Veranstaltungen

Makroökonomik
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19. Oktober 2016

DIW Seminar on Macroeconomics and Financial Markets Monetary facts revisited

This paper uses a cross-country database covering 46 economies over the post-war period to revisit two key monetary facts: (i) the long-run link between money growth and inflation and (ii) the link between credit growth and financial crises. The analysis reveals that the former has weakened over time, while the latter has become stronger. Moreover, the money-inflation nexus has been stronger in emerging market economies than in advanced economies, while it is the other way round for the link between credit growth and financial crises. These results suggest that there is an inverse relationship between the two monetary facts. The money-inflation link is weaker in regimes characterised by low inflation and highly liberalised financial systems, while the reverse holds true for the credit-crisis nexus.

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  • Boris Hofmann, Bank for International Settlements

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    17. August 2016

    DIW Seminar on Macroeconomics and Econometrics Why Are Big Banks Getting Bigger?

    We analyze the increasing concentration of U.S. banking assets using nonparametric empirical methods that characterize dynamic power law distributions in terms of two shaping factors the asset reversion rates and idiosyncratic volatilities for different size-ranked banking institutions. We show that the greater concentration of bank-holding company (BHC) assets is caused by decreased mean reversion, a result consistent with 1990s policy changes. In contrast, greater concentration of subsidiary bank assets is caused by increased idiosyncratic volatility, yet, idiosyncratic volatility of parent BHC assets fell. This contrast suggests diversication through non-banking activities has reduced idiosyncratic BHC asset volatilities and affected systemic risk.

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  • Christoffer Koch, Federal Reserve Bank of Dallas

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    20. Juli 2016

    DIW Seminar on Macroeconomics and Econometrics The risk-return relationship: evidence from index return and realised variance series

    The risk return relationship is analysed in bivariate models for return and realised variance (RV) series. Based on daily time series from 21 international market indices for more than 13 years (January 2000 to February 2013), the empirical findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is argued that the empirical risk return relationship is primarily shaped by two important data features: the negative contemporaneous correlation between the return and RV, and the difference in the autocorrelation structures of the return and RV.

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  • Minxian Yang, University of New South Wales

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    13. Juli 2016

    DIW Seminar on Macroeconomics and Econometrics Spillover Effects from Mass Layoffs

    Using administrative data of all workers and firms in Germany, we quantify the spillover effects of mass layoffs. Our empirical strategy combines matching with an event study approach to trace employment and wages in regions hit by a mass layoff to suitable control regions. We find sizable and persistent negative spillover effects on the regional economy: regions, and especially firms producing in the same sector as the layoff plant, lose many more jobs than in the initial layoff. Based on a simple model of local labor markets, our estimates imply an agglomeration elasticity of 0.19. We find much smaller effects for local firms in the non-tradable sector indicating a local multiplier of around 0.5. Despite substantial employment losses for the region, we find much smaller negative consequences for workers employed in the region at the time of the mass layoff. At least half of the difference is accounted for by the geographic relocation of workers across local labor markets.

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  • Christina Gathmann, Universität Heidelberg

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    6. Juli 2016

    DIW Seminar on Macroeconomics and Econometrics Estimating the Benefits of European Integration

    Brexit caught everybody by surprise and prominent economists were no exception: Krugman called it a “tragic development,” Sachs “a watershed moment,” and Reinhart equated Brexit to “a blow to globalisation.” Uncertainty about the impacts of Brexit on the UK economy is large, but larger still is that regarding what happens to the European Union. In this seminar we will present econometric evidence on the magnitude and dynamics of the net benefits from EU membership as well as on the main channels and mechanisms that have shored up these benefits.

