15.06.2021 • 16/2021
Konjunktur aktuell: Zunahme persönlicher Kontakte beflügelt wirtschaftliche Aktivität
Im Sommer sind die konjunkturellen Aussichten in Deutschland günstig. Weil die Pandemie auf dem Rückzug ist, dürften die Restriktionen, die die Aktivität in vielen Dienstleistungsbranchen behindert haben, nach und nach aufgehoben werden, und es ist mit einem kräftigen Schub bei den privaten Käufen zu rechnen. Das Leibniz-Institut für Wirtschaftsforschung Halle (IWH) prognostiziert, dass das Bruttoinlandsprodukt im Jahr 2021 um 3,9% und im Jahr 2022 um 4,0% zunehmen wird. Die Produktion in Ostdeutschland dürfte in beiden Jahren um jeweils 3% zulegen.
Oliver Holtemöller
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What Drives the Commodity-Sovereign Risk Dependence in Emerging Market Economies?
Hannes Böhm, Stefan Eichler, Stefan Gießler
Journal of International Money and Finance,
March
2021
Abstract
Using daily data for 34 emerging markets in the period 1994–2016, we find robust evidence that higher export commodity prices are associated with lower sovereign default risk, as measured by lower EMBI spreads. The economic effect is especially pronounced for heavy commodity exporters. Examining the drivers, we find that, first, commodity dependence is higher for countries that export large volumes of commodities, whereas other portfolio characteristics like volatility or concentration are less important. Second, commodity-sovereign risk dependence increases in times of recessions and expansionary U.S. monetary policy. Third, the importance of raw material prices for sovereign financing can likely be mitigated if a country improves institutions and tax systems, attracts FDI inflows, invests in manufacturing, machinery and infrastructure, builds up reserve assets and opens capital and trade accounts. Fourth, the country’s government indebtedness or amount of received development assistance appear to be only of secondary importance for commodity dependence.
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A Note of Caution on Quantifying Banks' Recapitalization Effects
Felix Noth, Kirsten Schmidt, Lena Tonzer
Deutsche Bundesbank Discussion Paper,
Nr. 2,
2021
Abstract
Unconventional monetary policy measures like asset purchase programs aim to reduce certain securities' yield and alter financial institutions' investment behavior. These measures increase the institutions' market value of securities and add to their equity positions. We show that the extent of this recapitalization effect crucially depends on the securities' accounting and valuation methods, country-level regulation, and maturity structure. We argue that future research needs to consider these factors when quantifying banks' recapitalization effects and consequent changes in banks' lending decisions to the real sector.
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01.02.2021 • 4/2021
Privatpersonen erhöhen Ersparnisse aufgrund fehlender Ausgabemöglichkeiten und nicht aus Angst vor Arbeitslosigkeit
Während der Corona-Krise haben europäische Haushalte so viel Geld zurückgelegt wie noch nie. Eine Analyse des Leibniz-Instituts für Wirtschaftsforschung Halle (IWH) führt dieses Sparverhalten hauptsächlich auf ein eingeschränktes Angebot infolge staatlicher Lockdown-Maßnahmen und nicht auf andere Faktoren wie ökonomische Unsicherheit zurück. IWH-Präsident Reint Gropp sieht daher Potenzial für eine rasche Wiederbelebung des Konsums und somit eine zügige wirtschaftliche Erholung, sobald der Lockdown aufgehoben wird.
Reint E. Gropp
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Involuntary Unemployment and the Business Cycle
Lawrence J. Christiano, Mathias Trabandt, Karl Walentin
Review of Economic Dynamics,
January
2021
Abstract
Can a model with limited labor market insurance explain standard macro and labor market data jointly? We construct a monetary model in which: i) the unemployed are worse off than the employed, i.e. unemployment is involuntary and ii) the labor force participation rate varies with the business cycle. To illustrate key features of our model, we start with the simplest possible framework. We then integrate the model into a medium-sized DSGE model and show that the resulting model does as well as existing models at accounting for the response of standard macroeconomic variables to monetary policy shocks and two technology shocks. In addition, the model does well at accounting for the response of the labor force and unemployment rate to these three shocks.
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Lending Effects of the ECB’s Asset Purchases
Michael Koetter
Journal of Monetary Economics,
December
2020
Abstract
Between 2010 and 2012, the European Central Bank absorbed €218 billion worth of government securities from five EMU countries under the Securities Markets Programme (SMP). Detailed security holdings data at the bank level affirms an effective lending stimulus due to the SMP. Exposed banks contract household lending, but increase commercial lending substantially. Holding non-SMP securities from stressed EMU countries amplifies the commercial lending response. The SMP also improved liquidity buffers and profitability without compromising credit quality.
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Financial Technologies and the Effectiveness of Monetary Policy Transmission
Iftekhar Hasan, Boreum Kwak, Xiang Li
IWH Discussion Papers,
Nr. 26,
2020
Abstract
This study investigates whether and how financial technologies (FinTech) influence the effectiveness of monetary policy transmission. We use an interacted panel vector autoregression model to explore how the effects of monetary policy shocks change with regional-level FinTech adoption. Results indicate that FinTech adoption generally mitigates monetary policy transmission to real GDP, consumer prices, bank loans, and housing prices. A subcategorical analysis shows that the muted transmission is the most pronounced in the adoption of FinTech payment and credit, compared to that of insurance. The regulatory arbitrage and competition between FinTech and banks are the possible mechanisms leading a mitigated monetary policy transmission.
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Sovereign Default Risk, Macroeconomic Fluctuations and Monetary-Fiscal Stabilisation
Markus Kirchner, Malte Rieth
IWH Discussion Papers,
Nr. 22,
2020
Abstract
This paper examines the role of sovereign default beliefs for macroeconomic fluctuations and stabilisation policy in a small open economy where fiscal solvency is a critical problem. We set up and estimate a DSGE model on Turkish data and show that accounting for sovereign risk significantly improves the fit of the model through an endogenous amplication between default beliefs, exchange rate and inflation movements. We then use the estimated model to study the implications of sovereign risk for stability, fiscal and monetary policy, and their interaction. We find that a relatively strong fiscal feedback from deficits to taxes, some exchange rate targeting, or a monetary response to default premia are more effective and efficient stabilisation tools than hawkish inflation targeting.
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Exchange Rates and the Information Channel of Monetary Policy
Oliver Holtemöller, Alexander Kriwoluzky, Boreum Kwak
IWH Discussion Papers,
Nr. 17,
2020
Abstract
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of exchange rate changes increases. Making use of this heteroskedasticity, we estimate that a contractionary interest rate shock appreciates the dollar, increases the excess bond premium, and leads to a decline in prices and output, while a positive information shock appreciates the dollar, decreases prices and the excess bond premium, and increases output.
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