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Olaf Posch

Personal Details

First Name:Olaf
Middle Name:
Last Name:Posch
Suffix:
RePEc Short-ID:ppo103
[This author has chosen not to make the email address public]
http://www.oposch.com
Twitter: @ole_posch

Affiliation

Fachbereich Volkswirtschaftslehre
Universität Hamburg

Hamburg, Germany
https://www.wiso.uni-hamburg.de/fachbereich-vwl.html
RePEc:edi:fwhamde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Max Ole Liemen & Olaf Posch, 2022. "FTPL and the Maturity Structure of Government Debt in the New Keynesian Model," CESifo Working Paper Series 9840, CESifo.
  2. Schrimpf, Paul & Parra-Alvarez, Juan Carlos & Posch, Olaf, 2021. "Peso Problems in the Estimation of the C-CAPM," CEPR Discussion Papers 16299, C.E.P.R. Discussion Papers.
  3. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2020. "Estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
  4. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CREATES Research Papers 2020-02, Department of Economics and Business Economics, Aarhus University.
  5. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
  6. Max Ole Liemen & Michel van der Wel & Olaf Posch, 2018. "Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data," 2018 Meeting Papers 1049, Society for Economic Dynamics.
  7. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2017. "Identification and estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2017-35, Department of Economics and Business Economics, Aarhus University.
  8. Santanu Chatterjee & Olaf Posch & Dennis Wesselbaum, 2017. "Delays in Public Goods," CESifo Working Paper Series 6341, CESifo.
  9. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo.
  10. Andrey Launov & Olaf Posch & Klaus Wälde, 2012. "On the estimation of the volatility-growth link," CREATES Research Papers 2012-21, Department of Economics and Business Economics, Aarhus University.
  11. Olaf Posch & Andreas Schrimpf, 2012. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers 2012-32, Department of Economics and Business Economics, Aarhus University.
  12. Lei Pan & Olaf Posch & Michel van der Wel, 2012. "Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces," CREATES Research Papers 2012-26, Department of Economics and Business Economics, Aarhus University.
  13. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo.
  14. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2011. "Estimating Dynamic Equilibrium Models using Macro and Financial Data," CREATES Research Papers 2011-21, Department of Economics and Business Economics, Aarhus University.
  15. Olaf Posch & Juan F. Rubio-Ramírez & Jesús Fernández-Villaverde, 2011. "Solving the new Keynesian model in continuous time," 2011 Meeting Papers 829, Society for Economic Dynamics.
  16. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, Department of Economics and Business Economics, Aarhus University.
  17. Olaf Posch, 2008. "Explaining output volatility: The case of taxation," CREATES Research Papers 2008-04, Department of Economics and Business Economics, Aarhus University.
  18. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
  2. Parra-Alvarez, Juan Carlos & Polattimur, Hamza & Posch, Olaf, 2021. "Risk matters: Breaking certainty equivalence in linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  3. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
  4. Posch, Olaf & Trimborn, Timo, 2013. "Numerical solution of dynamic equilibrium models under Poisson uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2602-2622.
  5. Olaf Posch & Klaus Wälde, 2011. "On the link between volatility and growth," Journal of Economic Growth, Springer, vol. 16(4), pages 285-308, December.
  6. Posch, Olaf, 2011. "Explaining output volatility: The case of taxation," Journal of Public Economics, Elsevier, vol. 95(11), pages 1589-1606.
  7. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
  8. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.

Software components

  1. Olaf Posch & Timo Trimborn, 2013. "Matlab code for "Numerical solution of dynamic equilibrium models under Poisson uncertainty"," QM&RBC Codes 199, Quantitative Macroeconomics & Real Business Cycles.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Max Ole Liemen & Olaf Posch, 2022. "FTPL and the Maturity Structure of Government Debt in the New Keynesian Model," CESifo Working Paper Series 9840, CESifo.

    Cited by:

    1. Christensen, Bent Jesper & Neri, Luca & Parra-Alvarez, Juan Carlos, 2024. "Estimation of continuous-time linear DSGE models from discrete-time measurements," Journal of Econometrics, Elsevier, vol. 244(2).

