In der Abteilung Makroökonomik werden kurz- und mittelfristige Schwankungen gesamtwirtschaftlicher Variablen (zum Beispiel des Bruttoinlandsprodukts, der Beschäftigung, der Preise und der Zinsen), die Wirkungen wirtschaftspolitischer Maßnahmen auf diese Größen und die institutionellen Rahmenbedingungen für Konjunktur und langfristiges Wirtschaftswachstum erforscht. Auf Basis dieser Forschung bietet die Abteilung wissenschaftlich fundierte und evidenzbasierte wirtschaftspolitische Beratung an.

Mit ihren etwa 20 Mitarbeiterinnen und Mitarbeitern kann die Abteilung ein breites Spektrum makroökonomischer Fragestellungen abdecken. Die Forschungsschwerpunkte liegen in der Entwicklung, Implementierung und Anwendung quantitativer makroökonomischer Modelle sowie in der Analyse der Interaktion von Finanzsystem und realwirtschaftlicher Entwicklung. 

Ihr Kontakt

Professor Dr. Oliver Holtemöller
Professor Dr. Oliver Holtemöller
Leiter - Abteilung Makroökonomik
Nachricht senden +49 345 7753-800 Persönliche Seite

Referierte Publikationen


The Effects of Fiscal Policy in an Estimated DSGE Model – The Case of the German Stimulus Packages During the Great Recession

Andrej Drygalla Oliver Holtemöller Konstantin Kiesel

in: Macroeconomic Dynamics, im Erscheinen


In this paper, we analyse the effects of the stimulus packages adopted by the German government during the Great Recession. We employ a standard medium-scale dynamic stochastic general equilibrium (DSGE) model extended by non-optimising households and a detailed fiscal sector. In particular, the dynamics of spending and revenue variables are modeled as feedback rules with respect to the cyclical component of output. Based on the estimated rules, fiscal shocks are identified. According to the results, fiscal policy, in particular public consumption, investment, transfers and changes in labour tax rates including social security contributions prevented a sharper and prolonged decline of German output at the beginning of the Great Recession, suggesting a timely response of fiscal policy. The overall effects, however, are small when compared to other domestic and international shocks that contributed to the economic downturn. Our overall findings are not sensitive to the allowance of fiscal foresight.

Publikation lesen


The Joint Dynamics of Sovereign Ratings and Government Bond Yields

Makram El-Shagi Gregor von Schweinitz

in: Journal of Banking & Finance, im Erscheinen


Can a negative shock to sovereign ratings invoke a vicious cycle of increasing government bond yields and further downgrades, ultimately pushing a country toward default? The narratives of public and political discussions, as well as of some widely cited papers, suggest this possibility. In this paper, we will investigate the possible existence of such a vicious cycle. We find no evidence of a bad long-run equilibrium and cannot confirm a feedback loop leading into default as a transitory state for all but the very worst ratings. We use a bivariate semiparametric dynamic panel model to reproduce the joint dynamics of sovereign ratings and government bond yields. The individual equations resemble Pesaran-type cointegration models, which allow for valid interference regardless of whether the employed variables display unit-root behavior. To incorporate most of the empirical features previously documented (separately) in the literature, we allow for different long-run relationships in both equations, nonlinearities in the level effects of ratings, and asymmetric effects in changes of ratings and yields. Our finding of a single good equilibrium implies the slow convergence of ratings and yields toward this equilibrium. However, the persistence of ratings is sufficiently high that a rating shock can have substantial costs if it occurs at a highly speculative rating or lower. Rating shocks that drive the rating below this threshold can increase the interest rate sharply, and for a long time. Yet, simulation studies based on our estimations show that it is highly improbable that rating agencies can be made responsible for the most dramatic spikes in interest rates.

Publikation lesen


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

Katja Heinisch Axel Lindner

in: Applied Economics Letters, im Erscheinen


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

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

Katja Heinisch Rolf Scheufele

in: German Economic Review, im Erscheinen


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


Should We Use Linearized Models To Calculate Fiscal Multipliers?

Jesper Lindé Mathias Trabandt

in: Journal of Applied Econometrics, im Erscheinen


We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the model is amended with real rigidities to simultaneously account for the macroeconomic evidence of a low Phillips curve slope and the microeconomic evidence of frequent price changes. We show that the nonlinear solution is associated with a much smaller multiplier than the linearized solution in long-lived liquidity traps, and pin down the key features in the model which account for the di¤erence. Our results caution against the common practice of using linearized models to calculate …scal multipliers in long-lived liquidity traps.

