New publication in the Journal of Applied Econometrics
A new research paper by Sebastian Rüth in collaboration with Wouter Van der Veken (National Bank of Belgium and Ghent University) has recently been accepted for publication in the Journal of Applied Econometrics. The title of the paper is „Monetary policy and exchange rate anomalies in set-identified SVARs: Revisited “, and the abstract reads: “Set-identified vector autoregressions typically document violations of uncovered interest rate parity (forward discount puzzle) and gradual appreciation–depreciation cycles of exchange rates (delayed overshooting puzzle) following contractionary monetary policy shocks. We revisit both anomalies in a framework similar to Kim et al. (2017, JPE). We complement their identifying restrictions on how monetary policy affects the economy with restrictions on (i) how monetary policy reacts to the economy and (ii) historical monetary policy innovations. In this hybrid identification, no major forward discount premia emerge. Once we additionally impose that monetary policy propagates through domestic financial conditions, exchange rates also overshoot with less delay.” The full publication can be accessed here.
Vacancy at the Juniorprofessorship of international and monetary macroeconomics
We are hiring a research and teaching assistant, who is also expected to write a doctoral thesis under the supervision of Prof. Dr. Sebastian Rüth. Employment may begin at the earliest possible date. Interested candidates can find further information (in German only) here.
New publication in the Journal of Economic Dynamics and Control
A new research paper by Sebastian Rüth in collaboration with Camilla Simon (University of Würzburg) has recently been accepted for publication in the Journal of Economic Dynamics and Control. The title of the paper is „How Do Income and the Debt Position of Households Propagate Public into Private Spending?“ and can be accessed here. The paper revisits one of the oldest questions in macroeconomics, namely, how a fiscal stimulus affects private consumption. Based on a so-called Vector-Autoregression, the authors show that expansions in public spending induce a surge of private consumption that is accompanied by increasing post-tax income of households, on average, during the U.S. postwar era. Endogenously reacting income, however, appears insufficient to fully rationalize conditional co-movement of private and public spending: private spending even expands in times during which disposable income does not rise, and for medium-income household groups that do not experience income gains. How is it possible that government spending causes households to raise their consumption expenditures in excess of or even without income gains? The authors provide comprehensive, causal time-series evidence to answer that question: they show within a SVAR-IV framework that fiscal stimulus causally prompts households to take on more credit. This favorable debt cycle is paralleled by dropping credit rates/spreads and inflating collateral prices, e.g., real estate prices, suggesting that softening borrowing constraints support the accumulation of private debt and help rationalizing the increase of household consumption.
Presentation of the Annual Report of the German Council of Economic Experts
On December 13, we are pleased to welcome Dr. Franziska Lembcke, labor market economist in the staff of the German Council of Economic Experts, to the lecture "Macroeconomics I" (12:15-13:45h, LG 2, Room 14). Dr. Lembcke will present the highly regarded annual report of the German Council of Economic Experts, which will be officially handed over to the German government on November 10. An overview over the annual reports of the last years can be found here.
Interestingly for our Macro I lecture, the reports typically highlight current macroeconomic developments and trends from a German and European perspective and derive recommendations for economic policy. In addition, already implemented policies are critically evaluated. This promises to be an exciting talk. Spread the news and save the date!
New publication in the Journal of International Economics
A research paper by Sebastian Rüth in collaboration with Gert Peersman and Wouter Van der Veken (both Ghent University) has recently been accepted for publication in the Journal of International Economics. The title of the paper is „The Interplay Between Oil and Food Commodity Prices: Has It Changed over Time?“ and can be accessed here. The main findings of the paper are as follows. First, the prices for crude oil and food commodities have been negatively correlated before the start of the millennium, while they strongly comove more recently. Second, this increased correlation can partly be explained by so-called price-spillovers; that is developments in one commodity class that affect the respective commodity’s price directly lead to a contagion of the prices of the other commodity. Third, this increased synchronization among commodity prices is not likely driven by the biofuels revolution. Instead, the paper provides causal evidence that is consistent with the view that the financialization and globalization of commodity markets during the past decades and the associated challenges of market participants to disentangle demand from supply factors in real-time may drive the price-spillovers between different commodity classes. Specifically, the paper documents that so-called informational frictions among market participants have been particularly salient during the Great Recession—an episode during which the strongest price-spillovers can be observed.
Teaching in the winter semester 2021/22
We will offer the lecture „Makroökonomie I“ (in German only) in the Bachelor’s program. This module includes weekly tutorials. That is, from the winter semester 2021/22 onward, students have the chance to choose whether to take this class in the winter semester (Prof. Dr. Rüth) or in the summer semester (Prof. Dr. Rötheli).
Welcome to the University of Erfurt!
Today, the newly-established Juniorprofessorship of international and monetary macroeconomics has begun its work. From the winter semester 2021 onward we will offer macroeconomics classes, both, in the Bachelor and Master degree programs. Prof. Dr. Sebastian Rüth and his team are looking forward to exciting research and teaching activities at the Faculty of Economics, Law and Social Sciences. For some further information on Prof. Rüth see his recent Wortmelder interview (in German only).