Professor Dr Tobias Knedlik

Professor Dr Tobias Knedlik
Current Position

since 4/14

Research Professor

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

since 3/14

Professor of International Economics

Fulda University of Applied Sciences

Research Interests

  • European and international economic policy: in particular financial crises
  • international economics, exchange rate policy, international organizations
  • growth and economic development

Tobias Knedlik joined the institute as a Research Professor in April 2014. His research focuses on the forecast and prevention of financial crises.

Tobias Knedlik holds the position of Professor of International Economics at Fulda University of Applied Sciences. Prior to that, he was working at IWH. 

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Professor Dr Tobias Knedlik
Professor Dr Tobias Knedlik
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Publications

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On the Risk of a Sovereign Debt Crisis in Italy

Oliver Holtemöller Tobias Knedlik Axel Lindner

in: Intereconomics, forthcoming

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The Impact of Preferences on Early Warning Systems - The Case of the European Commission's Scoreboard

Tobias Knedlik

in: European Journal of Political Economy, 2014

Abstract

The European Commission’s Scoreboard of Macroeconomic Imbalances is a rare case of a publicly released early warning system. It allows the preferences of the politicians involved to be analysed with regard to the two potential errors of an early warning system – missing a crisis and issuing a false alarm. These preferences might differ with the institutional setting. Such an analysis is done for the first time in this article for early warning systems in general by using a standard signals approach, including a preference-based optimisation approach, to set thresholds. It is shown that, in general, the thresholds of the Commission’s Scoreboard are set low (resulting in more alarm signals), as compared to a neutral stand. Based on political economy considerations the result could have been expected.

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Predicting Financial Crises: The (Statistical) Significance of the Signals Approach

Makram El-Shagi Tobias Knedlik Gregor von Schweinitz

in: Journal of International Money and Finance, No. 35, 2013

Abstract

The signals approach as an early-warning system has been fairly successful in detecting crises, but it has so far failed to gain popularity in the scientific community because it cannot distinguish between randomly achieved in-sample fit and true predictive power. To overcome this obstacle, we test the null hypothesis of no correlation between indicators and crisis probability in three applications of the signals approach to different crisis types. To that end, we propose bootstraps specifically tailored to the characteristics of the respective datasets. We find (1) that previous applications of the signals approach yield economically meaningful results; (2) that composite indicators aggregating information contained in individual indicators add value to the signals approach; and (3) that indicators which are found to be significant in-sample usually perform similarly well out-of-sample.

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Working Papers

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The Appropriateness of the Macroeconomic Imbalance Procedure for Central and Eastern European Countries

Martina Kämpfe Tobias Knedlik

in: IWH Discussion Papers, No. 16, 2017

Abstract

The experience of Central and Eastern European countries (CEEC) during the global financial crisis and in the resulting European debt crises has been largely different from that of other European countries. This paper looks at the specifics of the CEEC in recent history and focuses in particular on the appropriateness of the Macroeconomic Imbalances Procedure for this group of countries. In doing so, the macroeconomic situation in the CEEC is highlighted and macroeconomic problems faced by these countries are extracted. The findings are compared to the results of the Macroeconomic Imbalances Procedure of the European Commission. It is shown that while the Macroeconomic Imbalances Procedure correctly identifies some of the problems, it understates or overstates other problems. This is due to the specific construction of the broadened surveillance procedure, which largely disregarded the specifics of catching-up economies.

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Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?

Tobias Knedlik Rolf Scheufele

in: IWH Discussion Papers, No. 17, 2007

Abstract

In this paper we test the ability of three of the most popular methods to forecast the South African currency crisis of June 2006. In particular we are interested in the out-ofsample performance of these methods. Thus, we choose the latest crisis to conduct an out-of-sample experiment. In sum, the signals approach was not able to forecast the outof- sample crisis of correctly; the probit approach was able to predict the crisis but just with models, that were based on raw data. Employing a Markov-regime-switching approach also allows to predict the out-of-sample crisis. The answer to the question of which method made the run in forecasting the June 2006 currency crisis is: the Markovswitching approach, since it called most of the pre-crisis periods correctly. However, the “victory” is not straightforward. In-sample, the probit models perform remarkably well and it is also able to detect, at least to some extent, out-of-sample currency crises before their occurrence. It can, therefore, not be recommended to focus on one approach only when evaluating the risk for currency crises.

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The role of banking portfolios in the transmission from the currency crises to banking crises - potential effects of Basel II

Tobias Knedlik Johannes Ströbel

in: IWH Discussion Papers, No. 21, 2006

Abstract

This paper evaluates the potential effects of the Basel II accord on preventing the transmission from currency crises to financial crises. By analyzing the case study of South Korea, it shows how mismatches on banks’ balance sheets were the primary cause for such a transmission, and models how Basel II would have affected those balance sheets. The paper shows that due to South Korea’s positive credit rating in the months leading up to the crisis, the regulatory capital reserves under Basel II would have been even lower than those under Basel I, and that therefore Basel II would have had adverse effects on the development of the crisis. In the second part, the article analyses whether the behavior of rating agencies has changed since their failure to predict the Asian crisis. The paper finds no robust econometric evidence that rating agencies have started to take micromismatches into account when assigning sovereign ratings. Thus, given the current approach of credit rating agencies, we have reservations concerning the effectiveness of Basel II to prevent the transmission from currency crises to banking crises, both for the case of South Korea and for potential future crises.

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