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

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Coal Phase-out in Germany – Implications and Policies for Affected Regions

Pao-Yu Oei Hauke Hermann Philipp Herpich Oliver Holtemöller Benjamin Lünenbürger Christoph Schult

in: Energy, April 2020

Abstract

The present study examines the consequences of the planned coal phase-out in Germany according to various phase-out pathways that differ in the ordering of power plant closures. Soft-linking an energy system model with an input-output model and a regional macroeconomic model simulates the socio-economic effects of the phase-out in the lignite regions, as well as in the rest of Germany. The combination of two economic models offers the advantage of considering the phase-out from different perspectives and thus assessing the robustness of the results. The model results show that the lignite coal regions will exhibit losses in output, income and population, but a faster phase-out would lead to a quicker recovery. Migration to other areas in Germany and demographic changes will partially compensate for increasing unemployment, but support from federal policy is also necessary to support structural change in these regions.

Publikation lesen

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Nowcasting East German GDP Growth: a MIDAS Approach

João Carlos Claudio Katja Heinisch Oliver Holtemöller

in: Empirical Economics, Nr. 1, 2020

Abstract

Economic forecasts are an important element of rational economic policy both on the federal and on the local or regional level. Solid budgetary plans for government expenditures and revenues rely on efficient macroeconomic projections. However, official data on quarterly regional GDP in Germany are not available, and hence, regional GDP forecasts do not play an important role in public budget planning. We provide a new quarterly time series for East German GDP and develop a forecasting approach for East German GDP that takes data availability in real time and regional economic indicators into account. Overall, we find that mixed-data sampling model forecasts for East German GDP in combination with model averaging outperform regional forecast models that only rely on aggregate national information.

Publikation lesen

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Should Forecasters Use Real‐time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence

Katja Heinisch Rolf Scheufele

in: German Economic Review, Nr. 4, 2019

Abstract

In this paper, we investigate whether differences exist among forecasts using real‐time or latest‐available data to predict gross domestic product (GDP). We employ mixed‐frequency models and real‐time data to reassess the role of surveys and financial data relative to industrial production and orders in Germany. Although we find evidence that forecast characteristics based on real‐time and final data releases differ, we also observe minimal impacts on the relative forecasting performance of indicator models. However, when obtaining the optimal combination of soft and hard data, the use of final release data may understate the role of survey information.

Publikation lesen

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Expectation Formation, Financial Frictions, and Forecasting Performance of Dynamic Stochastic General Equilibrium Models

Oliver Holtemöller Christoph Schult

in: Historical Social Research, Nr. 2, Special Issue: Governing by Numbers 2019

Abstract

In this paper, we document the forecasting performance of estimated basic dynamic stochastic general equilibrium (DSGE) models and compare this to extended versions which consider alternative expectation formation assumptions and financial frictions. We also show how standard model features, such as price and wage rigidities, contribute to forecasting performance. It turns out that neither alternative expectation formation behaviour nor financial frictions can systematically increase the forecasting performance of basic DSGE models. Financial frictions improve forecasts only during periods of financial crises. However, traditional price and wage rigidities systematically help to increase the forecasting performance.

Publikation lesen

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For How Long Do IMF Forecasts of World Economic Growth Stay Up-to-date?

Katja Heinisch Axel Lindner

in: Applied Economics Letters, Nr. 3, 2019

Abstract

This study analyses the performance of the International Monetary Fund (IMF) World Economic Outlook output forecasts for the world and for both the advanced economies and the emerging and developing economies. With a focus on the forecast for the current year and the next year, we examine the durability of IMF forecasts, looking at how much time has to pass so that IMF forecasts can be improved by using leading indicators with monthly updates. Using a real-time data set for GDP and for indicators, we find that some simple single-indicator forecasts on the basis of data that are available at higher frequency can significantly outperform the IMF forecasts as soon as the publication of the IMF’s Outlook is only a few months old. In particular, there is an obvious gain using leading indicators from January to March for the forecast of the current year.

