Christian Matthes
@cmatthes_econ
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@IUBloomington Economics Professor. @goetheuni / @nyuniversity alumnus.
Bloomington, IN
Joined December 2018
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Just received word that I got promoted to full professor here
@IUBloomington
. I am feeling incredibly grateful - many thanks to my advisors, coauthors, professors, and most of all my wife who moved with me across the Atlantic and back as well as across the US.
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Have you ever wondered how to discriminate between models that are too stylized to be taken directly to the data?
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Super excited that this paper with Francesca and Mu-Chun is now forthcoming at the JME.
Have you ever wondered how to discriminate between models that are too stylized to be taken directly to the data?
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Man, rejections don’t get any easier to handle even after many years in the profession. Dirk Krueger told me as a PhD student that this is not the job for you if you can’t handle rejections. Good to remember on days like this.
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An hour well spent: listening to Tom Sargent on the history of macroeconomics.
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I am not a Smets-Wouters fanboy, but don't think this paper is as decisive a takedown of that model or DSGE estimation in general as the authors and many people on twitter believe. To be clear, it is a useful exercise. But identification issues in these models are well known.
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A beautiful short talk by Tom Sargent on how to think about Machine Learning in economics.
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How do standard instruments in empirical macro work? We try to shed some light on this in a new paper with
@PooyanAA
and Mu-Chun Wang:
“Understanding Instruments in Macroeconomics - A Study of High-Frequency Identification”
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That's what I do with coauthors before they present our paper :D
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I received the news yesterday that I was elected a fellow of the IAAE. It is humbling, especially when considering all the current fellows as well as those new fellows that were elected with me.
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Do the effects of monetary policy depend on the level of inflation? There are quite a few theoretical channels that suggest they could/should. We explore this issue empirically with a threshold VAR and find substantial differences depending on whether inflation is below
Monetary Policy across Inflation Regimes
By Valeria Gargiulo, Christian Matthes, and Katerina Petrova
>>>
#AMEC
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Very happy that this paper is now forthcoming at the JME!
We also provide code in case you ever feel the need to average impulse responses ;)
In this paper, Paul, Thomas, and I extend ideas from the literature on prediction pools (Amisano & Geweke, for example) to propose a way to average across impulse response estimates.
You might wonder why we need yet another way to average across models/estimates.
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Some shameless advertising: I will be teaching a short course in the Fall
@DIW_Berlin
on nonlinear and non-Gaussian time series models. Please reach out if you have any questions!
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Juan Dolado, Luca Gambetti, and I are editing a volume in honor of Fabio Canova. Please consider submitting!
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I just had a scary thought: When I talk to junior people today about Matlab code, do they feel the same way I did back in the day when people would show me their Gauss code?
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Steven Weinberg, the 1979 nobel laureate in Physics passed away yesterday. I remember reading his 2003 commencement address at McGill and being struck by how relevant it was for me - all of his advice applies equally well to econ PhD students.
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Sign and magnitude/ranking restrictions are commonly used to identify structural shocks and their impact in VARs. Joshua Chan,
@yu_xuewen
, and myself have a new paper that proposes an algorithm to drastically improve numerical efficiency of such inference, making it possible
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Congratulations to my PhD student Byung Goog Park, who defended his thesis this morning. Byung Goog did great work on international spillovers of US monetary policy shocks - a fitting topic given that he will start at the Bank of Korea soon!
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Very happy about this outcome! 😊
The 2007-2008 financial crisis caused a large permanent reduction in the size of the US economy. Just Accepted new paper by Regis Barnichon, Christian Matthes, Alexander Ziegenbein.
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We started working on this paper when I was still in Richmond in 2019. Glad it has found a good home.
Forthcoming in EJ: ‘Assessing macroeconomic tail risk’ by Francesca Loria, Christian Matthes, Donghai Zhang
@cmatthes_econ
@DonghaiZhang3
@RoyalEconSoc
@OUPEconomics
#EconTwitter
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Forthcoming in AEJ: Macroeconomics: "Severe Weather and the Macroeconomy" by Hee Soo Kim, Christian Matthes, and Toàn Phan.
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There is only one thing that should come to an economist’s mind when seeing that picture…
My favourite painter when I was a kid. Hundertwasser, in the Vienna Belvedere.
