Research
This page provides an overview about published research of the members of the Macroeconomic Research Group, including its Alumni.
2020

Involuntary Unemployment and the Business Cycle
M. Trabandt with L. Christiano and K. Walentin
Review of Economic Dynamics (forthcoming)
https://doi.org/10.1016/j.red.2020.05.003, Technical Appendix, MATLAB/DYNARE Code
 The Propagation of Uncertainty Shocks: Rotemberg vs. Calvo
J. Oh
International Economic Review, (forthcoming)
2019
 Exit Expectations and Debt Crises in Currency Unions
A. Kriwoluzky with G. Müller and M. Wolf
Journal of International Economics, Vol. 121, November 2019, 103253  Same, but Different: Testing Monetary Policy Shock Measures
A. Kriwoluzky with S. Ettmeier
Economics Letters, Vol. 184, November 2019, 108640  The Information Content of Inflation Swap Rates for the LongTerm Inflation Expectations of Professionals: Evidence from a MIDAS Analysis
D. Nautz with A. Hanoma
Applied Economics, Vol. 51, Issue 51, pp. 5623  5636
 The Anchoring of Inflation Expectations in the Short and in the Long Run
D. Nautz with T. Strohsal and A. Netsunajev
Macroeconomic Dynamics, Volume 23, Issue 5, July 2019, pp. 1959  1977  Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
H. Lütkepohl with Thore Schlaak
Journal of Economic Dynamics & Control, Vol. 101, April 2019, pp. 41–61  Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
L. Winkelmann with M. Bibinger and C. Neely
Journal of Econometrics, Vol. 209, Issue 2, April 2019, pp. 158184
2018
 On DSGE Models
M. Trabandt with L. Christiano and M. Eichenbaum
Journal of Economic Perspectives, Vol. 32, No. 3, Summer 2018, pp. 113140.
https://doi.org/10.1257/jep.32.3.113, MATLAB Code  Should We Use Linearized Models to Calculate Fiscal Multipliers?*
M. Trabandt with J. Lindé
Journal of Applied Econometrics, 33, 2018, pp. 937965.
http://dx.doi.org/10.1002/jae.2641, Technical Appendix, MATLAB Code, Slides.pdf
* A previous version of the paper was titled ''Fiscal Multipliers in a Nonlinear World''.  Choosing between Different TimVarying Volatility Models for structural Vector Autoregressive Analysis
H. Lütkepohl with T. Schlaak
Oxford Bulletin of Economics and Statistics, 80(4), August 2018, pp. 114.  The Relation between Monetary Policy and the Stock Market in Europe
H. Lütkepohl with A. Netsunajev
Econometrics, 6(3), August 2018, pp. 114.  Estimation of structural impulse responses: shortrun versus longrun identifying restrictions
H. Lütkepohl with A. StaszewskaBystrova and P. Winker
AStA Advances in Statistical Analysis, 102(2), Aprilt 2018, pp. 229244.  Common price and volatility jumps in noisy highfrequency data
L. Winkelmannwith M. Bibinger
Electronic Journal of Statistics, 12, 2018, pp. 20182073.  Do Heterogeneous Expectations Constitute a Challenge for Policy Interaction?
E. Gasteiger
Macroeconomic Dynamics, 22(8), December 2018, pp. 21072140.
2017
 Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows
P. Anaya with M. Hachula and C. Offermanns
Journal of International Money and Finance, 73, Part B, May 2017, pp. 275295.  The (De)Anchoring of Inflation Expectations: New Evidence from the Euro Area
D. Nautz with T. Strohsal and L. Pagenhardt
North American Journal of Economics and Finance, Vol. 40, April 2017, pp. 103115
2016
 Unemployment and Business Cycles
M. Trabandt with L. Christiano and M. Eichenbaum
Econometrica, July 2016, 84(4), pp. 15231569.
