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Research
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Fields of Interest
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Macroeconomics, monetary
economics, computational methods, simulation-based inference, applied
time-series analysis
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Work in Progress
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“Forecasting with DSGE Models”, with Kai
Christoffel and Anders Warne, mimeo, European
Central Bank, December 2009.
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Publications in Refereed Journals
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“DSGE Models and Their Use at the ECB”,
with Kai Christoffel, Roberto Motto, Massimo Rostagno and Frank Smets, Spanish Economic Review,
forthcoming.
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“Fiscal Consolidation in the Euro Area:
Long-Run Benefits and Short-Run Costs”, with Matthias Mohr and Roland
Straub, Economic Modelling,
25(5), 912-932, 2008.
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“Tax Reform and Labour-Market Performance
in the Euro Area: A Simulation-Based Analysis Using the New Area-Wide
Model”, with Peter McAdam and Roland Straub, Journal of Economic Dynamics and Control, 32(8), 2543-2583,
2008.
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“Identifying the Influences of Nominal and Real
Rigidities in Aggregate Price-Setting Behavior”, with Andrew Levin and
Kai Christoffel, Journal of
Monetary Economics, 54(8), 2439-2466, 2007.
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“Does Government Spending Crowd in Private
Consumption? Theory and Empirical Evidence for the Euro Area”, with Roland
Straub, International
Finance, 8(3), 435-470, 2005.
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“The Performance and Robustness of Interest-Rate
Rules in Models of the Euro Area”, with Ramón Adalid-Lozano, Peter McAdam
and Stefano Siviero, International
Journal of Central Banking, 1(1), 95-132, 2005.
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“Exchange-Rate Policy and the Zero Bound
on Nominal Interest Rates”, with Volker Wieland, American
Economic Review, Papers and Proceedings, 94(2), 80-84, 2004.
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“Price Stability and Monetary Policy
Effectiveness when Nominal Interest Rates are Bounded at Zero”, with
Athanasios Orphanides and Volker Wieland, Advances in Macroeconomics, 4(1), Article1, http://www.bepress.com/bejm/advances/vol4/iss1/1,
2004.
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“Inflation
Persistence and Robust Monetary Policy Design”, Journal of Economic Dynamics and
Control, 31(1), 111-140, 2007.
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“Persistence,
the Transmission Mechanism and Robust Monetary Policy”, with
Ignazio Angeloni and Frank Smets, Scottish
Journal of Political Economy, 50(5), 527-549, 2003.
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“The
Zero-Interest-Rate Bound and the Role of the Exchange Rate for Monetary
Policy in Japan”, with Volker Wieland, Journal of Monetary Economics, 50(5), 1071-1101, 2003.
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“Data
Uncertainty and the Role of Money as an Information Variable for Monetary
Policy”, with Andrew Levin and Volker Wieland, European Economic Review, 49(4),
975-1006, 2005.
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“A
Small Estimated Euro Area Model with Rational Expectations and Nominal
Rigidities”, with Volker Wieland, European Economic Review, 49(5), 1081-1104, 2005.
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“Asymptotic
Confidence Bands for the Estimated Autocovariance and Autocorrelation
Functions of Vector Autoregressive Models”, Empirical Economics, 30(1), 65-75, 2005.
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“The
Demand for M3 in the Euro Area”, with Juan-Luis Vega, Journal of Applied Econometrics,
16(6), 727-748, 2001.
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Other Publications
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“International Transmission and Monetary
Policy Cooperation”, with Giovanni Lombardo, Frank Smets and Roland
Straub, in J. Galí and M. Gertler (eds), International Dimensions of Monetary Policy, NBER, Cambridge,
M.A., forthcoming.
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“A Real-Time DataBase for the Euro Area”,
with Matteo Ciccarelli and Jérôme Henry, Research Bulletin No. 5, DG
Research, European Central Bank, December 2006.
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“How Do VAT Changes Affect the Economy? An
Illustration Using the New Area-Wide Model”, with Peter McAdam, Research
Bulletin No. 4, DG Research, European Central Bank, April 2006.
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Discussion of “The New-Keynesian Phillips
Curve When Inflation Is Non-Stationary: The Case of Canada” by Nicoletta
Batini and Bergljot Bjørnson Barkbu, in Bank of Canada (ed.), Issues in Inflation Targeting,
Bank of Canada, Ottawa, 2006.
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Extended summary of “The Zero-Interest-Rate Bound and the
Role of the Exchange Rate for Monetary Policy in Japan”, with
Volker Wieland, in NBER (ed.), 2003
Japan Conference: A Summary of the Papers, National Bureau of
Economic Research, Cambridge, MA, 8-9, 2004.
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“Downward
Nominal Wage Rigidity and the Long-Run Phillips Curve: Simulation-Based
Evidence for the Euro Area”, in Otmar Issing (ed.), Background Studies for the ECB’s
Evaluation of Its Monetary
Policy Strategy, European Central Bank, Frankfurt am Main,
127-138, 2003.
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“Zero
Lower Bound: Is It a Problem in the Euro Area?”, in Otmar Issing
(ed.), Background Studies for the
ECB’s Evaluation of Its Monetary Policy Strategy, European Central
Bank, Frankfurt am Main, 139-155, 2003.
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“Inflation
versus Monetary Targeting in a P-Star Model with Rational Expectations”,
in BIS (ed.), Topics in Monetary
Policy Modeling, BIS Conference Papers, Vol. 4, Bank for
International Settlements, Basle, 215-234, 1998.
