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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 (2021), im Ersch. [online first: 2021-06-22] | Kerstin Bernoth, Helmut Herwatz
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
Seminar of the Macro Department

Fiscal multipliers: do individuals make a difference?

14.12.2021| Stephanie Ettmeier
Seminar of the Macro Department

The inefficiency of a monetary union with heterogeneous agents in the face of common shocks

16.11.2021| Fabian Seyrich
Diskussionspapiere 1959 / 2021

What Drives Saudi Airstrikes in Yemen? An Empirical Analysis of the Dynamics of Coalition Airstrikes, Houthi Attacks, and the Oil Market

Since 2015, Saudi Arabia has led a foreign military intervention against the Houthi movement, which took over major parts of Yemen. The intervention, which manifests mainly in airstrikes, has attracted widespread controversy in media and politics as well as a large body of (qualitative) academic literature discussing its background and ways to escape it. Complementary to these efforts and connecting ...

2021| Dawud Ansari, Mariza Montes de Oca Leon, Helen Schlüter
Diskussionspapiere 1943 / 2021

Home Bias in Sovereign Exposure and the Probability of Bank Default - Evidence from EU Stress Test Data

Since the European debt crisis economists and politicians discuss intensively the sovereign-bank nexus. The high activity in sovereign bond issuance required to mitigate the burden of the Covid19 crisis will rather intensify this debate than calm it down. Surprisingly, however, we still have only limited knowledge about the impact of a home bias in sovereign exposure on bank stability. This paper provides ...

2021| Dominik Meyland, Dorothea Schäfer
Schumpeter BSE Macro Seminar

Belief Distortions and Macroeconomic Fluctuations

04.05.2021| Francesco Bianchi, Duke University
Schumpeter BSE Macro Seminar

Returns to Scale, Productivity Measurement, and Trends in U.S. Manufacturing Misallocation

11.05.2021| Dimitrije Ruzic, INSEAD
Schumpeter BSE Macro Seminar

Social proximity to capital: Implications for investors and firms

01.06.2021| Johannes Stroebel, NYU
710 results, from 1
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