Details about Wouter Denhaan

E-mail:
Homepage:	http://www.wouterdenhaan.com
Postal address:	Department of Economics London School of Econmics and Political Science London WC2A 2AE
Workplace:	Economics Department, London School of Economics (LSE), (more information at EDIRC) Centre for Macroeconomics (CFM), (more information at EDIRC) Centre for Economic Policy Research (CEPR), (more information at EDIRC)

Access statistics for papers by Wouter Denhaan.

Last updated 2014-03-29. Update your information in the RePEc Author Service.

Short-id: pde12

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Working Papers

2020

1. Volatile Hiring: Uncertainty in Search and Matching Models
   Discussion Papers, Centre for Macroeconomics (CFM) View citations (3)

2018

2. Agnostic Structural Disturbances (ASDs): Detecting and Reducing Misspecification in Empirical Macroeconomic Models
   Discussion Papers, Centre for Macroeconomics (CFM) View citations (3)

2015

3. Exact Present Solution with Consistent Future Approximation: A Gridless Algorithm to Solve Stochastic Dynamic Models
   Discussion Papers, Centre for Macroeconomics (CFM) View citations (1)
4. Predictable Recoveries
   Discussion Papers, Centre for Macroeconomics (CFM)
5. Unemployment (Fears) and Deflationary Spirals
   Discussion Papers, Centre for Macroeconomics (CFM) View citations (82)

2014

6. Inventories and the Role of Goods-Market Frictions for Business Cycles
   Discussion Papers, Centre for Macroeconomics (CFM) View citations (1)

2009

7. Inefficient employment decisions, entry costs, and the cost of fluctuations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
8. Predicting recoveries and the importance of using enough information
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
9. The Myth of Financial Innovation and the Great Moderation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article The Myth of Financial Innovation and the Great Moderation, Economic Journal, Royal Economic Society (2011) View citations (36) (2011)

2008

10. Assessing the Accuracy of the Aggregate Law of Motion in Models with Heterogeneous Agents
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (87) (2010)
11. Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article Comparison of solutions to the incomplete markets model with aggregate uncertainty, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (70) (2010)
12. Solving the Incomplete Markets Model with Aggregate Uncertainty using Explicit Aggregation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article Solving the incomplete markets model with aggregate uncertainty using explicit aggregation, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (40) (2010)

2007

13. Anticipated Growth and Business Cycles in Matching Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (19)
    See also Journal Article Anticipated growth and business cycles in matching models, Journal of Monetary Economics, Elsevier (2009) View citations (120) (2009)
14. Cyclical Behavior of Debt and Equity Using a Panel of Canadian Firms
    Staff Working Papers, Bank of Canada View citations (10)
15. Solving Heterogeneous-Agent Models with Parameterized Cross-Sectional Distributions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
    See also Journal Article Solving heterogeneous-agent models with parameterized cross-sectional distributions, Journal of Economic Dynamics and Control, Elsevier (2008) View citations (39) (2008)
16. The Role of Debt and Equity Finance over the Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
    Also in Staff Working Papers, Bank of Canada (2006) View citations (15)
    2006 Meeting Papers, Society for Economic Dynamics (2006) View citations (11)

2005

17. Growth Expectations and Business Cycles
    2005 Meeting Papers, Society for Economic Dynamics View citations (3)

2004

18. Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Bank Loan Components and the Time‐varying Effects of Monetary Policy Shocks, Economica, London School of Economics and Political Science (2011) View citations (6) (2011)
19. Banks' Loan Portfolio and the Monetary Transmission Mechanism
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article Bank loan portfolios and the monetary transmission mechanism, Journal of Monetary Economics, Elsevier (2007) View citations (142) (2007)
20. Loan components and time varying effects of monetary policy shocks
    2004 Meeting Papers, Society for Economic Dynamics View citations (4)
21. Turbulence and Unemployment in a Job Matching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2004) View citations (3)
    IZA Discussion Papers, Institute of Labor Economics (IZA) (2004) View citations (3)
    See also Journal Article Turbulence And Unemployment In A Job Matching Model, Journal of the European Economic Association, MIT Press (2005) View citations (44) (2005)

2003

22. Temporary Shocks and Unavoidable Transitions to a High-Unemployment Regime
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002)

