Arbeitsgruppe Makroökonomik, insbesondere Geldpolitik

New Publications in Macroeconomic Dynamics and Open Economies Review


Prof. Mayer and Dr.Johannes Gareis provide evidence that intangible investment is much more resilient to adverse shocks to firms' borrowing conditions due to much higher inverstment adjustment costs compoared to traditional tangible investment (see Macroeconomic Dynamics). Prof. Mayer and coauthors document that in response to monetary policy shocks the medium-run response of the exchange rate is driven by information effects embodied in interest rate changes, while pure monetary shocks dominate the short-run effects (see Open Economies Review).

The publication in Macroeconomic Dynamics is available here


We develop an extended real business cycle (RBC) model with financially constrained firms and non-pledgeable intangible capital. Based on a model-consistent series for firms’ borrowing conditions, we find, within a structural vector autoregression (SVAR) framework, that, in response to an adverse financial shock, tangible investment falls more than intangible investment. This positive co-movement between tangible and intangible investment as well as the relative resilience of intangible investment pose a challenge for the theoretical model. We show that investmentspecific adjustment costs help in reconciling the model with the observed empirical evidence. The estimation of the theoretical model using a Bayesian limited information approach yields support for the presence of much larger adjustment costs for intangible investment than for tangible investment.

The publication in Open Economies Review is available here


We study nominal exchange rate dynamics in the aftermath of U.S. monetary policy announcements. Using high-frequency interest rate and stock price movements around FOMC announcements, we distinguish between pure monetary policy shocks and information shocks, which are associated with new information contained in the announcements. Contractionary pure policy shocks give rise to a strong, but transitory, appreciation on impact. Information shocks also appreciate the exchange rate, but the effect builds up only slowly over time and is highly persistent. Thus, we conclude that although the short-run effects on the exchange rate are primarily due to pure policy shocks, the medium-run response is driven by information effects.