Ihr Kontakt

Professor Dr. Gregor von Schweinitz
Mitglied - Abteilung Makroökonomik

Nachricht senden +49 345 7753-744 Persönliche Seite

Publikationen

Neueste Publikationen

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.

Publikation lesen

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.

Publikation lesen

Monetary Policy through Exchange Rate Pegs: The Removal of the Swiss Franc-Euro Floor and Stock Price Reactions

Gregor von Schweinitz Lena Tonzer Manuel Buchholz

in: International Review of Finance, Nr. 4, 2021

Abstract

The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Using a synthetic matching framework, we analyze the impact of this unexpected (and therefore exogenous) policy change on the stock market. The results reveal a significant level shift (decline) in asset prices following the discontinuation of the minimum exchange rate. As a novel finding in the literature, we document that the exchange‐rate elasticity of Swiss asset prices is around −0.75. Differentiating between sectors of the Swiss economy, we find that the industrial, financial and consumer goods sectors are most strongly affected by the abolition of the minimum exchange rate.

Publikation lesen

Alle Publikationen durchsuchen

Referierte Publikationen

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.

Publikation lesen

Monetary Policy through Exchange Rate Pegs: The Removal of the Swiss Franc-Euro Floor and Stock Price Reactions

Gregor von Schweinitz Lena Tonzer Manuel Buchholz

in: International Review of Finance, Nr. 4, 2021

Abstract

The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Using a synthetic matching framework, we analyze the impact of this unexpected (and therefore exogenous) policy change on the stock market. The results reveal a significant level shift (decline) in asset prices following the discontinuation of the minimum exchange rate. As a novel finding in the literature, we document that the exchange‐rate elasticity of Swiss asset prices is around −0.75. Differentiating between sectors of the Swiss economy, we find that the industrial, financial and consumer goods sectors are most strongly affected by the abolition of the minimum exchange rate.

Publikation lesen

Fiscal Policy and Fiscal Fragility: Empirical Evidence from the OECD

Makram El-Shagi Gregor von Schweinitz

in: Journal of International Money and Finance, July 2021

Abstract

In this paper, we use local projections to investigate the impact of consolidation shocks on GDP growth, conditional on the fragility of government finances. Based on a database of fiscal plans in OECD countries, we show that spending shocks are less detrimental than tax-based consolidation. In times of fiscal fragility, our results indicate strongly that governments should consolidate through surprise policy changes rather than announcements of consolidation at a later horizon.

Publikation lesen

Alle referierten Publikationen

Arbeitspapiere

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.

Publikation lesen

On the International Dissemination of Technology News Shocks

João Carlos Claudio Gregor von Schweinitz

in: IWH Discussion Papers, Nr. 25, 2020

Abstract

This paper investigates the propagation of technology news shocks within and across industrialised economies. We construct quarterly utilisation-adjusted total factor productivity (TFP) for thirteen OECD countries. Based on country-specific structural vector autoregressions (VARs), we document that (i) the identified technology news shocks induce a quite homogeneous response pattern of key macroeconomic variables in each country; and (ii) the identified technology news shock processes display a significant degree of correlation across several countries. Contrary to conventional wisdom, we find that the US are only one of many different sources of technological innovations diffusing across advanced economies. Technology news propagate through the endogenous reaction of monetary policy and via trade-related variables. That is, our results imply that financial markets and trade are key channels for the dissemination of technology.

Publikation lesen

Flight Patterns and Yields of European Government Bonds

Gregor von Schweinitz

in: IWH Discussion Papers, Nr. 10, 2013

Abstract

The current European Debt Crisis has led to a reinforced effort to identify the sources of risk and their influence on yields of European Government Bonds. Until now, the potentially nonlinear influence and the theoretical need for interactions reflecting flight-to-quality and flight-to-liquidity has been widely disregarded. I estimate government bond yields of the Euro-12 countries without Luxembourg from May 2003 until December 2011. Using penalized spline regression, I find that the effect of most explanatory variables is highly nonlinear. These nonlinearities, together with flight patterns of flight-to-quality and flight-to-liquidity, can explain the co-movement of bond yields until September 2008 and the huge amount of differentiation during the financial and the European debt crisis without the unnecessary assumption of a structural break. The main effects are credit risk and flight-to-liquidity, while the evidence for the existence of flight-to-quality and liquidity risk (the latter measured by the bid-ask spread and total turnover of bonds) is comparably weak.

Publikation lesen

Alle Arbeitspapiere

Schlagworte

Finanzmärkte Finanzstabilität Finanzkrise

Konjunktur

Finanzstabilität

Produktivität

Ostdeutschland

Verhalten

Demographie

Professor Dr. Gregor von Schweinitz

Aktuelle Position

seit 5/14

Leiter der Forschungsgruppe Volatilität, Wachstum und Finanzkrisen

seit 10/17

Juniorprofessor für Volkswirtschaftslehre, insbes. Quantitative Makroökonomik

seit 1/11

Mitglied der Abteilung Makroökonomik

Forschungsschwerpunkte

Ihr Kontakt

Publikationen

Neueste Publikationen

What Explains International Interest Rate Co-Movement?

Abstract

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

Abstract

Monetary Policy through Exchange Rate Pegs: The Removal of the Swiss Franc-Euro Floor and Stock Price Reactions

Abstract

Referierte Publikationen

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

Abstract

Monetary Policy through Exchange Rate Pegs: The Removal of the Swiss Franc-Euro Floor and Stock Price Reactions

Abstract

Fiscal Policy and Fiscal Fragility: Empirical Evidence from the OECD

Abstract

Arbeitspapiere

What Explains International Interest Rate Co-Movement?

Abstract

On the International Dissemination of Technology News Shocks

Abstract

Flight Patterns and Yields of European Government Bonds

Abstract

Schlagworte