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Externe referierte Aufsätze

The Dynamic Impact of FX Interventions on Financial Markets

Evidence on the effectiveness of foreign exchange (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 ...

In: The Review of Economics and Statistics 103 (2021), 5, S. 939–953 | Lukas Menkhoff, Malte Rieth, Tobias Stöhr
Externe referierte Aufsätze

Exchange Rates, Foreign Currency Exposure and Sovereign Risk

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

Essays on International Macroeconomics

Der Beginn der globalen Finanzkrise und die Implementierung einer außerordentlich expansiven Geldpolitik in vielen Volkswirtschaften lösten ein erneutes Interesse an den Auswirkungen globaler und ausländischer Schocks in einzelnen Ländern aus. Zugleich hat die länderübergreifende Heterogenität der makroökonomischen und finanziellen Auswirkungen von Schocks die Notwendigkeit unterstrichen, jene Faktoren, ...

Berlin: Freie Univ. Berlin, FB Wirtschaftswiss., 2020, 197, LV S. | Pablo Andrés Anaya Longaric
Diskussionspapiere 1993 / 2022

Sovereign Bonds since Waterloo

This paper studies external sovereign bonds as an asset class. It compiles a new database of 266,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering up to 91 countries. The main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ...

2022| Josefin Meyer, Carmen M. Reinhart, Christoph Trebesch
Diskussionspapiere 1990 / 2022

The Signalling Channel of Negative Interest Rates

Negative interest rates remain a controversial policy for central banks. We study a novel signalling channel and ask under what conditions negative rates should exist in an optimal policymaker’s toolkit. We prove two necessary conditions for the optimality of negative rates: a time-consistent policy setting and a preference for policy smoothing. These conditions allow negative rates to signal policy ...

2022| Oliver de Groot, Alexander Haas
Diskussionspapiere 1986 / 2021

Rising Allowances, Rising Rates: A Tinbergen Rule for Capital Taxation

The system of capital taxation consists of two instruments, namely a tax on profits and a depreciation allowance on investment. We will show in this paper that by acting on both instruments simultaneously it is possible to achieve both a growth and a fiscal net revenue target even in cases when a trade off prevails when each instrument is used individually. This is an application of the Tinbergen rule ...

2021| Marius Clemens, Werner Röger
Externe referierte Aufsätze

The State-Dependent Trading Behavior of Banks in the Oil Futures Market

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
Seminar of the Macro Department


11.01.2022| Alexander Kriwoluzky
Seminar of the Macro Department

Wealth inequality cycles

25.01.2022| Sören Gaum
Seminar of the Macro Department


22.02.2022| Hannah Magdalena Seidl
726 results, from 1