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  • Nauro Campos, Brunel University London

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439
    29. Juni 2016

    DIW Seminar on Macroeconomics and Econometrics TBA

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  • No Seminar: GC Summer Workshop

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 581
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    22. Juni 2016

    DIW Seminar on Macroeconomics and Econometrics Forward Guidance and Asset Prices

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  • Refet Gürkaynak, Bilkent University

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    15. Juni 2016

    DIW Seminar on Macroeconomics and Econometrics Firm dynamics with frictional product and labor markets

    We examine empirically and theoretically the joint dynamics of prices, output, employment and wages across firms. We first analyze administrative firm data for the German manufacturing sector for which price and quantity information at the nine-digit product level, together with employment, working hours and wages are available. We then develop a dynamic model of heterogeneous firms who compete for workers and customers in frictional labor and product markets. Prices and wages are dispersed across firms, reflecting differences in firm productivity and demand. Productivity and demand shocks have distinct implications for the firms' employment, output and price adjustments. In a quantitative analysis, we evaluate the model predictions against the data and we apply the model to examine the impact of product market deregulation.

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  • Leo Kaas, Universität Konstanz

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439
    8. Juni 2016

    DIW Seminar on Macroeconomics and Econometrics TBA

    The seminar will not take place due to the visit of François Villeroy de Galhau, Governor of the Banque de France.

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  • Cancelled

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Arthur-Cecil-Pigou-Raum) DIW Berlin im Quartier 110 Raum 3.3.002C Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439
    1. Juni 2016

    DIW Seminar on Macroeconomics and Econometrics Does the New Keynesian Model Have a Uniqueness Problem?
    L. Christiano, M. Eichenbaum and B. Johannsen

    This paper addresses whether non-uniqueness of equilibrium is a substantive problem for policy analysis in New-Keynesian (NK) models. There would be a substantive problem if there were no compelling way to select among different equilibria that give different answers to critical policy questions. In fact there is: stability-under-learning. We focus our analysis on the efficacy of …fiscal policy when the economy is in the ZLB. We study a fully non-linear NK model with Calvo-pricing frictions and argue that the model has a unique stable-under-learning rational expectations equilibrium. In that equilibrium, the implications of the model for …fiscal policy inherit all of the key properties of linearized NK models. We also …find that for empirically plausible cases, linear approximations work quite well for assessing the size of the government spending multiplier and the drop in GDP that occurs in the ZLB.

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  • Lawrence Christiano, Northwestern University

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Schumpeter Hall) Mohrenstr. 58 10117 Berlin
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    im DIW Berlin
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    25. Mai 2016

    DIW Seminar on Macroeconomics and Econometrics Income inequality and macroeconomic instability

    We investigate whether changes in income distribution can explain current account developments in a sample of 20 countries for the period 1972-2007. We analyze the relationship between the personal and the functional income distribution in our sample, before disentangling their effects on the household and corporate financial balances and the current account. We find that rising (top-end) personal inequality leads to a decrease of the private household financial balance and the current account, controlling for standard current account determinants. Moreover, an increase in corporate net lending or, alternatively, a fall in the wage share leads to an increase in the current account, ceteris paribus. While we remain agnostic as to the underlying theoretical explanations of our findings, they are consistent with consumption externalities on the one hand and with incomplete piercing of the corporate veil or the underconsumptionist view on the other hand. We show that changes in personal and functional income distribution have contributed considerably to the widening of current account balances, and hence to the instability of the international economic system, prior to the global financial crisis starting in 2007.

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  • Till van Treeck, Universität Duisburg-Essen

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    18. Mai 2016

    DIW Seminar on Macroeconomics and Econometrics Currency Wars: Who Gains from the Battle?

    We study the growth effects of currency undervaluation when countries employ active exchange rate management policies or impose capital controls, using a panel dataset of 185 countries. Applying two-stage regressions, we find that changes in undervaluation driven by exchange rate management and capital control policies have no significant impact on economic growth. Undervaluation that leads to higher growth mainly stems from policies that lower government consumption, reduce inflation and increase domestic savings. However, these policies are good for growth by themselves, with only limited additional growth effects through increased currency undervaluation. In sum, we find no evidence that battling in the currency depreciation war significantly increases a country’s growth rate.