Last time I was at the Belvedere, it was to meet Otto von Habsburg to interview him about what his ‚European Dream‘ would be. I remember asking him if he had regrets not having become an Emperor like
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Jetzt finanziert der deutsche Staat also direkt Putin und treibt Energiepreise in die Hoehe. Coole Sache.
Unfassbar. Das direkte Gegenteil jeder wissenschaftlichen Empfehlung - egal, wie man zum Embargo steht. Aus Covid nichts gelernt?
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I am preparing some teaching material about Mikkel Plagborg Moller & Christian Wolf’s JPE paper on variance decompositions. The more I think about the material, the more I appreciate that paper.
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#EconTwitter
We have an open rank position in macro. Tenured folks will be considered for a chaired position.
Bloomington is a great town to live in and we have a collegial group with strengths in macro and many adjacent fields (metrics, trade, ...).
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I’m traveling tomorrow to give a seminar
@NYFedResearch
. As I was packing, I was shocked to realize that it will be 20 years this year since I first traveled to NYC to start grad school
@NYUFASEcon
. Time flies!
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Great to see this paper finally out. I think we started to work on it in earnest in 2014!
Recently accepted by EJ: "A composite likelihood approach for dynamic structural models" by Fabio Canova & Christian Matthes
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Reading this paper brought back a lot of memories: (I) Tom Sargent over the course of a few years asked some of his RAs to help him solve various models in Dynare to showcase its flexibility, leading to “Practicing Dynare”:
Who create new paradigms in economics? Not just famed theorists & modelers
But also lesser-known econs who write computational algorithms & design software
@cescoeco
, A.Saidi & I wrote a history of how DSGEs became dominant. It's the history of Dynare
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Doing my annual review - I have to admire the confidence the creators of this website have in IU faculty - one option for achievements in the drop down menu is the Nobel Prize
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Showing my PhD students that they have big shoes to fill (one of the rooms in the department has copies of all past IU econ PhD theses)
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“Team Transitory” apparently changed to “Team Long Transitory”. Weird way of saying that you’re wrong
Still no recession, but core PCE down to 2.2% on a three-month basis. Team Long Transitory for the win.
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Economists spend a lot of time uncovering 'stylized facts' - robust patterns in data. I get that. And one robust pattern is that unemployment increases very fast at the onset of a recession, while it takes a long time to come back down.
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I spent the last few days at the International Research Forum on Monetary Policy at the Board. Tons of great papers, I learned a lot. Maybe more importantly, I’m reminded US monetary policy is in good hands with all the
@NYUFASEcon
alumni there 😁
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A journal rejection at 8 pm on New Year’s Eve. What a way to ring in the new year…
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We provide a perturbation-based solution method to Markov-switching equilibrium models with Bayesian learning (in addition to a substantive application that focuses on uncertainty about TFP and investment-specific technological progress). It was a lot of fun working on this!
Check out this newly accepted paper in the IER by Andrew Foerster and Christian Matthes on learning about regime shifts:
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We’re hiring
@IUBloomington
! In particular, we’re looking to hire an endowed chair in macro. If you are interested feel free to reach out! I think we have a great department with lots of people doing really cool research.
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I had a great time visiting the
@bankofcanada
today. Really impressed by the top notch work people are doing here!
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Crazy to think that 100 years ago the next stop on my train was the epicenter of math and physics research worldwide
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Two observations:
1. This Hansen & Sargent book is truly outstanding, I recommend it to every student.
2.
@CavaliereGiu
is providing a tremendous service to the profession with his tweets. Thanks!
Hi
#EconTwitter
!
If you care about 𝐭𝐢𝐦𝐞 (𝐬𝐞𝐫𝐢𝐞𝐬), here's another must-have in your
#econometrics
book collection:
@UncertainLars
(
@uchicago
) and Tom Sargent's (
@NYU
) book on dynamic linear economies!📈
It's free on Lars' website👇
Outstanding stuff, get it now! 🎯🌟
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If you ever wanted to hear Thomas Lubik and me talk about r* now is your chance!
Economists wrestle with measuring the natural rate of interest, a valuable input in the monetary policy process. Find out more about the Richmond Fed's approach to this key measurement and how it has evolved over time: .
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Once you take into account statistical uncertainty, the two measures do not seem to be that different (especially if you also plotted error bands for LW).
Many will find that argument unsatisfactory, which I understand. However, large statistical uncertainty is a defining
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Beautiful work - you can’t do better than learning about monetary policy from Mark Gertler and Marvin Goodfriend
New from Mark Gertler: "I write on Marvin Goodfriend's contribution to research on monetary policy. In doing so I take a short trip through the literature."
