Professorin Julia Schaumburg, Ph.D.

Professorin Julia Schaumburg, Ph.D.
Aktuelle Position

seit 2/19

Forschungsprofessorin

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

seit 9/13

Professorin

Vrije Universiteit Amsterdam

Forschungsschwerpunkte

  • Zeitreihenanalyse
  • Finanzökonometrie
  • Finanzstabilität

Julia Schaumburg ist seit Februar 2019 Forschungsprofessorin am IWH. Ihr Forschungsschwerpunkt liegt in der Finanzökonometrie.

Julia Schaumburg ist Professorin an der Vrije Universiteit Amsterdam, Research Fellow am Tinbergen Institute sowie Gastforscherin bei der Nederlandsche Bank.

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Professorin Julia Schaumburg, Ph.D.
Professorin Julia Schaumburg, Ph.D.
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Publikationen

Arbeitspapiere

cover_DP_2020-02.jpg

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).

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