CompNet Database
The CompNet Competitiveness Database The Competitiveness Research Network (CompNet)...
See page
Wirtschaft im Wandel
Wirtschaft im Wandel Die Zeitschrift „Wirtschaft im Wandel“ will eine breite...
See page
Working Papers
Macroeconomic Effects from Sovereign Risk vs. Knightian Uncertainty ...
See page
Publications
Advances in Using Vector Autoregressions to Estimate Structural Magnitudes ...
See page
Research Clusters
Three Research Clusters ...
See page
Tasks
Tasks of the IWH Guided by its mission statement , the IWH places the...
See page
Alumni
IWH Alumni The IWH would like to stay in contact with its former employees. We...
See page
What Explains International Interest Rate Co-Movement?
Annika Camehl, Gregor von Schweinitz
IWH Discussion Papers,
No. 3,
2023
Abstract
We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic developments: unexpected monetary policy tightening decreases most foreign interest rates, while expansionary local supply and demand shocks increase them. To disentangle determinants of international interest rate co-movement, we use a Bayesian structural panel vector autoregressive model accounting for latent global supply and demand shocks. We identify country-specific structural shocks via informative prior distributions based on a standard theoretical multi-country open economy model.
Read article
Capital Requirements, Market Structure, and Heterogeneous Banks
Carola Müller
IWH Discussion Papers,
No. 15,
2022
Abstract
Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this trade-off, I compare how different capital requirements affect default probabilities and the allocation of market shares across heterogeneous banks. In the model, banks‘ productivity determines their optimal strategy in oligopolistic markets. Higher productivity gives banks higher profit margins that lower their default risk. Hence, capital requirements indirectly aiming at high-productivity banks are less effective. They also bear a distortionary cost: Because incumbents increase interest rates, new entrants with low productivity are attracted and thus average productivity in the banking market decreases.
Read article