Veranstaltungen

Makroökonomik
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13. Januar 2016

DIW Seminar on Macroeconomics and Econometrics How Big is the Output Gap in the Euro Area? Inflation Will Tell!

We estimate a small Bayesian dynamic factor model of the euro area, including a set of real activity variables and core inflation. Our measure of the output gap is the common factor underlying the cyclical fluctuations in the variables, normalized to coincide with the deviation of output from its trend. Different reasonable specifications of our empirical model yield very different estimates of the output gap. We discriminate among the models by evaluating the accuracy of their real-time inflation forecasts. The best model forecasts inflation well and implies that after the 2011 sovereign debt crisis the output gap in the euro area has been much larger than the offcial estimates imply. Models that feature a secular-stagnation-like slow-down in trend growth, and hence a small output gap after 2011, are rejected because they do not adequately capture the inflation developments.

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Referent/-in
  • Michele Lenza, 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
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    16. Dez 2015

    DIW Seminar on Macroeconomics and Econometrics Models, Inattention and Expectation Updates

    This work answers the questions of how agents update expectations of an economic variable, how rational and heterogeneous they are, what information they incorporate, and whether they change their behaviour during a crisis.

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    Referent/-in
  • Raffaella Giacomini, University College 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 420
    Tel.: +49 30 89789 492
    9. Dez 2015

    DIW Seminar on Macroeconomics and Econometrics Can a Financial Transaction Tax Prevent Stock Price Booms?

    We present a stock market model that quantitatively replicates the joint behavior of stock prices, trading volume and investor expectations. Stock prices in the model occasionally display belief-driven boom and bust cycles that delink asset prices from fundamentals and redistribute considerable amounts of wealth from less to more experienced investors. Although gains from trade arise only from subjective belief differences, introducing financial transactions taxes (FTTs) remains undesirable. While FTTs reduce the size and length of boom-bust cycles, they increase the likelihood of such cycles, therby overall return volatility and wealth redistribution. Contingent FTTs, which are levied only above a certain price threshold, give rise to problems of equilibrium multiplicity and non-existence. 

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    Referent/-in
  • Klaus Adam, 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
    2. Dez 2015

    DIW Seminar on Macroeconomics and Econometrics (S)Cars and the Great Recession

    In this paper we consider how car purchases behaviour changes at the onset and during a recession. In particular, by using the rich information available in the Consumer Expenditure Survey, we look both at the number of individuals buying a car, and at the size of the car they buy. We show that the behaviour during the great recession of 2008-2010 is remarkably different from previous recessions. We interpret the evidence through the prism of a life cycle model where individuals receive idiosyncratic uninsurable income as well as aggregate income shocks and stochastic borrowing constraints. Households allocate their resources between cars and non durable consumption. Cars are large and costly to transact but can be financed through car loans. This implies an (S,s) type of durables adjustment. We show that, because of their salience and the transaction costs, cars are particularly sensitive to changes in the perception of future expected in come and its variability. We show that persistent common income shocks explain the consumption data better than changes in borrowing constraints and idiosyncratic income shocks.

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    Referent/-in
  • Morten Ravn, University College 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 420
    Tel.: +49 30 89789 492
    27. - 28. Nov 2015

    Workshop Macroeconometric Workshop 2015

    The DIW Berlin organizes its annual workshop on macroeconometric
    modelling. The workshop will be held at the German Institute for Economic Research, in the center of Berlin.The aim of the workshop is to bring together academic researchers and practitioners to promote and exchange ideas in the field of macroeconometric modelling.

