Marcel Fratzscher, Präsident des DIW Berlin, kommentiert die neuesten Inflationszahlen im Euroraum wie folgt:
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) using 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, sovereign ...
We disentangle the effects of monetary policy announcements on real economic variables into an interest rate shock component and a central bank information shock component. We identify both components using changes in interest rate futures and in exchange rates around monetary policy announcements. While the volatility of interest rate surprises declines around the Great Recession, the volatility of ...
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 ...
We characterize the joint dynamics of a large number of macroeconomic variables and Treasury yields in a dynamic factor model. We use this framework to identify a yield curve news shock as an innovation that does not move yields contemporaneously but explains a maximum share of the forecast error variance of yields over the next two years. This shock explains more than half, and along with a...
Die heutige Sitzung des Rates der Europäischen Zentralbank (EZB) und die getroffenen geldpolitischen Beschlüsse kommentiert DIW-Präsident Marcel Fratzscher wie folgt:
Central bank intervention in foreign exchange markets is a common tool to influence exchange rates. Although central bankers are convinced of their policy’s effectiveness, econometric estimates of precise effects differ across studies. The difficulties with estimations mostly result from a lack of adequate data. This article highlights different econometric approaches that aim to mitigate estimation ...
The aim of this project is to estimate the impact of monetary policy on structural reforms in the euro area. We first identify exogenous ECB policy changes through an event study that extracts the unexpected variation in euro area interest rates on policy announcement days. We estimate then the effect of monetary policy shocks on the number of reforms and investigate whether the effect is stronger...
DIW-Präsident Marcel Fratzscher äußert sich zu den heutigen Änkündigungen der Europäischen Zentralbank:
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