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Professor Julia Schaumburg, PhD

Professor Julia Schaumburg, PhD
Current Position

since 2/19

Research Professor

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

since 9/23

Professor of Econometric Methods and Applications and Head of the Department of Econometrics and Data Science

Vrije Universiteit Amsterdam

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Research Interests
  • time series analysis
  • financial econometrics
  • financial stability

Julia Schaumburg joined the institute as a Research Professor in February 2019. Her research focuses on time series and financial econometrics, financial stability, macro-financial spillovers, econometric analysis of high-dimensional data, and quantile regression.

Julia Schaumburg holds the position of Professor of Econometric Methods and Applications as well as Head of the Department of Econometrics and Data Science at Vrije Universiteit Amsterdam. She is also a Research Fellow at Tinbergen Institute.

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Professor Julia Schaumburg, PhD
Professor Julia Schaumburg, PhD
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Publications

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Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe

Hannes Böhm Julia Schaumburg Lena Tonzer

in: IMF Economic Review, December 2022

Abstract

We analyze whether financial integration leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of the spillover intensity at each point in time. For a financial network of ten European countries from 1996 to 2017, we find that the spillover effects are positive on average and much larger during periods of financial stress, pointing towards stronger business cycle synchronization. Dismantling GDP growth into value added growth of ten major industries, we observe that spillover intensities vary significantly. The findings are robust to a variety of alternative model specifications.

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