  2. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2020. "Estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2020-05, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Khieu, Hoang & Wälde, Klaus, 2018. "Capital Income Risk and the Dynamics of the Wealth Distribution," IZA Discussion Papers 11840, IZA Network @ LISER.
    2. James G. MacKinnon & Morten Ørregaard Nielsen & Matthew D. Webb, 2020. "Wild Bootstrap and Asymptotic Inference with Multiway Clustering," CREATES Research Papers 2020-06, Department of Economics and Business Economics, Aarhus University.
    3. Lukasz Balbus & Pawel Dziewulski & Kevin Reffett & Lukasz Wozny, 2020. "Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk," KAE Working Papers 2020-052, Warsaw School of Economics, Collegium of Economic Analysis.
    4. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2020. "Estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    5. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lions & Benjamin Moll, 2017. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach," NBER Working Papers 23732, National Bureau of Economic Research, Inc.
    6. Fischer, Thomas, 2019. "Determinants of Wealth Inequality and Mobility in General Equilibrium," Working Papers 2019:22, Lund University, Department of Economics.
    7. Laura Liu & Mikkel Plagborg‐Møller, 2023. "Full‐information estimation of heterogeneous agent models using macro and micro data," Quantitative Economics, Econometric Society, vol. 14(1), pages 1-35, January.
    8. Laura Liu & Mikkel Plagborg-Møller, 2022. "Full-Information Estimation of Heterogeneous Agent Models Using Macro and Micro Data," Working Papers 2022-21, Princeton University. Economics Department..
    9. Glawion, Rene & Puche, Marc & Haller, Frédéric, 2020. "A General Equilibrium Model of Earnings, Income, and Wealth," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224580, Verein für Socialpolitik / German Economic Association.

  3. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CREATES Research Papers 2020-02, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Morten Ørregaard Nielsen & Antoine L. Noël, 2020. "To infinity and beyond: Efficient computation of ARCH(1) models," CREATES Research Papers 2020-13, Department of Economics and Business Economics, Aarhus University.
    2. Carlos Vladimir Rodríguez-Caballero & J. Eduardo Vera-Valdés, 2020. "Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?," CREATES Research Papers 2020-15, Department of Economics and Business Economics, Aarhus University.
    3. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    4. J. Eduardo Vera-Valdés, 2020. "Temperature Anomalies, Long Memory, and Aggregation," CREATES Research Papers 2020-16, Department of Economics and Business Economics, Aarhus University.
    5. Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures," CREATES Research Papers 2020-12, Department of Economics and Business Economics, Aarhus University.

  4. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.

    Cited by:

    1. Juan Carlos Parra-Alvarez & Hamza Polattimur & Olaf Posch, 2020. "Risk Matters: Breaking Certainty Equivalence," CESifo Working Paper Series 8250, CESifo.

  5. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2017. "Identification and estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2017-35, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lionse & Benjamin Moll, 2022. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(1), pages 45-86.
    2. Khieu, Hoang & Wälde, Klaus, 2018. "Capital Income Risk and the Dynamics of the Wealth Distribution," IZA Discussion Papers 11840, IZA Network @ LISER.
    3. Achdou, Yves & Han, Jiequn & Lasry, Jean Michel & Lions, Pierre Louis & Moll, Ben, 2022. "Income and wealth distribution in macroeconomics: a continuous-time approach," LSE Research Online Documents on Economics 107422, London School of Economics and Political Science, LSE Library.
    4. Lukasz Balbus & Pawel Dziewulski & Kevin Reffett & Lukasz Wozny, 2020. "Markov distributional equilibrium dynamics in games with complementarities and no aggregate risk," KAE Working Papers 2020-052, Warsaw School of Economics, Collegium of Economic Analysis.
    5. Juan Carlos Parra-Alvarez & Olaf Posch & Mu-Chun Wang, 2020. "Estimation of heterogeneous agent models: A likelihood approach," CREATES Research Papers 2020-05, Department of Economics and Business Economics, Aarhus University.
    6. Yves Achdou & Jiequn Han & Jean-Michel Lasry & Pierre-Louis Lions & Benjamin Moll, 2017. "Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach," NBER Working Papers 23732, National Bureau of Economic Research, Inc.
    7. Glawion, Rene & Puche, Marc & Haller, Frédéric, 2020. "A General Equilibrium Model of Earnings, Income, and Wealth," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224580, Verein für Socialpolitik / German Economic Association.

  6. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo.

