Prof. Dr. Ralf Brüggemann

Recent Working Papers

  • Breitung, J. & Brüggemann, R. (2019) Projection Estimators for Structural Impulse Responses, Working Paper 2019-05, Department of Economics, University of Konstanz. Download
  • Bertsche, D., Brüggemann, R. & Kascha, C. (2018) Directed Graphs and Variable Selection in Large Vector Autoregressive Models, Working Paper 2018-08, Department of Economics, University of Konstanz. Download
  • Braun, R. & Brüggemann, R. (2017) Identification of SVAR Models by Combining Sign Restrictions With External Instruments, Working Paper 2017-07, Department of Economics, University of Konstanz. Download

Education

  • Habilitation on "Topics in Time Series Econometrics", Humboldt-Universtität zu Berlin, 2007
  • Ph.D.in Economics (Dr. rer. pol.), Humboldt-Universtität zu Berlin, 2003
    Thesis topic: Model Reduction Methods for Vector Autoregressive Processes
    Supervisor: Prof. Dr. Helmut Lütkepohl
  • Diplom in Volkswirtschaftslehre (Economics), Humboldt-Universtität zu Berlin, 1999

Work Experience

  • Professor of Statistics and Econometrics, University of Konstanz, October 2007 - present
  • Head of Project "Unit Root and Cointegration Methodology (C2)" within German Research Foundation Collaborative Research Center 649 on "Economic Risk" (together with C. Trenkler), Humboldt University Berlin, 2005 - present.
  • Research and Teaching Position, Humboldt University Berlin, Institute of Statistics and Econometrics, 1999- 2007
  • Guest Professor for Econometrics (Lehrstuhlvertretung), University of Mannheim, Department of Economics, April 2006 -January 2007
  • Jean Monnet Fellow, European University Institute, Firenze, 2003-2004

Research Topics

  • Time Series Econometrics
  • Cointegrated VAR Models
  • Structural VAR- and VEC-Models
  • Forecasting Methods
  • Empirical Macroeconomics and Macroeconometrics

Curriculum Vitae

Download detailed CV as pdf:

CV (english)

Published Work

  • Breitung, J. & Brüggemann, R. (2023) Projection Estimators for Structural Impulse Responses, Oxford Bulletin of Economics and Statistics, forthcoming
  • Braun, R. & Brüggemann, R. (2022) Identification of SVAR Models by Combining Sign Restrictions With External Instruments, Journal of Business and Economic Statistics, forthcoming.
  • Bertsche, D., Brüggemann, R. & Kascha, C. (2022) Directed Graphs and Variable Selection in Large Vector Autoregressive Models, Journal of Time Series Analysis, forthcoming.
  • Balabanova, Z. & Brüggemann, R. (2017) External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models, Macroeconomic Dynamics, 21, 311-335.
  • Brüggemann, R., Jentsch, C. & Trenkler, C. (2016) Inference in VARs with Conditional Heteroskedasticity of Unknown Form, Journal of Econometrics, 191,  69-85.
  • Brüggemann, R. & Zeng, J. (2015) Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating, Oxford Bulletin of Economics and Statistics, 77(1), pp. 22-39. Data 
  • Brüggemann, R. & Lütkepohl, H. (2013) Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights, International Journal of Forecasting, 29, pp. 60-68. Data
  • Economic Forecasts, Special Issue of the Journal of Economics and Statistics (Jahrbücher für Nationalökonomie und Statistik), Editor together with W. Pohlmeier and W. Smolny, 2011.
  • Brüggemann, R. & Riedel, J. (2011) Nonlinear Interest Rate Reaction Functions for the UK, Economic Modelling, 28, pp. 1174-1185.
  • Brüggemann, R., Härdle, W., Mungo, J. & Trenkler, C. (2008) VAR Modeling for Dynamic Loadings Driving Volatility Strings, Journal of Financial Econometrics, 6(3), pp. 361-381.
  • Brüggemann, R., Lütkepohl, H. & Marcellino, M. (2008) Forecasting Euro-Area Variables with German Pre-EMU Data, Journal of Forecasting, 27, 465-481.
  • Brüggemann, R. & Trenkler, C. (2007) Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland, Applied Economics Letters, 14(4), pp. 245-249.
  • Brüggemann, R. (2006) Sources of German Unemployment: A Structural Vector Error Correction Analysis, Empirical Economics, 31(2), pp. 409-431.
  • Brüggemann, R. & Lütkepohl, H. (2006) A Small Monetary System for the Euro Area Based on German Data, Journal of Applied Econometrics, 21(6), pp. 683-702.
  • Brüggemann, R., Lütkepohl, H. & Saikkonen, P. (2006) Residual Autocorrelation Testing for Vector Error Correction Models, Journal of Econometrics, 134 (2), pp. 579-604.
  • Brüggemann, R. & Lütkepohl, H. (2005) Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative, Oxford Bulletin of Economics and Statistics, 67 (5), pp. 673-690.
  • Brüggemann, R. & Lütkepohl, H. (2005) Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe, Applied Economics Quarterly, 51, pp. 143-154.
  • Breitung, J, Brüggemann, R. & Lütkepohl, H. (2004) Structural Vector Autoregressive Modeling and Impulse Responses, in Applied Time Series Econometrics, H. Lütkepohl, M. Krätzig (eds.), Cambridge University Press, pp. 159-196.
  • Brüggemann, R. & Lütkepohl, H. (2001) Lag Selection in Subset VAR Models with an Application to a U.S. Monetary System, in Econometric Studies: A Festschrift in Honour of Joachim Frohn, R. Friedmann, L. Knüppel, H. Lütkepohl (eds.), Münster: LIT-Verlag, pp. 107-128.

