Ruben Staffa

Ruben Staffa
Aktuelle Position

seit 10/18

Wissenschaftlicher Mitarbeiter der Abteilung Makroökonomik

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)


  • dynamische Makroökonomik
  • Finanzkrisen
  • Finanzmarktstabilität und Bankenregulierung

Seit Oktober 2018 ist Ruben Staffa Doktorand in der Abteilung Makroökonomik. Seine Forschungsinteressen liegen auf dem Gebiet der dynamischen Makroökonomik.

Ruben Staffa studierte an der Freien Universität Berlin und an der Goethe-Universität Frankfurt.

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Ruben Staffa
Ruben Staffa
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The Effects of Sovereign Risk: A High Frequency Identification Based on News Ticker Data

Ruben Staffa

in: IWH Discussion Papers, Nr. 8, 2022


This paper uses novel news ticker data to evaluate the effect of sovereign risk on economic and financial outcomes. The use of intraday news enables me to derive policy events and respective timestamps that potentially alter investors’ beliefs about a sovereign’s willingness to service its debt and thereby sovereign risk. Following the high frequency identification literature, in the tradition of Kuttner (2001) and Guerkaynak et al. (2005), associated variation in sovereign risk is then obtained by capturing bond price movements within narrowly defined time windows around the event time. I conduct the outlined identification for Italy since its large bond market and its frequent coverage in the news render it a suitable candidate country. Using the identified shocks in an instrumental variable local projection setting yields a strong instrument and robust results in line with theoretical predictions. I document a dampening effect of sovereign risk on output. Also, borrowing costs for the private sector increase and inflation rises in response to higher sovereign risk.

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