    Cited by:

    1. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
    2. Parra-Alvarez, Juan Carlos & Polattimur, Hamza & Posch, Olaf, 2021. "Risk matters: Breaking certainty equivalence in linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    3. Claudia Foroni & Paolo Gelain & Massimiliano Marcellino, 2022. "The financial accelerator mechanism: does frequency matter?," Working Papers 22-29, Federal Reserve Bank of Cleveland.
    4. József Vörös, 2024. "Some properties of the maximum loss on loan portfolios," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 32(1), pages 155-176, March.
    5. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    6. van der Wel, M., 2020. "Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein," ERIM Inaugural Address Series Research in Management 124748, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam..
    7. Meyer-Gohde, Alexander & Shabalina, Ekaterina, 2022. "Estimation and forecasting using mixed-frequency DSGE models," IMFS Working Paper Series 175, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    8. Max Ole Liemen & Michel van der Wel & Olaf Posch, 2018. "Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data," 2018 Meeting Papers 1049, Society for Economic Dynamics.
    9. Bacchiocchi, Emanuele & Bastianin, Andrea & Missale, Alessandro & Rossi, Eduardo, 2020. "Structural analysis with mixed-frequency data: A model of US capital flows," Economic Modelling, Elsevier, vol. 89(C), pages 427-443.
    10. Emanuele Bacchiocchi & Andrea Bastianin & Alessandro Missale & Eduardo Rossi, 2018. "Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows," Papers 1802.00793, arXiv.org.
    11. Christensen, Bent Jesper & Neri, Luca & Parra-Alvarez, Juan Carlos, 2024. "Estimation of continuous-time linear DSGE models from discrete-time measurements," Journal of Econometrics, Elsevier, vol. 244(2).

  7. Andrey Launov & Olaf Posch & Klaus Wälde, 2012. "On the estimation of the volatility-growth link," CREATES Research Papers 2012-21, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Joya, Omar, 2015. "Growth and volatility in resource-rich countries: Does diversification help?," Structural Change and Economic Dynamics, Elsevier, vol. 35(C), pages 38-55.

  8. Olaf Posch & Andreas Schrimpf, 2012. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," CREATES Research Papers 2012-32, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100614, Verein für Socialpolitik / German Economic Association.
    2. Sönksen, Jantje & Grammig, Joachim, 2020. "Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach," CFR Working Papers 14-06, University of Cologne, Centre for Financial Research (CFR), revised 2020.
    3. Grammig, Joachim & Sönksen, Jantje, 2014. "Consumption-based asset pricing with rare disaster risk," CFS Working Paper Series 480, Center for Financial Studies (CFS).

  9. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo.

    Cited by:

    1. Hiroaki Ishiwata & Muneta Yokomatsu, 2018. "Dynamic Stochastic Macroeconomic Model of Disaster Risk Reduction Investment in Developing Countries," Risk Analysis, John Wiley & Sons, vol. 38(11), pages 2424-2440, November.
    2. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
    3. Yoji Kunimitsu, 2018. "Effects of restoration measures from the east Japan earthquake in the Iwate coastal area: application of a DSGE model," Asia-Pacific Journal of Regional Science, Springer, vol. 2(2), pages 317-335, August.
    4. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    5. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, Department of Economics and Business Economics, Aarhus University.
    6. Strulik, Holger & Trimborn, Timo, 2016. "Natural disasters and macroeconomic performance," ECON WPS - Working Papers in Economic Theory and Policy 07/2016, TU Wien, Institute of Statistics and Mathematical Methods in Economics, Economics Research Unit.
    7. Santanu Chatterjee & Olaf Posch & Dennis Wesselbaum, 2017. "Delays in Public Goods," Working Papers 1702, University of Otago, Department of Economics, revised Feb 2017.
    8. Christensen, Bent Jesper & Neri, Luca & Parra-Alvarez, Juan Carlos, 2024. "Estimation of continuous-time linear DSGE models from discrete-time measurements," Journal of Econometrics, Elsevier, vol. 244(2).

  10. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2011. "Estimating Dynamic Equilibrium Models using Macro and Financial Data," CREATES Research Papers 2011-21, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    2. Claudia Foroni & Massimiliano Marcellino, 2013. "Mixed frequency structural models: estimation, and policy analysis," Working Paper 2013/15, Norges Bank.
    3. Max Ole Liemen & Michel van der Wel & Olaf Posch, 2018. "Structural Estimation of Dynamic Macroeconomic Models using Higher-Frequency Financial Data," 2018 Meeting Papers 1049, Society for Economic Dynamics.
    4. Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).

