Veranstaltung
11
Jun 2019

14:15 - 15:45
IWH Research Seminar

Handling Spillover Effects in Empirical Research: An Application using Credit Supply Shocks

Despite their importance, the discussion of spillover effects in empirical research misses the rigor dedicated to endogeneity concerns.

Wer
Professor Dr. Tobias Berg  (Frankfurt School of Finance & Management)
Wo
conference room
Professor Dr. Tobias Berg

Zur Person

Tobias Berg ist Associate Professor für Finance an der Frankfurt School of Finance & Management. Er war zuvor Juniorprofessor an der Universität Bonn sowie Gastforscher an der Stern School of Business, New York University (NYU) und der Europäischen Zentralbank. Davor arbeitete er als Projektleiter bei der Boston Consulting Group. Tobias Berg forscht im Bereich Finanzintermediation und Unternehmensfinanzierung, mit Schwerpunkten im Bereich Risikomanagement, Bankenregulierung und realen Effekten der Finanzintermediation.

Despite their importance, the discussion of spillover effects in empirical research misses the rigor dedicated to endogeneity concerns. We show that i) even with random treatment, spillovers lead to an intricate bias in estimating treatment effects, ii) there is a trade-off between endogeneity and spillover concerns, iii) the current practice of using individual level regressions to identify direct effects and aggregate level regressions to learn about spillover effects can lead to misleading conclusions. We develop a simple guidance for empirical researchers, apply it to a credit supply shock, and highlight differences in the results compared to current empirical practice.

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