Professor Christiane Baumeister, PhD

Professor Christiane Baumeister, PhD
Current Position

since 6/19

Research Fellow Department of Macroeconomics

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

since 7/20

Professor of Economics

University of Notre Dame

Research Interests

  • empirical macroeconomics
  • forecasting
  • applied econometrics
  • energy economics

Christiane Baumeister joined the Department of Macroeconomics as a Research Fellow in June 2019. Her research focuses on empirical macroeconomics, applied time series econometrics, energy markets, monetary economics, and forecasting.

Christiane Baumeister is the Robert and Irene Bozzone College Professor of Economics at the University of Notre Dame. She is also a Faculty Research Fellow of the NBER and a Research Affiliate of the CEPR. Prior to joining Notre Dame in July 2015, she was a Principal Researcher in the International Economic Analysis Department at the Bank of Canada. She has been a visiting scholar at the IMF and various central banks, including the Federal Reserve Banks of St. Louis, Dallas, Cleveland, and Kansas City, the Reserve Bank of New Zealand, the Bank of France, and the Bank of Finland.

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Professor Christiane Baumeister, PhD
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Publications

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Energy Markets and Global Economic Conditions

Christiane Baumeister Dimitris Korobilis Thomas K. Lee

in: Review of Economics and Statistics, forthcoming

Abstract

We evaluate alternative indicators of global economic activity and other market funda-mentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. World industrial production is one of the most useful indicators. However, by combining measures from several different sources we can do even better. Our analysis results in a new index of global economic conditions and measures for assessing future energy demand and oil price pressures. We illustrate their usefulness for quantifying the main factors behind the severe contraction of the global economy and the price risks faced by shale oil producers in early 2020.

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A Comparison of Monthly Global Indicators for Forecasting Growth

Christiane Baumeister Pierre Guérin

in: International Journal of Forecasting, No. 3, 2021

Abstract

This paper evaluates the predictive content of a set of alternative monthly indicators of global economic activity for nowcasting and forecasting quarterly world real GDP growth using mixed-frequency models. It shows that a recently proposed indicator that covers multiple dimensions of the global economy consistently produces substantial improvements in forecasting accuracy, while other monthly measures have more mixed success. Specifically, the best-performing model yields impressive gains with MSPE reductions of up to 34% at short horizons and up to 13% at long horizons relative to an autoregressive benchmark. The global economic conditions indicator also contains valuable information for assessing the current and future state of the economy for a set of individual countries and groups of countries. This indicator is used to track the evolution of the nowcasts for the U.S., the OECD area, and the world economy during the COVID-19 pandemic and the main factors that drive the nowcasts are quantified.

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Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions

Christiane Baumeister James D. Hamilton

in: Journal of International Money and Finance, December 2020

Abstract

This paper discusses the problems associated with using information about the signs of certain magnitudes as a basis for drawing structural conclusions in vector autoregressions. We also review available tools to solve these problems. For illustration we use Dahlhaus and Vasishtha’s (2019) study of the effects of a U.S. monetary contraction on capital flows to emerging markets. We explain why sign restrictions alone are not enough to allow us to answer the question and suggest alternative approaches that could be used.

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