Ökonometrische Methoden für wirtschaftliche Prognosen und Simulationen

Der Forschungsschwerpunkt der Forschungsgruppe liegt in der Entwicklung ökonometrischer Methoden für Kurzfristprognosen (Reduzierte-Form-Modelle), für Regionalisierung und für Langfristprojektionen sowie für strukturelle Prognose- und Simulationsmodelle (DSGE-Modelle). Ferner erstellt sie ökonometrische Hintergrundanalysen für die Prognosetätigkeit der Forschungsgruppe Makroökonomische Analysen und Prognosen. Im Rahmen von Drittmittelprojekten wurden verschiedene makroökonomische Modelle, bspw. für die Volkswagen Financial Services AG oder im Rahmen von GIZ-Projekten für die Wirtschaftsministerien in Kirgistan und Tadschikistan sowie das Institut für makroökonomische Prognosen und Forschung (IFMR) in Usbekistan entwickelt.

IWH-Datenprojekt: IWH Real-time Database

Forschungscluster
Wirtschaftliche Dynamik und Stabilität

Ihr Kontakt

Dr. Katja Heinisch
Dr. Katja Heinisch
- Abteilung Makroökonomik
Nachricht senden +49 345 7753-836 LinkedIn Profil

PROJEKTE

07.2022 ‐ 12.2026

Evaluierung des InvKG und des Bundesprogrammes STARK

Bundesministerium für Wirtschaft und Klimaschutz (BMWK)

Im Auftrag des Bundesministeriums für Wirtschaft und Klimaschutz evaluieren das IWH und das RWI die Verwendung der rund 40 Milliarden Euro, mit denen der Bund die Kohleausstiegsregionen unterstützt.

Projektseite ansehen

12.2024 ‐ 02.2026

Macroeconomic Modelling for Energy Investments in Vietnam

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Dr. Katja Heinisch

08.2024 ‐ 03.2025

Strengthening Public Financial Management in Vietnam

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Dr. Katja Heinisch

01.2023 ‐ 12.2023

Frühzeitige Ermittlung stabiler Ergebnisse zum Bruttoinlandsprodukt bzw. realen Wirtschaftswachstum und der Bruttowertschöpfung auf Länderebene

Landesbetrieb Information und Technik Nordrhein-Westfalen

Das Projekt prüft, ob die Genauigkeit der ersten Schätzung der Bruttowertschöpfung und des Bruttoinlandsprodukts für die Bundesländer erhöht und damit das Ausmaß der nachfolgenden Revisionen reduziert werden kann.

 Projekt-Website

Professor Dr. Oliver Holtemöller

01.2018 ‐ 12.2023

EuropeAid (EU-Rahmenvertrag)

Europäische Kommission

Professor Dr. Oliver Holtemöller

05.2020 ‐ 09.2023

ENTRANCES: Energy Transitions from Coal and Carbon: Effects on Societies

Europäische Kommission

Ziel von ENTRANCES ist es, die Folgen des Kohleausstiegs in Europa zu untersuchen. Wie verändert der Kohleausstieg die Gesellschaft – und wie kann Politik darauf reagieren?

Projektseite ansehen

This project has received funding from the European Union’s Horizon 2020 research and innovation programme under grant agreement No 883947.

Professor Dr. Oliver Holtemöller
Dr. Katja Heinisch

10.2019 ‐ 01.2023

An Klimawandel angepasste Wirtschaftsentwicklung

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Der Klimawandel wirkt sich stark auf das Wirtschaftswachstum und die Entwicklung eines Landes aus. Das erhöht den Bedarf an verlässlichen und realisierbaren Ansätzen, mit denen die Auswirkungen von Klimarisiken und potenzielle Anpassungsszenarien bewertet werden können. Die politischen Entscheidungsträger*innen in den Planungs- und Wirtschaftsministerien benötigen fundierte Prognosen, um entsprechende wirtschaftspolitische Instrumente zu konzipieren, zu finanzieren und aktiv gegenzusteuern. In den Pilotländern Kasachstan, Vietnam und Georgien werden Klimarisiken bei der makroökonomischen Modellierung berücksichtigt. Die Ergebnisse werden so in den Politikprozess integriert, dass angepasste Wirtschaftsplanungen entstehen können. Das IWH-Team ist verantwortlich für die makroökonomische Modellierung in Vietnam.