  11. Olaf Posch & Juan F. Rubio-Ramírez & Jesús Fernández-Villaverde, 2011. "Solving the new Keynesian model in continuous time," 2011 Meeting Papers 829, Society for Economic Dynamics.

    Cited by:

    1. Offick Sven & Wohltmann Hans-Werner, 2016. "Partially Anticipated Monetary Policy Shocks – Are They Stabilizing or Destabilizing?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(1), pages 95-127, February.
    2. Cochrane, John H., 2017. "The new-Keynesian liquidity trap," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 47-63.
    3. Sacht, Stephen, 2014. "Analysis of Various Shocks within the High-Frequency Versions of the Baseline New-Keynesian Model," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100372, Verein für Socialpolitik / German Economic Association.
    4. Fernández-Villaverde, Jesús & Guerrón-Quintana, Pablo & Rubio-Ramírez, Juan F., 2015. "Estimating dynamic equilibrium models with stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 216-229.
    5. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo.
    6. John H. Cochrane, 2013. "The New-Keynesian Liquidity Trap," NBER Working Papers 19476, National Bureau of Economic Research, Inc.

  12. Olaf Posch, 2009. "Risk premia in general equilibrium," CREATES Research Papers 2009-58, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
    2. Andrew Y. Chen, 2013. "External Habit in a Production Economy," 2013 Papers pch1244, Job Market Papers.
    3. Olaf Posch, 2018. "Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule," CESifo Working Paper Series 6925, CESifo.
    4. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    5. Michael Funke & Yu-Fu Chen, 2010. "Global warming and extreme events: Rethinking the timing and intensity of environment policy," Quantitative Macroeconomics Working Papers 21007b, Hamburg University, Department of Economics.
    6. Posch, Olaf & Trimborn, Timo, 2013. "Numerical solution of dynamic equilibrium models under Poisson uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2602-2622.
    7. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
    8. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.

  13. Olaf Posch, 2008. "Explaining output volatility: The case of taxation," CREATES Research Papers 2008-04, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Spiliopoulos, Leonidas, 2010. "The determinants of macroeconomic volatility: A Bayesian model averaging approach," MPRA Paper 26832, University Library of Munich, Germany.
    2. Martin Iseringhausen & Hauke Vierke, 2018. "What Drives Output Volatility? The Role of Demographics and Government Size Revisited," European Economy - Discussion Papers 075, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    3. Davide fiaschi & Lisa Gianmoena & Angela Parenti, 2013. "The Determinants of Growth Rate Volatility in European Regions," Discussion Papers 2013/170, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    4. Catalina Granda Carvajal, 2015. "Informality and Macroeconomic Volatility: Do Credit Constraints Matter?," Borradores Departamento de Economía 12506, Universidad de Antioquia, CIE.
    5. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, Department of Economics and Business Economics, Aarhus University.
    6. Malte Rieth & Cristina Checherita‐Westphal & Maria‐Grazia Attinasi, 2016. "Personal income tax progressivity and output volatility: Evidence from OECD countries," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 49(3), pages 968-996, August.
    7. M. Tariq Majeed & Ayesha Noreen, 2018. "Financial Development and Output Volatility: A Cross-Sectional Panel Data Analysis," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 23(1), pages 97-141, Jan-June.
    8. Robert Feicht & Wolfgang Stummer, 2010. "Complete Closed-form Solution to a Stochastic Growth Model and Corresponding Speed of Economic Recovery preliminary," DEGIT Conference Papers c015_041, DEGIT, Dynamics, Economic Growth, and International Trade.
    9. Olaf Posch & Klaus Wälde, 2006. "Natural volatility, welfare and taxation," Computing in Economics and Finance 2006 95, Society for Computational Economics.
    10. Checherita-Westphal, Cristina & Attinasi, Maria Grazia & Rieth, Malte, 2011. "Labour tax progressivity and output volatility: evidence from OECD countries," Working Paper Series 1380, European Central Bank.
    11. Andrey Launov & Olaf Posch & Klaus Wälde, 2014. "On the Estimation of the Volatility-Growth Link," CESifo Working Paper Series 5018, CESifo.
    12. Almut Veraart, 2008. "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers 2008-17, Department of Economics and Business Economics, Aarhus University.
    13. Marattin, Luigi & Marzo, Massimiliano & Zagaglia, Paolo, 2013. "Distortionary tax instruments and implementable monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 219-243.
    14. Wan, Jing & Zhang, Jie, 2021. "Optimal growth through innovation, investment, and labor," European Economic Review, Elsevier, vol. 132(C).
    15. Michael Funke & Yu-Fu Chen, 2009. "Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty," Quantitative Macroeconomics Working Papers 20908, Hamburg University, Department of Economics.
    16. Ferraro, Domenico, 2017. "Volatility and slow technology diffusion," European Economic Review, Elsevier, vol. 96(C), pages 18-37.
    17. Kenc, Turalay & Cevik, Emrah Ismail, 2024. "Global corporate tax policy space," Economic Systems, Elsevier, vol. 48(2).
    18. Olaf Posch & Klaus Wälde, 2011. "On the link between volatility and growth," Journal of Economic Growth, Springer, vol. 16(4), pages 285-308, December.
    19. Jing Wan & Jie Zhang, 2023. "R&D subsidies, income taxes, and growth through cycles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 76(3), pages 827-866, October.
    20. Claudiu Tiberiu Albulescu & Nicolae Bogdan Ianc, 2016. "Fiscal Policy, Fdi And Macroeconomic Stabilization," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 18, pages 131-146, December.
    21. Olaf Posch & Klaus Wälde, 2009. "On the non-causal link between volatility and growth," Economics Working Papers 2009-10, Department of Economics and Business Economics, Aarhus University.

