Christian Matthes

Federal Reserve Bank of Richmond

P.O. Box 27622

Richmond, VA 23261

United States

SCHOLARLY PAPERS

29

DOWNLOADS
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948

SSRN CITATIONS
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Top 9,657

in Total Papers Citations

31

CROSSREF CITATIONS

81

Scholarly Papers (29)

1.

Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application

Economic Quarterly, Issue 4Q, pp. 323-352, 2015
Number of pages: 30 Posted: 04 Nov 2016
Thomas A. Lubik and Christian Matthes
Johns Hopkins University - Department of Economics and Federal Reserve Bank of Richmond
Downloads 258 (127,649)
Citation 5

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Understanding the Size of the Government Spending Multiplier: It's in the Sign

Number of pages: 53 Posted: 18 Jul 2017
Regis Barnichon and Christian Matthes
Federal Reserve Bank of San Francisco and Federal Reserve Bank of Richmond
Downloads 97 (290,937)
Citation 5

Abstract:

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Understanding the Size of the Government Spending Multiplier: It's in the Sign

CEPR Discussion Paper No. DP11373
Number of pages: 54 Posted: 11 Jul 2016
Regis Barnichon and Christian Matthes
Federal Reserve Bank of San Francisco and Federal Reserve Bank of Richmond
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3.
Downloads 69 (353,989)
Citation 1

Assessing Macroeconomic Tail Risk

FRB Richmond Working Paper No. 19-10
Number of pages: 22 Posted: 19 Apr 2019 Last Revised: 30 May 2019
Francesca Loria, Christian Matthes and Donghai Zhang
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Richmond and Institute for Macroeconomics and Econometrics - University of Bonn
Downloads 47 (432,517)

Abstract:

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macroeconomic risk, shocks, local projections

Assessing Macroeconomic Tail Risk

FEDS Working Paper No. 2019-026
Number of pages: 21 Posted: 16 Apr 2019
Francesca Loria, Christian Matthes and Donghai Zhang
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Richmond and Institute for Macroeconomics and Econometrics - University of Bonn
Downloads 22 (561,443)
Citation 1

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Macroeconomic risk, Shocks, Local projections

Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation

CAMA Working Paper No. 16/2014
Number of pages: 51 Posted: 10 Feb 2014 Last Revised: 11 Feb 2014
Thomas Lubik and Christian Matthes
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Bank of Richmond
Downloads 29 (516,949)
Citation 6

Abstract:

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Federal Reserve, Great Moderation, Bayesian Estimation, Least Squares Learning

Indeterminacy and Learning: An Analysis of Monetary Policy in the Great Inflation

FRB Richmond Working Paper No. 14-02
Number of pages: 50 Posted: 08 Feb 2014
Thomas Lubik and Christian Matthes
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Bank of Richmond
Downloads 23 (554,633)
Citation 4

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Federal Reserve, Great Moderation, Bayesian Estimation, Least Squares Learning

5.

Drifts, Volatilities, and Impulse Responses Over the Last Century

Richmond Fed Working Paper No. 14-10
Number of pages: 54 Posted: 10 Apr 2014
Pooyan Amir-Ahmadi, Christian Matthes and Mu‐Chun Wang
University of Illinois at Urbana-Champaign - Department of Economics, Federal Reserve Bank of Richmond and University of Hamburg - Faculty of Economics and Business Administration
Downloads 41 (448,198)
Citation 1

Abstract:

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Bayesian VAR, Time variation, U.S. monetary policy

6.

Optimal Disinflation Under Learning

FRB of New York Staff Report No. 524
Number of pages: 40 Posted: 10 Nov 2011
Timothy Cogley, Christian Matthes and Argia M. Sbordone
Leonard N. Stern School of Business - Department of Economics, Federal Reserve Bank of Richmond and Federal Reserve Bank of New York
Downloads 41 (448,198)
Citation 15

Abstract:

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inflation, monetary policy, learning, policy reforms, transitions

7.

A Bayesian Approach to Optimal Monetary Policy with Parameter and Model Uncertainty

Bank of England Working Paper No. 414
Number of pages: 74 Posted: 18 Mar 2011
Leonard N. Stern School of Business - Department of Economics, London School of Economics & Political Science (LSE) - Centre for Economic Performance (CEP), Federal Reserve Bank of Richmond, European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 41 (448,198)
Citation 6

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8.

Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

Bank of Finland Research Discussion Paper No. 5/2019
Number of pages: 67 Posted: 21 Feb 2019 Last Revised: 27 Feb 2019
Thomas A. Lubik, Christian Matthes and Fabio Verona
Johns Hopkins University - Department of Economics, Federal Reserve Bank of Richmond and Bank of Finland - Research
Downloads 39 (456,620)

Abstract:

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Wavelets, bandpass filter, SVAR, sign restrictions, DSGE model

Learning About Fiscal Policy and the Effects of Policy Uncertainty

FRB Richmond Working Paper No. 13-15
Number of pages: 39 Posted: 04 Oct 2013
Josef Hollmayr and Christian Matthes
Goethe University Frankfurt and Federal Reserve Bank of Richmond
Downloads 28 (522,988)
Citation 5

Abstract:

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DSGE, Fiscal Policy, Learning

Learning About Fiscal Policy and the Effects of Policy Uncertainty

Bundesbank Discussion Paper No. 51/2013
Number of pages: 36 Posted: 21 Jun 2016
Josef Hollmayr and Christian Matthes
Goethe University Frankfurt and Federal Reserve Bank of Richmond
Downloads 10 (646,948)

Abstract:

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DSGE, Fiscal Policy, Learning

10.