GIZ-Projektseite ansehen

Dr. Katja Heinisch

07.2016 ‐ 12.2018

Klimaschutz und Kohleausstieg: Politische Strategien und Maßnahmen bis 2030 und darüber hinaus

Umweltbundesamt (UBA)

Dr. Katja Heinisch

01.2017 ‐ 12.2017

Unterstützung einer nachhaltigen Wirtschaftsentwicklung in ausgewählten Regionen Usbekistans

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Dr. Andrej Drygalla

01.2017 ‐ 12.2017

Short-term Macroeconomic Forecasting Model in Ministry of Economic Development and Trade of Ukraine

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Dr. Andrej Drygalla

01.2016 ‐ 12.2017

Entwicklung eines analytischen Tools basierend auf einer Input-Output-Tabelle

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Das Ziel des Projektes war die Entwicklung eines Exceltools zur Wirkungsanalyse von Politikmaßnahmen in Tadschikistan basierend auf dem statischen Input-Output-Ansatz.

Dr. Katja Heinisch

11.2015 ‐ 12.2016

Beschäftigung und Entwicklung in der Republik Usbekistan

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Förderung einer nachhaltigen wirtschaftlichen Entwicklung in ausgewählten Regionen Usbekistans

Dr. Katja Heinisch

05.2016 ‐ 05.2016

Rahmenbedingungen und Finanzierungsmöglichkeiten für die Entwicklung des Privatsektors in Tadschikistan

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Dr. Katja Heinisch

02.2016 ‐ 04.2016

Makroökonomische Reformen und umwelt- und sozialverträgliches Wachstum in Vietnam

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Dr. Katja Heinisch

10.2015 ‐ 03.2016

Improved Evidence-based Policy Making - GIZ Tadschikistan

Deutsche Gesellschaft für Internationale Zusammenarbeit (GIZ) GmbH

Dr. Katja Heinisch

Referierte Publikationen

cover_Review-of-World-Economics.jpg

Monetary Policy in an Oil-dependent Economy in the Presence of Multiple Shocks

Andrej Drygalla

in: Review of World Economics, February 2023

Abstract

Russian monetary policy has been challenged by large and continuous private capital outflows and a sharp drop in oil prices during 2014. Both contributed to significant depreciation pressures on the ruble and led the central bank to give up its exchange rate management strategy. Against this background, this work estimates a small open economy model for Russia, featuring an oil price sector and extended by a specification of the foreign exchange market to correctly account for systematic central bank interventions. We find that shocks to the oil price and private capital flows substantially affect domestic variables such as inflation and output. Simulations for the estimated actual strategy and alternative regimes suggest that the vulnerability of the Russian economy to external shocks can substantially be lowered by adopting some form of inflation targeting. Strategies to target the nominal exchange rate or the ruble price of oil prove to be inferior.

Publikation lesen

cover_international-economics-and-economic-policy.jpg

Business Cycle Characteristics of Mediterranean Economies: a Secular Trend and Cycle Dynamics Perspective

Anna Solms Bernd Süssmuth

in: International Economics and Economic Policy, October 2022

Abstract

This study analyzes business cycle characteristics for all 20 major contemporaneous economies bordering the Mediterranean Sea based on annual real gross domestic product series for the period from 1960 to 2019. The region we investigate corresponds to the Mare Internum region of the Imperial Roman Empire during the Nerva-Antonine and early Severan dynasty, i.e., at the time of the maximum extent of the Roman Empire around 100 to 200 CE. The covered area encircles the Mediterranean, including economies now belonging to the European Union as well as acceding countries, Turkey, and the Middle East and North African economies. Using a components-deviation-cycle approach, we assess level trends and relative volatility of output. We also quantify the contribution of various factors to the business cycle variability within a region. We find cyclic commonalities and idiosyncrasies are related to ancient and colonial history and to contemporaneous trade relationships. Caliphate and Ottoman Empire membership as well as colonial rule in the twentieth century and contemporary Muslim share of population are the most promising predictors of business cycle commonalities in the region.

Publikation lesen

cover_journal-of-economic-dynamics-and-control.jpg

Epidemics in the New Keynesian Model

Martin S. Eichenbaum Sergio Rebelo Mathias Trabandt

in: Journal of Economic Dynamics and Control, July 2022

Abstract

This paper documents the behavior of key macro aggregates in the wake of the Covid epidemic. We show that a unique feature of the Covid recession is that the peak-to-trough decline is roughly the same for consumption, investment, and output. In contrast to the 2008 recession, there was only a short-lived rise in financial stress that quickly subsided. Finally, there was mild deflation between the peak and the trough of the Covid recession. We argue that a New Keynesian model that explicitly incorporates epidemic dynamics captures these qualitative features of the Covid recession. A key feature of the model is that Covid acts like a negative shock to the demand for consumption and the supply of labor.

