Juniorprofessor Dr. Gregor von Schweinitz

Juniorprofessor Dr. Gregor von Schweinitz
Aktuelle Position

seit 10/17

Juniorprofessor für Volkswirtschaftslehre, insbes. Quantitative Makroökonomik

Universität Leipzig

seit 5/14

Leiter der Forschungsgruppe Volatilität, Wachstum und Finanzkrisen

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

seit 1/11

Wissenschaftlicher Mitarbeiter der Abteilung Makroökonomik

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

Forschungsschwerpunkte

  • dynamische Makroökonomik
  • Europäische und internationale Wirtschaftspolitik: insbesondere Finanzmarktkrisen
  • Risikomodellierung und -analyse

Gregor von Schweinitz ist seit Oktober 2017 Juniorprofessor für Volkswirtschaftslehre an der Universität Leipzig. Seit 2011 ist er wissenschaftlicher Mitarbeiter in der Abteilung Makroökonomik am IWH. Sein Forschungsschwerpunkt liegt im Bereich quantitative Makroökonomik.

Gregor von Schweinitz studierte an der Technischen Universität Dresden, der Universität Straßburg und der Technischen Universität München. Er schloss seine Promotion an der Martin-Luther-Universität Halle-Wittenberg ab.

Ihr Kontakt

Juniorprofessor Dr. Gregor von Schweinitz
Juniorprofessor Dr. Gregor von Schweinitz
Mitglied - Abteilung Makroökonomik
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Publikationen

Neueste Publikationen

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Fiscal Policy and Fiscal Fragility: Empirical Evidence from the OECD

Makram El-Shagi Gregor von Schweinitz

in: Journal of International Money and Finance, im Erscheinen

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

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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, im Erscheinen

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

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Optimizing Policymakers’ Loss Functions in Crisis Prediction: Before, Within or After?

Peter Sarlin Gregor von Schweinitz

in: Macroeconomic Dynamics, 2021

Abstract

Recurring financial instabilities have led policymakers to rely on early-warning models to signal financial vulnerabilities. These models rely on ex-post optimization of signaling thresholds on crisis probabilities accounting for preferences between forecast errors, but come with the crucial drawback of unstable thresholds in recursive estimations. We propose two alternatives for threshold setting with similar or better out-of-sample performance: (i) including preferences in the estimation itself and (ii) setting thresholds ex-ante according to preferences only. Given probabilistic model output, it is intuitive that a decision rule is independent of the data or model specification, as thresholds on probabilities represent a willingness to issue a false alarm vis-à-vis missing a crisis. We provide real-world and simulation evidence that this simplification results in stable thresholds, while keeping or improving on out-of-sample performance. Our solution is not restricted to binary-choice models, but directly transferable to the signaling approach and all probabilistic early-warning models.

Publikation lesen

 

Referierte Publikationen

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Fiscal Policy and Fiscal Fragility: Empirical Evidence from the OECD

Makram El-Shagi Gregor von Schweinitz

in: Journal of International Money and Finance, im Erscheinen

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

cover_international-review-of-finance.jpg

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, im Erscheinen

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

cover_macroeconomic-dynamics.jpg

Optimizing Policymakers’ Loss Functions in Crisis Prediction: Before, Within or After?

Peter Sarlin Gregor von Schweinitz

in: Macroeconomic Dynamics, 2021

Abstract

Recurring financial instabilities have led policymakers to rely on early-warning models to signal financial vulnerabilities. These models rely on ex-post optimization of signaling thresholds on crisis probabilities accounting for preferences between forecast errors, but come with the crucial drawback of unstable thresholds in recursive estimations. We propose two alternatives for threshold setting with similar or better out-of-sample performance: (i) including preferences in the estimation itself and (ii) setting thresholds ex-ante according to preferences only. Given probabilistic model output, it is intuitive that a decision rule is independent of the data or model specification, as thresholds on probabilities represent a willingness to issue a false alarm vis-à-vis missing a crisis. We provide real-world and simulation evidence that this simplification results in stable thresholds, while keeping or improving on out-of-sample performance. Our solution is not restricted to binary-choice models, but directly transferable to the signaling approach and all probabilistic early-warning models.

Publikation lesen

Arbeitspapiere

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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

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An Evaluation of Early Warning Models for Systemic Banking Crises: Does Machine Learning Improve Predictions?

Johannes Beutel Sophia List Gregor von Schweinitz

in: IWH Discussion Papers, Nr. 2, 2019

Abstract

This paper compares the out-of-sample predictive performance of different early warning models for systemic banking crises using a sample of advanced economies covering the past 45 years. We compare a benchmark logit approach to several machine learning approaches recently proposed in the literature. We find that while machine learning methods often attain a very high in-sample fit, they are outperformed by the logit approach in recursive out-of-sample evaluations. This result is robust to the choice of performance measure, crisis definition, preference parameter, and sample length, as well as to using different sets of variables and data transformations. Thus, our paper suggests that further enhancements to machine learning early warning models are needed before they are able to offer a substantial value-added for predicting systemic banking crises. Conventional logit models appear to use the available information already fairly effciently, and would for instance have been able to predict the 2007/2008 financial crisis out-of-sample for many countries. In line with economic intuition, these models identify credit expansions, asset price booms and external imbalances as key predictors of systemic banking crises.

Publikation lesen

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Did the Swiss Exchange Rate Shock Shock the Market?

Manuel Buchholz Gregor von Schweinitz Lena Tonzer

in: IWH Discussion Papers, Nr. 9, 2018

Abstract

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
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