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Maximilian Schröder
International & European Relations
- Division
External Developments
- Current Position
-
Graduate Programme Participant
- Fields of interest
-
Macroeconomics and Monetary Economics,Mathematical and Quantitative Methods,Other Special Topics
- Education
- 2020-2024
PhD in Economics at CAMP - BI Norwegian Business School in Oslo, (Advisers: Leif A. Thorsrud, Dimitris Korobilis)
- Professional experience
- 2024-
Economist Graduate Programme Participant - External Developments Division, Directorate General International & European Relations, European Central Bank
- 28 May 2021
- WORKING PAPER SERIES - No. 2560Details
- Abstract
- Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand the driving factors behind financial market developments. In this paper, we exploit daily cross-asset price movements in a sign-restricted BVAR model to analyse the extent to which euro area and US yields, equity prices, and the euro-US dollar exchange rate are jointly driven by monetary policy, macro and global risk factors. A novelty is that we allow for cross-Atlantic spillovers while also accounting for the unique role of the US in the global financial system. Our results underline the importance of US spillovers and shifts in global risk sentiment for understanding the dynamics of euro area financial variables. Euro area shocks transmit much less to US financial markets in comparison, with global risk shocks being more important instead. Using the daily shocks as instruments in a Proxy-SVAR, we demonstrate that the transmission of financial market movements to the macroeconomy depends on the underlying driver, thereby illustrating why it matters to look into the driving factors in the first place.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C54 : Mathematical and Quantitative Methods→Econometric Modeling→Quantitative Policy Modeling
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 2024
- Journal of Business & Economic Statistics
- 2024
- Journal of Econometrics
- 2023
- International Journal of Forecasting