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Oliver de Groot

Personal Details

First Name:Oliver
Middle Name:
Last Name:de Groot
Suffix:
RePEc Short-ID:pde800
[This author has chosen not to make the email address public]

Affiliation

School of Economics and Finance
University of St. Andrews

Fife, United Kingdom
http://www.st-andrews.ac.uk/economics/

: +44 (0)1334 462420

St. Andrews, Fife KY16 9AL
RePEc:edi:destauk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. de Groot, Oliver & Richter, Alexander W. & Throckmorton, Nathaniel, 2018. "Valuation Risk Revalued," Working Papers 1808, Federal Reserve Bank of Dallas.
  2. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2017. "Uncertainty Shocks in a Model of Effective Demand: Comment," CDMA Working Paper Series 201703, Centre for Dynamic Macroeconomic Analysis, revised 25 May 2017.
  3. Oliver de Groot, 2016. "What order? Perturbation methods for stochastic volatility asset pricing and business cycle models," CDMA Working Paper Series 201606, Centre for Dynamic Macroeconomic Analysis.
  4. Enrique Mendoza & Bora Durdu & Oliver de Groot, 2016. "Global v. Local Methods in the Quantitative Analysis of Open-Economy Models with Incomplete Markets," 2016 Meeting Papers 595, Society for Economic Dynamics.
  5. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).
  6. DeGroot, Oliver, 2014. "The Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2014-31, Board of Governors of the Federal Reserve System (U.S.).
  7. Leiner-Killinger, Nadine & Holm-Hadulla, Fédéric & de Groot, Oliver, 2012. "Cost of borrowing shocks and fiscal adjustment," Working Paper Series 1503, European Central Bank.

Articles

  1. de Groot, Oliver & Holm-Hadulla, Fédéric & Leiner-Killinger, Nadine, 2015. "Cost of borrowing shocks and fiscal adjustment," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 23-48.
  2. de Groot, Oliver, 2015. "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 308-321.
  3. Oliver de Groot, 2014. "The Risk Channel of Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 115-160, June.
  4. de Groot, Oliver, 2013. "Computing the risky steady state of DSGE models," Economics Letters, Elsevier, vol. 120(3), pages 566-569.

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.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Oliver de Groot, 2016. "What order? Perturbation methods for stochastic volatility asset pricing and business cycle models," Discussion Paper Series, Department of Economics 201611, Department of Economics, University of St. Andrews.

    Mentioned in:

    1. What order? Perturbation methods for stochastic volatility asset pricing and business cycle models
      by Christian Zimmermann in NEP-DGE blog on 2016-10-19 20:18:01

Working papers

  1. Oliver de Groot & Alexander W. Richter & Nathaniel A. Throckmorton, 2017. "Uncertainty Shocks in a Model of Effective Demand: Comment," CDMA Working Paper Series 201703, Centre for Dynamic Macroeconomic Analysis, revised 25 May 2017.

    Cited by:

    1. Giovanni Caggiano & Efrem Castelnuovo & Juan Manuel Figueres, 2018. "Economic Policy Uncertainty Spillovers in Booms and Busts," CESifo Working Paper Series 7086, CESifo Group Munich.
    2. Alexander Richter & Nathaniel Throckmorton, 2018. "A New Way to Quantify the Effect of Uncertainty," 2018 Meeting Papers 565, Society for Economic Dynamics.

  2. Oliver de Groot, 2016. "What order? Perturbation methods for stochastic volatility asset pricing and business cycle models," CDMA Working Paper Series 201606, Centre for Dynamic Macroeconomic Analysis.

    Cited by:

    1. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.

  3. Enrique Mendoza & Bora Durdu & Oliver de Groot, 2016. "Global v. Local Methods in the Quantitative Analysis of Open-Economy Models with Incomplete Markets," 2016 Meeting Papers 595, Society for Economic Dynamics.

    Cited by:

    1. Enrique Mendoza, 2016. "Macroprudential Policy: Promise and Challenges," PIER Working Paper Archive 16-020, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 24 Oct 2016.
    2. Enrique G. Mendoza, 2016. "Macroprudential Policy: Promise and Challenges," NBER Working Papers 22868, National Bureau of Economic Research, Inc.

