Blar i Centre for Applied Macro- and Petroleum economics (CAMP) på forfatter "Matthes, Christian"
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A composite likelihood approach for dynamic structural models
Canova, Fabio; Matthes, Christian (CAMP Working Paper Series Paper No. 10/2018;, Working paper, 2018-10-08)We describe how to use the composite likelihood to ameliorate estimation, computational, and inferential problems in dynamic stochastic general equilibrium models. We present a number of situations where the methodology ... -
Approximating time varying structural models with time invariant structures
Canova, Fabio; Ferroni, Filippo; Matthes, Christian (CAMP Working Paper Series;1/2016, Working paper, 2016)The paper studies how parameter variation affects the decision rules of a DSGE model and structural inference. We provide diagnostics to detect parameter variations and to ascertain whether they are exogenous or endogenous. ... -
The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve
Chang, Yoosoon; Gómez-Rodríguez, Fabio; Matthes, Christian (CAMP Working Paper Series;02/2024, Working paper, 2024-01-23)We investigate the influence of the U.S. government’s spending and taxation decisions, along with the monetary policy choices made by the Federal Reserve, on the dynamics of the nominal yield curve. Aggregate government ...