Grants
- DigiTeLL Partnership "MatlabMakro", 2022-2023.
- Primary Investigator, DFG Individual Research Grant 465469938, “Numerical diagnostics and improvements for the solution of linear dynamic macroeconomic models”, 2021-2024.
Publications
"Solving Linear DSGE Models with Bernoulli Methods", Computational Economics, 2024.
"Solving and Analyzing DSGE Models in the Frequency Domain" IMFS Working Paper Series, 2024.
"Solving linear DSGE models with Newton methods" (joint with .Johanna Saecker), Economic Modelling, 2024. (https://doi.org/10.1016/j.econmod.2024.106670)
"Inattentiveness and the Taylor Principle", (joint with Mary Tzaawa-Krenzler) 2024.
"Pruning in DSGE Models - Theoretical Foundations and Comparisons", (joint with Hong Lan), Working Paper 2024.
"Solving Linear DSGE Models with Structure Preserving Doubling Methods", (joint with Johannes Huber, Johanna Saecker, 2024.
"The Digital Euro - Advantages and Risks of a Central Bank Digital Currency / Der digitale Euro - Chancen und Risiken einer digitalen Notenbankwährung", (joint with Roland Broemel, Volker Wieland), Wirtschaftsdienst, 2023.
"Numerical Stability Analysis of Linear DSGE Models - Backward Errors, Forward Errors and Condition Numbers", IMFS Working Paper Series, 2023.
“(Un)expected Monetary Policy Shocks and Term Premia” (joint with Martin Kliem) Journal of Applied Econometrics, vol. 37, issue 3, 477-499, May 2022. (https://doi.org/10.1002/jae.2872)
"Estimation and Forecasting using mixed-frequency DSGE models" (joint with Ekaterina Shabalina) IMFS Working Paper Series, 2022.
“Generalized Entropy and Model Uncertainty,” Journal of Economic Theory, vol. 183, 312-343, September 2019.
"Decoupling nominal and real rigidities" (with Philipp König), Economics Letters, vol. 156(C), pages 129-132, July 2017.
"Solving and estimating linearized DSGE models with VARMA shock processes and filtered data" (with Daniel Neuhoff), Economics Letters, vol. 133, 89-91, August 2015.
"Solvability of Perturbation Solutions to DSGE Models" (with Hong Lan), Journal of Economic Dynamics and Control, vol. 45, 366-388, August 2014.
"Solving DSGE Models with a Nonlinear Moving Average" (with Hong Lan), Journal of Economic Dynamics and Control, vol. 37(12), pages 2643–2667, December 2013.
"Linear Rational Expectations Models with Lagged Expectations: A Synthetic Method," Journal of Economic Dynamics and Control, vol. 34(5), pages 984-1002, May 2010.
Working Papers
"Solving linear DSGE models with Bernoulli iterations"
"Estimation and forecasting using mixed-frequency DSGE models" (with Ekaterina Shabalina)
"Solving Linear DSGE Models with Newton Methods" (with Johanna Saecker)
"On the Accuracy of Linear DSGE Solution Methods and the Consequences for Log-Normal Asset Pricing"
"(Un)expected Monetary Policy Shocks and Term Premia" (with Martin Kliem)
Previously circulated under the title "Monetary Policy and the Term Structure of Interest Rates"
"Generalized Exogenous Processes in DSGE: A Bayesian Approach" (with Daniel Neuhoff)
"Risk-Sensitive Linear Approximations"
"Pruning in Perturbation DSGE Models" (with Hong Lan)
"Decomposing Risk in Dynamic Stochastic General Equilibrium" (with Hong Lan)
"Monetary Policy, Determinacy, and the Natural Rate Hypothesis"
"Sticky Information and Determinacy"