Measurement Errors and Monetary Policy: Then and Now

FRB Richmond Working Paper No. 15-13
Number of pages: 37 Posted: 30 Nov 2015
Pooyan Amir-Ahmadi, Christian Matthes and Mu-Chun Wang
University of Illinois at Urbana-Champaign - Department of Economics, Federal Reserve Bank of Richmond and Goethe University Frankfurt
Downloads 33 (483,279)

Abstract:

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real-time data, time-varying parameters, stochastic volatility, impulse responses

11.

Choosing Prior Hyperparameters

FRB Richmond Working Paper No. 16-9
Number of pages: 40 Posted: 25 Aug 2016
Pooyan Amir-Ahmadi, Christian Matthes and Mu-Chun Wang
University of Illinois at Urbana-Champaign - Department of Economics, Federal Reserve Bank of Richmond and Goethe University Frankfurt
Downloads 32 (488,063)

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12.

Theory Ahead of Measurement? Assessing the Nonlinear Effects of Financial Market Disruptions

FRB Richmond Working Paper No. 16-15
Number of pages: 43 Posted: 02 Dec 2016
Regis Barnichon, Christian Matthes and Alexander Ziegenbein
Federal Reserve Bank of San Francisco, Federal Reserve Bank of Richmond and Universitat Pompeu Fabra
Downloads 29 (503,267)

Abstract:

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Tales of Transition Paths: Policy Uncertainty and Random Walks

Bundesbank Discussion Paper No. 14/2015
Number of pages: 34 Posted: 21 Jun 2016
Josef Hollmayr and Christian Matthes
Goethe University Frankfurt and Federal Reserve Bank of Richmond
Downloads 14 (617,350)

Abstract:

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DSGE, Monetary-Fiscal Policy Interaction, Learning

Tales of Transition Paths: Policy Uncertainty and Random Walks

FRB Richmond Working Paper No. 15-11
Number of pages: 38 Posted: 25 Sep 2015
Josef Hollmayr and Christian Matthes
Goethe University Frankfurt and Federal Reserve Bank of Richmond
Downloads 13 (624,574)

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DSGE, Monetary-Fiscal Policy Interaction, Learning

Approximating Time Varying Structural Models with Time Invariant Structures

Banque de France Working Paper No. 578
Number of pages: 45 Posted: 02 Dec 2015
Fabio Canova, Filippo Ferroni and Christian Matthes
Bi norwegian business school, Federal Reserve Bank of Chicago and Federal Reserve Bank of Richmond
Downloads 27 (528,854)
Citation 14

Abstract:

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Structural model, time varying coefficients, endogenous variations, misspecification

Approximating Time Varying Structural Models with Time Invariant Structures

CEPR Discussion Paper No. DP10803
Number of pages: 43 Posted: 08 Sep 2015
Fabio Canova, Filippo Ferroni and Christian Matthes
Bi norwegian business school, Federal Reserve Bank of Chicago and Federal Reserve Bank of Richmond
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endogenous variations, misspecification, Structural model, time varying coefficients

15.

Monetary Policy Across Space and Time

FRB Richmond Working Paper No. 18-14
Number of pages: 33 Posted: 02 Oct 2018 Last Revised: 21 Feb 2019
Laura Liu, Christian Matthes and Katerina Petrova
Board of Governors of the Federal Reserve System, Federal Reserve Bank of Richmond and University of St Andrews
Downloads 20 (556,069)

Abstract:

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Monetary policy spillovers, time-varying parameters, changing volatility

16.

Optimized Taylor Rules for Disinflation When Agents are Learning

FRB Richmond Working Paper No. 14-07
Number of pages: 34 Posted: 02 Apr 2014
Timothy Cogley, Christian Matthes and Argia M. Sbordone
Leonard N. Stern School of Business - Department of Economics, Federal Reserve Bank of Richmond and Federal Reserve Bank of New York
Downloads 19 (562,492)
Citation 1

Abstract:

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inflation, monetary policy, learning, policy reforms, transitions

A Composite Likelihood Approach for Dynamic Structural Models

FRB Richmond Working Paper No. 18-12
Number of pages: 41 Posted: 20 Aug 2018 Last Revised: 21 Feb 2019
Fabio Canova and Christian Matthes
Bi norwegian business school and Federal Reserve Bank of Richmond
Downloads 18 (588,981)

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dynamic structural models, composite likelihood, identification, singularity, large scale models, panel data

A Composite Likelihood Approach for Dynamic Structural Models

CEPR Discussion Paper No. DP13245
Number of pages: 45 Posted: 22 Oct 2018
Fabio Canova and Christian Matthes
Bi norwegian business school and Federal Reserve Bank of Richmond
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composite likelihood, dynamic structural models, identification, large scale models, panel data, singularity

Indeterminacy and Imperfect Information

FRB Richmond Working Paper No. 19-17
Number of pages: 62 Posted: 22 Oct 2019
Thomas Lubik, Christian Matthes and Elmar Mertens
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond and Deutsche Bundesbank
Downloads 9 (654,466)

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Limited information, rational expectations, Kalman filter, belief shocks

19.

