50. (abstract)
(full paper)

Papers from my Dissertation:

“Measuring the Cyclicality of Real Wages: How Important is the Firm's Point of View?” published in Review of Economics and Statistics 86, February 2004, pp. 362-77. (abstract)
(full paper)

“The Relative Price and Relative Productivity Channels for Aggregate Fluctuations,” published in Contributions to Macroeconomics 6, 2006, article 10. (abstract)
(full paper)

“Real Wage Cyclicality in the PSID”, Federal Reserve Bank of San Francisco Working Paper 2007-15, published in Scottish Journal of Political Economy 54, November 2007, pp. 617-47 (special issue on wage cyclicality). (abstract)
(full paper)

Nontechnical Survey Articles:

“Convergence of Long-Term Bond Yields in the Euro Area,” Federal Reserve Bank of San Francisco Economic Letter 2008-37. (survey article)

“What We Do and Don't Know About the Term Premium,” Federal Reserve Bank of San Francisco Economic Letter 2007-21. (survey article)

“Would an Inflation Target Help Anchor U.S. Inflation Expectations?” Federal Reserve Bank of San Francisco Economic Letter 2006-20. (survey article)

Recent Conference Discussions:

Nicholas Bloom, Max Floetotto, and Nir Jaimovich, “Really Uncertain Business Cycles” (focus on empirical results), presented at the Conference on Inequality in a Time of Contraction, Stanford University, November 13, 2009. (slides added 11/18) (PowerPoint slides)

Maria Athanasopoulou, Claus Brand, and Rasmus Pilegaard, “Does Real-Time Macroeconomic Information Affect the Yield Curve?” Hiona Balfoussia, “An Affine Factor Model of the Greek Term Structure;” and Michael Fleming and Monika Piazzesi, “Monetary Policy Tick-by-Tick;” presented at the Conference on the Analysis of the Money Market, European Central Bank, Frankfurt, November 14, 2007. (PowerPoint slides)

Lars Svensson and Noah Williams, “Bayesian and Adaptive Optimal Policy under Model Uncertainty,” presented at the Oslo Conference on Monetary Policy and Uncertainty, University of Oslo, June 9, 2006. (PowerPoint slides)

Michael Fleming and Monika Piazzesi, “Monetary Policy Tick-by-Tick,” presented at the Bank of Canada Conference on Fixed Income, Bank of Canada, Ottawa, May 3, 2006. (PowerPoint slides)

Keith Küster and Volker Wieland, “Insurance Policies for Monetary Policy in the Euro Area,” presented at the American Economic Association Meetings, Boston, January 7, 2006. (PDF slides)

Fabio Milani, “Expectations, Learning, and Macroeconomic Persistence,” presented at the Federal Reserve Bank of Cleveland Conference on DSGE Models and Macroeconomic Forecasting, Federal Reserve Bank of Cleveland, October 14, 2005. (PDF slides)

Research Computing

Microsoft sucks. Real economists use Linux and TeX. Find out more about becoming a real economist.

If you're looking for the Perturbation AIM code, you can find it here. (updated 4/3)

Teaching

In Fall 2002, I taught Intermediate Macroeconomics (Econ 402) at the University of Michigan. 240 juniors, seniors, and sophomores enrolled in the course with 4 TAs covering 8 sections. I composed and presented the lectures in PowerPoint; maintained a course web site including relevant current newspaper clippings; met with TAs on a regular basis; and wrote weekly problem sets, two midterms, and a final.

In Fall 2001, I taught first-year graduate Macroeconomics (Econ 702) at the University of Virginia. 40 first-year Ph.D. students enrolled in the course with one TA. I designed the syllabus, wrote weekly problem sets and answer keys, wrote and graded a final exam, and wrote and graded one-half of the Ph.D. comprehensive exam in the Spring.

Links

Other Economists/Coauthors:: Gary Anderson; Gauti Eggertsson; Jon Faust (and Jon Faust); Refet Gürkaynak; Andy Levin; Monika Piazzesi; John Rogers; Glenn Rudebusch; Brian Sack; Volker Wieland; Jonathan Wright; Tao Wu

Other Williams College Alumni:: Robert Engle; Kristin Forbes; John Leahy; Dan Silverman; Robert Staiger; David Wilcox

Other Eric Swansons:: photographer; philosopher; bowmaker; particle physicist; vulcanologist; missionary; sake sommelier; plastic surgeon; lawyer; Buddhist and author; musician and musician and musician; is Eric Swanson happy?

