Volatilität, Wachstum und Finanzkrisen

Diese Forschungsgruppe analysiert die Entstehung von Instabilitäten im Finanzsystem und die realökonomischen Konsequenzen von Finanzkrisen. Dabei werden kausale Reaktionen gesamtwirtschaftlicher Größen auf makroökonomische Schocks identifiziert. Frühwarnmodelle beschreiben das zyklische Auftreten von Vulnerabilitäten im Finanzsystem.

IWH-Datenprojekt: Financial Stability Indicators in Europe

Forschungscluster
Finanzresilienz und Regulierung

Ihr Kontakt

Professor Dr. Gregor von Schweinitz
Professor Dr. Gregor von Schweinitz
Mitglied - Abteilung Makroökonomik
Nachricht senden +49 345 7753-744 Persönliche Seite

PROJEKTE

01.2022 ‐ 12.2023

Sovereign Risk Shocks

Deutsche Bundesbank

Professor Dr. Gregor von Schweinitz

05.2017 ‐ 09.2019

Frühwarnmodelle für systemische Bankenkrisen: Der Effekt von Modell- und Schätzunsicherheit

Deutsche Forschungsgemeinschaft (DFG)

Professor Dr. Gregor von Schweinitz

01.2018 ‐ 12.2018

International Monetary Policy Transmission

Deutsche Bundesbank

Professor Dr. Gregor von Schweinitz

Referierte Publikationen

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Advances in Using Vector Autoregressions to Estimate Structural Magnitudes

Christiane Baumeister James D. Hamilton

in: Econometric Theory, im Erscheinen

Abstract

This paper surveys recent advances in drawing structural conclusions from vector autoregressions (VARs), providing a unified perspective on the role of prior knowledge. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identified using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the effects of a single structural shock.

Publikation lesen

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Tracking Weekly State-Level Economic Conditions

Christiane Baumeister Danilo Leiva-León Eric Sims

in: Review of Economics and Statistics, im Erscheinen

Abstract

This paper develops a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We find considerable cross-state heterogeneity in the length, depth, and timing of business cycles. We illustrate the usefulness of these state-level indices for quantifying the main contributors to the economic collapse caused by the COVID-19 pandemic and for evaluating the effectiveness of the Paycheck Protection Program. We also propose an aggregate indicator that gauges the overall weakness of the U.S. economy.

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Energy Markets and Global Economic Conditions

Christiane Baumeister Dimitris Korobilis Thomas K. Lee

in: Review of Economics and Statistics, Nr. 4, 2022

Abstract

We evaluate alternative indicators of global economic activity and other market funda-mentals in terms of their usefulness for forecasting real oil prices and global petroleum consumption. World industrial production is one of the most useful indicators. However, by combining measures from several different sources we can do even better. Our analysis results in a new index of global economic conditions and measures for assessing future energy demand and oil price pressures. We illustrate their usefulness for quantifying the main factors behind the severe contraction of the global economy and the price risks faced by shale oil producers in early 2020.

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Why They Keep Missing: An Empirical Investigation of Sovereign Bond Ratings and Their Timing

Gregor von Schweinitz Makram El-Shagi

in: Scottish Journal of Political Economy, Nr. 2, 2022

Abstract

Two contradictory strands of the rating literature criticize that rating agencies merely follow the market on the one hand, and emphasizing that rating changes affect capital movements on the other hand. Both focus on explaining rating levels rather than the timing of rating announcements. Contrarily, we explicitly differentiate between a decision to assess a country and the actual rating decision. We show that this differentiation significantly improves the estimation of the rating function. The three major rating agencies treat economic fundamentals similarly, while differing in their response to other factors such as strategic considerations. This reconciles the conflicting literature.

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Structural Vector Autoregressions with Imperfect Identifying Information

Christiane Baumeister James D. Hamilton

in: American Economic Association Papers and Proceedings, May 2022

Abstract

The problem of identification is often the core challenge of empirical economic research. The traditional approach to identification is to bring in additional information in the form of identifying assumptions, such as restrictions that certain magnitudes have to be zero. In this paper, we suggest that what are usually thought of as identifying assumptions should more generally be described as information that the analyst had about the economic structure before seeing the data. Such information is most naturally represented as a Bayesian prior distribution over certain features of the economic structure.

