1. Über das IWH
  2. Team
  3. Forschungsnetzwerk

Professor Dr. Stefan Eichler

Professor Dr. Stefan Eichler
Aktuelle Position

seit 10/23

Forschungsprofessor

Leibniz-Institut für Wirtschaftsforschung Halle (IWH)

seit 10/16

Professor für International Monetary Economics

Technische Universität Dresden

Forschungsschwerpunkte
  • Finanzkrisen
  • Geldpolitik
  • Wechselkurse
  • internationale Investitionen

Stefan Eichler ist Professor für Internationale Monetäre Ökonomik an der Technischen Universität Dresden. Seit Oktober 2023 ist er Forschungsprofessor am IWH. Er forscht zu den Themen Marktstrukturen im Finanzsektor und Finanzstabilität.

Nach seinem Studium der Volkswirtschaftslehre an der Technischen Universität Chemnitz und der Technischen Universität Dresden promovierte Stefan Eichler an der Technischen Universität Dresden. Er war Lehrstuhlvertreter an der Technischen Universität Dresden, Juniorprofessor für International Macroeconomics and Finance an der Otto-von-Guericke-Universität Magdeburg sowie Professor für Geld und Internationale Finanzwirtschaft an der Leibniz Universität Hannover. Bis September 2023 war er Fellow am IWH.

Ihr Kontakt

Professor Dr. Stefan Eichler
Professor Dr. Stefan Eichler
- Abteilung Finanzmärkte
Nachricht senden

Publikationen

cover_journal-of-economic-behavior-and-organization.jpg

Ricardian Equivalence, Foreign Debt and Sovereign Default Risk

Stefan Eichler Ju Hyun Pyun

in: Journal of Economic Behavior and Organization, May 2022

Abstract

We study the impact of sovereign solvency on the private-public savings offset. Using data on 80 economies for 1989–2018, we find robust evidence for a U-shaped pattern in the private-public savings offset in sovereign credit ratings. While the 1:1 savings offset is observed at intermediate levels of sovereign solvency, fiscal deficits are not offset by private savings at extremely low and high levels of sovereign solvency. Particularly, the U-shaped pattern is more pronounced for countries with high levels of foreign ownership of government debt. The U-shaped pattern is an emerging market phenomenon; additionally, it is confirmed when considering foreign currency rating and external public debt, but not for domestic currency rating and domestic public debt. For considerable foreign ownership of sovereign bonds, sovereign default constitutes a net wealth gain for domestic consumers.

Publikation lesen
cover_journal-of-international-money-and-finance.png

What Drives the Commodity-Sovereign Risk Dependence in Emerging Market Economies?

Hannes Böhm Stefan Eichler Stefan Gießler

in: Journal of International Money and Finance, March 2021

Abstract

Using daily data for 34 emerging markets in the period 1994–2016, we find robust evidence that higher export commodity prices are associated with lower sovereign default risk, as measured by lower EMBI spreads. The economic effect is especially pronounced for heavy commodity exporters. Examining the drivers, we find that, first, commodity dependence is higher for countries that export large volumes of commodities, whereas other portfolio characteristics like volatility or concentration are less important. Second, commodity-sovereign risk dependence increases in times of recessions and expansionary U.S. monetary policy. Third, the importance of raw material prices for sovereign financing can likely be mitigated if a country improves institutions and tax systems, attracts FDI inflows, invests in manufacturing, machinery and infrastructure, builds up reserve assets and opens capital and trade accounts. Fourth, the country’s government indebtedness or amount of received development assistance appear to be only of secondary importance for commodity dependence.

Publikation lesen
cover_journal-of-financial-stability.gif

Avoiding the Fall into the Loop: Isolating the Transmission of Bank-to-Sovereign Distress in the Euro Area

Stefan Eichler Hannes Böhm

in: Journal of Financial Stability, Nr. 100763, 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.

Publikation lesen
Alle referierten Publikationen durchsuchen

Arbeitspapiere

cover_DP_2016-4.jpg

A Market-based Indicator of Currency Risk: Evidence from American Depositary Receipts

Stefan Eichler Ingmar Roevekamp

in: IWH Discussion Papers, Nr. 4, 2016

Abstract

We introduce a novel currency risk measure based on American Depositary Receipts(ADRs). Using a multifactor pricing model, we exploit ADR investors’ exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23 emerging markets over the 1994-2014 period, we find that a deterioration in the fiscal and current account balance, as well as higher inflation, increases currency risk. Interaction models reveal that these macroeconomic fundamentals drive currency risk, particularly in countries with managed exchange rates, low levels of foreign exchange reserves and a poor sovereign credit rating.

Publikation lesen
cover_Deutsche-Bundesbank-Discussion-Paper_2010-01.jpg

Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach: The Case of Kazakhstan

Stefan Eichler Alexander Karmann Dominik Maltritz

in: Discussion paper, Series 2: Banking and financial studies, No. 01/2010, Nr. 1, 2010

Abstract

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which increased from 25% in March 2007 to 80% in December 2008. Concurrently, the long-term default risk increased from 20% to only 25% during the same period.

Publikation lesen
Alle Arbeitspapiere durchsuchen
Mitglied der Leibniz-Gemeinschaft LogoTotal-Equality-LogoGefördert durch das BMWK