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Professor Dr Gregor von Schweinitz

Professor Dr Gregor von Schweinitz
Current Position

since 5/14

Head of the Research Group Volatility, Growth and Financial Crisis

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

since 10/17

Assistant Professor of Economics, esp. Quantitative Macroeconomics

Leipzig University

since 1/11

Member of the Department Macroeconomics

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

open CV
Research Interests
  • dynamic macroeconomics
  • European and international economic policy: in particular financial crises
  • risk modelling and analysis

Gregor von Schweinitz is Assistant Professor of Economics at Leipzig University since October 2017 and a member of the Department of Macroeconomics since 2011. His research focuses on quantitative macroeconomics.

Gregor von Schweinitz earned a diploma from TU Dresden, University of Strasbourg and Technical University of Munich. He received his PhD from Martin Luther University Halle-Wittenberg.

Your contact

Professor Dr Gregor von Schweinitz
Professor Dr Gregor von Schweinitz
Mitglied - Department Macroeconomics
Send Message +49 345 7753-744 Personal page

Publications

Recent Publications

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Active Driver or Passive Victim - On the Role of International Monetary Policy Transmission

Annika Camehl Gregor von Schweinitz

in: IWH Discussion Papers, No. 3, 2023

Abstract

We provide new insights into determinants of international interest rates spillovers across seven advanced economies. To disentangle and quantify their respective importance, we identify country-specific structural monetary policy, demand, and supply equations in a Bayesian structural panel vector autoregressive model. We formulate prior beliefs on magnitudes and signs of contemporaneous structural coefficients (i.e., (semi-)elasticities), based on a standard theoretical multi-country open economy model from the literature. Our findings show that interest rate spillovers occur via an aggregated demand channel. Unexpected monetary tightening causes modest declines in most foreign interest rates, while demand and supply shocks result in increased foreign interest rates. Our results support that central banks respond to changes in the domestic macroeconomic environment induced by domestic or foreign shocks rather than directly reacting to foreign shocks. Spillovers are quantitatively stronger for shocks originating in economically large areas with strong trade linkages.

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Why They Keep Missing: An Empirical Investigation of Sovereign Bond Ratings and Their Timing

Gregor von Schweinitz Makram El-Shagi

in: Scottish Journal of Political Economy, No. 2, 2022

Abstract

Two contradictory strands of the rating literature criticize that rating agencies merely follow the market on the one hand, and emphasizing that rating changes affect capital movements on the other hand. Both focus on explaining rating levels rather than the timing of rating announcements. Contrarily, we explicitly differentiate between a decision to assess a country and the actual rating decision. We show that this differentiation significantly improves the estimation of the rating function. The three major rating agencies treat economic fundamentals similarly, while differing in their response to other factors such as strategic considerations. This reconciles the conflicting literature.

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Monetary Policy through Exchange Rate Pegs: The Removal of the Swiss Franc‐Euro Floor and Stock Price Reactions

Gregor von Schweinitz Lena Tonzer Manuel Buchholz

in: International Review of Finance, No. 4, 2021

Abstract

The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Using a synthetic matching framework, we analyze the impact of this unexpected (and therefore exogenous) policy change on the stock market. The results reveal a significant level shift (decline) in asset prices following the discontinuation of the minimum exchange rate. As a novel finding in the literature, we document that the exchange‐rate elasticity of Swiss asset prices is around −0.75. Differentiating between sectors of the Swiss economy, we find that the industrial, financial and consumer goods sectors are most strongly affected by the abolition of the minimum exchange rate.

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Refereed Publications

cover_scottish-journal-of-political-economy.jpg

Why They Keep Missing: An Empirical Investigation of Sovereign Bond Ratings and Their Timing

Gregor von Schweinitz Makram El-Shagi

in: Scottish Journal of Political Economy, No. 2, 2022

Abstract

Two contradictory strands of the rating literature criticize that rating agencies merely follow the market on the one hand, and emphasizing that rating changes affect capital movements on the other hand. Both focus on explaining rating levels rather than the timing of rating announcements. Contrarily, we explicitly differentiate between a decision to assess a country and the actual rating decision. We show that this differentiation significantly improves the estimation of the rating function. The three major rating agencies treat economic fundamentals similarly, while differing in their response to other factors such as strategic considerations. This reconciles the conflicting literature.

