Annika Camehl

Journal Articles

• What Explains International Interest Rate Co-Movement?
  with Gregor von Schweinitz
  Journal of Applied Econometrics, 2026
  Online Appendix and Replication code


• On superlevel sets of conditional densities and multivariate quantile regression
  with Dennis Fok and Kathrin Gruber
  Journal of Econometrics, 249(A), 2025
  Replication code


• Disentangling Covid-19, Economic Mobility, and Containment Policy Shocks
  with Malte Rieth
  American Economic Journal: Macroeconomics 15(4), 217–48, 2023
  Replication code


• Penalized Estimation of Panel Vector Autoregressive Models: A Panel LASSO Approach,
  International Journal of Forecasting 39(3), 1185–1204, 2023

Working Papers

• Time-Varying Identification of Structural Vector Autoregressions
  with Tomasz Woźniak
  arXiv:2502.19659, 2025

Selected Work in Progress

• How vaccination changes economic-pandemic dynamics
  with Malte Rieth and Michele Piffer


• A Level-Set Method for Multiple-Output Panel Quantiles
  with Kathrin Gruber


• Micro-based SVAR Identification
  with Maximilian Schröder

Other Publications

• Model Selection Methods for Panel Vector Autoregressive Models, Dissertation, Freie Universität Berlin.


• Restrictions Search for Panel Vector Autoregressive Models, DIW Berlin Discussion Papers 1612.