Franziska Maruhn (née Hünnekes)

Publications

Exportweltmeister: Germany's Foreign Investment Returns in International Comparison

Journal of International Economics, Vol. 155, May 2025, Kiel Working Paper No. 2133, Franziska Hünnekes, Maximilian Konradt, Moritz Schularick, Christoph Trebesch and Julian Wingenbach

Germany is a world champion in exporting capital (“Exportweltmeister”). Few countries have invested larger amounts of savings abroad. However, we show that Germany plays in the third division when it comes to investment performance. We construct a comprehensive new database of foreign investment returns for 13 advanced economies going back to the 1970s. Germany’s foreign returns were 2 to 5 percentage points lower, per year, than those of comparable countries. Germany also earns significantly less within asset classes, especially for equities and FDI. These aggregate results are confirmed when using return data from 50,000 mutual funds worldwide. German investment funds are worse at stock picking and at timing the market than their international peers. This is particularly true for the ”Big 6” German mutual fund companies. German households would have fared much better with a passive investment strategy.

Firm expectations and economic activity

Journal of the European Economic Association, Vol. 20, Issue 6, December 2022, CESifo Working Paper 7623, Zeno Enders, Franziska Hünnekes and Gernot Müller

We assess how firm expectations about future production impact current production and pricing decisions. Our analysis is based on a large survey of firms in the German manufacturing sector. To identify the causal effect of expectations, we rely on the timing of survey responses and match firms with the same fundamentals but different views about the future. Firms that expect their production to increase (decrease) in the future are 15 percentage points more (less) likely to raise current production and prices, compared to firms that expect no change in production. In a second step, we show that expectations also matter even if they turn out to be incorrect. Lastly, we aggregate expectation errors across firms and find that they account for about 15% of aggregate fluctuations.

Monetary policy announcements and expectations: Evidence from German firms

Journal of Monetary Economics, Vol. 108, December 2019, CEPR Discussion Paper 13916, Zeno Enders, Franziska Hünnekes and Gernot Müller

We assess empirically whether monetary policy announcements impact firm expectations. Two features of our data set are key. First, we rely on a survey of production and price expectations of German firms, that is, expectations of actual price setters. Second, we observe the day on which firms submit their answers to the survey. We compare the responses of firms before and after monetary policy surprises and obtain two results. First, firm expectations respond to policy surprises. Second, the response becomes weaker as the surprise becomes bigger. A contractionary surprise of moderate size reduces firm expectations, while a moderate expansionary surprise raises them. Large surprises, both negative and positive, fail to alter expectations. Consistent with this result, we find that many of the ECB’s announcements of non-conventional policies did not affect expectations significantly. Overall, our results are consistent with the notion that monetary policy surprises generate an information effect which is endogenous to the size of the policy surprise.

Working Papers

Determinants of bank performance: evidence from replicating portfolios

ECB Working Paper No. 2937, 2024, Carlo Altavilla, Juliane Begenau, Lorenzo Burlon and Franziska Maruhn

We construct a novel measure of bank performance, investigate its determinants, and show that it affects bank resilience, lending behaviour and real outcomes. Using confidential and granular data, we measure performance against a market-based benchmark portfolio that mimics individual banks’ interest rate and credit risk exposure. From 2015 to mid-2022, euro area banks underperformed market benchmarks by around e160 billion per year, amid substantial heterogeneity. Structural factors, such as cost inefficiencies, rather than monetary or regulatory measures, were the main driver of bank underperformance. We also show that higher edge banks are less reliant on government support measures and less likely to experience the materialisation of interest rate or credit risk when hit by shocks. Using the euro area credit register and the pandemic shock for identification, we find that higher edge banks originate more credit, direct it towards more productive firms, and support more firm investment.

What drives banks’ credit standards? An analysis based on a large bank-firm panel

ECB Working Paper No. 2902, 2024, Donata Faccia, Franziska Hünnekes and Petra Köhler-Ulbrich

In this paper we build an unique dataset to study how banks decide which firms to lend to and how this decision depends on their own situation and the characteristics of their borrowers. We find that weaker capitalised banks adjust their credit standards more than healthier banks, especially for firms with a higher default risk. We also show how credit standards change in reaction to two specific macroeconomic developments, namely an increase in bank funding costs and a sudden deterioration in banks’ corporate loan portfolios. Here we find that weaker banks respond more forcefully by tightening their credit standards more than better capitalised banks. This development is particularly pronounced when banks are linked to riskier firms. Insofar, we provide evidence of heterogeneity in the bank lending channel, depending on the situation of the lenders and the borrowers.

Other refereed publications and papers

Main findings from the ECB’s recent contacts with non-financial companies, ECB Economic Bulletin Issue 1, 2025, Franziska Maruhn, Richard Morris and Michal Slavik.

TLTRO III phase-out and bank lending conditions, ECB Economic Bulletin Issue 8, 2024, Francesca Barbiero, Alessandro Ferrari and Franziska Maruhn.

What drives banks’ credit standards? – Impact of bank health and firm risk, SUERF Policy Brief No. 889, May 2024, Donata Faccia, Franziska Hünnekes and Petra Köhler-Ulbrich.

What information does the euro area bank lending survey provide on future loan developments?, ECB Economic Bulletin Issue 8, 2022, Franziska Hünnekes and Petra Köhler-Ulbrich.