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Referierte Aufsätze Web of Science
We quantify the causal link between exchange rate movements and sovereign risk of 16 major emerging market economies (EMEs) by means of structural vector autoregressive models (SVARs) and conditional on data from 10/2004 through 12/2016. We apply a novel data-based identification approach of the structural shocks that allows to account for the complex interrelations within the triad of exchange rates, ...
In:
Journal of International Money and Finance
117 (2021), 102454
| Kerstin Bernoth, Helmut Herwatz
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Referierte Aufsätze Web of Science
This article studies housing rents in St. Petersburg from 1880 to 1917, covering an eventful period of Russian and world history. Digitizing over 5000 rental advertisements, we construct a state-of-the-art index – the first pre-war and pre-Soviet market data index for any Russian city. In 1915, a rent control and tenant protection policy was introduced in response to soaring prices following the outbreak ...
In:
Explorations in Economic History
81 (2021), 101398, 30 S.
| Konstantin A. Kholodilin, Leonid E. Limonov, Sofie R. Waltl
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Referierte Aufsätze Web of Science
We study the state-dependent trading behavior of financial institutions in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We consider two states of the world: tranquil and turbulent. We decompose the observable time-varying price volatility during the period 2006M6–2016M5 into changes in the slopes of traders’ demand curves and into changes ...
In:
Journal of Economic Behavior & Organization
191 (2021), S. 1011-1024
| Daniel Bierbaumer, Malte Rieth, Anton Velinov
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Referierte Aufsätze Web of Science
We estimate the dynamic effects of government spending shocks, using time-varying volatility in US data modeled through a Markov switching process. We find that the average government spending multiplier is significantly and persistently above one, driven by a crowding-in of private consumption and non-residential investment. We rationalize the results empirically through a contemporaneously countercyclical ...
In:
Journal of Public Economics
203 (2021), 104513, 18 S.
| Jan Philipp Fritsche, Mathias Klein, Malte Rieth
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Referierte Aufsätze Web of Science
A relative uniformity of population distribution on the territory of the country is of importance from socio-economic and strategic perspectives. It is especially important in the case of Russia with its densely populated West and underpopulated East. This paper considers changes in population density in Russian regions, which occurred between 1897 and 2017. It explores whether there was convergence ...
In:
Voprosy ėkonomiki : ežemesjačnyj žurnal
(2020), 11, S. 133-158
| Konstantin A. Kholodilin
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Referierte Aufsätze Web of Science
This study introduces a new international longitudinal database of governmental rental market regulations. The regulations are measured using binary variables based on a thorough analysis of real-time, country-specific legislation. Three major restrictive policies are considered: rent control, protection from restriction, and housing rationing. The database covers 101 countries and states between 1910 ...
In:
Housing Policy Debate
30 (2020), 6, S. 994-1015
| Konstantin A. Kholodilin
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Referierte Aufsätze Web of Science
The aim of this study is to analyze and assess the impact of institutional factors on political trust in various levels of government (federal, regional and local) in modern Russia. Data and methods. The study is based on microdata from the European Bank for Reconstruction and Development (EBRD) “Life in Transition Survey” (LiTS). We examined such institutional factors of political trust as perceived ...
In:
Journal of Institutional Studies
12 (2020), 4, S. 77-93
| Marina Yur'evna Malkina, Vjacheslav N. Ovchinnikov, Konstantin A. Kholodilin
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Referierte Aufsätze Web of Science
This paper studies the impact of financial investments on agricultural futures prices, using structural vector autoregressions. We identify exogenous variation in net long positions of speculators through heteroskedasticity. We first show that demand shocks of both index investors and noncommercial traders lead to a statistically significant contemporaneous increase in futures prices. We then quantify ...
In:
American Journal of Agricultural Economics
102 (2020), 3, S. 759-785
| Michael Hachula, Malte Rieth
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Referierte Aufsätze Web of Science
We study the macroeconomic effects of unconventional monetary policy in the euro area using structural vector autoregressions, identified with external instruments. The instruments are based on the common unexpected variation in euro area sovereign yields for different maturities on policy announcement days. We first show that expansionary monetary surprises are effective at lowering public and private ...
In:
Journal of the European Economic Association
18 (2020), 1, S. 202-231
| Michael Hachula, Michele Piffer, Malte Rieth
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Referierte Aufsätze Web of Science
We assess whether compliance with Basel III’s main requirements, the Net Stable Funding Ratio (NSFR) and the risk-weighted Total Capital Ratio (TCR), matters for lending and stability of African banks. Banks with an NSFR or a TCR of at least the required minimum are defined as treatment group in the endogenous treatment estimations. Our results reveal that African banks complying with the capital threshold ...
In:
Journal of International Financial Markets, Institutions & Money
67 (2020), 101201, S. 1-20
| Samuel Mutarindwa, Dorothea Schäfer, Andreas Stephan