  14. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Guido Ascari & Giorgio Fagiolo & Andrea Roventini, 2012. "Fat-Tail Distributions and Business-Cycle Models," Working Papers 02/2012, University of Verona, Department of Economics.
    2. Olaf Posch, 2010. "Risk Premia in General Equilibrium," CESifo Working Paper Series 3131, CESifo.
    3. Liao, Zhong-Wei & Shao, Jinghai, 2024. "Stability and mean growth rate of stochastic Solow model driven by jump–diffusion process," Journal of Mathematical Economics, Elsevier, vol. 111(C).
    4. Bikourne, Mariem & Akdim, Khadija & Ez-Zetouni, Adil, 2025. "Stochastic analysis of an economic growth model incorporating Itô–Lévy driven investment, optimal control and numerical simulation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 674(C).
    5. Robert Feicht & Wolfgang Stummer, 2010. "Complete Closed-form Solution to a Stochastic Growth Model and Corresponding Speed of Economic Recovery preliminary," DEGIT Conference Papers c015_041, DEGIT, Dynamics, Economic Growth, and International Trade.
    6. Juan Carlos Parra-Alvarez, 2013. "A comparison of numerical methods for the solution of continuous-time DSGE models," CREATES Research Papers 2013-39, Department of Economics and Business Economics, Aarhus University.
    7. Christian Bayer & Klaus Waelde, 2011. "Existence, Uniqueness and Stability of Invariant Distributions in Continuous-Time Stochastic Models," Working Papers 1111, Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz, revised 21 Jul 2011.
    8. Posch, Olaf & Schrimpf, Andreas, 2013. "Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79987, Verein für Socialpolitik / German Economic Association.
    9. Md. Azizul Baten & Anton Abdulbasah Kamil, 2013. "Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2013, pages 1-8, March.
    10. Olaf Posch, 2009. "Explaining Output Volatility: The Case of Taxation," CESifo Working Paper Series 2751, CESifo.
    11. Olaf Posch & Timo Trimborn, 2011. "Numerical Solution of Dynamic Equilibrium Models under Poisson Uncertainty," CESifo Working Paper Series 3431, CESifo.
    12. Olaf Posch & Klaus Wälde, 2011. "On the link between volatility and growth," Journal of Economic Growth, Springer, vol. 16(4), pages 285-308, December.
    13. Wälde, Klaus, 2011. "Production technologies in stochastic continuous time models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 616-622, April.
    14. Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo.
    15. Olaf Posch & Timo Trimborn, 2010. "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers 2010-08, Department of Economics and Business Economics, Aarhus University.
    16. Guerrini, Luca, 2010. "A closed-form solution to the Ramsey model with logistic population growth," Economic Modelling, Elsevier, vol. 27(5), pages 1178-1182, September.
    17. Olaf Posch & Klaus Wälde, 2009. "On the non-causal link between volatility and growth," Economics Working Papers 2009-10, Department of Economics and Business Economics, Aarhus University.
    18. Motoh Tsujimura & Hidekazu Yoshioka, 2023. "A robust consumption model when the intensity of technological progress is ambiguous," Mathematics and Financial Economics, Springer, volume 17, number 2, June.
    19. Christensen, Bent Jesper & Neri, Luca & Parra-Alvarez, Juan Carlos, 2024. "Estimation of continuous-time linear DSGE models from discrete-time measurements," Journal of Econometrics, Elsevier, vol. 244(2).

