Professor Julia Schaumburg, PhD

Professor Julia Schaumburg, PhD
Current Position

since 2/19

Research Professor

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

since 9/13

Associate Professor of Econometrics

Vrije Universiteit Amsterdam

Research Interests

  • time series analysis
  • financial econometrics
  • financial stability

Julia Schaumburg joined the institute as a Research Professor in February 2019. Her research focuses on time series and financial econometrics, financial stability, macro-financial spillovers, econometric analysis of high-dimensional data, and quantile regression.

Julia Schaumburg holds the position of Associate Professor of Econometrics at Vrije Universiteit Amsterdam. She is Research Fellow at Tinbergen Institute and Visiting Researcher at De Nederlandsche Bank.

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Professor Julia Schaumburg, PhD
Professor Julia Schaumburg, PhD
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Publications

Working Papers

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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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