25 Jahre IWH

Dr. Esteban Prieto

Aktuelle Position

seit 6/14

Research Affiliate

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

seit 2014

Volkswirt

Forschungszentrum der Deutschen Bundesbank

Forschungsschwerpunkte

  • Geldpolitik und Finanzmärkte
  • angewandte Makroökonometrie
  • Bankenmärkte und Finanzintermediation

Esteban Prieto ist seit 2014 als Research Affiliate am IWH tätig. Er ist Volkswirt im Forschungszentrum der Deutschen Bundesbank. Zuvor hat er Volkswirtschaftslehre an der Universität Tübingen und an der Katholieke Universiteit Leuven, Belgien studiert.

Anschließend war er von 2010 bis 2013 wissenschaftlicher Mitarbeiter am Lehrstuhl für Makroökonomie an der der Universität Tübingen. Die Promotion erfolgte 2014 mit einer Dissertation zum Thema Geldpolitik und Finanzmarktstabilität. Seine Forschungsinteressen liegen u. a. in der Anwendung makroökonometrischer Methoden zur Untersuchung der geldpolitischen Transmission über Finanzmärkte und deren Effekte auf Finanzmarktstabilität.

Auf dieser Webseite sind im Rahmen der Kooperation mit dem IWH entstandene Veröffentlichungen gelistet. Eine vollständige Publikationsliste ist auf der Homepage des Autors abrufbar.

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Dr. Esteban Prieto
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Publikationen

Do Better Capitalized Banks Lend Less? Long-Run Panel Evidence from Germany

Claudia M. Buch Esteban Prieto

in: International Finance , Nr. 1, 2014

Abstract

Higher capital features prominently in proposals for regulatory reform. But how does increased bank capital affect business loans? The real costs of increased bank capital in terms of reduced loans are widely believed to be substantial. But the negative real-sector implications need not be severe. In this paper, we take a long-run perspective by analysing the link between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of the German economy for the past 44 years. Higher bank capital tends to be associated with higher business loan volume, and we find no evidence for a negative effect. This result holds both for pooled regressions as well as for the individual banking groups in Germany.

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In Search for Yield? Survey-Based Evidence on Bank Risk Taking

Claudia M. Buch S. Eickmeier Esteban Prieto

in: Journal of Economic Dynamics and Control , Nr. 43, 2014

Abstract

Monetary policy can have an impact on economic and financial stability through the risk taking of banks. Falling interest rates might induce investment into risky activities. This paper provides evidence on the link between monetary policy and bank risk taking. We use a factor-augmented vector autoregressive model (FAVAR) for the US for the period 1997–2008. Besides standard macroeconomic indicators, we include factors summarizing information provided in the Federal Reserve’s Survey of Terms of Business Lending (STBL). These data provide information on banks׳ new loans as well as interest rates for different loan risk categories and different banking groups. We identify a risk-taking channel of monetary policy by distinguishing responses to monetary policy shocks across different types of banks and different loan risk categories. Following an expansionary monetary policy shock, small domestic banks increase their exposure to risk. Large domestic banks do not change their risk exposure. Foreign banks take on more risk only in the mid-2000s, when interest rates were ‘too low for too long’.

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Macroeconomic Factors and Microlevel Bank Behavior

Claudia M. Buch S. Eickmeier Esteban Prieto

in: Journal of Money Credit and Banking , Nr. 4, 2014

Abstract

We analyze the link between banks and the macroeconomy using a model that extends a macroeconomic VAR for the U.S. with a set of factors summarizing conditions in about 1,500 commercial banks. We investigate how macroeconomic shocks are transmitted to individual banks and obtain the following main findings. Backward-looking risk of a representative bank declines, and bank lending increases following expansionary shocks. Forward-looking risk increases following an expansionary monetary policy shock. There is, however, substantial heterogeneity in the transmission of macroeconomic shocks, which is due to bank size, capitalization, liquidity, risk, and the exposure to real estate and consumer loans.

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Arbeitspapiere

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Time-varying Volatility, Financial Intermediation and Monetary Policy

S. Eickmeier N. Metiu Esteban Prieto

in: IWH-Diskussionspapiere , Nr. 19, 2016

Abstract

We document that expansionary monetary policy shocks are less effective at stimulating output and investment in periods of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. Exogenous policy changes are identified by adapting an external instruments approach to the non-linear model. The lower effectiveness of monetary policy can be linked to weaker responses of credit costs, suggesting a financial accelerator mechanism that is weaker in high volatility periods.

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