Identification and Estimation of Dynamic Stochastic General Equilibrium Models: Skewness Matters

DSGE Modelle zu untersuchen bei denen Schiefe nicht nur exogen in der Fehlertermverteilung, sondern auch endogen in den Entscheidungsregeln der Agenten auftritt. Dies wird es ermöglichen, gesamtwirtschaftliche Implikationen von asymmetrischen Produktionsinnovationen, abwärtsgerichteten Lohnrigiditäten und einer kleinen, aber zeitvariablen Wahrscheinlichkeit eines Desaster abzuschätzen und die Übertragungskanäle und Effekte endogener und exogener Schiefe sorgfältig zu entwirren. Da Schiefe eines der wichtigsten Merkmale des ökonomischen Risikos ist, sind die Ergebnisse signifikant für die nächste Generation von DSGE Modellen, um die Lücke zwischen der makroökonomischen und empirischen Finanzliteratur zu verringern.

Market relations of manors in Nordrhine-Westphalia, 1650-1850

The natural rate of interest in the euro area

We utilize a semi-structural time series model with latent variables to estimate the natural rate of interest for the euro area. In contrast to the existing literature we use national rather than aggregate data to model the common and country-specific dynamics of GDP, inflation and the short-run real ex-ante interest rate for each of the 19 countries of the currency union. We find that employing disaggregated data to estimate the natural interest rate comes with drastic reduction of estimation precision, which is one of the major drawbacks in previous estimations of the euro-area natural rate. Our results confirm a secular decline of the natural interest rate. We also find strong heterogeneities in the transitory components of interest rates across the countries of the euro area.

The ECB’s monetary pillar after the financial crisis

We aim to shed more light on the important issue of central bank communication in general, and the ECB’s monetary policy strategy in particular. In particular, we apply probabilistic topic models to ECB communication. To do so, we first use automated algorithms on ECB Governing Council decisions, press conferences, speeches and interviews from 1998 to the present. We will then apply the model to identify the policy priorities expressed in this communication. Specifically, we seek to identify the relative importance of the economic and the monetary pillar of the ECB monetary policy strategy, and aim to pinpoint potential shifts within the monetary pillar away from money growth towards a financial stability interpretation.

International transmission of macroeconomic shocks

This project investigates the international transmission of macroeconomic shocks using both factor models and global vector autoregression models. One focus of the analysis is a characterization of the international repercussions of U.S. aggregate supply and demand shocks on the other G7 countries, and another focus lies in an investigation of the mechanisms through which shocks to national debt and growth affect other member countries of the euro zone.

Internes Forschungsseminar

Das interne Forschungsseminar (IFS) für Volkswirtschaftslehre, Finance und Ökonometrie strebt die Verbreitung der Forschungskompetenzen innerhalb des Kreises der Mitglieder unserer Fakultät (hauptsächlich Professoren und Post-Docs, aber auch Doktoranden) an. Das grundlegende Prinzip des IFS ist, dass die Präsentation eines Forschungsprojekts und der dazugehörende Gedankenaustausch (über die Ziele, die Methode und die Ergebnisse der Forschung) die Chancen auf eine wissenschaftliche Veröffentlichung erhöhen. Um das zu verwirklichen, sollten die Mitglieder der Fakultät sich ihre Forschungsarbeiten gegenseitig vorstellen. Das IFS bietet (jedem oben genannten Mitglied der Fakultät) die Möglichkeit, Entwürfe von Forschungsprojekten, Working Papers oder veröffentlichte Forschungen anderen Mitgliedern der Fakultät zu präsentieren, damit gegenwärtige Forschungsprojekte verbessert werden können oder auch gemeinsame künftige Projekte entstehen.

Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach

A high-dimensional network of European CDS spreads is modeled to assess the transmission of credit risk to the non-financial corporate sector in Europe. We build on a network connectedness approach that uses variance decompositions in vector autoregressions (VARs) to characterize the dependence structure in the panel of CDS spreads. Our main findings suggest a sectoral clustering in the CDS network, where financial institutions are located in the center of the network and non-financial as well as sovereign CDS are grouped around the financial center. We find that financial and sovereign risk are important drivers of corporate credit risk, particularly during crisis events. We identify an increase in the transmission of financial and sovereign credit risk to the non-financial sector during the Global Financial Crisis and the European Debt Crisis. By contrast, we find that the transmission of risk within the non-financial sector remains unaffected by crises.

Agricultural Commodity Markets

The Chair of Monetary Economics has recently started to focus on price dynamics in agricultural markets. The chair publishes and holds talks to empirical results concerning speculative bubbles, price discovery and the relevance of financial investors in agricultural commodity markets. International cooperations are used to investigate markets that have been neglected in scientific studies, such as European, Brazilian and New Zealand futures markets. Although these markets are relatively young, their importance for producers, processors and financial investors is growing. The specific characteristics of the price dynamics in particular challenge the application of empirical methods. A further core of the research is the transfer of the empirical results to practical use.

Modeling nonlinear dynamics of speculative bubbles in financial markets

Estimation and econometric inference of financial market data

ECB banking supervision and beyond

With publication of the results of its Comprehensive Assessment at the end of October 2014, the European Central Bank has set the standard for its new mandate as supervisor. But this was only the beginning. The heavy work started in early November, with the day-to-day supervision of the 120 most significant banks in the eurozone under the Single Supervisory Mechanism. The centralisation of the supervision in the eurozone will pose a number of challenges for the ECB in the coming months and years ahead. This report analyses these challenges in detail, drawing on the discussions and presentations in the CEPS Task Force on ECB Banking Supervision, and reinforced by extensive research undertaken by the rapporteur. José María Roldán, Presidente, Asociación Española de Banca, served as Chairman of the Task Force

Conference Windows to Complexity 2013 "Nonlinear Dynamics of Speculative Bubbles in Financial Markets"