http://dx.doi.org/10.3982/ECTA11776,Technical Appendix, MATLAB Code, Slides.pdf  The Macroeconomic Risks of Undesirably Low Inflation
M. Trabandt with J. Arias and C. Erceg
European Economic Review, Volume 88, September 2016, pp. 88107.
http://dx.doi.org/10.1016/j.euroecorev.2016.03.005, MATLAB Code, Slides.pdf  The TimeVarying Degree of Inflation Expectations Anchoring
D. Nautz with T. Strohsal and R. Melnick
Journal of Macroeconomics, 48, 2016, pp. 6271.  Monetaryfiscal policy interaction and fiscal isolation: A Tale of three countries
A. Kriwoluzky with M. Kliem and S. Sarferaz
Europen Economic Review, 88, 2016, pp. 158184.  On the lowfrequency relationship between inflation and public deficits
A. Kriwoluzky with M. Kliem and S. Sarferaz
Economic Journal, 31(3), 2016, pp. 566583.  Nested models and model uncertainty
A. Kriwoluzky with C. Stoltenberg
Scandinavian Journal of Economics, 118(2), 2016, pp. 324352.  Testing for identification in SVARGARCH Models
H. Lütkepohl with M. George
Journal of Economic Dynamics and Control, 73(C), 2016, pp. 241258.  Structural Vector Autoregressions: Checking Identifying Longrun Restrictions via Heteroskedasticity
H. Lütkepohl with A. Velinov
Journal of Economic Survey, 30(2), 2016, pp. 373392.  Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations
P. Engler with C. Steffen
European Economic Review, 87, August 2016, pp. 3461.  Forward guidance and the predictability of monetary policy  a wavelet based jump detection approach
L. Winkelmann
Journal of the Royal Statistical Society: Series C, 65, 2016, pp. 299314  ECB monetary policy surprises: identification through cojumps in interest rates
L. Winkelmann with M. Bibinger and T. Linzert
Journal of Applied Econometrics, 31, 2016, pp. 613629.
2015
 Understanding the Great Recession*
with L. Christiano and M. Eichenbaum
American Economic Journal: Macroeconomics, 7(1), January 2015, pp. 110167.
http://dx.doi.org/10.1257/mac.20140104, MATLAB Code, Data, Slides.pdf
*2017 Best Paper Award American Economic Journal: Macroeconomics. Papers published in the preceding three years are eligible for the award. https://www.aeaweb.org/news/2017aejbestpapers, https://www.aeaweb.org/aboutaea/honorsawards/aejbestpapers  Are US Inflation Expectations ReAnchored?
D. Nautz with T. Strohsal
Economic Letters, 127(0), February 2015, pp. 69.  Monetary policy and the transaction role of money
A. Kriwoluzky with C. Stoltenberg
Economic Journal, 125(587), 2015, pp. 14521473.  Comparison of methods for constructiong joint confidence bands for impulse response functions
H. Lütkepohl with A. StaszewskaBystrova and P. Winker
International Journal of Forecasting, 31(3), 2015, pp. 782798.  Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations
P. Engler with K. Bernoth and G. Christodoulakis
Managing Risks in the European Periphery Debt Crisis, editor G. Christodoulakis, 2015, pp. 148162.
2014
 Sovereign Debt Overhang and Monetary Policy
M. Trabandt with F. Smets
Monetary Policy, Sovereign Debt and Financial Stability: The New Trilemma, editor D. Mohanty, 2014, pp. 332363, ISBN: 9789382993209, Cambridge University Press India.
