Research projects
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Take it and leave it: Banks’ balance sheet optimization and targeted longer-term refinancing operations
... moreJoint work with Michael Sigmund, Johannes Wächtler, Robert Ferstl and Maria Teresa Valderrama
Abstract
We develop and solve a dynamic optimization model of a bank’s balance sheet, highlighting the critical factors influencing banks’ optimization dynamics: balance sheet adjustment costs and the spreads between bank-specific lending and deposit rates and the interbank rate. We apply the model to evaluate the impact of the European Central Bank’s (ECB) targeted longer-term refinancing operations (TLTROs) on banks in a simulation exercise, and we estimate the policy functions with monthly data from 200 large euro area banks spanning from 2007 to 2021.
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Redistributive effects of pension reforms
... moreJoint work with Miguel Sánchez-Romero and Alexia Prskawetz
Abstract
As the heterogeneity in life expectancy by socioeconomic status increases, many pension systems imply a wealth transfer from short- to long-lived individuals. Various pension reforms aim to reduce inequalities that are caused by ex-ante differences in life expectancy.
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Fiscal multipliers in a small open economy: the case of Austria
... moreJoint work with Jan Čapek, Jesús Crespo Cuaresma and Johannes Holler
Abstract
We estimate fiscal multipliers for Austria in a framework of model uncertainty emanating from the choice of a particular econometric model. We present a comprehensive framework that allows to assess the effects of different multiplier definitions and choices related to the data, the model employed, and further technical choices associated with the specification of the model exert on fiscal multiplier estimates.
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Long-Run Fiscal Consequences of Refugee Migration – The Case of Austria
... moreJoint work with Johannes Holler
Abstract
We use a rich numerical OLG model of Auerbach-Kotlikoff type to simulate the long-run effects of refugee migration starting 2015 for a country with an aging society and a generous welfare system, namely Austria.
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On fiscal multipliers in New Keynesian small open economy models
... moreAbstract
This paper uses a medium-sized New Keynesian general equilibrium model of a small open economy in a monetary union to systematically quantify the sensitivity of various fiscal multiplier measures to the model’s key assumptions and parameters for an array of fiscal instruments.
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Explaining the evolution of the Austrian implicit tax rate on labor from 1976 to 2016
... moreJoint work with Lukas Reiss
Abstract
In this paper we decompose the change of the aggregate tax burden on labor in Austria. Our approach allows us to identify the impact of parametric changes in the tax and social security system, of base broadening measures, and of changes in the wage structure.
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Labor market policy instruments and the role of economic turbulence
... moreAbstract
This paper uses a dynamic model of search unemployment and bilateral wage bargaining to characterize optimal labor market policy in a possibly turbulent environment. A firing externality, generated by the existence of a partial unemployment insurance system, distorts the pre-policy equilibrium along three margins: job creation, job acceptance, and job destruction. Optimal policy is characterized by a payroll tax, a firing tax, and a hiring subsidy.
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Cross-country differences in the contribution of future migration to old-age financing
... moreJoint work with Johannes Berger, Thomas Davoine and Ludwig Strohner
Abstract
As life expectancy increases and fertility declines, population aging puts pressure on the financing of welfare states in Europe and other developed countries. Given that immigrant workers are younger than the domestic population, a continuous flow of immigrants reduces the old-age dependency ratio and improves financing.
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The Labor Market Effects of the Austrian Severance Pay Reform Revisited - A Theoretical Analysis
... moreJoint work with Ines Fortin and Helmut Hofer
Abstract
The paper analyzes the 2002 reform of the Austrian severance payment system towards a regime of individual savings accounts funded through regular firm contributions. We present parsimonious labor market models to capture the fundamental labor market aspects of this specific reform. We show that if firms are credit constrained job creation and job destruction should increase leaving an unambiguous employment effect.
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Cyclical unemployment benefits and non-constant returns to matching
... moreAbstract
Beside the function of insuring workers against the risk of unemployment, unemployment benefits might also be used as a Pigouvian instrument. When the magnitude of distorted aggregate search depends on the state of the economy along the business cycle, unemployment benefits optimally have to vary over the cycle too, even if workers are risk-neutral. The paper presents a search and matching model that explicitly allows for non-constant returns to scale in matching which generate this type of externalities.
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Employment Protection, Labor Market Turnover, and the Effects of Globalization
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A parsimonious search and matching model of the labor market with endogenous separation is embedded in a North-North intermediate goods trade framework. International product market integration leads to redistribution of market shares from ‘weak’ to ‘strong’ firms within an industry, implying chances and threats for firms at the same time, as firms are ex-ante unaware of their relative advantage over the competitor.