Media Response
Media Response July 2024 Steffen Müller: “Firmen im Sog der Pleiten” in: Mitteldeutsche Zeitung Halle / Saalekreis, 03.07.2024 Oliver Holtemöller: "Wie lange währt der "Aufschwung…
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IWH Summer Forecast: German economy still on the defensive – but first signs of an end to the downturn In the first half of 2024, signs of an economic recovery are increasing.…
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People
People Job Market Candidates Doctoral Students PhD Representatives Alumni Supervisors Lecturers Coordinators Job Market Candidates Tommaso Bighelli Job market paper: "The…
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People
People Job Market Candidates Doctoral Students PhD Representatives Alumni Supervisors Lecturers Coordinators Job Market Candidates Tommaso Bighelli Job market paper: "The…
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Alumni
IWH Alumni The IWH would like to stay in contact with its former employees. We would be delighted if you joined the IWH alumni network so that we will not lose sight of you and…
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Financial Stability
Financial Systems: The Anatomy of the Market Economy How the financial system is constructed, how it works, how to keep it fit and what good a bit of chocolate can do. Dossier In…
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Brown Bag Seminar
Brown Bag Seminar Financial Markets Department The seminar series "Brown Bag Seminar" was offered on a regular basis by members of the Financial Markets department and their…
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Speed Projects
Speed Projects On this page, you will find the IWH EXplore Speed Projects in chronologically descending order. 2021 2020 2019 2018 2017 2016 2015 2014 2022 SPEED 2022/02…
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Charts
Info Graphs Sometimes pictures say more than a thousand words. Therefore, we selected a few graphs to present our main topics visually. If you should have any questions or would…
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What Explains International Interest Rate Co-Movement?
Annika Camehl, Gregor von Schweinitz
IWH Discussion Papers,
No. 3,
2023
Abstract
We show that global supply and demand shocks are important drivers of interest rate co-movement across seven advanced economies. Beyond that, local structural shocks transmit internationally via aggregate demand channels, and central banks react predominantly to domestic macroeconomic developments: unexpected monetary policy tightening decreases most foreign interest rates, while expansionary local supply and demand shocks increase them. To disentangle determinants of international interest rate co-movement, we use a Bayesian structural panel vector autoregressive model accounting for latent global supply and demand shocks. We identify country-specific structural shocks via informative prior distributions based on a standard theoretical multi-country open economy model.
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