01.02.2021 • 4/2021
During Corona, households are saving more – not for fear of unemployment but for lack of spending opportunities
During the Corona crisis, European households increased their savings dramatically. According to an analysis carried out by the Halle Institute for Economic Research (IWH), the increase in savings is largely due to the inability of households to consume in the face of government lockdown measures, rather than other factors such as economic uncertainty. IWH President Reint Gropp therefore sees potential for a significant catch-up effect in consumption as soon as the lockdown is lifted.
Reint E. Gropp
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Avoiding the Fall into the Loop: Isolating the Transmission of Bank-to-Sovereign Distress in the Euro Area
Stefan Eichler, Hannes Böhm
Journal of Financial Stability,
December
2020
Abstract
While the sovereign-bank loop literature has demonstrated the amplification between sovereign and bank risks in the Euro Area, its econometric identification is vulnerable to reverse causality and omitted variable biases. We address the loop's endogenous nature and isolate the direct bank-to-sovereign distress channel by exploiting the global, non-Eurozone related variation in banks’ stock prices. We instrument banking sector stock returns in the Eurozone with exposure-weighted stock market returns from non-Eurozone countries and take further precautions to remove Eurozone-related variation. We find that the transmission of instrumented bank distress to sovereign distress is around 50% smaller than the corresponding coefficient in the unadjusted OLS framework, confirming concerns on endogeneity. Despite the smaller relative magnitude, increasing instrumented bank distress is found to be an economically and statistically significant cause for rising sovereign fragility in the Eurozone.
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03.12.2020 • 24/2020
IWH Bankruptcy Update: Fewer Large Companies Declare Bankruptcy
Following a spike in bankruptcy of large companies, statistics on impacted employees are declining again. The total number of bankruptcies also remains at a low level. Published by the Halle Institute for Economic Research (IWH), the IWH Bankruptcy Update provides monthly statistics on corporate bankruptcies in Germany.
Steffen Müller
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05.11.2020 • 23/2020
IWH Bankruptcy Update: Bankruptcy Statistics Only See Slight Uptick, Despite Reinstatement of Filing Obligation
The number of German companies declaring bankruptcy trended somewhat higher in October, but total bankruptcy figures remain low. While the Halle Institute for Economic Research (IWH) anticipates a further rise in bankruptcy statistics over the final two months of the year, we do not expect a wave of bankruptcies this year.
Steffen Müller
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06.10.2020 • 19/2020
IWH Bankruptcy Update: Bankruptcies Stabilise at a Low Level; Number of Affected Jobs Remains High
The number of companies declaring bankruptcy in Germany was very low in September, and no significant increase is expected in the coming months. By contrast, the number of jobs impacted by corporate bankruptcies remained elevated in September; monthly layoff figures have increased significantly since the beginning of the year. These are the key findings of the IWH Bankruptcy Update, a monthly monitor of insolvency statistics published by the Halle Institute for Economic Research (IWH).
Steffen Müller
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07.09.2020 • 17/2020
IWH Bankruptcy Update: Bankruptcies Hit New Low; New Outlook Feature
The number of companies reporting bankruptcy in Germany sank to a new low in August. Associated job losses also declined noticeably, following marked increases in prior months. Published by the Halle Institute for Economic Research, the IWH Bankruptcy Update provides monthly statistics on corporate bankruptcies in Germany. Starting this month, the update will also feature a two-month outlook.
Steffen Müller
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07.05.2020 • 7/2020
Launch of IWH Bankruptcy Update: Number of corporate bankruptcies in Germany constant despite Corona crisis
Despite the Corona outbreak, the number of corporate bankruptcies in Germany so far remains at 2019 levels. This is according to the new IWH Bankruptcy Update provided by the Halle Institute for Economic Research (IWH) on a monthly basis and much earlier than official statistics.
Steffen Müller
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Banks’ Equity Performance and the Term Structure of Interest Rates
Elyas Elyasiani, Iftekhar Hasan, Elena Kalotychou, Panos K. Pouliasis, Sotiris Staikouras
Financial Markets, Institutions and Instruments,
No. 2,
2020
Abstract
Using an extensive global sample, this paper investigates the impact of the term structure of interest rates on bank equity returns. Decomposing the yield curve to its three constituents (level, slope and curvature), the paper evaluates the time-varying sensitivity of the bank’s equity returns to these constituents by using a diagonal dynamic conditional correlation multivariate GARCH framework. Evidence reveals that the empirical proxies for the three factors explain the variations in equity returns above and beyond the market-wide effect. More specifically, shocks to the long-term (level) and short-term (slope) factors have a statistically significant impact on equity returns, while those on the medium-term (curvature) factor are less clear-cut. Bank size plays an important role in the sense that exposures are higher for SIFIs and large banks compared to medium and small banks. Moreover, banks exhibit greater sensitivities to all risk factors during the crisis and postcrisis periods compared to the pre-crisis period; though these sensitivities do not differ for market-oriented and bank-oriented financial systems.
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Tornado Activity, House Price and Stock Returns
Michael Donadelli, Michael Ghisletti, Marcus Jüppner, Antonio Paradiso
North American Journal of Economics and Finance,
April
2020
Abstract
In this paper we investigate the effects of tornado activity on house prices and stock returns in the US. First, using geo-referenced and metropolitan statistical area (MSA)-level data, we find tornado activity to be responsible for a significant drop in house prices. Spillover tornado effects between adjacent MSAs are also detected. Furthermore, our granular analysis provides evidence of tornadoes having a negative impact on stock returns. However, only two sectors seem to contribute to such a negative effect (i.e., consumer discretionary and telecommunications). In a macro-analysis, which relies on aggregate data for the South, West, Midwest and Northeast US regions, we then show that tornado activity generates a significant drop in house prices only in the South and Midwest. In these regions, tornadoes are also responsible for a drop in income. Tornado activity is finally found to positively (negatively) affect stock returns in the Midwest (South). If different sectors are examined, a more heterogeneous picture emerges.
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Business Dynamics Statistics of High Tech Industries
Nathan Goldschlag, Javier Miranda
Journal of Economics and Management Strategy,
No. 1,
2020
Abstract
Modern market economies are characterized by the reallocation of resources from less productive, less valuable activities to more productive, more valuable ones. Businesses in the High Tech sector play a particularly important role in this reallocation by introducing new products and services that impact the entire economy. In this paper we describe an extension to the Census Bureau’s Business Dynamics Statistics that tracks job creation, job destruction, startups, and exits by firm and establishment characteristics, including sector, firm age, and firm size in the High Tech sector. We preview the resulting statistics, showing the structural shifts in the High Tech sector over the past 30 years, including the surge of entry and young firm activity in the 1990s that reversed abruptly in the early‐2000s.
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