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  • Roy Kouwenberg, Mahidol University

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    11. Mai 2016

    DIW Seminar on Macroeconomics and Econometrics Optimal Margins and Equilibrium Prices

    We study the interaction between contracting and equilibrium pricing when risk-averse hedgers purchase insurance from risk-neutral investors subject to moral hazard. Moral hazard limits risk-sharing. In the individually optimal contract, margins are called (after bad news) to improve risk-sharing. But margin calls depress the price of investors' assets, affecting other investors negatively. Because of this fire-sale externality, there is too much use of margins in the market equilibrium compared to the utilitarian optimum. Moreover, equilibrium multiplicity can arise: In a pessimistic equilibrium, hedgers who fear low prices request high margins to obtain more insurance. Large margin calls trigger large price drops, confirming initial pessimistic expectations. Finally, moral hazard generates endogenous market incompleteness, raises risk premia, and induces contagion between asset classes.

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  • Florian Heider, European Central Bank

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439
    4. Mai 2016

    DIW Seminar on Macroeconomics and Econometrics An Appraisal of Taylor Rules in an Open Economy

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  • Alfred Guender, University of Canterbury

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439
    27. April 2016

    DIW Seminar on Macroeconomics and Econometrics Nominal and Real Stochastic Convergence of the BRICS Economies

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  • Renatas Kizys, University of Portsmouth

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 581
    Tel.: +49 30 89789 439
    20. April 2016

    DIW Seminar on Macroeconomics and Econometrics Bootstrap Joint Prediction Regions

    Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather neglected in the literature so far: such a region is supposed to contain the entire future path with a prespecified probability. We develop bootstrap methods to construct joint prediction regions. The resulting regions are proven to be asymptotically consistent under a  mild high-level assumption. We compare the finite-sample performance of our joint prediction regions with some previous proposals via Monte Carlo simulations. An empirical application to a real data set is also provided.

    You can find a published version of the paper here.

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  • Michael Wolf, Universität Zürich

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Ferdinand-Friedensburg-Raum) DIW Berlin im Quartier 110 Raum 2.3.001 Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
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    10. Februar 2016

    DIW Seminar on Macroeconomics and Econometrics World Asset Markets and the Global Financial Cycle

    We find that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. This global factor can be interpreted as reflecting the time-varying degree of market wide risk aversion and aggregate volatility. Importantly, we show, using a large Bayesian VAR, that US monetary policy is a driver of this global factor in risky asset prices, the term spread and measures of the risk premium. US monetary policy is also a driver of US and European banks leverage, credit growth in the US and abroad and cross-border credit flows. Our large Bayesian VAR allows us to avoid the problem of omitted variables bias and, for the first time, to study in detail the workings of the "global financial cycle", i.e. the interactions between US monetary policy, global financial variables and real activity. 

    Paper

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  • Hélène Rey, London Business School

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Schumpeter Hall) Mohrenstr. 58 10117 Berlin
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    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    3. Februar 2016

    DIW Seminar on Macroeconomics and Econometrics Asset Liquidity, Central Bank Collateral, and Stable Bank Funding

    This paper analyses the roles of bank asset fire sales, asset liquidity, and recourse to the central bank as lender of last resort for the equilibrium debt structure of banks and the spread between bank lending rates and the central bank policy rate (the short term risk free rate). The paper also provides a first attempt of a comprehensive empirical cross-sectional analysis of liquidity properties and central bank collateral haircuts of the euro area fixed income universe. 

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  • Ulrich Bindseil, European Central Bank

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
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    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    27. Januar 2016

    DIW Seminar on Macroeconomics and Econometrics TBA

    Cancelled

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  • Cancelled

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    20. Januar 2016

    DIW Seminar on Macroeconomics and Econometrics Does Austerity Pay Off?

    We investigate whether a reduction of government consumption lowers the sovereign default premium. For this purpose we build a new data set for 38 emerging and developed economies. Results vary along three dimensions. First, the time horizon: the premium declines, but only in the long run. Second, initial conditions: the premium increases in the short run, but only if it is already high. Third, size: the short-run response of the premium increases disproportionately in the reduction of government consumption. We rationalize these findings in a model of optimal sovereign default where default risk is priced in an actuarially fair manner.

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  • Johannes Pfeifer, University of Mannheim

  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Gustav-Schmoller-Raum) DIW Berlin im Quartier 110 Raum 3.3.002A Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
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