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Intertemporale
Substitution in der Realen Konjunkturtheorie: Eine empirische
Untersuchung unter Verwendung simulationsgestützter indirekter Schätz-
und Testverfahren,
Frankfurt am Main, 1997
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“Das Sattelpunktproblem in der monetären Wechselkurstheorie”, WiSt, 24(8), 430-433, 1995.
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European Central Bank Working Papers
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“The New Area-Wide Model of the Euro Area:
A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis”,
with Kai Christoffel and Anders Warne, ECB Working Paper
No. 944, October 2008.
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“Fiscal Consolidation in the Euro Area: Long-Run
Benefits and Short-Run Costs”, with Matthias Mohr and Roland Straub, ECB Working Paper
No. 902, May 2008.
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“International Transmission and Monetary Policy
Cooperation”, with Giovanni Lombardo, Frank Smets and Roland Straub, ECB Working Paper
No. 858, January 2008.
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“Tax Reform and Labour-Market Performance
in the Euro Area: A Simulation-Based Analysis Using the New Area-Wide
Model”, with Peter McAdam and Roland Straub, ECB Working Paper
No. 747, April 2007.
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“Does Government Spending Crowd in Private
Consumption? Theory and Empirical Evidence for the Euro Area”, with Roland
Straub, ECB
Working Paper No. 513, August 2005. Earlier versions were circulated
under the title “Non-Ricardian Households and Fiscal Policy in an Estimated DSGE
Model of the Euro Area”.
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“The Performance and Robustness of Interest-Rate
Rules in Models of the Euro Area”, with Ramón Adalid-Lozano, Peter McAdam
and Stefano Siviero, ECB Working Paper
No. 479, April 2005.
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“Identifying the Influences of Nominal and Real
Rigidities in Aggregate Price-Setting Behavior”, with Andrew Levin, ECB Working Paper
No. 418, November 2004. Revised version
(with additional results for the United States), November
2006.
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“Exchange-Rate Policy and the Zero Bound
on Nominal Interest Rates”, with Volker Wieland, ECB Working Paper
No. 350, April 2004. An extended
version was prepared for the Annual Meeting of the American Economic
Association in San Diego,
January 2004.
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“Inflation
Persistence and Robust Monetary Policy Design”, ECB Working Paper
No. 290, November 2003. Substantially revised
version, October 2005.
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“Downward
Nominal Wage Rigidity and the Long-Run Phillips Curve: Simulation-Based
Evidence for the Euro Area”, ECB Working Paper
No. 270, September 2003.
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“Zero
Lower Bound: Is It a Problem in the Euro Area?”, ECB Working Paper
No. 269, September 2003.
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“Persistence,
the Transmission Mechanism and Robust Monetary Policy”, with
Ignazio Angeloni and Frank Smets, ECB Working Paper
No. 250, August 2003.
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“Price
Stability and Monetary Policy Effectiveness when Nominal Interest Rates
are Bounded at Zero”, with Athanasios Orphanides and Volker
Wieland, ECB
Working Paper No. 231, May 2003. Also available as CEPR Discussion Paper No. 3892, May 2003.
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“The
Zero-Interest-Rate Bound and the Role of the Exchange Rate for Monetary
Policy in Japan”, with Volker
Wieland, ECB
Working Paper No. 218, March 2003. Also available as CEPR Discussion Paper No. 3895, May 2003.
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“Inflation
Dynamics and International Linkages: A Model of the United States, the Euro Area and Japan”,
with Volker Wieland, ECB Working Paper
No. 181, September 2002. Also available as FED
International Finance Discussion Papers, 2000-745, December 2002.
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“Data
Uncertainty and the Role of Money as an Information Variable for Monetary
Policy”, with Andrew Levin and Volker Wieland, ECB Working Paper
No. 84, November 2001. Also available as FED
Finance and Economics Discussion Series, 2001-54, Federal Reserve
Board, November 2001. Revised version available as CEPR Discussion Paper No. 3812, March 2003.
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“A
Small Estimated Euro Area Model with Rational Expectations and Nominal
Rigidities”, with Volker Wieland, ECB Working Paper
No. 30 (with technical appendix), September 2000. Revised version
available as CEPR Discussion Paper No. 3572,
September 2002.
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“Asymptotic
Confidence Bands for the Estimated Autocovariance and Autocorrelation
Functions of Vector Autoregressive Models”, ECB Working Paper
No. 9, February 2000. Substantially revised version, July 2003.
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“The
Demand for M3 in the Euro Area”, with Juan-Luis Vega, ECB Working Paper
No. 6, September 1999.
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Other Work and Earlier Working Papers
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“Effects of Fiscal Stimulus in Structural
Models”, with Chris Erceg et al., IMF Working Paper Series, forthcoming.
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“Estimation of the Euro Area Output Gap
Using the NAWM”, with Frank Smets and Igor Vetlov, Bank of Lithuania
Working Paper No. 5, 2009.
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“Evaluating
Monetary Policy Rules in a P-Star Model with Rational Expectations Using
Indirect Inference”, manuscript, Deutsche Bundesbank, May 1998.
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“Intertemporal
Effects of Fiscal Consolidation in an RBC Model”, Discussion Paper
of the Research Group of the Deutsche Bundesbank 2/98, April 1998.
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“A
Further Note on Computing Competitive Equilibria in Linear-Quadratic
Models”, manuscript, Institute of Statistics and Econometrics,
University of Kiel, 1995.
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“Eine
Einführung in die Analyse linearer sattelpunktstabiler Systeme”,
Working Paper No. 66, Institute of Statistics and Econometrics,
University of Kiel, 1993.
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