Articles

  1. Parra-Alvarez, Juan Carlos & Polattimur, Hamza & Posch, Olaf, 2021. "Risk matters: Breaking certainty equivalence in linear approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).

    Cited by:

    1. Max Ole Liemen & Olaf Posch, 2022. "FTPL and the Maturity Structure of Government Debt in the New Keynesian Model," CESifo Working Paper Series 9840, CESifo.
    2. Travis D. Nesmith, 2024. "Revisiting Risky Money," Finance and Economics Discussion Series 2024-090, Board of Governors of the Federal Reserve System (U.S.).
    3. Christensen, Bent Jesper & Neri, Luca & Parra-Alvarez, Juan Carlos, 2024. "Estimation of continuous-time linear DSGE models from discrete-time measurements," Journal of Econometrics, Elsevier, vol. 244(2).

  2. Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016. "Estimating dynamic equilibrium models using mixed frequency macro and financial data," Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
    See citations under working paper version above.
  3. Posch, Olaf & Trimborn, Timo, 2013. "Numerical solution of dynamic equilibrium models under Poisson uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2602-2622.
    See citations under working paper version above.
  4. Olaf Posch & Klaus Wälde, 2011. "On the link between volatility and growth," Journal of Economic Growth, Springer, vol. 16(4), pages 285-308, December.

    Cited by:

    1. Mendieta-Muñoz, Ivan, 2017. "On The Interaction Between Economic Growth And Business Cycles," Macroeconomic Dynamics, Cambridge University Press, vol. 21(4), pages 982-1022, June.
    2. Jetter, Michael & Nikolsko-Rzhevskyy, Alex & Smith, William T., 2013. "The effects of wage volatility on growth," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 93-109.
    3. Sèna Kimm Gnangnon, 2023. "Effect of the duration of membership in the GATT/WTO on human development in developed and developing countries," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 943-983, November.
    4. Joya, Omar, 2015. "Growth and volatility in resource-rich countries: Does diversification help?," Structural Change and Economic Dynamics, Elsevier, vol. 35(C), pages 38-55.
    5. Antonakakis, Nikolaos & Badinger, Harald, 2012. "Output Volatility, Economic Growth, and Cross-Country Spillovers: New Evidence for the G7 Countries," Department of Economics Working Paper Series 141, WU Vienna University of Economics and Business.
    6. Mand, Matthias, 2016. "On the Cyclicality of R&D Activities," VfS Annual Conference 2016 (Augsburg): Demographic Change 145472, Verein für Socialpolitik / German Economic Association.
    7. Andrey Launov & Olaf Posch & Klaus Wälde, 2014. "On the Estimation of the Volatility-Growth Link," CESifo Working Paper Series 5018, CESifo.
    8. Crowley, Patrick M. & Hallett, Andrew Hughes, 2018. "What causes business cycles to elongate, or recessions to intensify?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 338-349.
    9. Wan, Jing & Zhang, Jie, 2021. "Optimal growth through innovation, investment, and labor," European Economic Review, Elsevier, vol. 132(C).
    10. Dimitrios Bakas & Georgios Chortareas & Georgios Magkonis, 2018. "Volatility and Growth: A not so Straightforward Relationship," Working Papers in Economics & Finance 2018-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    11. Brice Kamguia & Ronald Djeunankan & Sosson Tadadjeu & Henri Njangang, 2024. "Does macroeconomic instability hamper access to electricity? Evidence from developing countries," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 32(2), pages 387-414, April.
    12. Ferraro, Domenico, 2017. "Volatility and slow technology diffusion," European Economic Review, Elsevier, vol. 96(C), pages 18-37.
    13. Kenc, Turalay & Cevik, Emrah Ismail, 2024. "Global corporate tax policy space," Economic Systems, Elsevier, vol. 48(2).
    14. Geert Bekaert & Alexander Popov, 2019. "On the Link Between the Volatility and Skewness of Growth," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(4), pages 746-790, December.
    15. Mand, Matthias, 2019. "On the cyclicality of R&D activities," Journal of Macroeconomics, Elsevier, vol. 59(C), pages 38-58.
    16. Gnangnon, Sèna Kimm, 2022. "Effect of the Duration of Membership in the GATT/WTO on Human Development in Developed and Developing Countries," EconStor Preprints 265061, ZBW - Leibniz Information Centre for Economics.
    17. Antonakakis, N. & Badinger, H., 2016. "Economic growth, volatility, and cross-country spillovers: New evidence for the G7 countries," Economic Modelling, Elsevier, vol. 52(PB), pages 352-365.
    18. Jing Wan & Jie Zhang, 2023. "R&D subsidies, income taxes, and growth through cycles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 76(3), pages 827-866, October.
    19. Onyimadu, Chukwuemeka, 2016. "Macroeconomic Volatility and Economic Growth: Evidence from Selected African Countries," MPRA Paper 77200, University Library of Munich, Germany.
    20. Michael Jetter, 2013. "Volatility and Growth: An Explanation for the Disagreement," Documentos de Trabajo de Valor Público 10944, Universidad EAFIT.
    21. Fulgence Dominick Waryoba, 2017. "Foreign Direct Investment and China’s Productivity Growth during the 1997 Asian Financial Crisis," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(3), pages 33-37, September.
    22. Jetter, Michael, 2013. "Volatility and Growth: Governments are Key," IZA Discussion Papers 7826, IZA Network @ LISER.
    23. Tsuboi, Mizuki, 2020. "Growth, R&D, and uncertainty," Economic Modelling, Elsevier, vol. 87(C), pages 394-400.