Publikation lesen



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

Oliver Holtemöller Christoph Schult

in: IWH-Diskussionspapiere, Nr. 15, 2018


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


Did the Swiss Exchange Rate Shock Shock the Market?

Manuel Buchholz Gregor von Schweinitz Lena Tonzer

in: IWH-Diskussionspapiere, Nr. 9, 2018


The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Based on a synthetic matching framework, we analyse the impact of this unexpected (and therefore exogenous) shock on the stock market. The results reveal a significant level shift (decline) in asset prices in Switzerland following the discontinuation of the minimum exchange rate. While adjustments in stock market returns were most pronounced directly after the news announcement, the variance was elevated for some weeks, indicating signs of increased uncertainty and potentially negative consequences for the real economy.

Publikation lesen


On the Empirics of Reserve Requirements and Economic Growth

Jesús Crespo Cuaresma Gregor von Schweinitz Katharina Wendt

in: IWH-Diskussionspapiere, Nr. 8, 2018


Reserve requirements, as a tool of macroprudential policy, have been increasingly employed since the outbreak of the great financial crisis. We conduct an analysis of the effect of reserve requirements in tranquil and crisis times on credit and GDP growth making use of Bayesian model averaging methods. In terms of credit growth, we can show that initial negative effects of higher reserve requirements (which are often reported in the literature) tend to be short-lived and turn positive in the longer run. In terms of GDP per capita growth, we find on average a negative but not robust effect of regulation in tranquil times, which is only partly offset by a positive but also not robust effect in crisis times.

Publikation lesen


Die wirtschaftliche Entwicklung Sachsen-Anhalts seit 1990

Oliver Holtemöller Axel Lindner

in: IWH-Diskussionspapiere, Nr. 6, 2018


In diesem Beitrag wird die wirtschaftliche Entwicklung Sachsen-Anhalts seit 1990 im Kontext des ostdeutschen Transformationsprozesses von einer Zentralverwaltungswirtschaft zu einer Marktwirtschaft beschrieben. Die wirtschaftliche Leistungsfähigkeit Sachsen-Anhalts hat in den frühen 1990er Jahren zunächst schnell gegenüber Westdeutschland aufgeholt, vor allem weil der Kapitalstock modernisiert und erweitert worden ist. Seit einiger Zeit stagniert der Aufholprozess jedoch, und das Bruttoinlandsprodukt je Erwerbstätigen liegt etwa 20% unter dem westdeutschen Niveau. Die wirtschaftspolitische Herausforderung besteht darin, den Aufholprozess durch die Förderung von Forschung und Innovation und durch bessere Qualifizierung der Erwerbstätigen weiter voranzubringen.

Publikation lesen


Zu den rentenpolitischen Plänen im Koalitionsvertrag 2018 von CDU, CSU und SPD: Konsequenzen, Finanzierungsoptionen und Reformbedarf

Oliver Holtemöller Christoph Schult Götz Zeddies

in: IWH-Diskussionspapiere, Nr. 5, 2018


Im Koalitionsvertrag von CDU, CSU und SPD vom 7. Februar 2018 formuliert die neue Bundesregierung ihre rentenpolitischen Ziele. Diese sind vor dem Hintergrund der Bevölkerungsdynamik in Deutschland zu sehen. Ab dem Jahr 2020 wird sich die Altersstruktur der deutschen Bevölkerung deutlich verändern. In diesem Beitrag werden Simulationsrechnungen zu den Konsequenzen der rentenpolitischen Maßnahmen aus dem Koalitionsvertrag für die Finanzierung der gesetzlichen Rentenversicherung mit Hilfe eines Simulationsmodells dargestellt. Die im Koalitionsvertrag vorgesehenen Leistungsausweitungen verursachen langfristig Kosten in Höhe von etwa 2½ Prozentpunkten beim Beitragssatz zur gesetzlichen Rentenversicherung. Es werden ferner Maßnahmen – auch im Vergleich zu den Rentensystemen anderer Länder – diskutiert, mit denen der Anstieg des Beitragssatzes begrenzt werden könnte.

Publikation lesen
Mitglied der Leibniz-Gemeinschaft LogoTotal-Equality-LogoWeltoffen Logo