  4. de Groot, Oliver, 2014. "Solving asset pricing models with stochastic volatility," Finance and Economics Discussion Series 2014-71, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Levintal, Oren, 2017. "Fifth-order perturbation solution to DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 1-16.
    2. Jules Tinang & Nour Meddahi, 2016. "GMM estimation of the Long Run Risks model," 2016 Meeting Papers 1107, Society for Economic Dynamics.
    3. Michael Curran & Adnan Velic, 2017. "Interest Rate Volatility And Macroeconomic Dynamics: A Cross-Country Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series 35, Villanova School of Business Department of Economics and Statistics.
    4. Toda, Alexis Akira, 2017. "Huggett economies with multiple stationary equilibria," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 77-90.

  5. DeGroot, Oliver, 2014. "The Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2014-31, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Afanasyeva, Elena & Güntner, Jochen, 2014. "Lending standards, credit booms and monetary policy," IMFS Working Paper Series 85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    2. Angela Abbate & Dominik Thaler, 2018. "Monetary policy and the asset risk-taking channel," Working Papers 1805, Banco de España;Working Papers Homepage.
    3. Eickmeier, Sandra & Metiu, Norbert & Prieto, Esteban, 2016. "Time-varying Volatility, Financial Intermediation and Monetary Policy," IWH Discussion Papers 19/2016, Halle Institute for Economic Research (IWH).
    4. Koray Alper & Mahir Binici & Selva Demiralp & Hakan Kara & Pinar Ozlu, 2014. "Reserve Requirements, Liquidity Risk and Credit Growth," Working Papers 1424, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Matthias Neuenkirch & Matthias Nöckel, 2017. "The Risk-Taking Channel of Monetary Policy Transmission in the Euro Area," Research Papers in Economics 2017-02, University of Trier, Department of Economics.
    6. Oleksiy Kryvtsov & Miguel Molico & Ben Tomlin, 2015. "On the Nexus of Monetary Policy and Financial Stability: Recent Developments and Research," Discussion Papers 15-7, Bank of Canada.
    7. Laséen, Stefan & Pescatori, Andrea & Turunen, Jarkko, 2017. "Systemic Risk: A New Trade-Off for Monetary Policy?," Working Paper Series 341, Sveriges Riksbank (Central Bank of Sweden).
    8. João Barata Ribeiro Blanco Barroso & Sergio Rubens Stancato de Souza & Solange Maria Guerra, 2016. "Systemic Risk-Taking Channel of Domestic and Foreign Monetary Policy," Working Papers Series 412, Central Bank of Brazil, Research Department.

  6. Leiner-Killinger, Nadine & Holm-Hadulla, Fédéric & de Groot, Oliver, 2012. "Cost of borrowing shocks and fiscal adjustment," Working Paper Series 1503, European Central Bank.

    Cited by:

    1. S. M. Ali Abbas & Laura Blattner & Mark De Broeck & Asmaa A ElGanainy & Malin Hu, 2014. "Sovereign Debt Composition in Advanced Economies; A Historical Perspective," IMF Working Papers 14/162, International Monetary Fund.
    2. Dell' Erba, Salvatore & Mattina, Todd & Roitman, Agustin, 2015. "Pressure or prudence? Tales of market pressure and fiscal adjustment," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 196-213.
    3. Stefano Neri & Tiziano Ropele, 2015. "The macroeconomic effects of the sovereign debt crisis in the euro area," Temi di discussione (Economic working papers) 1007, Bank of Italy, Economic Research and International Relations Area.
    4. Salvatore Dell'Erba & Todd D. Mattina & Agustin Roitman, 2013. "Pressure or Prudence? Tales of Market Pressure and Fiscal Adjustment," IMF Working Papers 13/170, International Monetary Fund.
    5. de Groot, Oliver & Holm-Hadulla, Fédéric & Leiner-Killinger, Nadine, 2015. "Cost of borrowing shocks and fiscal adjustment," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 23-48.
    6. van Riet, Ad, 2017. "Addressing the safety trilemma: a safe sovereign asset for the eurozone," ESRB Working Paper Series 35, European Systemic Risk Board.
    7. Stefan Avdjiev & Stephan Binder & Ricardo Sousa, 2017. "External debt composition and domestic credit cycles," BIS Working Papers 627, Bank for International Settlements.
    8. Saleem A. Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Working Papers 191, Oesterreichische Nationalbank (Austrian Central Bank).
    9. Ferdinandusse, Marien & Checherita-Westphal, Cristina & Attinasi, Maria Grazia & Lalouette, Larue & Bańkowski, Krzysztof & Palaiodimos, Georgios & Trindade Campos, Maria Manuel, 2017. "Euro area fiscal stance," Occasional Paper Series 182, European Central Bank.

