Prof. Dr. Alfred Maußner: Empirische Makroökonomik

Herzlich Willkommen am Lehrstuhl für empirische Makroökonomik an der Universität Augsburg

8. September 2022

Klausureinsicht Sommersemester 2022

Am 17.10.2022 haben Sie von 15:45 bis 19:00 Uhr die Möglichkeit die Klausuren des Sommersemesters 2022 im Raum J2105 einzusehen. Anmeldungen sind bis zum 10.10.2022 in der Terminvergabe von Herrn Vasilij Konysev im Digicampus einzutragen. Nennen Sie dabei Ihre Matrikelnummer und die Klausur, in die Sie einsehen möchten. Eine Anmeldung ist zwingend erforderlich.

29. April 2022

Neues Diskussionspapier: "An Augmented Steady-State Kalman Filter to Evaluate the Likelihood of Linear and Time-Invariant State-Space Models" von J. Huber

We propose a modified version of the augmented Kalman filter (AKF) to evaluate the likelihood of linear and time-invariant state-space models (SSMs). Unlike the regular AKF, this augmented steady-state Kalman filter (ASKF), as we call it, is based on a steady-state Kalman filter (SKF). We show that to apply the ASKF, it is sufficient that the SSM at hand is stationary. We find that the ASKF can significantly reduce the computational burden to evaluate the likelihood of medium- to large-scale SSMs, making it particularly useful to estimate dynamic stochastic general equilibrium (DSGE) models and dynamic factor models. Tests using a medium-scale DSGE model, namely the 2007 version of the Smets and Wouters model, show that the ASKF is up to five times faster than the regular Kalman filter (KF). Other competing algorithms, such as the Chandrasekhar recursion (CR) or a univariate treatment of multivariate observation vectors (UKF), are also outperformed by the ASKF in terms of computational efficiency.

10. Juni 2021

Neues Diskussionspapier: "Hedging Against Inflation: Housing vs. Equity" von D. Fehrle

To which extent do equity and housing hedge against inflation? Despite an extensive literature, there is only little consensus. This paper presents new evidence from the Jordà-Schularick-Taylor Macrohistory Database, which covers return rates on housing and equity as well as consumer price indices of 16 developed countries from 1870 - 2015. The results depend on the time horizon and period considered. Within one, five, and ten years housing hedges, at least partly, against inflation and the hedge has been better in the post-war period. In the long run housing provides an excessive hedge in the whole sample and a perfect hedge in the post-war period. Equity provides no hedge within one-year in the whole sample period and the returns tend to decrease with inflation in the post-war period. The hedge improves slightly with a longer time horizon and is perfect in the long run in the post-war period. Thus, housing is, at least weakly, superior in hedging against inflation.

30. April 2020

Allgemeine Kontaktinformationen:

Anschrift:
Universität Augsburg
Wirtschaftswissenschaftliche Fakultät
Lehrstuhl für empirische Makroökonomik
Gebäude J, Ebene 2, Raum 2419
Universitätsstr. 16
86159 Augsburg

Telefon: +49 821 598 -4188 (Sekretariat)

Fax: +49 821 598 -4231

E-Mail: monika.bredow@wiwi.uni-augsburg.de

Gebäude: J

Prof. Dr. Alfred Maußner: Empirische Makroökonomik

Herzlich Willkommen am Lehrstuhl für empirische Makroökonomik an der Universität Augsburg

Klausureinsicht Sommersemester 2022

Neues Diskussionspapier: "An Augmented Steady-State Kalman Filter to Evaluate the Likelihood of Linear and Time-Invariant State-Space Models" von J. Huber

Neues Diskussionspapier: "Hedging Against Inflation: Housing vs. Equity" von D. Fehrle

Institut für Volkswirtschaftslehre

Team

Lehre

Forschung

Abschlussarbeiten

DGE Buch

Allgemeine Kontaktinformationen:

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