http://www.cambridgeindia.org/books/searchedbook/MonetaryPolicySovereignDebtandFinancialStability/9789382993209  Stale Forward Guidance
D. Nautz with G.A. Detmers
Economics Lettres, 124(3), 2014, pp. 332363.  Toward a Taylor rule for fiscal policy
A. Kriwoluzky with M. Kliem
Review of Economic Dynamics, 17(2), 2014, pp. 294302.  Disentangling Demand and Supply Shocks in the Crude Oil Market: How To check Sign Restrictions in Structural VARs
H. Lütkepohl with A. Netsunajev
Journal of Econometrics, 29(3), 2014, pp. 479496.  Structural vector autoregressions with MArkov switching: Combining conventional with statistical identification shocks
H. Lütkepohl with H. Herwartz
Journal of Econometrics, 183(1), 2014, pp. 104116.  Opposition to capital market opening
P. Engler with A. Wulff
Applied Econometrics Letters, 21(6), 2014, pp. 425428.  Heterogeneous Expectations, Optimal Monetary Policy and the Merit of Policy Inertia
E. Gasteiger
Journal of Money, Credit and Banking, 46(7), 2014, pp. 15351554.  Fiscal Foresight, Limited Information and the Effects of Government Spending Shocks
E. Gasteiger with M.Fragetta
Oxford Bulletin of Economics and Statistics, 76(5), 2014, pp. 667692.  Anticipation, Learning and Welfare: the Case of Distortionary Taxation
E. Gasteiger with S. Zhang
Journal of Economic Dynamics and Control, 39(C), 2014, pp. 113126.
2013
 Gauging the Effects of Fiscal Stimulus Packages in the Euro Area
M. Trabandt with G. Coenen and R. Straub
Journal of Economic Dynamics and Control, 37(2), February 2013, pp. 367386.
http://dx.doi.org/10.1016/j.jedc.2012.09.006, MATLAB Code  ShortTerm Herding of Institutional Traders: New Evidence from the German Stock Market
D. Nautz with S. Kremer
European Financial Management, 19(4), September 2013, pp. 730746.  Causes and Consequences of ShortTerm Institutional Herding
D. Nautz with S. Kremer
Journal of Banking and Finance, 37, 2013, pp. 16761686.  Inflation and Growth: New Evidence From a Panel Threshold Analysis
D. Nautz with S. Kremer and A. Bick
Journal of Economic Dynamics and Control, 44, 2013, pp. 861878.
Data and MATLAB Code  Reconciling narrative monetary policy disturbances with structural VAR model shocks?
A. Kriwoluzky with M. Kliem
Economics Letters, 121(2), 2013, pp. 247251.  Reducing confidence bands for simulated impulse responses
H. Lütkepohl
Statistical Papers, 54(4), 2013, pp. 11311145.  Does the CoxBox transformation help i forecasting macroeconomic time series?
H. Lütkepohl with T. Proietti
International Journal of Forecasting, 29(1), 2013, pp. 8899.  Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights
H. Lütkepohl with R. Brüggermann
International Journal of Forecasting, 29(1), 2013, pp. 6068.  Vector autoregressive models
H. Lütkepohl
Handbook of Research Methods and Applications in Empirical Macroeconomics, editor: E. Elgar 2013, pp. 139164.
2012
 Fiscal Policy and the Great Recession in the Euro Area
M. Trabandt with G. Coenen and R. Straub
American Economic Review, Papers and Proceedings, 102(3), May 2012, pp. 7176.
http://dx.doi.org/10.1257/aer.102.3.71, Extended Version  Effects of Fiscal Stimulus in Structural Models
M. Trabandt with Coenen, de Resende, Erceg, Freedman, Furceri, in 't Veld, Kumhof, Lalonde, Laxton, Linde, Mourougane, Muir, Mursula, Roberts, Roeger and Snudden
American Economic Journal: Macroeconomics, 4(1), January 2012, pp. 22–68.