#NYU
#Economics
#NYUFASEcon
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Very excited that this paper with Thomas Lubik and Elmar Mertens is now forthcoming at RED.
This paper identifies a new channel that generates indeterminacy when one type of agent is more informed than another and the less informed agent processes information optimally introducing stable dynamics that lead to self-fulfilling expectations.
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Word cloud based on my papers. Gonna show this to any dean who questions policy relevance of the research done in the Econ department 😁
(created via )
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With all due respect, where do “orthodox” econ programs treat economics as static, natural laws? I think there is unfortunately a lot of misunderstanding in other disciplines about what modern econ does.
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If (and that’s a big if) German trains are working they’re actually really nice to work in
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Recipients of both the Physics and Chemistry Nobel prizes this year are associated with the
@maxplanckpress
. Great success for the German science funding model. Makes you wonder why MP institutes never took off in social sciences/econ.
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1 down, 1 to go. Organization was amazing - had the shot in my arm 5 minutes after leaving the car.
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Of course, correlation is not causation, but this post wants you to forget about that.
Of course, correlation is not causation, but this graph from the European Commission is still quite stunning: The greater the increase in unit profits, the higher inflation (measured as GDP deflator).
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New working paper with Maggie Jacobson and Todd Walker. We argue that temporal aggregation can greatly exacerbate impact effects when estimating IRFs. We have (i) simulation-based evidence, (ii) analytical results, and (iii) empirical results where we use daily inflation data
New
#FEDSPaper
find that the adverse response of daily inflation to high-frequency monetary policy shocks is short-lived, if it is present at all:
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According to Bloomberg, the US reported 4.6 million vaccinations today. What an achievement!
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A historical tidbit: Sargent and Sims in their 1979 factor paper actually use residuals from univariate AR models as ‘observables’ in their factor model, something Hamilton gives a foundation for.
Hi
#EconTwitter
!
𝐉𝐢𝐦 𝐇𝐚𝐦𝐢𝐥𝐭𝐨𝐧 (
@UCSDEcon
) is doing some cool
#econometrics
work on 𝐩𝐫𝐢𝐧𝐜𝐢𝐩𝐚𝐥 𝐜𝐨𝐦𝐩𝐨𝐧𝐞𝐧𝐭 𝐚𝐧𝐚𝐥𝐲𝐬𝐢𝐬 for stationarity & non-stationary time series!
For those interested in measuring common cycles in large dim data, check it out!👇
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Great post on the recent GDP release over at Econbrowser:
I found the picture below especially interesting:
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In the 1980s at MIT, VARs were apparently considered “extremely mathy” 😁
Also funny that Barsky later wrote quite a few papers that featured VARs prominently
At MIT econ in the 80s, Bob Litterman was known as "Vector Bob" because he did time-series econometrics with vector autoregressions. Bob Barsky, my classmate, was nicknamed "Scalar" because his work was at the opposite extreme of mathiness and obscurity, using deep econ instead.
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What a sad day for economics. One of the most brilliant minds, and someone who revolutionized economics. I will never forget the first time I met him when I was a grad student. He was just incredibly unassuming and eager to to talk to young people in the field.
Today is a sad day for economics. Robert E. Lucas, Jr., a great researcher and teacher died this morning.
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In this paper, Paul, Thomas, and I extend ideas from the literature on prediction pools (Amisano & Geweke, for example) to propose a way to average across impulse response estimates.
You might wonder why we need yet another way to average across models/estimates.
New working paper from the Richmond Fed: "Averaging Impulse Responses Using Prediction Pools" by Paul Ho, Thomas Lubik and
@cmatthes_econ
#EconTwitter
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Some shameless self-advertising: new paper with Andrew Foerster on learning in a world with recurrent regime changes.
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Heading back to Germany to visit the ECB and give a few talks in Germany and one in the Netherlands. Man, those sabbaticals are nice 😁
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I’ll be spending some time in Germany in October and again in early December for my sabbatical (hosted by the ECB and the Bundesbank). In case anyone in Germany has a free slot in their seminar schedule and interest in empirical macro let me know 😁
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Super happy that his paper is now forthcoming in the IER. If you have seen previous versions of the paper have a look at the latest version (on our webpages) - it is much improved along many dimensions!
