Delay Determinants of European Banking Union Implementation
Michael Koetter, Thomas Krause, Lena Tonzer
European Journal of Political Economy,
2019
Abstract
Most countries in the European Union (EU) delay the transposition of European Commission (EC) directives, which aim at reforming banking supervision, resolution, and deposit insurance. We compile a systematic overview of these delays to investigate if they result from strategic considerations of governments conditional on the state of their financial, regulatory, and political systems. Transposition delays pertaining to the three Banking Union directives differ considerably across the 28 EU members. Bivariate regression analyses suggest that existing national bank regulation and supervision drive delays the most. Political factors are less relevant. These results are qualitatively insensitive to alternative estimation methods and lag structures. Multivariate analyses highlight that well-stocked deposit insurance schemes speed-up the implementation of capital requirements, banking systems with many banks are slower in implementing new bank rescue and resolution rules, and countries with a more intensive sovereign-bank nexus delay the harmonization of EU deposit insurance more.
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Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
Christiane Baumeister, James D. Hamilton
American Economic Review,
Nr. 5,
2019
Abstract
Traditional approaches to structural vector autoregressions (VARs) can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not.
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(Since When) Are East and West German Business Cycles Synchronised?
Stefan Gießler, Katja Heinisch, Oliver Holtemöller
Abstract
This paper analyses whether and since when East and West German business cycles are synchronised. We investigate real GDP, unemployment rates and survey data as business cycle indicators and employ several empirical methods. Overall, we find that the regional business cycles have synchronised over time. GDP-based indicators and survey data show a higher degree of synchronisation than the indicators based on unemployment rates. However, recently synchronisation among East and West German business cycles seems to become weaker, in line with international evidence.
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An Evaluation of Early Warning Models for Systemic Banking Crises: Does Machine Learning Improve Predictions?
Johannes Beutel, Sophia List, Gregor von Schweinitz
Abstract
This paper compares the out-of-sample predictive performance of different early warning models for systemic banking crises using a sample of advanced economies covering the past 45 years. We compare a benchmark logit approach to several machine learning approaches recently proposed in the literature. We find that while machine learning methods often attain a very high in-sample fit, they are outperformed by the logit approach in recursive out-of-sample evaluations. This result is robust to the choice of performance measure, crisis definition, preference parameter, and sample length, as well as to using different sets of variables and data transformations. Thus, our paper suggests that further enhancements to machine learning early warning models are needed before they are able to offer a substantial value-added for predicting systemic banking crises. Conventional logit models appear to use the available information already fairly effciently, and would for instance have been able to predict the 2007/2008 financial crisis out-of-sample for many countries. In line with economic intuition, these models identify credit expansions, asset price booms and external imbalances as key predictors of systemic banking crises.
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Too Connected to Fail? Inferring Network Ties from Price Co-movements
Jakob Bosma, Michael Koetter, Michael Wedow
Journal of Business and Economic Statistics,
Nr. 1,
2019
Abstract
We use extreme value theory methods to infer conventionally unobservable connections between financial institutions from joint extreme movements in credit default swap spreads and equity returns. Estimated pairwise co-crash probabilities identify significant connections among up to 186 financial institutions prior to the crisis of 2007/2008. Financial institutions that were very central prior to the crisis were more likely to be bailed out during the crisis or receive the status of systemically important institutions. This result remains intact also after controlling for indicators of too-big-to-fail concerns, systemic, systematic, and idiosyncratic risks. Both credit default swap (CDS)-based and equity-based connections are significant predictors of bailouts. Supplementary materials for this article are available online.
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18.12.2018 • 22/2018
IWH leitet millionenschweres EU-Forschungsprojekt zur Produktivität
Verliert das Produktivitätswachstum in den Industrieländern an Schwung? Und wenn ja, warum? Mit diesen Fragen, die für die gesamte Wirtschaft von zentraler Bedeutung sind, befasst sich das Leibniz-Institut für Wirtschaftsforschung Halle (IWH) ab Jahresbeginn 2019 als Koordinator eines neuen EU-Projekts. Unter dem Titel MICROPROD arbeiten Ökonomen und Statistikexperten neun europäischer Partner für drei Jahre zusammen. Mit einem Gesamtbudget von knapp drei Millionen Euro ist es das bislang größte EU-Projekt am IWH.
Steffen Müller
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Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations
Christiane Baumeister, James D. Hamilton
Journal of Monetary Economics,
2018
Abstract
Point estimates and error bands for SVARs that are set identified are only justified if the researcher is persuaded that some parameter values are a priori more plausible than others. When such prior information exists, traditional approaches can be generalized to allow for doubts about the identifying assumptions. We use information about both structural coefficients and impacts of shocks and propose a new asymmetric t-distribution for incorporating information about signs in a nondogmatic way. We apply these methods to a three-variable macroeconomic model and conclude that monetary policy shocks are not the major driver of output, inflation, or interest rates.
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Innovation Cooperation in East and West Germany: A Study on the Regional and Technological Impact
Uwe Cantner, Alexander Giebler, Jutta Günther, Maria Kristalova, Andreas Meder
International Journal of Computational Economics and Econometrics,
3/4
2018
Abstract
In this paper, we investigate the impact of regional and technological innovation systems on innovation cooperation. We develop an indicator applicable to regions, which demonstrates the relative regional impact on innovation cooperation. Applying this method to German patent data, we find that regional differences in the degree of innovation cooperation do not only depend on the technology structure of a region but also on specific regional effects. High-tech oriented regions, whether east or west, are not automatically highly cooperative regions. East German regions have experienced a dynamic development of innovation cooperation since re-unification in 1990. Their cooperation intensity remains higher than in West German regions.
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On the Empirics of Reserve Requirements and Economic Growth
Jesús Crespo Cuaresma, Gregor von Schweinitz, Katharina Wendt
Abstract
Reserve requirements, as a tool of macroprudential policy, have been increasingly employed since the outbreak of the great financial crisis. We conduct an analysis of the effect of reserve requirements in tranquil and crisis times on credit and GDP growth making use of Bayesian model averaging methods. In terms of credit growth, we can show that initial negative effects of higher reserve requirements (which are often reported in the literature) tend to be short-lived and turn positive in the longer run. In terms of GDP per capita growth, we find on average a negative but not robust effect of regulation in tranquil times, which is only partly offset by a positive but also not robust effect in crisis times.
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Who Benefits from GRW? Heterogeneous Employment Effects of Investment Subsidies in Saxony Anhalt
Eva Dettmann, Mirko Titze, Antje Weyh
IWH Discussion Papers,
Nr. 27,
2017
Abstract
The paper estimates the plant level employment effects of investment subsidies in one of the most strongly subsidized German Federal States. We analyze the treated plants as a whole, as well as the influence of heterogeneity in plant characteristics and the economic environment. Modifying the standard matching and difference-in-difference approach, we develop a new procedure that is particularly useful for the evaluation of funding programs with individual treatment phases within the funding period. Our data base combines treatment, employment and regional information from different sources. So, we can relate the absolute effects to the amount of the subsidy paid. The results suggest that investment subsidies have a positive influence on the employment development in absolute and standardized figures – with considerable effect heterogeneity.
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