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
“(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)
“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.
Published version
Working paper version
Download Dynare Add-On
Download Example .mod File
"Linear Rational Expectations Models with Lagged Expectations: A Synthetic Method," Journal of Economic Dynamics and Control, vol. 34(5), pages 984-1002, May 2010.
Published version
Working paper version
Matlab Software / User's Guide
Working Papers
“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"