Eric Swanson

Overview

Eric T. Swanson is an economist at the Federal Reserve Board of Governors (Division of Monetary Affairs). His research centers on measuring monetary policy expectations from financial instruments and identifying monetary policy shocks in structural models. Faust-Swanson-Wright (2004) develops a high-frequency identification approach using federal funds futures to partially identify the impulse vector in a six-variable VAR.

Key Contributions / Features

• Faust-Swanson-Wright (2004): Co-developed the futures-based VAR identification strategy — using FOMC-day changes in fed funds futures at horizons 0–5 months to estimate the funds rate term structure $r_h$, then imposing $B_{h,ff}\alpha = r_h$ as over-identifying restrictions; demonstrated that the CEE Cholesky identification and the zero contemporaneous price restriction are both rejected.
• Gürkaynak-Sack-Swanson (2002): "Market-Based Measures of Monetary Policy Expectations" — used intraday futures data to measure the FOMC announcement surprise separately from longer-term rate expectations, a foundation for later high-frequency identification work.

Related

• Jon Faust
• Jonathan H. Wright
• Faust-Swanson-Wright (2004)
• Monetary Policy Shocks