2001

23. Shocks and Institutions in a Job Market Model
    Computing in Economics and Finance 2001, Society for Computational Economics
24. Shocks and Institutions in a Job Matching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (48)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (56)
25. The Comovements between Real Activity and Prices in the G7
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (9)
    See also Journal Article The comovement between real activity and prices in the G7, European Economic Review, Elsevier (2004) View citations (43) (2004)

2000

26. Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (25)
27. THE IMPORTANCE OF THE NUMBER OF DIFFERENT AGENTS IN A HETEROGENEOUS ASSET-PRICING MODEL
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (1)
    See also Journal Article The importance of the number of different agents in a heterogeneous asset-pricing model, Journal of Economic Dynamics and Control, Elsevier (2001) View citations (31) (2001)

1999

28. Contract-Theoretic Approaches to Wages and Displacement
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1999) View citations (15)
    See also Journal Article Contract-theoretic approaches to wages and displacement, Review, Federal Reserve Bank of St. Louis (1999) View citations (8) (1999)
29. Job Destruction and the Experiences of Displaced Workers
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article Job destruction and the experiences of displaced workers, Carnegie-Rochester Conference Series on Public Policy, Elsevier (2000) View citations (60) (2000)
30. Liquidity Flows and Fragility of Business Enterprises
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (21)
    See also Software Item FORTRAN code for Liquidity Flows and Fragility of Business Enterprises, QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1999) (1999)
    Journal Article Liquidity flows and fragility of business enterprises, Journal of Monetary Economics, Elsevier (2003) View citations (111) (2003)

1997

31. Job Destruction and Propagation of Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
    See also Journal Article Job Destruction and Propagation of Shocks, American Economic Review, American Economic Association (2000) View citations (747) (2000)
    Software Item FORTRAN code for Job Destruction and Propagation of Shocks, QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1997) (1997)

1996

32. A Practitioner's Guide to Robust Covariance Matrix Estimation
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (48)
    See also Software Item VARHAC Covariance Matrix Estimator (FORTRAN), QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1996) (1996)
    Software Item VARHAC Covariance Matrix Estimator (GAUSS), QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1996) (1996)
    Software Item VARHAC Covariance Matrix Estimator (RATS), QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles (1996) (1996)
33. Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (26)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1995)
34. The Comovements Between Real Activity and Prices at Different Business Cycle Frequencies
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
35. Understanding Equilibrium Models with a Small and a Large Number of Agents
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)

1995

36. Small Sample Properties of GMM for Business Cycle Analysis
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (13)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (1995) View citations (4)
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1995) View citations (4)
    See also Journal Article Small-Sample Properties of GMM for Business-Cycle Analysis, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (36) (1996)

1993

37. Accuracy in simulations
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (8)

Journal Articles

2011

1. Bank Loan Components and the Time‐varying Effects of Monetary Policy Shocks
   Economica, 2011, 78, (312), 593-617 View citations (6)
   See also Working Paper Bank Loan Components and the Time-Varying Effects of Monetary Policy Shocks, CEPR Discussion Papers (2004) View citations (1) (2004)
2. The Cyclical Behavior of Debt and Equity Finance
   American Economic Review, 2011, 101, (2), 877-99 View citations (127)
3. The Myth of Financial Innovation and the Great Moderation
   Economic Journal, 2011, 121, (553), 707-739 View citations (36)
   See also Working Paper The Myth of Financial Innovation and the Great Moderation, CEPR Discussion Papers (2009) (2009)

2010

4. Assessing the accuracy of the aggregate law of motion in models with heterogeneous agents
   Journal of Economic Dynamics and Control, 2010, 34, (1), 79-99 View citations (87)
   See also Working Paper Assessing the Accuracy of the Aggregate Law of Motion in Models with Heterogeneous Agents, CEPR Discussion Papers (2008) View citations (3) (2008)
5. Comparison of solutions to the incomplete markets model with aggregate uncertainty
   Journal of Economic Dynamics and Control, 2010, 34, (1), 4-27 View citations (70)
   See also Working Paper Comparison of Solutions to the Incomplete Markets Model with Aggregate Uncertainty, CEPR Discussion Papers (2008) View citations (2) (2008)
6. Computational suite of models with heterogeneous agents: Incomplete markets and aggregate uncertainty
   Journal of Economic Dynamics and Control, 2010, 34, (1), 1-3 View citations (54)
7. Solving the incomplete markets model with aggregate uncertainty using explicit aggregation
   Journal of Economic Dynamics and Control, 2010, 34, (1), 69-78 View citations (40)
   See also Working Paper Solving the Incomplete Markets Model with Aggregate Uncertainty using Explicit Aggregation, CEPR Discussion Papers (2008) View citations (2) (2008)
8. Solving the incomplete markets model with aggregate uncertainty using parameterized cross-sectional distributions
   Journal of Economic Dynamics and Control, 2010, 34, (1), 59-68 View citations (31)

