Search

Diese Dissertation ist eine Sammlung von drei Forschungsaufsätzen zur europäischen Währungsunion und der Struktur ihrer Finanzmärkte. Im ersten Kapitel analysiere ich die unterschiedliche Zusammensetzung des Fremdkapitals europäischer und amerikanischer Firmen. Die Beliebtheit von Bankkrediten im Vergleich zu Unternehmensanleihen in Europa ist teilweise auf Unterschiede in den Finanzmärkten und teilweise auf verschiedene Unternehmensmerkmale zurückzuführen. Ich berechne, wie sich die europäischen Firmen finanzieren würden, wenn sie Zugriff auf den amerikanischen Finanzmarkt hätten. Ich komme dabei zum Ergebnis, dass europäische Firmen trotzdem einen deutlich geringeren Anteil des Fremdkapitals in Form von Unternehmensanleihen ausgeben würden, da sie sich in ihren Eigenschaften von amerikanischen Firmen unterscheiden, zum Beispiel im Durchschnitt kleiner sind. Im zweiten Kapitel, welches in Zusammenarbeit mit B. Ballensiefen und A. Ranaldo entstanden ist, analysieren wir die Auswirkungen des geldpolitischen Rahmenwerks auf die Wirksamkeit und Transmission der Geldpolitik. Wir stellen fest, dass insbesondere zwei Aspekte die Transmission der Geldpolitik in den kurzfristigen Geldmarkt zwischen Banken, den Markt für Rückkaufvereinbarungen, entkoppeln können: der Zugang zu Zentralbankeinlagen und die Bedingungen für den Ankauf von Staatsanleihen. Im dritten Kapitel, das in gemeinsamer Arbeit mit C. Keuschnigg, L. Kirschner und M. Kogler entstanden ist, betrachten wir die Implikationen einer Währungsunion am Beispiel Italiens. Wir untersuchen zwei Zukunftsszenarien für die italienischen Wirtschaft. Das Erste betrachtet kontinuierliche Reformen innerhalb der Eurozone und das Zweite simuliert die Rückkehr zur Währungsautonomie. In diesem Fall kommt die Abwertung der Lira der Erholung Italiens zwar zugute, sie birgt jedoch auch ein Risiko für schwere Finanzkrisen., This dissertation is a collection of three research essays on the structure of the financial markets in a single currency union. In the first chapter (How would European firms fund themselves in the United States?), I analyze the composition of corporate debt by comparing European and American firms. I find that the higher prevalence of bank over bond funding in Europe is partially driven by different financial market settings and partially by different firm characteristics, particularly firm size and collateral availability. To illustrate the impact of these differences, I introduce a theoretical model and provide a counterfactual analysis. The analysis suggests that if all European firms would relocate to the United States, their aggregate bond funding share would still be only half of the share in the native U.S. economy. In the second chapter (Monetary Policy Disconnect), which is joint work with B. Ballensiefen and A. Ranaldo, we analyze the implications of the monetary policy framework on the effectiveness and transmission of monetary policy. We find that two crucial aspects of the central bank framework can disconnect the transmission of monetary policy: access to central bank deposits and Quantitative Easing. We show how both aspects hinder the monetary policy transmission through the main secured short-term funding market, the repurchase agreement market. In the third chapter (Italy in the Eurozone), which is joint work with C. Keuschnigg, L. Kirschner, and M. Kogler, we consider the implications of membership in the monetary union at the example of Italy. Burdened with a high level of public debt, Italy suffered from a loss in competitiveness and problems in the banking sector. We investigate two scenarios for the future of the Italian economy. The first considers sustained policy commitment to reform and indicates that it is possible to grow out of bad initial conditions. For the second scenario, we simulate the return to monetary autonomy by exiting the Euro area. We conclude that the prospect of a depreciating Lira benefits Italys recovery but that this may come at the cost of severe financial market distress.

We propose a New Keynesian DSGE model of the Eurozone and analyze an asymmetric recession in a vulnerable member state characterized by a trilemma of high public debt, weak banks, and deteriorating competitiveness. We compare macroeconomic adjustment under continued membership with two exit scenarios that introduce flexible exchange rates and autonomous monetary policy. An exit with stable investor expectations could significantly dampen the short-run impact. Stabilization is achieved by a targeted monetary expansion combined with depreciation. However, investor panic may lead to escalation, aggravate the recession and delay the recovery.

A repurchase agreement (repo) is a source of funding and collateral. We document that the money market is more segmented when the collateral motive prevails. Two crucial aspects of the central bank framework lead to this disconnect: banks' access to the central bank's deposit facility and assets' eligibility for Quantitative Easing (QE). We show that repo rates lent by banks with access to the deposit facility and secured by QE eligible assets are more collateral-driven and disconnected from funding-based money market rates. Our results are relevant for different monetary policies and have suggestive implications for the monetary policy pass-through.

Using a DSGE model with nominal wage rigidity, we investigate two scenarios for the Italian economy. The first considers sustained policy commitment to reform. The results indicate the possibility of `growing out of bad initial conditions', if fiscal consolidation is combined with a program for bank recovery and for competitiveness and growth. The second scenario involves a strong asymmetric recession. It is likely to be very severe under the restrictions of the currency union. A benign exit from the Eurozone with stable investor expectations could substantially dampen the short-run impact. Stabilization is achieved by monetary expansion, combined with exchange rate depreciation. However, investor panic may lead to escalation. Capital market reactions would offset the benefits of monetary autonomy and much delay the recovery.