Matthias Rottner

Economist @BIS_org ‖ Research Economist @bundesbank (on leave) ‖ PhD @EUI_EU ‖ Macro, Monetary Policy, Macro-Finance ‖ Views are my own

[Matthias Rottner @MatthiasRottner]

🚨How can we use machine learning techniques to solve and estimate HANK models?🚨

We updated our paper on estimating nonlinear HANK with neural networks.

Now with a first set of example codes for our method! Check out https://t.co/RwJzLrnY3T

@HannoKase and @LeonardoMelosi

[VoxEU @voxeu]

The impact of geopolitical risk on the euro area economy: Past experience and future prospects
Yevheniia Bondarenko, Nayeon Kang, Vivien Lewis @bundesbank, @MatthiasRottner, Yves Schüler @bundesbank
https://t.co/Z9zafspcQ5

[Bank for International Settlements @BIS_org]

Central bank framework reviews have gained increasing prominence in recent years. But how do private agents learn new monetary policy strategies, especially amid significant inflationary and deflationary shocks? https://t.co/vyezhShMDn

[Bank for International Settlements @BIS_org]

A new euro area-specific index of geopolitical risk indicates that geopolitical shocks are stagflationary for the euro area. Scenario analysis shows that the euro area economic outlook is highly sensitive to future geopolitical risk developments. https://t.co/2k8qOFkf5S

[International and Monetary Economics Network @int_mon_econ]

Super interesting!

"The perils of narrowing fiscal spaces" by Hanno Kase, Leonardo Melosi, Sebastian Rast, and Matthias Rottner.

"When public debt is elevated, the fiscal cost of fighting inflation rises sharply, as interest rate hikes increase government interest expenditures. We formalize this mechanism in a nonlinear New Keynesian model with a state-dependent fiscal constraint on monetary policy. High debt may dampen the monetary response to inflation, generating an inflationary bias even though government debt remains fully fiscally backed. The interaction between high debt and inflationary cost-push shocks makes the fiscal limit more likely to bind, amplifying inflation. In demand-driven downturns, the fiscal constraint may become more restrictive than the zero lower bound, forcing the central bank to either print money to purchase excess debt or accept fiscal dominance."

https://t.co/jIviy61dpA

[Leonardo Melosi @LeonardoMelosi]

New paper out 📉📄 Large public debt can seriously constrain central banks’ ability to fight inflation. Comments welcome! Coauthored with @HannoKase @MatthiasRottner @seb_rast.

[Bank for International Settlements @BIS_org]

Rising government debt makes rate hikes fiscally costly and may intensify pressure on central banks. A new model with an endogenous upper bound on the interest rate coming from debt service constraints shows how an easing bias can fuel persistent inflation https://t.co/mWnEY0gvAv

[Bank for International Settlements @BIS_org]

Using generative economic modelling, a novel method to solve economic models, we examine whether aggregate risk amplifies economic dynamics in a macroeconomic model with heterogeneous agents and financial frictions.

https://t.co/5NRYsY2LKD

[Bank for International Settlements @BIS_org]

The BIS Multisector Model, a new macroeconomic model featuring a detailed production network and accompanied by a ready-to-use toolbox, analyses economic dynamics and monetary policy reactions in more than 80 economies. https://t.co/5H4yx6Kcvi

[Bank for International Settlements @BIS_org]

How does the inflation environment shape the effects of monetary policy? High-frequency data show that, in a high-inflation regime, monetary policy shocks strongly amplify labour income inequality and aggregate consumption https://t.co/EGmwlohSuH

[Jeppe Druedahl @JeppeDruedahl]

I have a new working paper on solving complex life-cycle models with deep learning.

Paper: https://t.co/eGcyvBxbJz

Python toolbox: https://t.co/CIUIYOIg4E

[VoxEU @voxeu]

Climate Minsky moments: Why they may matter less than expected
Matthias Kaldorf @matthiaskaldorf @bundesbank, Matthias Rottner @MatthiasRottner @BIS_org
https://t.co/wlFLbmvCtX

[matthiaskaldorf @matthiaskaldorf]

How does ambitious climate policy affect financial stability and how relevant are such "Climate Minsky Moments" for the macroeconomiy and welfare? @MatthiasRottner and I provide an answer through the lenses of a quantitative nonlinear DSGE model:
https://t.co/7MyD4mYixZ

[Bank for International Settlements @BIS_org]

Can artificial intelligence be used to solve and estimate HANK models? A neural-network-based approach to estimate a non-linear HANK model highlights the crucial interaction between aggregate and idiosyncratic risk https://t.co/LOQOEJFO3c

[Matthias Rottner @MatthiasRottner]

Excited to see our paper now available as a BIS Working Paper as well!📄✨

If you are interested in our method, we have also released an initial set of example codes—check them out!
https://t.co/RwJzLrnY3T

[Bank for International Settlements @BIS_org]

Can artificial intelligence be used to solve and estimate HANK models? A neural-network-based approach to estimate a non-linear HANK model highlights the crucial interaction between aggregate and idiosyncratic risk https://t.co/LOQOEJFO3c

[Bank for International Settlements @BIS_org]

Growing geopolitical disruptions, climate change and a bumpy transition to green energy threaten to make commodity price shifts larger and more frequent going forward. Read more here https://t.co/fcpgIRYp1g

[John Green @JohnGreenEcon]

Qingyuan prepared his own modified version where he presents a simple and detailed walk through of the first part of their code, going step-by-step through some of the more complicated pieces. Check it out here! https://t.co/C2kmSN2Q30

[John Green @JohnGreenEcon]

Last year, the JHU economics ML reading group worked through "Estimating Nonlinear Heterogeneous Agent Models with Neural Networks" from @MatthiasRottner, @HannoKase, and @LeonardoMelosi. Today @Qingyuan_Fang walked us through the authors' code: https://t.co/qRJtA7w0kG

[Matthias Rottner @MatthiasRottner]

@pablo_guerron @YuchengYang1993 @uzh_df @SFI_CH @HannoKase @LeonardoMelosi Thanks a lot!

[Matthias Rottner @MatthiasRottner]

@YuchengYang1993 @uzh_df @SFI_CH @HannoKase @LeonardoMelosi Thank you very much for hosting me! It was a great day.

[Yucheng Yang @YuchengYang1993]

Very happy to host @MatthiasRottner in Zurich today @uzh_df @SFI_CH. Matthias presented "Estimating Nonlinear Heterogeneous Agent Models with Neural Networks" (with @HannoKase & @LeonardoMelosi). Deep Learning + HANK + Estimation!