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D-Index & Metrics

Economics and Finance

D-Index
63
Citations
23181
World Ranking
686
National Ranking
434

Research.com Recognitions

  • 2018 - Fellows of the Econometric Society
  • 2004 - Fellow of Alfred P. Sloan Foundation

Overview

Frank Schorfheide is affiliated with the University of Pennsylvania in the United States and has contributed extensively to the fields of economics, econometrics, and finance. Their research spans several key areas, including monetary policy and economic impact, spatial and panel data analysis, COVID-19 pandemic impacts, climate change policy and economics, banking stability, regulation and efficiency, economic theories and models, and market dynamics and volatility.

Their most recent publications include:

  • Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic, 2020, Working paper
  • Forecasting With Dynamic Panel Data Models, 2020, Econometrica
  • Panel forecasts of country-level Covid-19 infections, 2020, Journal of Econometrics
  • Piecewise-linear approximations and filtering for DSGE models with occasionally-binding constraints, 2021, Review of Economic Dynamics
  • Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic, 2020, SSRN Electronic Journal

The primary publication venues where Frank Schorfheide's work appears include:

  • SSRN Electronic Journal
  • arXiv (Cornell University)
  • Working paper
  • Econometrica
  • Journal of Econometrics

Frequent coauthors associated with Schorfheide include:

  • Hyungsik Roger Moon
  • S. Borağan Aruoba
  • Sergio Villalvazo
  • Pablo Cuba-Borda
  • Kenji Higa-Flores

Their work extensively covers subfields such as economics and econometrics, general economics, econometrics and finance, statistics and probability, finance, and modeling and simulation. Schorfheide's contributions include a strong emphasis on empirical and theoretical approaches to understanding economic phenomena, especially within dynamic and complex data environments.

Recognition of their contributions includes being named a Fellow of the Econometric Society in 2018 and a Fellow of the Alfred P. Sloan Foundation in 2004.

Best Publications

  • Bayesian Analysis of DSGE Models

    Sungbae An;Frank Schorfheide

  • Bayesian Analysis of DSGE Models

    Sungbae An;Frank Schorfheide

  • Testing for Indeterminacy:An Application to U.S. Monetary Policy

    Thomas Lubik;Frank Schorfheide

  • Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply

    Thomas A. Lubik;Frank Schorfheide

  • On the Fit of New Keynesian Models

    Marco Del Negro;Frank Schorfheide;Frank Smets;Rafael Wouters

  • Loss function‐based evaluation of DSGE models

    Frank Schorfheide

  • A Bayesian Look at New Open Economy Macroeconomics

    Thomas Lubik;Frank Schorfheide

  • Do central banks respond to exchange rate movements? A structural investigation

    Thomas A. Lubik;Frank Schorfheide

  • Priors from General Equilibrium Models for VARS

    Marco Del Negro;Frank Schorfheide

  • DSGE model-based forecasting

    Marco Del Negro;Frank Schorfheide

  • Inflation in the Great Recession and New Keynesian Models

    Marco Del Negro;Marc P. Giannoni;Frank Schorfheide

  • Learning by Doing as a Propagation Mechanism

    Yongsung Chang;Joao F Gomes;Frank Schorfheide

  • Real-Time Forecasting With a Mixed-Frequency VAR

    Frank Schorfheide;Dongho Song

  • Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)

    Marco Del Negro;Frank Schorfheide

  • Bayesian Estimation of DSGE Models

    Edward P. Herbst;Frank Schorfheide

  • DSGE Model-Based Forecasting

    Marco Del Negro;Frank Schorfheide

  • Computing sunspot equilibria in linear rational expectations models

    Thomas A. Lubik;Frank Schorfheide

  • How Structural Are Structural Parameters? [with Comments and Discussion]

    Jesús Fernández-Villaverde;Juan F. Rubio-Ramírez;Timothy Cogley;Frank Schorfheide

  • Sequential Monte Carlo sampling for DSGE models

    Edward P. Herbst;Frank Schorfheide

  • Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries

    S. Boragan Aruoba;Pablo A. Cuba-Borda;Frank Schorfheide

  • Learning and monetary policy shifts

    Frank Schorfheide

  • FORECASTING ECONOMIC TIME SERIES: by Michael P. Clements and David F. Hendry, Cambridge University Press, 1998

    Frank Schorfheide

Frequent Co-Authors

Marco Del Negro
Marco Del Negro Federal Reserve Bank of New York
S. Boragan Aruoba
S. Boragan Aruoba University of Maryland, College Park
Francis X. Diebold
Francis X. Diebold University of Pennsylvania
Marc P. Giannoni
Marc P. Giannoni Barclays (United Kingdom)
José-Víctor Ríos-Rull
José-Víctor Ríos-Rull University of Pennsylvania
Jesús Fernández-Villaverde
Jesús Fernández-Villaverde University of Pennsylvania
Kenneth I. Wolpin
Kenneth I. Wolpin University of Pennsylvania
Frank Smets
Frank Smets European Central Bank
Carlo A. Favero
Carlo A. Favero Bocconi University

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