Olaf Posch

Universität Hamburg, Department of Economics

Professor

Von-Melle-Park 5

Hamburg, 20146

Germany

CREATES

International Research Fellow

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

17

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31

CROSSREF CITATIONS

43

Scholarly Papers (17)

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

Journal of Econometrics, 194:1, 2016, PDF includes Web Appendix
Number of pages: 106 Posted: 13 Mar 2011 Last Revised: 17 Dec 2016
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 349 (126,042)
Citation 3

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Structural estimation, AK-Vasicek model, Martingale estimating function

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

CESifo Working Paper Series No. 5030
Number of pages: 66 Posted: 04 Nov 2014
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 38 (624,795)
Citation 2

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structural estimation, AK-Vasicek model, Martingale estimating function

Resurrecting the New-Keynesian Model: (Un)Conventional Policy and the Taylor Rule

Number of pages: 53 Posted: 28 Feb 2018 Last Revised: 22 Sep 2020
Olaf Posch
Universität Hamburg, Department of Economics
Downloads 195 (225,780)
Citation 2

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Monetary economics, Calvo pricing, Term structure of interest rates

Resurrecting the New-Keynesian Model: (Un)Conventional Policy and the Taylor Rule

CESifo Working Paper Series No. 6925
Number of pages: 79 Posted: 07 May 2018
Olaf Posch
Universität Hamburg, Department of Economics
Downloads 56 (530,876)

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continuous-time dynamic equilibrium models, Calvo price setting

Numerical Solution of Dynamic Equilibrium Models Under Poisson Uncertainty

Journal of Economic Dynamics and Control, Vol. 37, 2013, pp. 2602-2622
Number of pages: 37 Posted: 17 Jul 2010 Last Revised: 18 Apr 2016
Olaf Posch and Timo Trimborn
Universität Hamburg, Department of Economics and Leibniz Universität Hannover
Downloads 184 (237,771)
Citation 6

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Continuous-time DSGE, Optimal stochastic control, Waveform Relaxation

Numerical Solution of Dynamic Equilibrium Models Under Poisson Uncertainty

CESifo Working Paper Series No. 3431
Number of pages: 37 Posted: 04 May 2011
Olaf Posch and Timo Trimborn
Universität Hamburg, Department of Economics and Leibniz Universität Hannover
Downloads 59 (517,504)
Citation 1

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continuous-time DSGE, Poisson uncertainty, waveform relaxation

4.
Downloads 187 (234,361)
Citation 8

Risk Premia in General Equilibrium

Journal of Economic Dynamics and Control, Vol. 35, No. 9, 2011
Number of pages: 39 Posted: 30 Dec 2010 Last Revised: 16 Jun 2012
Olaf Posch
Universität Hamburg, Department of Economics
Downloads 105 (369,233)
Citation 1

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Risk premium, Continuous-time DSGE, Optimal stochastic control

Risk Premia in General Equilibrium

CESifo Working Paper Series No. 3131
Number of pages: 47 Posted: 28 Jul 2010
Olaf Posch
Universität Hamburg, Department of Economics
Downloads 82 (432,731)

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risk premium, continuous-time DSGE

5.

Estimation of Heterogeneous Agent Models: A Likelihood Approach

CESifo Working Paper Series No. 6717
Number of pages: 35 Posted: 04 Jun 2020
Aarhus University - CREATES, Universität Hamburg, Department of Economics and University of Hamburg - Faculty of Economics and Business Administration
Downloads 152 (279,018)
Citation 3

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heterogeneous agent models, continuous-time, Fokker-Planck equations, identification, maximum likelihood

6.
Downloads 144 (291,475)
Citation 5

On the Link Between Volatility and Growth

Journal of Economic Growth, Vol. 16, No. 4, 2011
Number of pages: 43 Posted: 19 Aug 2009 Last Revised: 17 Jun 2012
Olaf Posch and Klaus Wälde
Universität Hamburg, Department of Economics and University of Mainz
Downloads 87 (417,269)
Citation 4

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Tax effects, Volatility measures, Poisson uncertainty, Endogenous cycles and growth, Continuous-time DSGE models

Natural Volatility, Welfare and Taxation

CESifo Working Paper Series No. 1748
Number of pages: 35 Posted: 14 Jul 2006
Olaf Posch and Klaus Wälde
Universität Hamburg, Department of Economics and University of Mainz
Downloads 57 (526,245)
Citation 1

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endogenous fluctuations and growth, welfare analysis, taxation, stochastic continuous time model, poisson uncertainty

7.

Peso Problems in the Estimation of the C-CAPM

Quantitative Economics (accepted for publication)
Number of pages: 56 Posted: 10 Jul 2012 Last Revised: 24 Jun 2021
Aarhus University - CREATES, Universität Hamburg, Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 134 (308,265)
Citation 2

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Rare disasters, Asset pricing errors, C-CAPM

8.

Measuring Convergence Using Dynamic Equilibrium Models: Evidence from Chinese Provinces

Number of pages: 30 Posted: 31 May 2012
Lei Pan, Olaf Posch and Michel van der Wel
Wageningen UR - Development Economics Group, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 122 (332,431)
Citation 1

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Economic convergence, Dynamic stochastic equilibrium models, Solow model, Structural estimation

9.

