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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 9/13

Associate Professor of Econometrics

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 Associate Professor of Econometrics at Vrije Universiteit Amsterdam. She is Research Fellow at Tinbergen Institute and Visiting Researcher at De Nederlandsche Bank.

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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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