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
Finanzstabilität und Regulierung

Ihr Kontakt

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

PROJEKTE

01.2018 ‐ 12.2018

International Monetary Policy Transmission

Deutsche Bundesbank

Juniorprofessor Dr. Gregor von Schweinitz

01.2017 ‐ 12.2018

Early-warning Models for Systemic Banking Crises

Deutsche Forschungsgemeinschaft (DFG)

Juniorprofessor Dr. Gregor von Schweinitz

Referierte Publikationen

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Exchange Rate Regime, Real Misalignment and Currency Crises

Oliver Holtemöller Sushanta Mallick

in: Economic Modelling, Nr. 34, 2013

Abstract

Based on 69 sample countries, this paper examines the effect of macroeconomic fundamentals on real effective exchange rates (REER) in these sample countries. Using the misalignment of actual REER from its equilibrium level, we have estimated the factors explaining the extent of currency over- or under-valuation. Overall, we find that the higher the flexibility of the currency regime, the lower is the misalignment. The estimates are robust to different sub-samples of countries. We then explore the impact of such misalignment on the probability of a currency crisis in the next period, indicating the extent to which misalignment could be used as a leading indicator of a potential crisis. This paper thus makes a new contribution to the debate on the choice of exchange rate regime by bringing together real exchange rate misalignment and currency crisis literature.

Publikation lesen

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Predicting Financial Crises: The (Statistical) Significance of the Signals Approach

Makram El-Shagi Tobias Knedlik Gregor von Schweinitz

in: Journal of International Money and Finance, Nr. 35, 2013

Abstract

The signals approach as an early-warning system has been fairly successful in detecting crises, but it has so far failed to gain popularity in the scientific community because it cannot distinguish between randomly achieved in-sample fit and true predictive power. To overcome this obstacle, we test the null hypothesis of no correlation between indicators and crisis probability in three applications of the signals approach to different crisis types. To that end, we propose bootstraps specifically tailored to the characteristics of the respective datasets. We find (1) that previous applications of the signals approach yield economically meaningful results; (2) that composite indicators aggregating information contained in individual indicators add value to the signals approach; and (3) that indicators which are found to be significant in-sample usually perform similarly well out-of-sample.

Publikation lesen

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Sovereign Default Risk in the Euro-periphery and the Euro-candidate Countries

Hubert Gabrisch Lucjan T. Orlowski Toralf Pusch

in: Journal of Comparative Economics, 2011

Publikation lesen

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The Role of Uncertainty in the Euro Crisis - A Reconsideration of Liquidity Preference Theory

Toralf Pusch

in: Journal of Post Keynesian Economics, 2013

Abstract

With the world financial crisis came the rediscovery of the active role fiscal policy could play in remedying the situation. More recently, the Euro Crisis, with its mounting funding costs facing governments of a number of Southern EU member states and Ireland, has called this strategy into question. Opposing this view, the main point of this contribution is to elaborate on the link between rising sovereign risk premia in the Eurozone and a major feature of the financial crisis - elevated uncertainty after the Lehman collapse. Theoretically, this link is developed with reference to Keynes' liquidity preference theory. The high explanatory power of rising uncertainty in financial markets and the detrimental effects of fiscal austerity on the evolution of sovereign risk spreads are demonstrated empirically by means of panel regressions and supplementary correlation analyses.

Publikation lesen

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Evidence on the Effects of Inflation on Price Dispersion under Indexation

Juliane Scharff S. Schreiber

in: Empirical Economics, Nr. 1, 2012

Abstract

Distortionary effects of inflation on relative prices are the main argument for inflation stabilization in macro models with sticky prices. Under indexation of non-optimized prices, those models imply a nonlinear and dynamic impact of inflation on the cross-sectional price dispersion (relative price or inflation variability, RPV). Using US sectoral price data, we estimate such a relationship between inflation and RPV, also taking into account the endogeneity of inflation by using two- and three-stage least-squares and GMM techniques, which turns out to be relevant. We find an effect of (expected) inflation on RPV, and our results indicate that average (“trend”) inflation is important for the RPV-inflation relationship. Lagged inflation matters for indexation in the CPI data, but is not important empirically in the PPI data.

Publikation lesen

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