Structural Estimation of Jump-Diffusion Processes in Macroeconomics

Journal of Econometrics, Vol. 153, No. 2, 2009
Number of pages: 61 Posted: 23 Jun 2008 Last Revised: 16 Jun 2012
Olaf Posch
Universität Hamburg, Department of Economics
Downloads 111 (353,172)
Citation 18

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Jump-diffusion estimation, Stochastic growth, Closed form solutions

10.
Downloads 93 (396,738)

Delays in Public Goods

CESifo Working Paper Series No. 6341
Number of pages: 31 Posted: 15 Mar 2017
University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics, Universität Hamburg, Department of Economics and University of Hamburg
Downloads 59 (517,504)

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public goods, delays, time overrun, cost overrun, implementation lags, fiscal policy, economic growth

Delays in Public Goods

CESifo Working Paper Series No. 6341
Number of pages: 30 Posted: 02 Feb 2017 Last Revised: 28 Feb 2018
University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics, Universität Hamburg, Department of Economics and University of Hamburg
Downloads 34 (649,951)

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Public goods, delays, time overrun, cost overrun, implementation lags, fiscal policy, economic growth.

11.

Risk Matters: Breaking Certainty Equivalence in Linear Approximations

Number of pages: 58 Posted: 18 May 2018 Last Revised: 29 Oct 2020
Aarhus University - CREATES, University of Hamburg and Universität Hamburg, Department of Economics
Downloads 81 (431,444)
Citation 1

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Certainty equivalence, Perturbation methods, Pricing errors

On the Estimation of the Volatility-Growth Link

CREATES Research Paper 2012-21
Number of pages: 12 Posted: 08 Oct 2014 Last Revised: 23 Sep 2019
Andrey Launov, Olaf Posch and Klaus Wälde
University of Wuerzburg, Universität Hamburg, Department of Economics and University of Mainz
Downloads 51 (554,084)

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Volatility and growth; Volatility-growth regression; Endogenous variance; Unbiased estimates

On the Estimation of the Volatility-Growth Link

CESifo Working Paper Series No. 5018
Number of pages: 11 Posted: 04 Nov 2014
Andrey Launov, Olaf Posch and Klaus Wälde
University of Wuerzburg, Universität Hamburg, Department of Economics and University of Mainz
Downloads 25 (717,265)

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volatility and growth, growth regression, endogenous variance, unbiased estimates

13.
Downloads 63 (493,902)
Citation 1

Explaining Output Volatility: The Case of Taxation

CESifo Working Paper Series No. 2751
Number of pages: 42 Posted: 24 Aug 2009
Olaf Posch
Universität Hamburg, Department of Economics
Downloads 43 (595,573)
Citation 1

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macroeconomic volatility, tax effects, continuous-time DSGE models

Explaining Output Volatility: The Case of Taxation

Journal of Public Economics, Vol. 95, pp. 1589-1606, December 2011
Number of pages: 40 Posted: 17 Jun 2012
Olaf Posch
Universität Hamburg, Department of Economics
Downloads 20 (760,691)

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Macroeconomic volatliity, Tax effects, Continuous-time DSGE models

FTPL and the Maturity Structure of Government Debt in the New-Keynesian Model

Number of pages: 54 Posted: 20 Jul 2022
Max Ole Liemen and Olaf Posch
University of Hamburg - Faculty of Business, Economics, and Social Sciences and Universität Hamburg, Department of Economics
Downloads 33 (656,645)

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NK models, FTPL, Government debt, Maturity structure, CARES

FTPL and the Maturity Structure of Government Debt in the New Keynesian Model

CESifo Working Paper No. 9840
Number of pages: 56 Posted: 20 Jul 2022
Max Ole Liemen and Olaf Posch
University of Hamburg - Faculty of Business, Economics, and Social Sciences and Universität Hamburg, Department of Economics
Downloads 10 (862,055)

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NK models, FTPL, government debt, maturity structure, CARES

15.

Estimation of Heterogeneous Agent Models: A Likelihood Approach

Deutsche Bundesbank Discussion Paper No. 42/2020
Number of pages: 35 Posted: 04 Aug 2020
affiliation not provided to SSRN, Universität Hamburg, Department of Economics and Deutsche Bundesbank - Research Centre
Downloads 32 (646,722)

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Heterogeneous agent models, Continuous-time, Fokker-Planck equations, Kullback-Leibler divergence, Maximum likelihood

16.

Risk Matters: Breaking Certainty Equivalence

CESifo Working Paper No. 8250
Number of pages: 45 Posted: 05 May 2020
affiliation not provided to SSRN, University of Hamburg and Universität Hamburg, Department of Economics
Downloads 18 (753,753)

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certainty equivalence, perturbation methods, pricing errors

17.

Peso Problems in the Estimation of the C-CAPM

CEPR Discussion Paper No. DP16299
Number of pages: 59 Posted: 14 Jul 2021
Aalborg University Business School, Universität Hamburg, Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 0 (951,284)
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