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    Ort
    DIW Berlin (Schumpeter Saal) DIW Berlin im Quartier 110 Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 231
    Teilnehmen
    25. Nov 2015

    DIW Seminar on Macroeconomics and Econometrics (Un-)Conventional Monetary Policy and Macroeconomic Performance around the World

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    Referent/-in
  • Emanuel Gasteiger, Free University of Berlin

  • 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
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    18. Nov 2015

    DIW Seminar on Macroeconomics and Econometrics Banking Globalization, Local Lending and Labor Market Outcomes: Micro-level Evidence from Brazil

    This paper estimates the effects of banks' foreign exposures on local lending and labor markets in the aftermath of the 2008-2009 world financial crisis for the Brazilian financial systems. The analysis focuses on two dimensions of banks' foreign exposures: foreign ownership and foreign funding. Our results suggest that both exposure dimensions represent distinct transmission mechanisms affecting lending performance on the level of Brazilian municipalities. We are able to trace the transmission channel on the level of the balances sheets of local branches and find that the presence of foreign owned and funded banks affect labor market outcomes in the form of job creation and job destruction. 

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    Referent/-in
  • Felix Noth, Halle Institute for Economic Research/University of Magdeburg

  • 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
    11. Nov 2015

    DIW Seminar on Macroeconomics and Econometrics Optimal FX Intervention in the Face of Capital Outflows

    In this paper, we develop a very simple theoretical framework for analyzing optimal FX intervention for an EM which is exposed to a capital outows shock, taking explicit account of the possibility that reserves may run out. The full commitment solution entails a sustained path of FX intervention, with reserves optimally running out for persistent shocks. This solution is not time consistent. The time consistent solution is very different from the full commitment solution for low levels of reserves, with FX intervention slowing to a trickle and reserves never running out. Finally, in cases where an intermediate degree of commitment is possible and the central bank is able to commit to simple rules, such rules may achieve welfare gains above the level associated with the time consistent solution.

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    Referent/-in
  • Pablo Winant, Bank of England

  • 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
    4. Nov 2015

    DIW Seminar on Macroeconomics and Econometrics The Macroeconomic Effects of US Monetary and Fiscal Policy: A Parsimonious Structural Vector Equilibrium Correction Approach

    This talk is based on two joint works with Isaac Sserwanja:

    • "Corporate Bond Yields in the Transmission Mechanism of Monetary Policy"
    • "Fiscal Policy, Interest Rates, and Output: Equilibrium-Correction Dynamics in the US Economy"

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    Referent/-in
  • Hans-Martin Krolzig, University of Kent

  • 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
    28. Oktober 2015

    DIW Seminar on Macroeconomics and Econometrics Assessing the CNH-CNY Pricing Differential: Role of Fundamentals, Contagion and Policy

    Renminbi internationalisation has brought about an active offshore market where the exchange rate frequently diverges from the onshore market. Using extended GARCH models, we explore the role of fundamentals, global factors and policies related to renminbi internationalisation in driving the pricing differential between the onshore and offshore exchange rates. Differences in the liquidity of the two markets play an important role in explaining the level of the differential, while rises in global risk aversion tend to increase the differential’s volatility. On the policy front, measures permitting cross-border renminbi outflows have a particularly discernible impact in reducing the volatility of the pricing gap between the two markets.

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    Referent/-in
  • Michael Funke, University of Hamburg
  • 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
    21. Oktober 2015

    DIW Seminar on Macroeconomics and Econometrics Stagnation Traps

    We provide a Keynesian growth theory in which pessimistic expectations can lead to permanent, or very persistent, slumps characterized by unemployment and weak growth. We refer to these episodes as stagnation traps, because they consist in the joint occurrence of a liquidity and a growth trap. In a stagnation trap, the central bank is unable to restore full employment because weak growth pushes the interest rate against the zero lower bound, while growth is weak because low aggregate demand results in low profits, limiting firms’ investment in innovation. Policies aiming at restoring growth can successfully lead the economy out of a stagnation trap, thus rationalizing the notion of job creating growth. 

