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
ForschungsclusterFinanzresilienz und Regulierung
01.2018 ‐ 12.2018
International Monetary Policy Transmission
01.2017 ‐ 12.2018
Early-warning Models for Systemic Banking Crises
Deutsche Forschungsgemeinschaft (DFG)
Government Interventions in Banking Crises: Effects of Alternative Schemes on Bank Lending and Risk-taking
in: Scottish Journal of Political Economy, Nr. 2, 2012
We analyse the effects of policy measures to stop the fall in loan supply following a banking crisis. We apply a dynamic framework in which a debt overhang induces banks to curtail lending or to choose a fragile capital structure. Government assistance conditional on new banking activities, like on new lending or on debt and equity issues, allows banks to influence the scale of the assistance and to externalise risks, implying overinvestment or excessive risk taking or both. Assistance without reference to new activities, like granting lump sum transfers or establishing bad banks, does not generate adverse incentives but may have higher fiscal costs.
Extreme Risks in Financial Markets and Monetary Policies of the Euro-candidates
in: Comparative Economic Studies, Nr. 4, 2011
This study investigates extreme tail risks in financial markets of the euro-candidate countries and their implications for monetary policies. Our empirical tests show the prevalence of extreme risks in the conditional volatility series of selected financial variables, that is, interbank rates, equity market indexes and exchange rates. We argue that excessive instability of key target and instrument variables should be mitigated by monetary policies. Central banks in these countries will be well-advised to use both standard and unorthodox (discretionary) tools of monetary policy while steering their economies out of the financial crisis and through the euro-convergence process.
Central and Eastern European Countries in the Global Financial Crisis: A Typical Twin Crisis?
in: Post-Communist Economies, Nr. 4, 2011
This paper shows that during the Great Recession, banking and currency crises occurred simultaneously in Central and Eastern Europe. Events, however, differed widely from what happened during the Asian crisis that usually serves as the model case for the concept of twin crises. We look at three elements that help explaining the nature of events in Central and Eastern Europe: the problem of currency mismatches, the relation between currency and banking crises, and the importance of multinational banks for financial stability. It is shown that theoretical considerations concerning internal capital markets of multinational banks help understand what happened on capital markets and in the financial sector of the region. We discuss opposing effects of multinational banking on financial stability and find that institutional differences are the key to understand differing effects of the global financial crisis. In particular, we argue that it matters if international activities are organized by subsidiaries or by cross-border financial services, how large the share of foreign currency-denominated credit is and whether the exchange rate is fixed or flexible. Based on these three criteria we give an explanation why the pattern of the crisis in the Baltic States differed markedly from that in Poland and the Czech Republic, the two largest countries of the region.
Inflation and Relative Price Variability in the Euro Area: Evidence from a Panel Threshold Model
in: Applied Economics, Nr. 4, 2012
The impact of inflation on Relative Price Variability (RPV) generates an important channel for real effects of inflation. This article provides first evidence on the empirical relation between inflation and RPV in the euro area. Stirred by the widespread use of inflation caps or target bands in monetary policy practice, we are particularly interested in threshold effects of inflation. In line with the predictions of monetary search models, our results indicate that expected inflation significantly increases RPV only if inflation is either very low (below 0.95% per annum (p.a.)) or very high (above 4.96% p.a.).
Interest Rate Convergence in the Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields
in: Emerging Markets Finance and Trade, 2010
We argue that a “static“ specification of the Maastricht criterion for long-term bond yields is not conducive to assessing stability of financial systems in euro-candidate countries. Instead, we advocate a dynamic approach to assessing interest rate convergence to a common currency that is based on the analysis of financial system stability. Accordingly, we empirically test volatility dynamics of the ten-year sovereign bond yields of the 2004 EU accession countries in relation to the eurozone yields during the January 2, 2001-January 22, 2009, sample period. Our results show a varied degree of the relationship between domestic and eurozone sovereign bond yields, the most pronounced for the Czech Republic, Slovenia, and Poland, and weaker for Hungary and Slovakia. We find some divergence of relative bond yields since the EU accession.