2009

9. Anticipated growth and business cycles in matching models
   Journal of Monetary Economics, 2009, 56, (3), 309-327 View citations (120)
   See also Working Paper Anticipated Growth and Business Cycles in Matching Models, CEPR Discussion Papers (2007) View citations (19) (2007)
10. Bank loan portfolios and the Canadian monetary transmission mechanism
    Canadian Journal of Economics, 2009, 42, (3), 1150-1175 View citations (12)

2008

11. Solving heterogeneous-agent models with parameterized cross-sectional distributions
    Journal of Economic Dynamics and Control, 2008, 32, (3), 875-908 View citations (39)
    See also Working Paper Solving Heterogeneous-Agent Models with Parameterized Cross-Sectional Distributions, CEPR Discussion Papers (2007) View citations (3) (2007)

2007

12. Bank loan portfolios and the monetary transmission mechanism
    Journal of Monetary Economics, 2007, 54, (3), 904-924 View citations (142)
    See also Working Paper Banks' Loan Portfolio and the Monetary Transmission Mechanism, CEPR Discussion Papers (2004) View citations (2) (2004)
13. Shocks and the Unavoidable Road to Higher Taxes and Higher Unemployment
    Review of Economic Dynamics, 2007, 10, (3), 348-366

2006

14. Financial innovations and macroeconomic volatility - comments
    Proceedings, 2006, (Nov) View citations (1)

2005

15. Turbulence And Unemployment In A Job Matching Model
    Journal of the European Economic Association, 2005, 3, (6), 1360-1385 View citations (44)
    See also Working Paper Turbulence and Unemployment in a Job Matching Model, CEPR Discussion Papers (2004) View citations (4) (2004)

2004

16. The comovement between real activity and prices in the G7
    European Economic Review, 2004, 48, (6), 1333-1347 View citations (43)
    See also Working Paper The Comovements between Real Activity and Prices in the G7, CEPR Discussion Papers (2001) View citations (9) (2001)

2003

17. Liquidity flows and fragility of business enterprises
    Journal of Monetary Economics, 2003, 50, (6), 1215-1241 View citations (111)
    See also Working Paper Liquidity Flows and Fragility of Business Enterprises, Cowles Foundation Discussion Papers (1999) View citations (18) (1999)

2001

18. Recursive macroeconomic theory, Lars Ljungqvist and Thomas J. Sargent; The MIT Press, Cambridge, MA, 2000, pp. 737, $60
    Journal of Economic Dynamics and Control, 2001, 25, (9), 1451-1456
19. The importance of the number of different agents in a heterogeneous asset-pricing model
    Journal of Economic Dynamics and Control, 2001, 25, (5), 721-746 View citations (31)
    See also Working Paper THE IMPORTANCE OF THE NUMBER OF DIFFERENT AGENTS IN A HETEROGENEOUS ASSET-PRICING MODEL, Computing in Economics and Finance 2000 (2000) View citations (1) (2000)

2000

20. Job Destruction and Propagation of Shocks
    American Economic Review, 2000, 90, (3), 482-498 View citations (747)
    See also Software Item FORTRAN code for Job Destruction and Propagation of Shocks, QM&RBC Codes (1997) (1997)
    Working Paper Job Destruction and Propagation of Shocks, NBER Working Papers (1997) View citations (36) (1997)
21. Job destruction and the experiences of displaced workers
    Carnegie-Rochester Conference Series on Public Policy, 2000, 52, (1), 87-128 View citations (60)
    See also Working Paper Job Destruction and the Experiences of Displaced Workers, NBER Working Papers (1999) View citations (2) (1999)
22. The comovement between output and prices
    Journal of Monetary Economics, 2000, 46, (1), 3-30 View citations (122)

1999

23. Contract-theoretic approaches to wages and displacement
    Review, 1999, (May), 55-68 View citations (8)
    See also Working Paper Contract-Theoretic Approaches to Wages and Displacement, NBER Working Papers (1999) View citations (13) (1999)

