Alumni
IWH Alumni The IWH maintains contact with its former employees worldwide. We involve our alumni in our work and keep them informed, for example, with a newsletter. We also plan…
See page
Archive
Media Response Archive 2021 2020 2019 2018 2017 2016 December 2021 IWH: Ausblick auf Wirtschaftsjahr 2022 in Sachsen mit Bezug auf IWH-Prognose zu Ostdeutschland: "Warum Sachsens…
See page
Banks’ foreign homes
Kirsten Schmidt, Lena Tonzer
Deutsche Bundesbank Discussion Papers,
No. 46,
2024
Abstract
Our results reveal that higher lending spreads between foreign and home markets redirect real estate backed lending towards foreign markets offering a higher interest rate, which provides evidence for "search for yield" behavior. This re-allocation is found especially for banks with more expertise on the foreign market due to a higher local activity and holds for commercial and residential real estate backed loans. Furthermore, "search for yield" behavior and a resulting increase in foreign real estate backed lending is found when macroprudential regulation is missing or misaligned between a bank’s country of residence and the destination country. When turning to the question of whether the detected search for yield behavior results in more risk, we find that especially better capitalized banks report higher forbearance ratios as they might face less stigma effects compared to low capitalized banks.
Read article
East Germany
The Nasty Gap 30 years after unification: Why East Germany is still 20% poorer than the West Dossier In a nutshell The East German economic convergence process is hardly…
See page
10th Vintage
The CompNet 10th Vintage Dataset 10th Vintage dataset is now available! The CompNet dataset provides a comprehensive set of micro-aggregated indicators, specifically designed to…
See page
Forecasting Natural Gas Prices in Real Time
Christiane Baumeister, Florian Huber, Thomas K. Lee, Francesco Ravazzolo
NBER Working Paper,
No. 33156,
2024
Abstract
This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in their complexity and economic content. Our key finding is that considerable reductions in mean-squared prediction error relative to a random walk benchmark can be achieved in real time for forecast horizons of up to two years. A particularly promising model is a six-variable Bayesian vector autoregressive model that includes the fundamental determinants of the supply and demand for natural gas. To capture real-time data constraints of these and other predictor variables, we assemble a rich database of historical vintages from multiple sources. We also compare our model-based forecasts to readily available model-free forecasts provided by experts and futures markets. Given that no single forecasting method dominates all others, we explore the usefulness of pooling forecasts and find that combining forecasts from individual models selected in real time based on their most recent performance delivers the most accurate forecasts.
Read article
Centre for Business and Productivity Dynamics
Centre for Business and Productivity Dynamics (IWH-CBPD) The Centre for Business and Productivity Dynamics (CBPD) was founded in January 2025 and works with policy and research…
See page
Research Clusters
Three Research Clusters Each IWH research group is assigned to a topic-oriented research cluster. The clusters are not separate organisational units, but rather bundle the…
See page
Teaching
Teaching Within the framework of its cooperations with both German and foreign universities IWH researchers are actively committed to teaching by offering academic courses. These…
See page
Department Profiles
Research Profiles of the IWH Departments All doctoral students are allocated to one of the four research departments (Financial Markets – Laws, Regulations and Factor Markets –…
See page
