Heterogenität in Macro-Finance

Viele makroökonomische Modelle basieren auf dem Konstrukt des repräsentativen Agenten bzw. der repräsentativen Agentin. Für eine Reihe von wichtigen Fragestellungen – insbesondere, wenn das Finanzsystem adäquat modelliert werden soll – ist es jedoch erforderlich, die Heterogenität der Agenten und Agentinnen explizit zu modellieren. Diese Forschungsgruppe entwickelt Methoden für die Erforschung des Zusammenhangs zwischen Einkommens- und Vermögensverteilung und der gesamtwirtschaftlichen Entwicklung.

Forschungscluster
Gesamtwirtschaftliche Dynamik und Stabilität

Ihr Kontakt

Professor Reint E. Gropp, Ph.D.
Professor Reint E. Gropp, Ph.D.
Mitglied - Abteilung Präsidialbereich
Nachricht senden +49 345 7753-700 Persönliche Seite

Referierte Publikationen

cover_journal-of-money-credit-and-banking.gif

Banks’ Funding Stress, Lending Supply and Consumption Expenditure

H. Evren Damar Reint E. Gropp A. Mordel

in: Journal of Money, Credit and Banking, im Erscheinen

Abstract

We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank funding stress on consumer credit and consumption expenditures. We show that households whose banks were more exposed to funding shocks report lower levels of non-mortgage liabilities. This, however, only translates into lower levels of consumption for low income households. Hence, adverse credit supply shocks are associated with significant heterogeneous effects.

Publikation lesen

cover_international-journal-of-central-banking.jpg

Deleveraging and Consumer Credit Supply in the Wake of the 2008-2009 Financial Crisis

Reint E. Gropp J. Krainer E. Laderman

in: International Journal of Central Banking, im Erscheinen

Publikation lesen

cover_journal_of_monetary_economics.jpg

Public Bank Guarantees and Allocative Efficiency

Reint E. Gropp Andre Guettler Vahid Saadi

in: Journal of Monetary Economics, im Erscheinen

Abstract

In the wake of the recent financial crisis, many governments extended public guarantees to banks. We take advantage of a natural experiment, in which long-standing public guarantees were removed for a set of German banks following a lawsuit, to identify the real effects of these guarantees on the allocation of credit (“allocative efficiency”). Using matched bank/firm data, we find that public guarantees reduce allocative efficiency. With guarantees in place, poorly performing firms invest more and maintain higher rates of sales growth. Moreover, firms produce less efficiently in the presence of public guarantees. Consistently, we show that guarantees reduce the likelihood that firms exit the market. These findings suggest that public guarantees hinder restructuring activities and prevent resources to flow to the most productive uses.

Publikation lesen
  • 1

Arbeitspapiere

cover_DP_2019-19.jpg

Flight from Safety: How a Change to the Deposit Insurance Limit Affects Households‘ Portfolio Allocation

H. Evren Damar Reint E. Gropp A. Mordel

in: IWH-Diskussionspapiere, Nr. 19, 2019

Abstract

We study how an increase to the deposit insurance limit affects households‘ portfolio allocation by exogenously reducing uninsured deposit balances. Using unique data that identifies insured versus uninsured deposits, along with detailed information on Canadian households‘ portfolio holdings, we show that households respond by drawing down deposits and shifting towards mutual funds and stocks. These outflows amount to 2.8% of outstanding bank deposits. The empirical evidence, consistent with a standard portfolio choice model that is modified to accommodate uninsured deposits, indicates that more generous deposit insurance coverage results in nontrivial adjustments to household portfolios.

Publikation lesen

cover_DP_2019-11.jpg

Banks' Funding Stress, Lending Supply and Consumption Expenditure

H. Evren Damar Reint E. Gropp A. Mordel

in: IWH-Diskussionspapiere, Nr. 11, 2019

Abstract

We employ a unique identification strategy linking survey data on household consumption expenditure to bank-level data to estimate the effects of bank funding stress on consumer credit and consumption expenditures. We show that households whose banks were more exposed to funding shocks report lower levels of nonmortgage liabilities. This, however, only translates into lower levels of consumption for low income households. Hence, adverse credit supply shocks are associated with significant heterogeneous effects.

Publikation lesen

cover_DP_2017-8.jpg

Suppliers as Liquidity Insurers

Reint E. Gropp Daniel Corsten Panos Markou

in: IWH-Diskussionspapiere, Nr. 8, 2017

Abstract

We examine how financial constraints in portfolios of suppliers affect cash holdings at the level of the customer. Utilizing a data set of private and public French companies and their suppliers, we show that customers rely on their financially unconstrained suppliers to provide them with backup liquidity, and that they stockpile approximately 10% less cash than customers with constrained suppliers. This effect persisted during the global financial crisis, highlighting that suppliers may be viable insurers of liquidity even when financing from banks and other external channels is unavailable. We further show that customers with unconstrained suppliers also simultaneously receive more trade credit; that the reduction in cash holdings is greater for firms with stronger ties to their unconstrained suppliers; and that customers reduce their cash holdings following a significant relaxation in their suppliers’ financial constraints through an IPO. Taken together, the results provide important nuance regarding the implications of supplier portfolios and financial constraints on firm liquidity management.

Publikation lesen

cover_DP_2016-25.jpg

The Forward-looking Disclosures of Corporate Managers: Theory and Evidence

Reint E. Gropp Rasa Karapandza Julian Opferkuch

in: IWH-Diskussionspapiere, Nr. 25, 2016

Abstract

We consider an infinitely repeated game in which a privately informed, long-lived manager raises funds from short-lived investors in order to finance a project. The manager can signal project quality to investors by making a (possibly costly) forward-looking disclosure about her project’s potential for success. We find that if the manager’s disclosures are costly, she will never release forward-looking statements that do not convey information to external investors. Furthermore, managers of firms that are transparent and face significant disclosure-related costs will refrain from forward-looking disclosures. In contrast, managers of opaque and profitable firms will follow a policy of accurate disclosures. To test our findings empirically, we devise an index that captures the quantity of forward-looking disclosures in public firms’ 10-K reports, and relate it to multiple firm characteristics. For opaque firms, our index is positively correlated with a firm’s profitability and financing needs. For transparent firms, there is only a weak relation between our index and firm fundamentals. Furthermore, the overall level of forward-looking disclosures declined significantly between 2001 and 2009, possibly as a result of the 2002 Sarbanes-Oxley Act.

Publikation lesen

Cover_IWH-Discussion-Papers_2016.jpg

Public Bank Guarantees and Allocative Efficiency

Reint E. Gropp Andre Guettler Vahid Saadi

in: IWH-Diskussionspapiere, Nr. 7, 2015

Abstract

In the wake of the recent financial crisis, many governments extended public guarantees to banks. We take advantage of a natural experiment, in which long-standing public guarantees were removed for a set of German banks following a lawsuit, to identify the real effects of these guarantees on the allocation of credit (“allocative efficiency”). Using matched bank/firm data, we find that public guarantees reduce allocative efficiency. With guarantees in place, poorly performing firms invest more and maintain higher rates of sales growth. Moreover, firms produce less efficiently in the presence of public guarantees. Consistently, we show that guarantees reduce the likelihood that firms exit the market. These findings suggest that public guarantees hinder restructuring activities and prevent resources to flow to the most productive uses.

Publikation lesen
  • 1
Mitglied der Leibniz-Gemeinschaft LogoTotal-Equality-LogoWeltoffen Logo