Working Papers

  • Braun, R. & Brüggemann, R. (2017) Identification of SVAR Models by Combining
    Sign Restrictions With External Instruments    , Working Paper 2017-07, Department of Economics, University of Konstanz. Download
  • Brüggemann, R. & Kascha, C. (2017) Directed Graphs and Variable Selection in Large Vector Autoregressive Models, Working Paper 2017-06, Department of Economics, University of Konstanz. Download
  • Brüggemann, R., Glaser, M., Schaarschmidt, S. & Stankiewicz, S. (2014) The Stock Return - Trading Volume Relationship in European Countries: Evidence from Asymmetric Impulse Responses, Working Paper 2014-24, Department of Economics, University of Konstanz. Download
     
  • Brüggemann, R., Jentsch, C. & Trenkler, C. (2014) Inference in VARs with Conditional Heteroskedasticity of Unknown Form, Working Paper 2014-13, Department of Economics, University of Konstanz. Download
  • Brüggemann, R. & Zeng, J. (2012) Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating, Working Paper 2012-15, Department of Economics, University of Konstanz. Download
  • Balabanova, Z. & Brüggemann, R. (2012) External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models, Working Paper 2012-05, Department of Economics, University of Konstanz. Download
  • Brüggemann, R. & Lütkepohl, H. (2011) Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights, Working Paper 2011-23, Department of Economics, University of Konstanz. Download
  • Brüggemann, R., Riedel, J. (2010) Nonlinear Interest Rate Reaction Functions for the UK, Working Paper 2010-15, Department of Economics, University of Konstanz. Download
  • Brüggemann, R., Lütkepohl, H. & Marcellino, M. (2006) Forecasting Euro-Area Variables with German Pre-EMU Data, Discussion Paper 2006-065, Sonderforschungsbereich 649, Humboldt-Universität zu Berlin. PDF file
  • Brüggemann, R. (2006) Finite Sample Properties of Impulse Response Intervals in SVECMs with Long-Run Identifying Restrictions, Discussion Paper 2006-021, Sonderforschungsbereich 649, Humboldt-Universität zu Berlin. PDF file
  • Brüggemann, R., Härdle, W., Mungo, J. & Trenkler, C. (2006) VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings, Discussion Paper 2006-011, Sonderforschungsbereich 649, Humboldt-Universität zu Berlin. PDF file
  • Brüggemann, R. & Lütkepohl, H. (2005) Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure: Empirical Results for the U.S. and Europe, Discussion Paper 2005-035,Sonderforschungsbereich 649, Humboldt-Universität zu Berlin. PDF file
  • Brüggemann, R. & Trenkler, C. (2005) Are Eastern European Countries Catching Up? Time Series Evidence for Czech Republic, Hungary, and Poland, Discussion Paper 2005-014,Sonderforschungsbereich 649, Humboldt-Universität zu Berlin. PDF file
  • Brüggemann, R. & Lütkepohl, H. (2004) A Small Monetary System for the Euro Area Based on German Data, ECO Working Paper 2004-24, European University Institute. PDF file
  • Brüggemann, R. & Lütkepohl, H. (2004) Practical Problems with Reduced Rank ML Estimators for Cointegration Parameters and a Simple Alternative, ECO Working Paper 2004-20, European University Institute. PDF file| PDF file
  • Brüggemann, R., Lütkepohl, H. & Saikkonen, P. (2004) Residual Autocorrelation Testing for Vector Error Correction Models, ECO Working Paper 2004-08, European University Institute. PDF file
  • Brüggemann, R., Lütkepohl, H. & Krolzig, H.-M. (2002) Comparison of Model Reduction Methods for VAR Processes, Discussion Paper 80, Sonderforschungsbereich 373, Humboldt-Universität zu Berlin.
    PDF file
  • Brüggemann, R. (2002) On the Small Sample Properties of Weak Exogeneity Tests in Cointegrated VAR models, Discussion Paper 2, Sonderforschungsbereich 373, Humboldt-Universität zu Berlin. PDF file
  • Brüggemann, R. (2001) Sources of German Unemployment: A Structural Vector Error Correction Analysis, Discussion Paper 19, Sonderforschungsbereich 373, Humboldt-Universität zu Berlin. Revised version (November 2003): PDF file