http://dx.doi.org/10.1257/mac.4.1.22, Appendix, Codes  The information content of central bank interest rate projections: Evidence from New Zealand
D. Nautz with G.A. Detmers
The Economic Record, 88, September 2012, pp. 323329.  Inflation persistence in the Euro area before and after the European Monetary Union
D. Nautz with B. Meller
Economic Modelling, 29, March 2012, pp. 11701176.  Inflation, Price Dispersion and Market Integration through the Lens of a Monetary Search Model
D. Nautz with S. Becker
European Economic Review, 56, 2012, pp. 624634.  Monetary transmission right from the start: On the information content of the Eurosystem’s main refinancing operations
D. Nautz with P. Abbassi
North American Journal of Economics and Finance, 23, 2012, pp. 5469.  Central Bank Communication and the Perception of Monetary Policy by Financial Market Experts
D. Nautz with S. Schmidt
Journal of Money, Credit and Banking, 44(23), 2012, pp. 323340.  Inflation and Relative Price Variability in the Euro Area: Evidence from a Panel Threshold Model
D. Nautz withJ. scharff
Applied Economics, 44(4), 2012, pp. 449460.  Preannouncement and Timing: The Effect of A Government Expenditure Shock
A. Kriwoluzky
European Economic Review, 56(3), 2012, pp. 373388.
2011
 Introducing Financial Frictions and Unemployment Into a Small Open Economy Model
M. Trabandt with L. Christiano and K. Walentin
Journal of Economic Dynamics and Control, 35(12), December 2011, pp. 1999–2041.
http://dx.doi.org/10.1016/j.jedc.2011.09.005, Appendix, Computational Appendix, Data and MATLAB Code  The Laffer Curve Revisited
M. Trabandt with H. Uhlig
Journal of Monetary Economics, Volume 58, Issue 4, May 2011, pages 305–327.
http://dx.doi.org/10.1016/j.jmoneco.2011.07.003, Data and MATLAB Code
 DSGE Models for Monetary Policy Analysis
M. Trabandt with L. Christiano and K. Walentin
Handbook of Monetary Economics, 2011, editors B. M. Friedman and M. Woodford, Volume 3a, Chapter 7, Pages 285367, ISBN: 9780444532381, Elsevier B.V., NorthHolland.
http://dx.doi.org/10.1016/B9780444532381.000077, Technical Appendix  Monetary Policy implementation and Overnight Persistence Rate
D. Nautz with J. Scheithauer
Journal of International Money and Finance, 30, 2011, pp. 13751386.  The (In)stability of Money Demand in the Euro Area: Lessons from a CrossCountry Analysis
D. Nautz with U. Rondorf
Empirica, 38, 2011, pp. 539553.  Forecasting Levels of log Variables in Vector Autoregressions
H. Lütkepohl with G. Bårdsen
International Journal of Forecasting, 27(4), 2011, pp. 11081115.  Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
H. Lütkepohl with H. Herwartz
Journal of Time Series Analysis, 32(2), 2011, pp. 281291.  BeggarThyself or BeggarThyNeighbour? The Welfare Effects of Monetary Policy
P. Engler with J. Tervala
Economic Modelling, 28, 2011, pp. 20342040.
2010
 Interest Rate Dynamics and Monetary Policy Implementation in Switzerland
D. Nautz with P. Abbassi and C.J. Offermanns
Swiss Journal of Economics and Statistics, 1(13), 2010, pp. 313.340.  Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area
D. Nautz with U. Busch
German Economic Review, 11(3), August 2010, pp. 367380.  Forecasting Aggregated Time Series Variables: A Survey
H. Lütkepohl
OECD Journal: Journal of Business Cycle Measurement and Analysis, 2010(2), 2010, pp. 126.
2009
 Inflation and Relative Price Variability: New Evidence for the United States
D. Nautz with S. Becker
Southern Economic Journal, 76(1), July 2009, pp. 146164.  Monetary Policy Implementation and the Federal Funds Rate
D. Nautz with S. Schmidt
Journal of Banking and Finance, 33(7), July 2009, pp. 12741284.  Testing for the cointegration rank of a vector autoregressive process with uncertain deterministic trend
H. Lütkepohl woth M. Demetrescu and P. Saikkonen
Econometrics Journal, 12(3), 2009, pp. 414435.  External Imbalances and the US Current Account: How SupplySide Changes affect an Exchange Rate Adjustment
P. Engler with M. Fidora and C. Thimann
Review of International Economics, 17(5), 2009, pp. 927941.