Ruben Staffa

Ruben Staffa
Current Position

since 5/23

Economist in the Department Macroeconomics

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

Research Interests

  • dynamic macroeconomics
  • financial crises
  • financial stability and banking regulation

Ruben Staffa is a member of the Department Macroeconomics. His research focuses on dynamic macroeconomics.

Ruben Staffa received his bachelor's degree from Freie Universität Berlin and earned his master's degree from Goethe University Frankfurt. He is a PhD candidate at Leipzig University.

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Working Papers


The Effects of Sovereign Risk: A High Frequency Identification Based on News Ticker Data

Ruben Staffa

in: IWH Discussion Papers, No. 8, 2022


This paper uses novel news ticker data to evaluate the effect of sovereign risk on economic and financial outcomes. The use of intraday news enables me to derive policy events and respective timestamps that potentially alter investors’ beliefs about a sovereign’s willingness to service its debt and thereby sovereign risk. Following the high frequency identification literature, in the tradition of Kuttner (2001) and Guerkaynak et al. (2005), associated variation in sovereign risk is then obtained by capturing bond price movements within narrowly defined time windows around the event time. I conduct the outlined identification for Italy since its large bond market and its frequent coverage in the news render it a suitable candidate country. Using the identified shocks in an instrumental variable local projection setting yields a strong instrument and robust results in line with theoretical predictions. I document a dampening effect of sovereign risk on output. Also, borrowing costs for the private sector increase and inflation rises in response to higher sovereign risk.

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