JLU/Katrina Friese
Moritz Grebe
Doctoral Candidate in Economics, University of Giessen
Research Interests
Macroeconomics, Monetary Policy, Expectations, Natural Language Processing
Research
Uncertainty about the War in Ukraine: Measurement and Effects on the German Economy
with Sinem Kandemir and Peter Tillmann, Journal of Economic Behavior and Organization 217 (2024) 493–506
Abstract: We assemble a data set of more than eight million German Twitter posts related to the war in Ukraine. Based on state-of-the-art methods of text analysis, we construct a daily index of uncertainty about the war as perceived by German Twitter. The approach also allows us to separate this index into uncertainty about sanctions against Russia, energy policy and other dimensions. We then estimate a VAR model with daily financial and macroeconomic data and identify an exogenous uncertainty shock. The increase in uncertainty has strong effects on financial markets and causes a significant decline in economic activity as well as an increase in expected inflation. We find the effects of uncertainty to be particularly strong in the first months of the war.
Household Expectations and Dissent Among Policymakers (2024)
with Peter Tillmann
Abstract: This paper studies the impact of dissent in the ECB's Governing Council on uncertainty surrounding households' inflation expectations. We conduct a randomized controlled trial using the Bundesbank Online Panel Households. Participants are provided with alternative information treatments concerning the vote in the Council, e.g. unanimity and dissent, and are asked to submit probabilistic inflation expectations. The results show that the vote is informative. Households revise their subjective inflation forecast after receiving information about the vote. Information about unanimity or dissent causes a wider individual distribution of future inflation for those households that were relatively certain before the treatment. For the remaining 60 % of households, this information reduces uncertainty. Information about dissent increases uncertainty more than information about a unanimous vote, though the difference is not statistically significant. The results are robust with respect to alternative measures of forecast uncertainty and hold for different model specifications.
Work in Progress
A lot, including:
Monetary Metanomics: The Effect of Monetary Policy on Virtual Real Estate Prices
with Salah Hassanin