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    Referent/-in
  • Luca Fornaro, CREI/Pompeu Fabra

  • 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
    22. Sept 2015

    Gastvortrag Does Central Bank Tone Move Asset Prices?
    Extraordinary Meeting of the DIW Seminar on Macroeconomics and Econometrics

    We explore whether the tone of central bank communication matters for asset prices. Using press conference statements by the ECB, which was the first central bank to establish regular live press conference after meetings of its Governing Council, we find that tone changes have a statistically and economically significant effect on equity returns. Stock prices increase when ECB tone becomes more positive and vice versa. The return differential associated with positive versus negative tone changes is around 60 basis points on press conference days and increases to more than 100 basis points until the next press conference. Moreover, we find that positive tone changes are associated with increases in the level and hump of the government yield curve and with lower implied equity volatility. Since we also show that tone changes are unrelated to current and future economic fundamentals, our results suggest that central bank tone matters for asset prices through a risk-based channel.

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    Referent/-in
  • Maik Schmeling, Cass Business School
  • Zeit
    12:00 - 13:15
    Ort
    DIW Berlin (Eleanor-Dulles-Raum) DIW Berlin im Quartier 110 Raum 5.2.010 Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    16. Juli 2015

    Seminar Series on Research in Development Economics CANCELLED
    Centre and Periphery in International Monetary Relations. Implications for Macroeconomic Policies in Emerging Economies

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    Referent/-in
  • Barbara Fritz (Free University)
  • Zeit
    17:30
    Ort
    DIW Berlin (Eleanor-Dulles-Raum) DIW Berlin im Quartier 110 Raum 5.2.010 Mohrenstraße 58 10117 Berlin
    15. Juli 2015

    DIW Seminar on Macroeconomics and Econometrics Inference in VARs with Conditional Heteroskedasticity of Unknown Form

    Inference in VARs with Conditional Heteroskedasticity of Unknown Form

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    Referent/-in
  • Ralf Brüggemann, University of Constance
  • 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
    8. Juli 2015

    DIW Seminar on Macroeconomics and Econometrics Monetary Policy Propagation and Uncertainty

    Monetary Policy Propagation and Uncertainty

    Mehr Informationen
    Referent/-in
  • Esteban Prieto, Deutsche Bundesbank
  • 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
    24. Juni 2015

    DIW Seminar on Macroeconomics and Econometrics Monetary Policy Under the Microscope: Intra-bank Transmission of ECB Asset Purchase Programs

    Monetary Policy Under the Microscope: Intra-bank Transmission of ECB Asset Purchase Programs

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    Referent/-in
  • Michael Koetter, Frankfurt School of Finance & Management
  • 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
    17. Juni 2015

    DIW Seminar on Macroeconomics and Econometrics Testing for Identification in SVAR-GARCH Models

    Testing for Identification in SVAR-GARCH Models – Reconsidering the Impact of Monetary Shocks on Exchange Rates

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    Referent/-in
  • George Milunovich, Macquarie 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
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    10. Juni 2015

    DIW Seminar on Macroeconomics and Econometrics Screening as a Unified Theory of Delinquency, Renegotiation, and Bankruptcy

    Screening as a Unified Theory of Delinquency, Renegotiation, and Bankruptcy

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    Referent/-in
  • Igor Livshits, Western 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
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    3. Juni 2015

    DIW Seminar on Macroeconomics and Econometrics Noisy News in Business Cycles

    Noisy News in Business Cycles

    Mehr Informationen
    Referent/-in
  • Luca Sala, Bocconi University
  • Zeit
    12:00-13:15
    Ort
    DIW Berlin (Ferdinand-Friedensburg-Raum) DIW Berlin im Quartier 110 Raum 2.3.001 Mohrenstraße 58 10117 Berlin
    Ansprechpartner/-in
    im DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492
    27. Mai 2015

    DIW Seminar on Macroeconomics and Econometrics Can Central Bank Asset Purchases Alleviate Credit Frictions?

    Can Central Bank Asset Purchases Alleviate Credit Frictions?

    Mehr Informationen
    Referent/-in
  • Andreas Schabert, University of Cologne
  • 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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