Mathias Hoffmann's Research
Latest Additions
Publications
Current Manuscripts and Working Papers
Miscellaneous: notes, discussions, newspaper articles
Working Papers in the IEW-DP paper series
Latest Additions
| The Macroeconomic Benefits of Mortgage-Backed Securities (with Thomas Nitschka), VoxEU.org, June 20th 2009. Short summary: There seem to be measurable macroeconomc benefits from securitization and policymakers should be careful not to jeopardise them in regulating markets for securitized debt. |
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Consumption Risk Sharing over the Business Cycle: The Role of Small Firms' Access to Credit Markets
(284.9KB, with Iryna Shcherbakova, November 2008 (updated version of IEW Working Paper 363)  )
Short summary: Risk Sharing among U.S. federal states used to increase in booms and decrease in recessions, in particular in states with lots of small businesses. State-level banking deregulation has changed that by making access to finance easier in particular during recessions. |
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| NZZ, Nr. 173, 26./27.07.2008, p.27 Message: Only by keeping global capital markets open can we cushion the fallout from the crisis. |
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| (with Thomas Nitschka), Updated version of IEW-DP 376. December Summary: Securitization in mortgage markets contributes significantly to international diversification of macroeconomic risk. |
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| 'The Impact of the Euro on International Stability and Volatility' with Stefan Gerlach, European Economy. Economic Papers, 309, March 2008. Summary: From 1999-2007 macroeconomic volatility among EMU countries has declined more than in the rest of the world. This is particularly true for consumption. |
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Publications
 | 'Equity Fund Ownership and the Cross-Regional Diversification of Household Risk' with Sascha O. Becker (Stirling) forthcoming in the Journal of Banking and Finance Download
(536.5KB, Previous versions were CESifo WP 2205 and Stirling Discussion Paper 2008/25 )
Summary: Simple portfolio theory can help explain patterns of fund ownership across Italian regions: people hold more funds if they are very exposed to region-specific shocks. Fund ownership helps pool risk at the national level. | |||||
 | 'Real Exchange Rates and Real Interest Rate Differentials: a Present Value Interpretation' (with Ronald MacDonald, U Glasgow) forthcoming in the European
Economic Review Summary: Changes in the expected long-term rate of exchange rate depreciation explain movements in interest differentials well -- the link between real exchange rates and real interest rates is tighther than you might think. | |||||
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'Declining Home Bias and the Increase in International Risk Sharing: Lessons from European Integration' in Lars Jonung, Christoph Walker and Max Watson (eds.) Building the Financial Foundations of the Euro: Experiences and Challenges, Routledge. An almost final version can be downloaded here (CEPR-DP6617). Summary: Risk sharing among EMU countries is not necessarily higher than among other industrialised countries. However, it happens through different channels that look much like those that prevail among U.S. federal states. | |||||
 | 'Financial Globalization, International Business Cycles and Consumption Risk Sharing' (with Michael J. Artis), Scandinavian Journal of Economics, 2008, vol 110 (3), pp 447-471 (lead article) Almost final version: here; previous version: CEPR-DP 4697. Summary: In spite of financial globalization, conditional consumption volatility has not decreased much. The reason: business cycles have changed as well, permanent shocks play a relatively bigger role. | |||||
 | 'The Lack of International Consumption Risk Sharing: Can Inflation Differentials and Trading Costs Help Explain the Puzzle?'
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 | 'Consumption, Wealth and Business Cycles: Why is Germany different?'
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| 'Intra- and International Risk-Sharing in the Short Run and the Long Run'
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 | 'Comment on Michael D. Bordo and Thomas F. Helbling 'Have National Business Cycles become more synchronized?''
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 | "International Capital Mobility in the Short Run and the Long Run: Can we still learn from savings and investment data?"
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 | "International Macroeconomic Fluctuations and the Current Account."
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 | "Long Run Recursive VAR Models and QR Decompositions."
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 | "The Relative Dynamics of the Current Account and Investment in the G7 Economies."
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Current Manuscripts and Working Papers
| with Iryna Shcherbakova, November 2008 (updated version of IEW Working Paper 363). |
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| 'The Impact of the Euro on International Stability and Volatility' with Stefan Gerlach, European Economy, Economic Papers, 309, March 2008. |
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| 'Heterogeneous Expectations, International Consumption correlations, and Common Risk Factors in World Stock Markets' with Victoria Galsband, March 2008, IEW Working Paper 262. |
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| 'The Consumption- Real Exchange Rate Anomaly: an Asset Pricing Perspective' with Thomas Nitschka, IEW Working Paper 331, September 2007. |
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| (with M.J. Artis), IEW-WP 316, March 2007 Latest version June 2008
(242.8KB, )
Previous version May 2006
(326.1KB, )
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| 'Proprietary Income, Entrepreneurial Risk and the Predictability of U.S. Stock Returns' CESifo Working Paper No. 1712. |
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| October 2006. |
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Miscellaneous: notes, discussions, newspaper articles
| SNB-IMF Conference on Exchange Rates, Zurich, Nov. 24-25 2008. |
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| Antrittsvorlesung zum Thema "Was nützt dem Privatverbraucher die Globalisierung der Finanzmärkte?", 21.04.2007 Download
(850.9KB, )
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| NZZ, Nr. 173, 26./27.07.2008, p.27 |
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| 10th Bundesbank Spring Conference, May 22-23 2008. |
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| Vorlesung zum Thema "Wie globalisiert sind Finanzmärkte wirklich?" gehalten im Rahmen des Themenabends VWL zum 175-jährigen Bestehen der Universität Zürich, 10.04.2008 Download Vorlesung
(539.3KB, )
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| 'Discussion of Harald Uhlig's paper Macroeconomics and Asset Markets - Some Mutual Implications', Bundesbank Kleistvilla-Workshop, June 2006 Slides
(80.4KB, )
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