Publikation lesen

Arbeitspapiere

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Is there an Information Channel of Monetary Policy?

Oliver Holtemöller Alexander Kriwoluzky Boreum Kwak

in: IWH Discussion Papers, Nr. 17, 2020

Abstract

Exploiting the heteroscedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary policy shock, and the second resembles an unconventional monetary shock. The third shock leads to an increase in interest rates, stock prices, industrial production, consumer prices, and commodity prices. At the same time, the excess bond premium and uncertainty decrease, and the U.S. dollar depreciates. Therefore, this third shock combines all the characteristics of a central bank information shock.

Publikation lesen

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Integrated Assessment of Epidemic and Economic Dynamics

Oliver Holtemöller

in: IWH Discussion Papers, Nr. 4, 2020

Abstract

In this paper, a simple integrated model for the joint assessment of epidemic and economic dynamics is developed. The model can be used to discuss mitigation policies like shutdown and testing. Since epidemics cause output losses due to a reduced labor force, temporarily reducing economic activity in order to prevent future losses can be welfare enhancing. Mitigation policies help to keep the number of people requiring intensive medical care below the capacity of the health system. The optimal policy is a mixture of temporary partial shutdown and intensive testing and isolation of infectious persons for an extended period of time.

Publikation lesen

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How Forecast Accuracy Depends on Conditioning Assumptions

Carola Engelke Katja Heinisch Christoph Schult

in: IWH Discussion Papers, Nr. 18, 2019

Abstract

This paper examines the extent to which errors in economic forecasts are driven by initial assumptions that prove to be incorrect ex post. Therefore, we construct a new data set comprising an unbalanced panel of annual forecasts from different institutions forecasting German GDP and the underlying assumptions. We explicitly control for different forecast horizons to proxy the information available at the release date. Over 75% of squared errors of the GDP forecast comove with the squared errors in their underlying assumptions. The root mean squared forecast error for GDP in our regression sample of 1.52% could be reduced to 1.13% by setting all assumption errors to zero. This implies that the accuracy of the assumptions is of great importance and that forecasters should reveal the framework of their assumptions in order to obtain useful policy recommendations based on economic forecasts.

Publikation lesen

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Progressive Tax-like Effects of Inflation: Fact or Myth? The U.S. Post-war Experience

Matthias Wieschemeyer Bernd Süssmuth

in: IWH Discussion Papers, Nr. 33, 2017

Abstract

Inflation and earnings growth can push some tax payers into higher brackets in the absence of inflation-indexed schedules. Moreover, inflation may affect the composition of individuals’ income sources. As a result, depending on the relative tax burden of labour and capital, inflation may decrease or increase the difference between before-tax and after-tax income. However, whether some and if so which percentiles of the income distribution net benefit from inflation via taxation is a widely unexplored question. We make use of a novel dataset on U.S. pre-tax and post-tax income distribution series provided by Pike ty et al. (2018) for the years 1962 to 2014 to answer this question. To this end, we estimate local projections to quantify dynamic effects. We find that inflation shocks increase progressivity of taxation not only contemporaneously but also with some repercussion of several years after the shock. While particularly the bottom two quintiles gain in share, it is not the top but the fourth quintile that lastingly loses.

Publikation lesen

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Outperforming IMF Forecasts by the Use of Leading Indicators

Katja Drechsel Sebastian Giesen Axel Lindner

in: IWH Discussion Papers, Nr. 4, 2014

Abstract

This study analyzes the performance of the IMF World Economic Outlook forecasts for world output and the aggregates of both the advanced economies and the emerging and developing economies. With a focus on the forecast for the current and the next year, we examine whether IMF forecasts can be improved by using leading indicators with monthly updates. Using a real-time dataset for GDP and for the indicators we find that some simple single-indicator forecasts on the basis of data that are available at higher frequency can significantly outperform the IMF forecasts if the publication of the Outlook is only a few months old.

Publikation lesen
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