  5. Posch, Olaf, 2011. "Explaining output volatility: The case of taxation," Journal of Public Economics, Elsevier, vol. 95(11), pages 1589-1606.
    See citations under working paper version above.
  6. Posch, Olaf, 2011. "Risk premia in general equilibrium," Journal of Economic Dynamics and Control, Elsevier, vol. 35(9), pages 1557-1576, September.
    See citations under working paper version above.
  7. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
    See citations under working paper version above.

Software components

  1. Olaf Posch & Timo Trimborn, 2013. "Matlab code for "Numerical solution of dynamic equilibrium models under Poisson uncertainty"," QM&RBC Codes 199, Quantitative Macroeconomics & Real Business Cycles.
    See citations under working paper version above.Sorry, no citations of software components recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (16) 2008-06-27 2008-06-27 2009-12-05 2012-07-23 2014-02-02 2014-02-02 2017-02-12 2017-10-29 2017-11-12 2018-04-16 2018-09-03 2018-11-12 2020-05-25 2020-05-25 2020-06-08 2020-09-14. Author is listed
  2. NEP-DGE: Dynamic General Equilibrium (7) 2009-12-05 2012-05-15 2012-06-13 2017-02-12 2017-10-29 2018-11-12 2022-09-05. Author is listed
  3. NEP-ORE: Operations Research (5) 2017-11-12 2020-05-25 2020-05-25 2020-06-08 2020-09-14. Author is listed
  4. NEP-CBA: Central Banking (4) 2011-06-25 2018-04-16 2018-11-12 2022-09-05
  5. NEP-ECM: Econometrics (4) 2008-06-27 2011-06-25 2017-11-12 2018-09-03
  6. NEP-MON: Monetary Economics (3) 2018-04-16 2018-11-12 2022-09-05
  7. NEP-UPT: Utility Models and Prospect Theory (2) 2009-12-05 2012-07-23
  8. NEP-BAN: Banking (1) 2022-09-05
  9. NEP-BEC: Business Economics (1) 2009-12-05
  10. NEP-CMP: Computational Economics (1) 2012-05-15
  11. NEP-ETS: Econometric Time Series (1) 2018-09-03
  12. NEP-FDG: Financial Development and Growth (1) 2012-05-22
  13. NEP-GRO: Economic Growth (1) 2014-02-02
  14. NEP-MST: Market Microstructure (1) 2018-09-03
  15. NEP-PUB: Public Finance (1) 2017-02-12
  16. NEP-TRA: Transition Economics (1) 2012-06-13

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