Publikation lesen

cover_imf-economic-review.jpg

Inequality in Life and Death

Martin S. Eichenbaum Sergio Rebelo Mathias Trabandt

in: IMF Economic Review, March 2022

Abstract

We argue that the COVID epidemic disproportionately affected the economic well-being and health of poor people. To disentangle the forces that generated this outcome, we construct a model that is consistent with the heterogeneous impact of the COVID recession on low- and high-income people. According to our model, two-thirds of the inequality in COVID deaths reflect preexisting inequality in comorbidity rates and access to quality health care. The remaining third stems from the fact that low-income people work in occupations where the risk of infection is high. Our model also implies that the rise in income inequality generated by the COVID epidemic reflects the nature of the goods that low-income people produce. Finally, we assess the health-income trade-offs associated with fiscal transfers to the poor and mandatory containment policies.

Publikation lesen

cover_journal_of_monetary_economics.jpg

Resolving the Missing Deflation Puzzle

Martín Harding Jesper Lindé Mathias Trabandt

in: Journal of Monetary Economics, March 2022

Abstract

A resolution of the missing deflation puzzle is proposed. Our resolution stresses the importance of nonlinearities in price- and wage-setting when the economy is exposed to large shocks. We show that a nonlinear macroeconomic model with real rigidities resolves the missing deflation puzzle, while a linearized version of the same underlying nonlinear model fails to do so. In addition, our nonlinear model reproduces the skewness of inflation and other macroeconomic variables observed in post-war U.S. data. All told, our results caution against the common practice of using linearized models to study inflation and output dynamics.

Publikation lesen

Arbeitspapiere

Cover_IWH-Discussion-Papers_2016.jpg

A Federal Long-run Projection Model for Germany

Oliver Holtemöller Maike Irrek Birgit Schultz

in: IWH Discussion Papers, Nr. 11, 2012

Abstract

Many economic decisions implicitly or explicitly rely on a projection of the medium- or long-term economic development of a country or region. In this paper, we provide a federal long-run projection model for Germany and the German states. The model fea-tures a top-down approach and, as major contribution, uses error correction models to estimate the regional economic development dependent on the national projection. For the medium- and long-term projection of economic activity, we apply a production function approach. We provide a detailed robustness analysis by systematically varying assumptions of the model. Additionally, we explore the effects of different demographic trends on economic development.

Publikation lesen

Cover_IWH-Discussion-Papers_2016.jpg

Does Central Bank Staff Beat Private Forecasters?

Makram El-Shagi Sebastian Giesen A. Jung

in: IWH Discussion Papers, Nr. 5, 2012

Abstract

In the tradition of Romer and Romer (2000), this paper compares staff forecasts of the Federal Reserve (Fed) and the European Central Bank (ECB) for inflation and output with corresponding private forecasts. Standard tests show that the Fed and less so the ECB have a considerable information advantage about inflation and output. Using novel tests for conditional predictive ability and forecast stability for the US, we identify the driving forces of the narrowing of the information advantage of Greenbook forecasts coinciding with the Great Moderation.

Publikation lesen

Cover_IWH-Discussion-Papers_2016.jpg

Is East Germany Catching Up? A Time Series Perspective

Bernd Aumann Rolf Scheufele

in: IWH Discussion Papers, Nr. 14, 2009

Abstract

This paper assesses whether the economy of East Germany is catching up with the West German region in terms of welfare. While the primary measure for convergence and catching up is per capita output, we also look at other macroeconomic indicators such as unemployment rates, wage rates, and production levels in the manufacturingsector. In contrast to existing studies of convergence between regions of reunified Germany, our approach is purely based upon the time series dimension and is thus directly focused on the catching up process in East Germany as a region. Our testing setup includes standard ADF unit root tests as well as unit root tests that endogenously allow for a break in the deterministic component of the process. In our analysis, we find evidence of catching up for East Germany for most of the indicators. However, convergence speed is slow, and thus it can be expected that the catching up process will take further decades until the regional gap is closed.

Publikation lesen
Mitglied der Leibniz-Gemeinschaft LogoTotal-Equality-LogoGefördert durch das BMWK