Understanding the Size of the Government Spending Multiplier: It's in the Sign

FRB Richmond Working Paper No. 17-15
Posted: 18 Dec 2017 Last Revised: 07 Apr 2018
Christian Matthes
Federal Reserve Bank of Richmond
Downloads 14 (594,298)

Abstract:

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government spending

20.

Beveridge Curve Shifts and Time-Varying Parameter Vars

Economic Quarterly, Issue 3Q, pp. 197-226, 2016
Number of pages: 30 Posted: 03 Aug 2017 Last Revised: 30 Aug 2017
Thomas A. Lubik, Christian Matthes and Andrew Patrick Owens
Johns Hopkins University - Department of Economics, Federal Reserve Bank of Richmond and Independent
Downloads 14 (594,298)

Abstract:

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Beveridge curve, TVP-VAR, time-varying parameter vector-autoregressions, labor market

21.

What Do Sectoral Dynamics Tell Us About the Origins of Business Cycles?

FRB Richmond Working Paper No. 19-9
Number of pages: 47 Posted: 11 Apr 2019
Christian Matthes and Felipe Schwartzman
Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 13 (600,861)

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Aggregate Shocks, Sectoral Data, Bayesian Analysis, Impulse Responses

22.

Assessing U.S. Aggregate Fluctuations Across Time and Frequencies

FRB Richmond Working Paper No. 19-6
Number of pages: 45 Posted: 01 Mar 2019 Last Revised: 29 Apr 2020
Thomas Lubik, Christian Matthes and Fabio Verona
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond and Bank of Finland - Research
Downloads 8 (634,950)

Abstract:

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Wavelets, bandpass filter, SVAR, sign restrictions, DSGE model

23.

How Likely is the Zero Lower Bound?

Economic Quarterly, Issue 1Q, pp. 41-54, 2019
Number of pages: 17 Posted: 12 Mar 2019 Last Revised: 29 Apr 2020
Thomas Lubik and Christian Matthes
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Bank of Richmond
Downloads 7 (641,744)

Abstract:

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federal funds rate, zero lower bound, TVP-VAR

24.

Choosing the Variables to Estimate Singular DSGE Models

CEPR Discussion Paper No. DP9381
Number of pages: 36 Posted: 12 Mar 2013
Fabio Canova, Filippo Ferroni and Christian Matthes
Bi norwegian business school, Federal Reserve Bank of Chicago and Federal Reserve Bank of Richmond
Downloads 2 (680,100)
Citation 2
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ABCD representation, Density ratio, DSGE models., Identification

25.

Detecting and Analyzing the Effects of Time‐Varying Parameters in DSGE Models

International Economic Review, Vol. 61, Issue 1, pp. 105-125, 2020
Number of pages: 21 Posted: 22 May 2020
Fabio Canova, Filippo Ferroni and Christian Matthes
Bi norwegian business school, Federal Reserve Bank of Chicago and Federal Reserve Bank of Richmond
Downloads 0 (710,023)
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26.

Dealing with Misspecification in Structural Macroeconometric Models

CEPR Discussion Paper No. DP13511
Number of pages: 51 Posted: 11 Feb 2019 Last Revised: 18 Feb 2019
Fabio Canova and Christian Matthes
Bi norwegian business school and Federal Reserve Bank of Richmond
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Bayesian model averaging, composite likelihood, finite mixture, model misspecification

27.

Assessing the Non-Linear Effects of Credit Market Shocks

CEPR Discussion Paper No. DP11410
Number of pages: 49 Posted: 25 Jul 2016
Regis Barnichon, Christian Matthes and Alexander Ziegenbein
Federal Reserve Bank of San Francisco, Federal Reserve Bank of Richmond and Universitat Pompeu Fabra
Downloads 0 (710,023)
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28.

Gaussian Mixture Approximations of Impulse Responses and the Non-Linear Effects of Monetary Shocks

CEPR Discussion Paper No. DP11374
Number of pages: 65 Posted: 11 Jul 2016
Regis Barnichon and Christian Matthes
Federal Reserve Bank of San Francisco and Federal Reserve Bank of Richmond
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29.

Stimulus Versus Austerity: The Asymmetric Government Spending Multiplier

CEPR Discussion Paper No. DP10584
Number of pages: 28 Posted: 12 May 2015
Régis Barnichon and Christian Matthes
International Monetary Fund (IMF) and Federal Reserve Bank of Richmond
Downloads 0 (710,023)
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fiscal policy, Gaussian Mixture Approximation