Other Links of Interest:

BookFinder.com	excellent search engine for new & used books
PriceGrabber.com	excellent search & price comparison engine for electronic goods
Google News	excellent abstracting engine for news articles
National Weather Service forecast	high-quality weather forecasts that look very spiffy
guide to writing HTML	for when you need to fine-tune the HTML that Mozilla Composer produces
caffeine content of various beverages	a useful reference for many of us

“Risk Aversion, the Labor Margin, and Asset Pricing in DSGE Models,” Federal Reserve Bank of San Francisco Working Paper 2009-26, submitted (new!, paper updated to version 1.6 on 2/4)	(abstract) (full paper)
“The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks,” (with Glenn Rudebusch), Federal Reserve Bank of San Francisco Working Paper 2008-31, submitted. (paper updated 10/5, slides updated 1/5)	(abstract) (full paper)	(FRB Chicago presentation) (AEA presentation, Atlanta)
“Examining the Bond Premium Puzzle with a DSGE Model,” (with Glenn Rudebusch), published in Journal of Monetary Economics 55, October 2008, pp. 111-26. (computer code updated 4/3)	(abstract) (full paper)	(WFA presentation, Hawaii) (computer code)
“Convergence and Anchoring of Yield Curves in the Euro Area,” (with Michael Ehrmann, Marcel Fratzscher, and Refet Gürkaynak), Federal Reserve Bank of San Francisco Working Paper 2007-24, forthcoming in Review of Economics and Statistics. (paper updated 10/1)	(abstract) (full paper)	(Atlanta presentation)
“Macroeconomic Implications of Changes in the Term Premium,” (with Glenn Rudebusch and Brian Sack), Federal Reserve Bank of St. Louis Economic Review 89, July/August 2007, pp. 241-69.	(abstract) (full paper)	(St. Louis presentation) (AEA presentation, Chicago)
“The Bond Yield ‘Conundrum’ from a Macro-Finance Perspective,” (with Glenn Rudebusch and Tao Wu), published in Monetary and Economic Studies (Special Edition) 24, December 2006, pp. 83-109.	(abstract) (full paper)	(presentation slides)
“Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K., and Sweden,” (with Refet Gürkaynak and Andrew Levin), forthcoming in Journal of the European Economic Association.	(abstract) (full paper)	(presentation slides)
“Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere,” (with Refet Gürkaynak, Andrew Levin, and Andrew Marder), published in Frederic Mishkin and Klaus Schmidt-Hebbel (eds.), Series on Central Banking, Analysis and Economic Policies X: Monetary Policy under Inflation Targeting (Santiago, Chile: Banco Central de Chile), 2006, pp. 415-65.	(abstract) (full paper)
“Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements” (with Refet Gürkaynak and Brian Sack), published in International Journal of Central Banking 1, May 2005, pp. 55-93 (premier issue).	(abstract) (full paper) (data appendix)	(CNN article) (Globe & Mail article)
“Futures Rates as Risk-Adjusted Forecasts of Monetary Policy” (with Monika Piazzesi), published in Journal of Monetary Economics 55, May 2008, pp. 677-91.	(abstract) (full paper)	(NYT article)
“The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models” (with Refet Gürkaynak and Brian Sack), published in American Economic Review 95, March 2005, pp. 425-36.	(abstract) ( full paper)	(Forbes article) (FT article) (Reuters article)
“Have Increases in Federal Reserve Transparency Improved Private Sector Interest Rate Forecasts?” published in Journal of Money, Credit, and Banking 38, April 2006, pp. 791-819.	(abstract) (full paper)
“Do Federal Reserve Policy Surprises Reveal Superior Information About the Economy?” (with Jon Faust and Jonathan Wright), published in Contributions to Macroeconomics 4, 2004, article 10, Berkeley Electronic Press.	(abstract) (full paper)	(NYT article)
“Identifying VARs Based on High-Frequency Futures Data” (with Jon Faust and Jonathan Wright), published in Journal of Monetary Economics 51, September 2004, pp. 1107-31.	(abstract) (full paper)
“Identifying the Effects of Monetary Policy Shocks on Exchange Rates Using High-Frequency Data” (with Jon Faust, John Rogers, and Jonathan Wright), published in Journal of the European Economic Association 1, September 2003, pp. 1031-57.	(abstract) (full paper)
“Market-Based Measures of Monetary Policy Expectations” (with Refet Gürkaynak and Brian Sack), published in Journal of Business and Economic Statistics 25, April 2007, pp. 201-12.	(abstract) (full paper)
“Econometric Estimation when the ‘True’ Model Forecasts or Errors Are Observed.” (paper is still very preliminary)	(abstract) (full paper)

