DFG Project: Identification and Estimation of Dynamic Stochastic General Equilibrium Models: Skewness Matter

• About

  Research areas

  • Macroeconometrics: DSGE and (S)VAR models
  • Identifiability
  • Generalized Method of Moments
  • Bayesian MCMC
  • Skewed Kalman filter
  • Skewed distributions
  • Cumulants and Polyspectra
  • Time-varying risk premia
  • Rare disaster
  • Fiscal policy

  Education

  • Dr. rer. pol. in Economics, University Münster
  • Master of Science in Economics, University Münster
  • Bachelor of Science in Economics, University Bonn

  Professional Experiences

  • Interim Professor, Institute of Econometrics and Economic Statistics, University Münster
  • Postdoc, Econometrics and Statistics, TU Dortmund
  • Postdoc, Collaborative Research Centre 823 "Statistical Modelling of nonlinear dynamic processes", TU Dortmund
  • PhD Trainee, Fiscal Policies Division, European Central Bank
  • Research Associate, Institute of Econometrics and Economic Statistics, University Münster

  Awards

  • Dissertation prize of the economic faculty, University Münster
  • Presentation grant of the Swiss Nationalbank
  • Best student of the economic faculty, University Münster

• Lectures

   

• Publications

  • Ivashchenko, S., Mutschler, W. (2019): "The effect of observables, functional specifications, model features and shocks on identification in linearized DSGE models", Economic Modelling, forthcoming, doi.
  • Mutschler, W. (2018): "Higher-order statistics for DSGE models", Econometrics and Statistics, Vol. 6, pp. 44-56, doi.
  • Mutschler, W. (2016): “Local identification of nonlinear and non-Gaussian DSGE models”, Wissenschaftliche Schriften der WWU Münster, Reihe IV, Band 10, Full Access.
  • Mutschler, W. (2015): “Identification of DSGE Models - the Effect of Higher-Order Approximation and Pruning”, Journal of Economic Dynamics and Control, Vol. 56, pp. 34-54, doi.