Publications

Proximity to War: The Stock Market Response to the Russian Invasion of Ukraine - Joint work with André Meier, Gernot J. Müller, and Victor Sehn

Journal of Money, Credit and Banking (forthcoming)

We identify a "proximity penalty" in the stock market response to the Russian invasion of Ukraine: the closer countries are to Ukraine, the lower their equity returns in a four-week window around the start of the war. Strikingly, this result holds even at the firm level within countries. Trade linkages explain two thirds of the proximity penalty. We attribute the remainder - 1.1 percentage points in equity returns per 1,000 kilometers of extra distance - to military disaster risk. Evidence from other financial data, geopolitical risk indicators and aid flow statistics supports the relevance of military tail risk as a spillover channel.

Summary on VoxEU - Working paper

Working Papers

The Price of War - Joint work with André Meier, Gernot J. Müller, Willi Mutschler, and Moritz Schularick

In an integrated global economy, the economic fallout of war is not confined to the country where the conflict is fought but spills over to other countries. We study the economic effects of large interstate wars using a new data set spanning 150 years of data for more than 60 countries. War on a country’s territory typically leads to an output decline of 30 percent and a 15 percentage point increase in inflation. We find large negative effects also for countries that are geographically close to the war site, irrespective of their participation in the war. Output in neighboring countries falls by more than 10 percent over 5 years, and inflation rises by 5 percentage points on average. Negative spillovers decline with geographic distance and increase in the degree of trade integration with the war site. For very distant countries, output spillovers can turn positive so that wars create winners and losers in the international economy. We rationalize these findings in an international business cycle model, calibrated to capture key features of the data. As the war destroys capital in the war site and productivity falls, trade with nearby economies decreases, generating an endogenous supply-side contraction abroad.

Working paper - Policy brief - Price of War Calculator - Presentation

Spatial Disaster Risk

Examining violent disasters since 1991, I find spillovers in disaster risks stress equity prices of firms headquartered in uninvolved but geographically exposed countries. Being neighbor to violent disasters is associated with negative returns of 1.49 percentage points on impact. This is attenuated by 0.21 percentage points per 1,000 kilometers of distance from the disaster site. The relationship holds within countries and is robust to controlling for trade and international linkages. Option-implied risk reversals reveal market concerns regarding pronounced downturns consistent with heightened disaster risk straining asset prices nearby disaster sites. Besides, I document sizable pricing effects of conflict-induced trade disruptions.

Working paper available on request

Work in Progress

Expecting More Tomorrow - Joint work with Benjamin Loos, Michaela Pagel, Emanuel Renkl, and Sebastian Wichert

Financial Market Reactions to International Patent Disclosures and Grants - Joint work with Dietmar Harhoff and Ann-Christin Kreyer

Transport Infrastructure and Stock Market Efficiency - Joint work with Johannes Jaspersen and David Streich