read publication
cover_international-review-of-finance.jpg

Monetary Policy through Exchange Rate Pegs: The Removal of the Swiss Franc‐Euro Floor and Stock Price Reactions

Gregor von Schweinitz Lena Tonzer Manuel Buchholz

in: International Review of Finance, No. 4, 2021

Abstract

The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Using a synthetic matching framework, we analyze the impact of this unexpected (and therefore exogenous) policy change on the stock market. The results reveal a significant level shift (decline) in asset prices following the discontinuation of the minimum exchange rate. As a novel finding in the literature, we document that the exchange‐rate elasticity of Swiss asset prices is around −0.75. Differentiating between sectors of the Swiss economy, we find that the industrial, financial and consumer goods sectors are most strongly affected by the abolition of the minimum exchange rate.

read publication
cover_journal-of-international-money-and-finance.png

Fiscal Policy and Fiscal Fragility: Empirical Evidence from the OECD

Makram El-Shagi Gregor von Schweinitz

in: Journal of International Money and Finance, July 2021

Abstract

In this paper, we use local projections to investigate the impact of consolidation shocks on GDP growth, conditional on the fragility of government finances. Based on a database of fiscal plans in OECD countries, we show that spending shocks are less detrimental than tax-based consolidation. In times of fiscal fragility, our results indicate strongly that governments should consolidate through surprise policy changes rather than announcements of consolidation at a later horizon.

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all refereed publications

Working Papers

cover_DP_2023-03.jpg

Active Driver or Passive Victim - On the Role of International Monetary Policy Transmission

Annika Camehl Gregor von Schweinitz

in: IWH Discussion Papers, No. 3, 2023

Abstract

We provide new insights into determinants of international interest rates spillovers across seven advanced economies. To disentangle and quantify their respective importance, we identify country-specific structural monetary policy, demand, and supply equations in a Bayesian structural panel vector autoregressive model. We formulate prior beliefs on magnitudes and signs of contemporaneous structural coefficients (i.e., (semi-)elasticities), based on a standard theoretical multi-country open economy model from the literature. Our findings show that interest rate spillovers occur via an aggregated demand channel. Unexpected monetary tightening causes modest declines in most foreign interest rates, while demand and supply shocks result in increased foreign interest rates. Our results support that central banks respond to changes in the domestic macroeconomic environment induced by domestic or foreign shocks rather than directly reacting to foreign shocks. Spillovers are quantitatively stronger for shocks originating in economically large areas with strong trade linkages.

read publication
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On the International Dissemination of Technology News Shocks

João Carlos Claudio Gregor von Schweinitz

in: IWH Discussion Papers, No. 25, 2020

Abstract

This paper investigates the propagation of technology news shocks within and across industrialised economies. We construct quarterly utilisation-adjusted total factor productivity (TFP) for thirteen OECD countries. Based on country-specific structural vector autoregressions (VARs), we document that (i) the identified technology news shocks induce a quite homogeneous response pattern of key macroeconomic variables in each country; and (ii) the identified technology news shock processes display a significant degree of correlation across several countries. Contrary to conventional wisdom, we find that the US are only one of many different sources of technological innovations diffusing across advanced economies. Technology news propagate through the endogenous reaction of monetary policy and via trade-related variables. That is, our results imply that financial markets and trade are key channels for the dissemination of technology.

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Flight Patterns and Yields of European Government Bonds

Gregor von Schweinitz

in: IWH Discussion Papers, No. 10, 2013

Abstract

The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flight-to-quality and flight-to-liquidity has been widely disregarded. I estimate government bond yields of the Euro-12 countries without Luxembourg from May 2003 until December 2011. Using penalized spline regression, I find that the effect of most explanatory variables is highly nonlinear. These nonlinearities, together with flight patterns of flight-to-quality and flight-to-liquidity, can explain the co-movement of bond yields until September 2008 and the huge amount of differentiation during the financial and the European debt crisis without the unnecessary assumption of a structural break. The main effects are credit risk and flight-to-liquidity, while the evidence for the existence of flight-to-quality and liquidity risk (the latter measured by the bid-ask spread and total turnover of bonds) is comparably weak.

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Keywords

Financial Markets Financial Stability Financial Crisis
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