Working Papers

Pruned skewed Kalman filter and smoother with applications to DSGE models

with Gaygysyz Guljanov and Mark Trede. Submitted.

Current version (Jan. 2025) | Online Appendix | Codes | Dynare Toolbox | CQE Working Paper 101 | Dynare Working Paper 78

The Price of War

with Jonathan Federle, André Meier, Gernot J. Müller, and Moritz Schularick. Revised & resubmitted to American Economic Review.

June 2025 | Sep. 2024 | Code | CEPR Discussion Paper 18834 | Kiel Working Papers 2262 | Finance & History Podcast

Publications

Ökonomische Folgen: Was Kriege die Welt kosten

Wirtschaftsdienst 104(4), April 2024, with Jonathan Federle, André Meier, Gernot J. Müller, and Moritz Schularick.

Published version | Kiel Policy Brief 171 | Price of War Calculator

The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models

Economic Modelling 88, June 2020, with Sergey Ivashchenko.

Published version | Code | CQE Working Paper 83 | SFB823 Discussion Paper 7616

Higher-order statistics for DSGE models

Econometrics and Statistics 6, April 2018.

Published version | Online Appendix | Code | CQE Working Paper 43 | SFB823 Discussion Paper 4816

Local Identification of Nonlinear and Non-Gaussian DSGE Models

Wissenschaftliche Schriften der WWU Münster Reihe IV, Bd. 10, February 2016. Monsenstein und Vannerdat.

PhD Thesis (ISBN 978-3-8405-0135-7)

Identification of DSGE models - The effect of higher-order approximation and pruning

Journal of Economic Dynamics and Control 56(1), July 2015.

Published version | Code | CQE Working Paper 33