Articles

  1. de Groot, Oliver & Holm-Hadulla, Fédéric & Leiner-Killinger, Nadine, 2015. "Cost of borrowing shocks and fiscal adjustment," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 23-48.
    See citations under working paper version above.
  2. de Groot, Oliver, 2015. "Solving asset pricing models with stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 308-321.
    See citations under working paper version above.
  3. Oliver de Groot, 2014. "The Risk Channel of Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 115-160, June.
    See citations under working paper version above.
  4. de Groot, Oliver, 2013. "Computing the risky steady state of DSGE models," Economics Letters, Elsevier, vol. 120(3), pages 566-569.

    Cited by:

    1. DeGroot, Oliver, 2014. "The Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2014-31, Board of Governors of the Federal Reserve System (U.S.).
    2. Rabitsch, Katrin & Stepanchuk, Serhiy & Tsyrennikov, Viktor, 2015. "International portfolios: A comparison of solution methods," Journal of International Economics, Elsevier, vol. 97(2), pages 404-422.
    3. Keqing Liu, 2015. "Bank Equity and Macroprudential Policy," Discussion Papers 1503, University of Exeter, Department of Economics.
    4. Meyer-Gohde, Alexander, 2015. "Risk-Sensitive Linear Approximations," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113057, Verein für Socialpolitik / German Economic Association.
    5. Walter Pohl & Karl Schmedders & Ole Wilms, 2018. "Higher Order Effects in Asset Pricing Models with Long‐Run Risks," Journal of Finance, American Finance Association, vol. 73(3), pages 1061-1111, June.
    6. Ingrid Groessl & Artur Tarassow, 2018. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201802, University of Hamburg, Department of Socioeconomics.
    7. Dongya Koh & Raül Santaeulàlia-Llopis, 2017. "Countercyclical Elasticity of Substitution," Working Papers 946, Barcelona Graduate School of Economics.
    8. Taisuke Nakata & Sebastian Schmidt & Timothy Hills, 2016. "The Risky Steady State and the Interest Rate Lower Bound," 2016 Meeting Papers 39, Society for Economic Dynamics.
    9. Alexander Meyer-Gohde, 2014. "Risky Linear Approximations," SFB 649 Discussion Papers SFB649DP2014-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    10. Yu, Changhua, 2015. "Evaluating international financial integration in a center-periphery economy," Journal of International Economics, Elsevier, vol. 95(1), pages 129-144.

More information

Research fields, statistics, top rankings, if available.

Statistics

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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 9 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 (7) 2013-09-25 2014-06-22 2016-10-09 2016-10-09 2017-06-04 2017-06-04 2017-06-04. Author is listed
  2. NEP-DGE: Dynamic General Equilibrium (4) 2014-06-22 2014-11-07 2016-10-09 2017-06-04. Author is listed
  3. NEP-DCM: Discrete Choice Models (3) 2017-06-04 2017-06-04 2017-06-04. Author is listed
  4. NEP-ORE: Operations Research (3) 2014-11-07 2016-10-09 2016-10-09. Author is listed
  5. NEP-UPT: Utility Models & Prospect Theory (2) 2017-06-04 2018-08-20
  6. NEP-CBA: Central Banking (1) 2014-06-22
  7. NEP-EEC: European Economics (1) 2013-09-25
  8. NEP-LAM: Central & South America (1) 2013-09-25
  9. NEP-LTV: Unemployment, Inequality & Poverty (1) 2013-09-25
  10. NEP-MON: Monetary Economics (1) 2014-06-22
  11. NEP-NEU: Neuroeconomics (1) 2013-09-25
  12. NEP-PBE: Public Economics (1) 2013-09-25
  13. NEP-RMG: Risk Management (1) 2018-08-20

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