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Infographic
17.10.2024
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Diskussionspapiere 2103 / 2024
A central assumption for identifying structural shocks in vector autoregressive (VAR) models via heteroskedasticity is the time-invariance of the impact effects of the shocks. It is shown how that assumption can be tested when long-run restrictions are available for identifying structural shocks. The importance of performing such tests is illustrated by investigating the impact of fundamental shocks ...
2024| Martin Bruns, Helmut Lütkepohl
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Statement
DIW president Marcel Fratzscher on the results of today's meeting of the Governing Council of the ECB:
25.01.2024| Marcel Fratzscher
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Diskussionspapiere 2081 / 2024
We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set of conditions under which the matrix containing structural parameters is partially or globally unique; (ii) ...
2024| Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak
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Diskussionspapiere 2084 / 2024
Exploiting the heteroscedasticity of the changes in short-term and long-term interest rates and exchange rates around the FOMC announcement, we identify three structural monetary policy shocks. We eliminate the predictable part of the shocks and study their effects on financial variables and macro variables. The first shock resembles a conventional monetary policy shock, and the second resembles an ...
2024| Oliver Holtemöller, Alexander Kriwoluzky, Boreum Kwak
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Refereed essays Web of Science
We investigate how internal distribution motives can affect the implementation of an important macroeconomic policy: capital controls. To do this, we study one of history’s largest debt repatriations, which took place under strict capital controls in 1930s Germany, providing a wealth of quantitative and historical evidence. We show that the authorities kept private repatriations under strict control, ...
In:
Journal of Political Economy
132 (2024), 6, S. 1793-2178
| Andrea Papadia, Claudio A. Schioppa
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Diskussionspapiere 2107 / 2025
The article documents the construction of a narrative instrument for government investment, used in the paper ‘An Estimation and Decomposition of the Government Investment Multiplier’.
2025| Marius Clemens, Claus Michelsen, Malte Rieth
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Diskussionspapiere 2106 / 2025
We construct a narrative instrument for government investment from official records in Germany. Using structural vector autoregressions, we document a significant crowding-in of private investment and an output multiplier of roughly 2. Then, we match a New Keynesian dynamic stochastic general equilibrium model to the empirical responses, and we decompose the multiplier into three channels. Public investment ...
2025| Marius Clemens, Claus Michelsen, Malte Rieth
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Diskussionspapiere 2085 / 2024
This paper investigates the heterogeneous responses of exporters to policy reforms undertaken by the People’s Bank of China to internationalize the Renminbi (RMB). Using detailed customs data from France for the initial years of these reforms (2011-2017), it documents several novel stylized facts on RMB adoption, highlighting both the growth and extreme skewness in RMB’s uptake across firms and varieties. ...
2024| Sonali Chowdhry
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DIW Weekly Report 24/25/26 / 2024
The German economy began recovering at the beginning of 2024 and has developed better than initially expected. A sharp rise in construction investment, albeit more of a flash in the pan as a result of mild winter weather, along with strong goods exports helped the economy onto its recov¬ery path and masked the disappointing development of private consumption, which sank unexpectedly. However, consumer ...
2024| Geraldine Dany-Knedlik, Guido Baldi, Nina Maria Brehl, Hella Engerer, Angelina Hackmann, Pia Hüttl, Konstantin A. Kholodilin, Frederik Kurcz, Laura Pagenhardt, Marie Rullière, Jan-Christopher Scherer, Teresa Schildmann, Ruben Staffa, Kristin Trautmann