[1] Currently, his main areas of interest are business cycles, frictions in financial and labor markets, and numerical methods to solve models with a large number of heterogeneous agents.

Together with Albert Marcet he developed the Parameterized Expectations Algorithm (PEA) and the “Denhaan-Marcet statistic” is used to evaluate the accuracy of numerical solutions.

His more recent work deals with solving macroeconomic models in which heterogeneity and contracting issues play a key role.

His research has shown that a job-market matching model is very helpful in accounting for the high unemployment rates in several European countries.

His work on the role of frictions in financial markets has shown how initially small shocks can lead to large fluctuations because of the feedback effects between the destruction of relationships of lending institutions and their clients and the amount that investors want to provide to these lending institutions.