Hannes Böhm

Hannes Böhm
Aktuelle Position

seit 1/19

Wissenschaftlicher Mitarbeiter der International Banking Library

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

seit 4/17

Wissenschaftlicher Mitarbeiter der Abteilung Finanzmärkte

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

Forschungsschwerpunkte

  • Finanzmarktstabilität
  • Geldpolitik
  • Finanzkrisen
  • International Banking Library

Hannes Böhm ist seit April 2017 Doktorand in der Finanzmarktabteilung. Seine Forschung umfasst die Interaktion zwischen dem Finanzsektor und staatlichen Ausfallrisiken während der Eurokrise, der Stabilität von Finanzmärkten sowie den Effekten und der Transmission von Geldpolitik.

Hannes Böhm studierte an der Westfälischen Wilhelms-Universität Münster sowie der Universität Leipzig.

Ihr Kontakt

Hannes Böhm
Hannes Böhm
Mitglied - Abteilung Finanzmärkte
Nachricht senden +49 345 7753-860

Publikationen

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What drives the Commodity-Sovereign-Risk-Dependence in Emerging Market Economies?

Stefan Eichler Hannes Böhm Stefan Gießler

in: Journal of International Money and Finance, im Erscheinen

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.

Publikation lesen

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Avoiding the Fall into the Loop: Isolating the Transmission of Bank-to-Sovereign Distress in the Euro Area

Stefan Eichler Hannes Böhm

in: Journal of Financial Stability, Nr. 100763, 2020

Abstract

While the sovereign-bank loop literature has demonstrated the amplification between sovereign and bank risks in the Euro Area, its econometric identification is vulnerable to reverse causality and omitted variable biases. We address the loop's endogenous nature and isolate the direct bank-to-sovereign distress channel by exploiting the global, non-Eurozone related variation in banks’ stock prices. We instrument banking sector stock returns in the Eurozone with exposure-weighted stock market returns from non-Eurozone countries and take further precautions to remove Eurozone-related variation. We find that the transmission of instrumented bank distress to sovereign distress is around 50% smaller than the corresponding coefficient in the unadjusted OLS framework, confirming concerns on endogeneity. Despite the smaller relative magnitude, increasing instrumented bank distress is found to be an economically and statistically significant cause for rising sovereign fragility in the Eurozone.

Publikation lesen

Arbeitspapiere

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Physical Climate Change Risks and the Sovereign Creditworthiness of Emerging Economies

Hannes Böhm

in: IWH-Diskussionspapiere, Nr. 8, 2020

Abstract

I show that rising temperatures can detrimentally affect the sovereign creditworthiness of emerging economies. To this end, I collect long-term monthly temperature data of 54 emerging countries. I calculate a country’s temperature deviation from its historical average, which approximates present day climate change trends. Running regressions from 1994m1-2018m12, I find that higher temperature anomalies lower sovereign bond performances (i.e. increase sovereign risk) significantly for countries that are warmer on average and have lower seasonality. The estimated magnitudes suggest that affected countries likely face significant increases in their sovereign borrowing costs if temperatures continue to rise due to climate change. However, results indicate that stronger institutions can make a country more resilient towards temperature shocks, which holds independent of a country’s climate.

Publikation lesen

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Financial Linkages and Sectoral Business Cycle Synchronisation: Evidence from Europe

Hannes Böhm Julia Schaumburg Lena Tonzer

in: IWH-Diskussionspapiere, Nr. 2, 2020

Abstract

We analyse whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of the spillover intensity at each point in time. For a financial network of ten European countries from 1996-2017, we find that the spillover effects are positive on average but much larger during periods of financial stress, pointing towards stronger business cycle synchronisation. Dismantling GDP growth into value added growth of ten major industries, we observe that some sectors are strongly affected by positive spillovers (wholesale & retail trade, industrial production), others only to a weaker degree (agriculture, construction, finance), while more nationally influenced industries show no evidence for significant spillover effects (public administration, arts & entertainment, real estate).

Publikation lesen

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What Drives the Commodity-Sovereign-Risk-Dependence in Emerging Market Economies?

Hannes Böhm Stefan Eichler Stefan Gießler

in: IWH-Diskussionspapiere, Nr. 23, 2019

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 higher sovereign bond returns (indicating lower sovereign risk). The economic effect is especially pronounced for heavy commodity exporters. Examining the drivers, we find, first, that commodity-dependence is higher for countries that export large volumes of volatile commodities and that the effect increases in times of recessions, high inflation, and expansionary U.S. monetary policy. Second, 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. Third, the concentration of commodities within a country’s portfolio, its government indebtedness or amount of received development assistance appear to be only of secondary importance for commodity-dependence.

Publikation lesen
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