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AbstractWhile the COVID-19 pandemic posits a significant challenge to all societies around the world, it also reveals in the most dramatic manner the many abysmal differences between so-called advanced economies and the developing world.

In this paper the interaction between foreign exchange (FX) markets driven by trading based on behavioral forecasting rules and the macroeconomy of a small open economy is investigated. A special focus of the paper is set on the consequences of chartism or technical analysis for the stability at the macroeconomic level. Furthermore, the performance of alternative monetary policy rules concerning the overall stabilization of the economy is investigated through numerical analysis.

The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of macroeconomic and financial variables. More specifically, we estimate three synthetic financial cycle components that account for the majority of the variation in the data set using a dynamic factor model. We investigate whether these financial cycle components have significant predictive power for economic activity, inflation and short-term interest rates by means of Granger causality tests in a factor-augmented VAR set-up. Further, we analyze if the synthetic financial cycle components have significant forecasting power for the prediction of economic recessions using dynamic probit models. Our main findings indicate that all financial cycle measures improve the quality of recession forecasts significantly. In particular, the factor related to financial market participants' uncertainty and risk aversion - related to Rey's (2013) global financial cycle - seems to serve as an appropriate early warning indicator for policymakers. ; Die Analyse des Finanzzyklus und seiner Wechselwirkung mit der Makroökonomie sind seit der Finanzkrise 2007-08 ein zentrales Thema für die Gestaltung makroprudenzieller Politikmaßnahmen. Dieses Papier schlägt die Entwicklung von Finanzzyklusmaßgrößen für die USA vor. Diese basieren auf einem großen Datensatz makroökonomischer und finanzieller Variablen. Im Detail schätzen wir drei synthetische Finanzzykluskomponenten, die die Mehrheit der Variation des Datensatzes anhand eines dynamischen Faktormodell darstellen. Wir untersuchen, ob diese Finanzzykluskomponenten Erklärungskraft für die Wirtschaftsaktivität, die Inflation und die kurzfristigen Zinssätze in Form von Granger-Kausalitätstests in einem faktorerweiterten VAR-Rahmen haben. Weiterhin analysieren wir mit dynamischen Probit-Modellen, ob die synthetischen Finanzzykluskomponenten eine signifikante Vorhersagekraft von wirtschaftlichen Rezessionen haben. Unsere wichtigsten Ergebnisse zeigen, dass alle Finanzzyklusmaßgrößen die Qualität der Rezessionsvorhersagen deutlich verbessern. Insbesondere der Faktor, der sich auf die Unsicherheiten und die Risikoaversion der Finanzmarktteilnehmer bezieht (Rey, 2013), scheint ein geeigneter Frühwarnindikator für wirtschaftspolitische Entscheidungsträger zu sein.

This paper studies the dynamics of sovereign risk, fiscal policy and the macroeconomy in a two-country monetary union framework under the assumption of a heterogeneous perception of the determinants of sovereign risk by the government and the market participants. The macroeconomic volatility resulting from various types of fiscal policy rules aimed at the stabilization of sovereign debt are investigated through numerical simulations. Among other things, these simulations show that an extreme focus on debt stabilization can be counterproductive if the financial markets care more about the country's output gap.

The recent financial and sovereign debt crises around the world have sparked a growing literature on models and empirical estimates of defaultable debt. Frequently households and firms come under default threat, local governments can default, and recently sovereign default threats were eminent for Greece and Spain 2012-13. Moreover, Argentina experienced an actual default in 2001. What causes sovereign default risk, and what are the escape routes from default risk? Previous studies such as Arellano (2008), Roch and Uhlig (2013) and Arellano et al. (2014) have provided theoretical models to explore the main dynamics of sovereign defaults. These models can be characterized as threshold models in which there is a convergence toward a good no-default equilibrium below the threshold and a default equilibrium above the threshold. However, in these models aggregate output is exogenous, so that important macroeconomic feedback effects are not taken into account. In this paper, we 1) propose alternative model variants suitable for certain types of countries in the EU where aggregate output is endogenously determined and where financial stress plays a key role, 2) show how these model variants can be solved through the Nonlinear Model Predictive Control numerical technique, and 3) present some empirical evidence on the nonlinear dynamics of output, sovereign debt and financial stress in some euro area and other industrialized countries.

This paper introduces parametric spectrum estimation to the analysis of financial cycles. Our contribution is to formally test properties of financial cycles and to characterize their international interaction in the frequency domain. Existing work argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. Also, a global cycle, being driven by US monetary policy, is said to be behind national financial cycles. We provide strong statistical evidence for the US and slightly weaker evidence for the UK validating the hypothesized features of the national financial cycle. In Germany, however, the financial cycle is much less visible. Similarly, a US-driven global financial cycle significantly affects national cycles in the UK but not in Germany. ; In dieser Arbeit wird ein parametrischer Ansatz für die Schätzung und Analyse von Finanzzyklen im Frequenzbereich angewendet. Neben der Durchführung von formalen Tests über die spektralen Eigenschaften von Finanzzyklen auf der nationalen Ebene wird in dieser Studie auch deren internationale Interaktion auch im Frequenzbereich charakterisiert. Laut vorigen Studien hat der Finanzzyklus eine deutlich längere Dauer und eine größere Amplitude als der Konjunkturzyklus. Diese Charakteristiken scheinen in jüngster Zeit ausgeprägter geworden zu sein. Außerdem scheint ein globaler Finanzzyklus, welcher durch die US Geldpolitik maßgeblich beeinflusst wird, im Hintergrund der nationalen Finanzzyklen zu agieren. Es kann eine starke statische Evidenz bzgl. dieser Hypothesen für die USA und, etwas abgeschwächter, für Großbritannien nachgewiesen werden. In Deutschland ist der Finanzzyklus deutlich weniger ausgeprägt. In ähnlicher Weise scheint also ein US-determinierter globaler Finanzzyklus den nationalen Finanzzyklus in Großbritannien zu beeinflussen, aber nicht den in Deutschland.