Hannes Böhm

Hannes Böhm
Current Position

since 1/19

Contributor International Banking Library

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

since 4/17

Economist in the Department of Financial Markets

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

Research Interests

  • financial stability
  • monetary policy
  • financial crises
  • International Banking Library

Hannes Böhm joined the Department of Financial Markets as a doctoral student in April 2017. His research focuses on the interaction between financial institutions and sovereign states during the Eurocrisis, financial stability as well as the effects and transmission channels of monetary policy.

Hannes Böhm received his bachelor's degree from University of Münster and his master's degree from Leipzig University.

Your contact

Hannes Böhm
Hannes Böhm
Mitglied - Department Financial Markets
Send Message +49 345 7753-860

Publications

Working Papers

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Physical Climate Change Risks and the Sovereign Creditworthiness of Emerging Economies

Hannes Böhm

in: IWH Discussion Papers, No. 8, 2020

Abstract

I show that rising temperatures can detrimentally affect the sovereign creditworthiness of emerging economies. To this end, I collect long-term monthly temperature data of 54 emerging countries. I calculate a country’s temperature deviation from its historical average, which approximates present day climate change trends. Running regressions from 1994m1-2018m12, I find that higher temperature anomalies lower sovereign bond performances (i.e. increase sovereign risk) significantly for countries that are warmer on average and have lower seasonality. The estimated magnitudes suggest that affected countries likely face significant increases in their sovereign borrowing costs if temperatures continue to rise due to climate change. However, results indicate that stronger institutions can make a country more resilient towards temperature shocks, which holds independent of a country’s climate.

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Financial Linkages and Sectoral Business Cycle Synchronisation: Evidence from Europe

Hannes Böhm Julia Schaumburg Lena Tonzer

in: IWH Discussion Papers, No. 2, 2020

Abstract

We analyse whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of the spillover intensity at each point in time. For a financial network of ten European countries from 1996-2017, we find that the spillover effects are positive on average but much larger during periods of financial stress, pointing towards stronger business cycle synchronisation. Dismantling GDP growth into value added growth of ten major industries, we observe that some sectors are strongly affected by positive spillovers (wholesale & retail trade, industrial production), others only to a weaker degree (agriculture, construction, finance), while more nationally influenced industries show no evidence for significant spillover effects (public administration, arts & entertainment, real estate).

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What Drives the Commodity-Sovereign-Risk-Dependence in Emerging Market Economies?

Hannes Böhm Stefan Eichler Stefan Gießler

in: IWH Discussion Papers, No. 23, 2019

Abstract

Using daily data for 34 emerging markets in the period 1994-2016, we find robust evidence that higher export commodity prices are associated with higher sovereign bond returns (indicating lower sovereign risk). The economic effect is especially pronounced for heavy commodity exporters. Examining the drivers, we find, first, that commodity-dependence is higher for countries that export large volumes of volatile commodities and that the effect increases in times of recessions, high inflation, and expansionary U.S. monetary policy. Second, the importance of raw material prices for sovereign financing can likely be mitigated if a country improves institutions and tax systems, attracts FDI inflows, invests in manufacturing, machinery and infrastructure, builds up reserve assets and opens capital and trade accounts. Third, the concentration of commodities within a country’s portfolio, its government indebtedness or amount of received development assistance appear to be only of secondary importance for commodity-dependence.

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