Some shameless self-advertising: new paper with Andrew Foerster on learning in a world with recurrent regime changes.
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It's great to have in-person seminars back on campus. Really an integral part of doing research. We had Nelson Mark from
@nd_econ
last week and
@ChrisHuckfeldt
today - learned a lot from both!
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Today
@SoumayaKeynes
is having a pretty negative take on measures of r* in the
@FT
. I agree with the view that (statistical) uncertainty is massive. The question is how measures of r* are used.
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This is not an exaggeration. I went to get some groceries on Friday, it was -10 Celsius outside and there were guys in the parking lot walking around in shorts.
Nobody:
Midwesterners saying “it’s really not that bad out”
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Must-read by Ken Rogoff
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I guess the oil price shocks of the 1970s never happened?
Inflation used to be thought of as being ‘always and everywhere a macroeconomic phenomenon’ that macro tightening should address. However, the current inflation is the result of sectoral shocks that involve large changes in relative prices & require a micro policy response. 2/
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One thing I learned in academia is that any problem can be solved by creating new administrative positions.
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Apparently a man and his dog are very interested in our research
@MacroInPieces
How much does household consumption impact business cycles?
Household consumption shocks have accounted for close to 40% of pre-pandemic
#business
cycle fluctuations, according to our latest
#EconomicBrief
:
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How is an experiment like that even remotely ethical? People are already getting heavily taxed with many referee requests as it is. Now it’s ok to send out sham papers apparently.
I didn't know this paper...
>300 people refereed the same economics paper, with author listed as
1. an early career scholar
2. anonymous
3. a Nobel laureate (from same university as 1)
Recommendations:
65% reject for early career scholar,
23% reject for Nobel laureate
😑
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Great session today at the NBER Summer Institute DSGE group:
(I’m presenting my work with Francesca Loria and Tomi Wang starting at the one hour mark)
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A fantastic researcher and one of the nicest people you’ll ever meet - congrats Christiane!
Congratulations to Christiane Baumeister, just awarded an endowed professorships. She shall henceforth be known as the Lambert Family Professor of Economics. Pictured here with our dean and some members of the department.
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The Bank of Japan has kindly included a discussion of my recent work with Hee Soo Kim and Toan Phan in a recent newsletter:
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I sometimes wonder how different my life/career would be if I had not been accepted off the waitlist to NYU’s Econ PhD program.
I’m glad they took mercy on me !
Happy 190th birthday to us! NYU was founded on this day in 1831, and this Founders Memorial on Schwartz Plaza (just east of Bobst Library) features the only surviving architectural detail from the very first building the University built on Washington Square.
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my wife just said that she doesn’t like asymmetries. Doesn’t she know that the work on asymmetric impulse responses got me tenure? 😜
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Few have revolutionized economics as much as Ed Prescott. What a loss.
Today is a very, very sad day. My colleague Ed Prescott died this morning.
Needless to say, he was one of the great minds of modern economics. Ed influenced many of us in multiple ways. He will be missed greatly.
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New record for me today: two referee requests from the same journal within an hour or so. At least they came from different editors...
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Each Spring semester all third year econ PhD students
@IUBloomington
present their research at an internal conference. It’s really great (especially as an adviser) to see how far the students have come in a year. Definitely a highlight for me each year.
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@gp_mihalache
@AppliedMMT
@dandolfa
I wish I had seen this years ago - apparently you can do macro via accounting identities. No need for any more theoretical or empirical work.
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Just received two journal rejections within one hour. That has to be some sort of record, right?
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Great questions by IU alumni tonight! ( I realize I should have retweeted this before the event…)
Tonight @ 7 PM, don't miss the next in our Food for Thought series: 2022 U.S. Economic Outlook, presented by Prof. Christian Matthes (Economics)! He will survey current economic conditions in the U.S. + discuss the outlook for 2022. You can register here:
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Just re-read
@Francesco_Bia
and Cosmin Ilut's paper in
@RevEconDyn
for a new project. What a great read - should be on every applied macro reading list.
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I guess somebody has been to my website...
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From a dinner talk by
@UncertainLars
at the conference in honor of my colleague Joon Park.
This tension was huge when I was at the Fed - understanding (and appreciating) uncertainty is something many policymakers should work on
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If you know a student who wants to pursue a PhD in Econ (especially those interested in macro /time series ), tell them to consider IU:
If you are a prospective student and have any questions don’t hesitate to reach out!
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