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Diskussionspapiere 1956 / 2021
We study the multifaceted effects and persistence of trade policy shocks on financial markets in a structural vector autoregression. The model is identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively, increasing market uncertainty, lowering interest rates, and leading to an appreciation ...
2021| Lukas Boer, Lukas Menkhoff, Malte Rieth
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Diskussionspapiere 1954 / 2021
We study the dynamic impact of Covid-19, economic mobility, and containment policy shocks. We use Bayesian panel structural vector autoregressions with daily data for 44 countries, identified through sign and zero restrictions. Incidence and mobility shocks raise cases and deaths significantly for two months. Restrictive policy shocks lower mobility immediately, cases after one week, and deaths after ...
2021| Annika Camehl, Malte Rieth
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Diskussionspapiere 1901 / 2020
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 ...
2020| Jan Philipp Fritsche, Mathias Klein, Malte Rieth
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Diskussionspapiere 1861 / 2020
We construct a news-based viral disease index and study the dynamic impact of epidemics on the world economy, using structural vector autoregressions. Epidemic shocks have persistently negative effects, both directly and indirectly, on affected countries and on world output. The shocks lead to a significant fall in global trade, employment, and consumer prices for three quarters, and the losses are ...
2020| Konstantin A. Kholodilin, Malte Rieth
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Diskussionspapiere 1854 / 2020
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely floating currencies, that FX intervention shocks significantly affect exchange rates and that this impact ...
2020| Lukas Menkhoff, Malte Rieth, Tobias Stöhr
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Diskussionspapiere 1749 / 2018
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the economic interpretation of the ...
2018| Thore Schlaak, Malte Rieth, Maximilian Podstawski
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Diskussionspapiere 1722 / 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in the variability of their demand shocks. We find that the downward-sloping demand curve of intermediaries steepens ...
2018| Daniel Bierbaumer, Malte Rieth, Anton Velinov
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Diskussionspapiere 1721 / 2018
We study the characteristics of inflation targeting as a shock absorber, using quarterly data for a large panel of countries. To overcome an endogeneity problem between monetary regimes and the likelihood of crises, we propose to study large natural disasters. We find that inflation targeting improves macroeconomic performance following such exogenous shocks. It lowers inflation, raises output growth, ...
2018| Marcel Fratzscher, Christoph Grosse Steffen, Malte Rieth
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Diskussionspapiere 1697 / 2017
This paper characterizes capital taxation and public debt policy in a quantitative macroeconomic model with an impatient government and uncertainty. The government has access to linear taxes on capital and labor, and to non-state-contingent bonds. Government impatience generates positive and empirically realistic longrun levels of both capital taxes and public debt. Prior predictive analysis shows ...
2017| Malte Rieth
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Diskussionspapiere 1646 / 2017
This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators’ positions. The results suggest that idiosyncratic net long demand shocks of both index investors and hedge ...
2017| Michael Hachula, Malte Rieth