“Optimal Time-Consistent Monetary Policy in the New Keynesian Model with Repeated Simultaneous Play” (with Gauti Eggertsson).	(abstract) (full paper)	(NBERSI presentation) (SCE presentation, Paris)
“Higher-Order Perturbation Solutions to Dynamic, Discrete-Time Rational Expectations Models” (with Gary Anderson and Andrew Levin), revision requested by Journal of Economic Dynamics and Control. (computer code updated 4/3)	(abstract) (full paper)	(Perturbation AIM code & examples )
“Bayesian Optimal Policy in the Presence of Regime Change and Local Parameter Uncertainty.” (paper is still very preliminary)	(abstract) (full paper)
“NAIRU Uncertainty and Nonlinear Policy Rules” (with Laurence Meyer and Volker Wieland), published in American Economic Review 91, May 2001, pp. 226-31.	(abstract) (full paper)
“Optimal Nonlinear Policy: Signal Extraction with a Non-Normal Prior,” published in Journal of Economic Dynamics and Control 30, February 2006, pp. 185-203.	(abstract) (full paper)
“Signal Extraction and Non-Certainty-Equivalence in Optimal Monetary Policy Rules,” published in Macroeconomic Dynamics 8, January 2004, pp. 27-50.	(abstract) (full paper)

“Measuring the Cyclicality of Real Wages: How Important is the Firm's Point of View?” published in Review of Economics and Statistics 86, February 2004, pp. 362-77.	(abstract) (full paper)
“The Relative Price and Relative Productivity Channels for Aggregate Fluctuations,” published in Contributions to Macroeconomics 6, 2006, article 10.	(abstract) (full paper)
“Real Wage Cyclicality in the PSID”, Federal Reserve Bank of San Francisco Working Paper 2007-15, published in Scottish Journal of Political Economy 54, November 2007, pp. 617-47 (special issue on wage cyclicality).	(abstract) (full paper)

“Convergence of Long-Term Bond Yields in the Euro Area,” Federal Reserve Bank of San Francisco Economic Letter 2008-37.	(survey article)
“What We Do and Don't Know About the Term Premium,” Federal Reserve Bank of San Francisco Economic Letter 2007-21.	(survey article)
“Would an Inflation Target Help Anchor U.S. Inflation Expectations?” Federal Reserve Bank of San Francisco Economic Letter 2006-20.	(survey article)

Nicholas Bloom, Max Floetotto, and Nir Jaimovich, “Really Uncertain Business Cycles” (focus on empirical results), presented at the Conference on Inequality in a Time of Contraction, Stanford University, November 13, 2009. (slides added 11/18)	(PowerPoint slides)
Maria Athanasopoulou, Claus Brand, and Rasmus Pilegaard, “Does Real-Time Macroeconomic Information Affect the Yield Curve?” Hiona Balfoussia, “An Affine Factor Model of the Greek Term Structure;” and Michael Fleming and Monika Piazzesi, “Monetary Policy Tick-by-Tick;” presented at the Conference on the Analysis of the Money Market, European Central Bank, Frankfurt, November 14, 2007.	(PowerPoint slides)
Lars Svensson and Noah Williams, “Bayesian and Adaptive Optimal Policy under Model Uncertainty,” presented at the Oslo Conference on Monetary Policy and Uncertainty, University of Oslo, June 9, 2006.	(PowerPoint slides)
Michael Fleming and Monika Piazzesi, “Monetary Policy Tick-by-Tick,” presented at the Bank of Canada Conference on Fixed Income, Bank of Canada, Ottawa, May 3, 2006.	(PowerPoint slides)
Keith Küster and Volker Wieland, “Insurance Policies for Monetary Policy in the Euro Area,” presented at the American Economic Association Meetings, Boston, January 7, 2006.	(PDF slides)
Fabio Milani, “Expectations, Learning, and Macroeconomic Persistence,” presented at the Federal Reserve Bank of Cleveland Conference on DSGE Models and Macroeconomic Forecasting, Federal Reserve Bank of Cleveland, October 14, 2005.	(PDF slides)