Volatility, Growth and Financial Crises
This research group analyses the build-up of financial vulnerabilities and real consequences of financial crises. Different policy shocks and the causal reaction of macroeconomic aggregates are identified. Early-warning models describe the cyclical nature of financial vulnerabilities.
IWH Data Project: Financial Stability Indicators in Europe
Research Cluster
Financial Stability and RegulationYour contact
Mitglied - Department Macroeconomics
EXTERNAL FUNDING
01.2018 ‐ 12.2018
International Monetary Policy Transmission
Deutsche Bundesbank
01.2017 ‐ 12.2018
Early-warning Models for Systemic Banking Crises
German Research Foundation (DFG)
Refereed Publications
Evidence on the Effects of Inflation on Price Dispersion under Indexation
in: Empirical Economics, No. 1, 2012
Abstract
Distortionary effects of inflation on relative prices are the main argument for inflation stabilization in macro models with sticky prices. Under indexation of non-optimized prices, those models imply a nonlinear and dynamic impact of inflation on the cross-sectional price dispersion (relative price or inflation variability, RPV). Using US sectoral price data, we estimate such a relationship between inflation and RPV, also taking into account the endogeneity of inflation by using two- and three-stage least-squares and GMM techniques, which turns out to be relevant. We find an effect of (expected) inflation on RPV, and our results indicate that average (“trend”) inflation is important for the RPV-inflation relationship. Lagged inflation matters for indexation in the CPI data, but is not important empirically in the PPI data.
Macroeconomic Imbalances as Indicators for Debt Crises in Europe
in: Journal of Common Market Studies, No. 5, 2012
Abstract
European authorities and scholars published proposals on which indicators of macroeconomic imbalances might be used to uncover risks for the sustainability of public debt in the European Union. We test the ability of four proposed sets of indicators to send early-warnings of debt crises using a signals approach for the study of indicators and the construction of composite indicators. We find that a broad composite indicator has the highest predictive power. This fact still holds true if equal weights are used for the construction of the composite indicator in order to reflect the uncertainty about the origin of future crises.
Are Universal Banks Bad for Financial Stability? Germany During the World Financial Crisis
in: The Quarterly Review of Economics and Finance, No. 2, 2012
Abstract
This case study explores the contribution of universal banking to financial stability in Germany during the recent financial crisis. Germany is a prototype for universal banking and has suffered from a rather small number of banking crises in the past. We review the banking literature and analyze the major institutional and regulatory features of the German financial system to establish a nexus between universal banking and stability.
Die Verlustquote bei Handelskreditausfällen – Eine empirische Untersuchung in Deutschland
in: Zeitschrift für Controlling & Management, No. 2, 2012
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Macroeconomic Adjustment: The Baltic States versus Euro Area Crisis Countries
in: Intereconomics, No. 6, 2011
Abstract
Estonia, Latvia and Lithuania have succeeded in rapidly reducing their current account deficits despite fixed exchange rates. Which factors have played a major role in this? What similarities, and what differences, do the Baltic states show compared to Greece and Portugal? What insights can be gained for the political debate on the euro area debt crisis?