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Arbeitspapiere

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Macroeconomic Effects from Sovereign Risk vs. Knightian Uncertainty

Ruben Staffa

in: IWH Discussion Papers, Nr. 27, 2023

Abstract

This paper compares macroeconomic effects of Knightian uncertainty and risk using policy shocks for the case of Italy. Drawing on the ambiguity literature, I use changes in the bid-ask spread and mid-price of government bonds as distinct measures for uncertainty and risk. The identification exploits the quasi-pessimistic behavior under ambiguity-aversion and the dealer market structure of government bond markets, where dealers must quote both sides of the market. If uncertainty increases, ambiguity-averse dealers will quasi-pessimistically quote higher ask and lower bid prices – increasing the bid-ask spread. In contrast, a pure change in risk shifts the risk-compensating discount factor which is well approximated by the change in bond mid-prices. I evaluate economic effects of the two measures within an instrumental variable local projection framework. The main findings are threefold. First, the resulting shock time series for uncertainty and risk are uncorrelated with each other at the intraday level, however, upon aggregation to monthly level the measures become correlated. Second, uncertainty is an important driver of economic aggregates. Third, macroeconomic effects of risk and uncertainty are similar, except for the response of prices. While sovereign risk raises inflation, uncertainty suppresses price growth – a result which is in line with increased price rigidity under ambiguity.

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Fiscal Policy under the Eyes of Wary Bondholders

Ruben Staffa Gregor von Schweinitz

in: IWH Discussion Papers, Nr. 26, 2023

Abstract

This paper studies the interaction between fiscal policy and bondholders against the backdrop of high sovereign debt levels. For our analysis, we investigate the case of Italy, a country that has dealt with high public debt levels for a long time, using a Bayesian structural VAR model. We extend a canonical three variable macro mode to include a bond market, consisting of a fiscal rule and a bond demand schedule for long-term government bonds. To identify the model in the presence of political uncertainty and forward-looking investors, we derive an external instrument for bond demand shocks from a novel news ticker data set. Our main results are threefold. First, the interaction between fiscal policy and bondholders’ expectations is critical for the evolution of prices. Fiscal policy reinforces contractionary monetary policy through sustained increases in primary surpluses and investors provide incentives for “passive” fiscal policy. Second, investors’ expectations matter for inflation, and we document a Fisherian response of inflation across all maturities in response to a bond demand shock. Third, domestic politics is critical in the determination of bondholders’ expectations and an increase in the perceived riskiness of sovereign debt increases inflation and thus complicates the task of controlling price growth.

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The Importance of Credit Demand for Business Cycle Dynamics

Gregor von Schweinitz

in: IWH Discussion Papers, Nr. 21, 2023

Abstract

This paper contributes to a better understanding of the important role that credit demand plays for credit markets and aggregate macroeconomic developments as both a source and transmitter of economic shocks. I am the first to identify a structural credit demand equation together with credit supply, aggregate supply, demand and monetary policy in a Bayesian structural VAR. The model combines informative priors on structural coefficients and multiple external instruments to achieve identification. In order to improve identification of the credit demand shocks, I construct a new granular instrument from regional mortgage origination. <br />I find that credit demand is quite elastic with respect to contemporaneous macroeconomic conditions, while credit supply is relatively inelastic. I show that credit supply and demand shocks matter for aggregate fluctuations, albeit at different times: credit demand shocks mostly drove the boom prior to the financial crisis, while credit supply shocks were responsible during and after the crisis itself. In an out-of-sample exercise, I find that the Covid pandemic induced a large expansion of credit demand in 2020Q2, which pushed the US economy towards a sustained recovery and helped to avoid a stagflationary scenario in 2022.

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What Explains International Interest Rate Co-Movement?

Annika Camehl Gregor von Schweinitz

in: IWH Discussion Papers, Nr. 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.

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The Impact of Active Aggregate Demand on Utilisation-adjusted TFP

Konstantin Gantert

in: IWH Discussion Papers, Nr. 9, 2022

Abstract

Non-clearing goods markets are an important driver of capacity utilisation and total factor productivity (TFP). The trade-off between goods prices and household search effort is central to goods market matching and therefore drives TFP over the business cycle. In this paper, I develop a New-Keynesian DSGE model with capital utilisation, worker effort, and expand it with<i> goods market search-and-matching (SaM)</i> to model non-clearing goods markets. I conduct a horse-race between the different capacity utilisation channels using Bayesian estimation and capacity utilisation survey data. Models that include goods market SaM improve the data fit, while the capital utilisation and worker effort channels are rendered less important compared to the literature. It follows that TFP fluctuations increase for demand and goods market mismatch shocks, while they decrease for technology shocks. This pattern increases as goods market frictions increase and as prices become stickier. The paper shows the importance of non-clearing goods markets in explaining the difference between technology and TFP over the business cycle.

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