1998

24. Volatility clustering in real interest rates Theory and evidence
    Journal of Monetary Economics, 1998, 41, (3), 431-453 View citations (19)

1997

25. SOLVING DYNAMIC MODELS WITH AGGREGATE SHOCKS AND HETEROGENEOUS AGENTS
    Macroeconomic Dynamics, 1997, 1, (2), 355-386 View citations (77)

1996

26. Heterogeneity, Aggregate Uncertainty, and the Short-Term Interest Rate
    Journal of Business & Economic Statistics, 1996, 14, (4), 399-411 View citations (17)
    See also Software Item FORTRAN code for Heterogeinity, Aggregate Uncertainty and the Short-Term Interest Rate, QM&RBC Codes (1996) (1996)
27. Small-Sample Properties of GMM for Business-Cycle Analysis
    Journal of Business & Economic Statistics, 1996, 14, (3), 309-27 View citations (36)
    See also Working Paper Small Sample Properties of GMM for Business Cycle Analysis, NBER Technical Working Papers (1995) View citations (13) (1995)

1995

28. Convergence in stochastic growth models The importance of understanding why income levels differ
    Journal of Monetary Economics, 1995, 35, (1), 65-82 View citations (15)
29. The term structure of interest rates in real and monetary economies
    Journal of Economic Dynamics and Control, 1995, 19, (5-7), 909-940 View citations (82)

1990

30. Solving the Stochastic Growth Model by Parameterizing Expectations
    Journal of Business & Economic Statistics, 1990, 8, (1), 31-34 View citations (216)
    See also Software Item FORTRAN code for Simulation Parameterized Expecations Algorithm, QM&RBC Codes (1990) (1990)
31. The optimal inflation path in a Sidrauski-type model with uncertainty
    Journal of Monetary Economics, 1990, 25, (3), 389-409 View citations (23)

Chapters

2010

1. Pigou Cycles in Closed and Open Economies with Matching Frictions
   A chapter in NBER International Seminar on Macroeconomics 2010, 2010, pp 193-233 View citations (11)

Software Items

2001

1. FORTRAN code for Shocks and Institutions
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles

1999

2. FORTRAN code for Liquidity Flows and Fragility of Business Enterprises
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Working Paper Liquidity Flows and Fragility of Business Enterprises, Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1999) View citations (18) (1999)

1997

3. FORTRAN code for Job Destruction and Propagation of Shocks
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Working Paper Job Destruction and Propagation of Shocks, NBER Working Papers, National Bureau of Economic Research, Inc (1997) View citations (36) (1997)
   Journal Article Job Destruction and Propagation of Shocks, American Economic Review, American Economic Association (2000) View citations (747) (2000)
4. FORTRAN code for Solving Dynamic Models with Aggregate Shocks and Heterogeneous Agents
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles

1996

5. FORTRAN code for Heterogeinity, Aggregate Uncertainty and the Short-Term Interest Rate
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Journal Article Heterogeneity, Aggregate Uncertainty, and the Short-Term Interest Rate, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (17) (1996)
6. VARHAC Covariance Matrix Estimator (FORTRAN)
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Working Paper A Practitioner's Guide to Robust Covariance Matrix Estimation, NBER Technical Working Papers, National Bureau of Economic Research, Inc (1996) View citations (48) (1996)
7. VARHAC Covariance Matrix Estimator (GAUSS)
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Working Paper A Practitioner's Guide to Robust Covariance Matrix Estimation, NBER Technical Working Papers, National Bureau of Economic Research, Inc (1996) View citations (48) (1996)
8. VARHAC Covariance Matrix Estimator (RATS)
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
   See also Working Paper A Practitioner's Guide to Robust Covariance Matrix Estimation, NBER Technical Working Papers, National Bureau of Economic Research, Inc (1996) View citations (48) (1996)

1995

9. RATS code for Business Cycles Statistics and their Standard Errors
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles

1990

10. FORTRAN code for Simulation Parameterized Expecations Algorithm
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles
    See also Journal Article Solving the Stochastic Growth Model by Parameterizing Expectations, Journal of Business & Economic Statistics, American Statistical Association (1990) View citations (216) (1990)

Editor

1. Journal of Economic Dynamics and Control
   Elsevier