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Professor Dr. Stefan Eichler

Professor Dr. Stefan Eichler
Aktuelle Position

seit 10/16

Professor für International Monetary Economics 

Technische Universität Dresden

seit 4/14

Leiter der Forschungsgruppe Marktstrukturen im Finanzsektor und Finanzstabilität

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

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Forschungsschwerpunkte
  • Finanzkrisen
  • Geldpolitik
  • Wechselkurse
  • internationale Investitionen

Seit Oktober 2016 ist Stefan Eichler Professor für Internationale Monetäre Ökonomik an der Technischen Universität Dresden. Seit April 2014 ist er Mitglied der Abteilung Finanzmärkte am IWH. Er forscht zu den Themen Marktstrukturen im Finanzsektor und Finanzstabilität.

Nach seinem Studium der Volkswirtschaftslehre an der Technischen Universität Chemnitz und der Technischen Universität Dresden promovierte Stefan Eichler an der Technischen Universität Dresden. Bevor er zum IWH kam, war er Lehrstuhlvertreter an der Technischen Universität Dresden, Juniorprofessor für International Macroeconomics and Finance an der Otto-von-Guericke-Universität Magdeburg sowie Professor für Geld und Internationale Finanzwirtschaft an der Leibniz Universität Hannover.

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Professor Dr. Stefan Eichler
Professor Dr. Stefan Eichler
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Publikationen

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Central Bank Transparency and the Volatility of Exchange Rates

Stefan Eichler Helge Littke

in: Journal of International Money and Finance, 2018

Abstract

We analyze the effect of monetary policy transparency on bilateral exchange rate volatility. We test the theoretical predictions of a stylized model using panel data for 62 currencies from 1998 to 2010. We find strong evidence that an increase in the availability of information about monetary policy objectives decreases exchange rate volatility. Using interaction models, we find that this effect is more pronounced for countries with a lower flexibility of goods prices, a lower level of central bank conservatism, and a higher interest rate sensitivity of money demand.

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Regional Banking Instability and FOMC Voting

Stefan Eichler Tom Lähner Felix Noth

in: Journal of Banking & Finance, 2018

Abstract

This study analyzes if regionally affiliated Federal Open Market Committee (FOMC) members take their districts’ regional banking sector instability into account when they vote. Considering the period 1979–2010, we find that a deterioration in a district's bank health increases the probability that this district's representative in the FOMC votes to ease interest rates. According to member-specific characteristics, the effect of regional banking sector instability on FOMC voting behavior is most pronounced for Bank presidents (as opposed to Governors) and FOMC members who have career backgrounds in the financial industry or who represent a district with a large banking sector.

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Regional, Individual and Political Determinants of FOMC Members' Key Macroeconomic Forecasts

Stefan Eichler Tom Lähner

in: Journal of Forecasting, Nr. 1, 2018

Abstract

We study Federal Open Market Committee members' individual forecasts of inflation and unemployment in the period 1992–2004. Our results imply that Governors and Bank presidents forecast differently, with Governors submitting lower inflation and higher unemployment rate forecasts than bank presidents. For Bank presidents we find a regional bias, with higher district unemployment rates being associated with lower inflation and higher unemployment rate forecasts. Bank presidents' regional bias is more pronounced during the year prior to their elections or for nonvoting bank presidents. Career backgrounds or political affiliations also affect individual forecast behavior.

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Arbeitspapiere

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

Hannes Böhm Stefan Eichler

in: IWH-Diskussionspapiere, Nr. 19, 2018

Abstract

We isolate the direct bank-to-sovereign distress channel within the eurozone’s sovereign-bank-loop by exploiting the global, non-eurozone related variation in 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 any eurozone crisis-related variation. We find that the transmission of instrumented bank distress, while economically relevant, is significantly smaller than the corresponding coefficient in the unadjusted OLS framework, confirming concerns on reverse causality and omitted variables in previous studies. Furthermore, we show that the spillover of bank distress is significantly stronger for countries with poorer macroeconomic performances, weaker financial sectors and financial regulation and during times of elevated political uncertainty.

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A Market-based Indicator of Currency Risk: Evidence from American Depositary Receipts

Stefan Eichler Ingmar Roevekamp

in: IWH-Diskussionspapiere, Nr. 4, 2016

Abstract

We introduce a novel currency risk measure based on American Depositary Receipts(ADRs). Using a multifactor pricing model, we exploit ADR investors’ exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23 emerging markets over the 1994-2014 period, we find that a deterioration in the fiscal and current account balance, as well as higher inflation, increases currency risk. Interaction models reveal that these macroeconomic fundamentals drive currency risk, particularly in countries with managed exchange rates, low levels of foreign exchange reserves and a poor sovereign credit rating.

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Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach: The Case of Kazakhstan

Stefan Eichler Alexander Karmann Dominik Maltritz

in: Discussion paper, Series 2: Banking and financial studies, No. 01/2010, Nr. 1, 2010

Abstract

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which increased from 25% in March 2007 to 80% in December 2008. Concurrently, the long-term default risk increased from 20% to only 25% during the same period.

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