About Me

I am an economist and a professional forecaster for RWI – Leibniz Institute of Economic Research in Essen, Germany at the division Macroeconomics and Public Finance.

I am part of the junior faculty of the Ruhr Graduate School of Economics and a research fellow of DocMA - an interdisciplinary research project in which algorithms process huge amounts of newspaper articles and texts of social media in order to recognize patterns.

On this page you will find my research, forecasts, replication codes, and previous teaching materials.

Interests
  • Applied Macroeconomics
  • Forecasting
  • Econometrics
  • Bayesian Methods
  • Teaching
Education

  • PhD in Economics, 2015

    Hamburg Graduate School of Economics at the University of Hamburg

  • MSc in Economics, 2011

    University of Bonn

  • BSc Economics and Management, 2008

    University of Magdeburg

Blog
Research
Economic Knock-On Effects of Russia’s Geopolitical Risk on Advanced Economies: A Global VAR Approach
Improving inference and forecasting in VAR models using cross-sectional information
Bayesian VAR

Improving inference and forecasting in VAR models using cross-sectional information

We propose a flexible prior for vectorautoregressions (VARs) which can exploit the panel structure of macroeconomic time series and at the same time provide shrinkage towards zero in order to address overfitting concerns. The prior is flexible as it allows for parameter pooling across both a country dimension (two countries are completely alike) and/or variable dimension (dynamics of two variables across countries are alike). The usefulness of our approach is demonstrated via a Monte Carlo study and an empirical application using a large euro area data set. We find that cross country information helps deliver sharper parameter inference that improves point and density forecasts as well as structural analysis through lower estimation uncertainty. Also it is beneficial to have both pooling and shrinkage instead of only pooling.

Jan Prüser
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Financial integration or financial fragmentation? A euro area perspective
Dynamic Factor Model

Financial integration or financial fragmentation? A euro area perspective

In this article we address the question of how strongly bank lending rates and credit volumes co-move across the euro area. Following the breakdown in the interest rate pass-through across the euro area, we aim to disentangle the relative importance of country-specific and common components in explaining the variance of the macro and financial variables by using a time-varying two-level dynamic factor model. Our results show that a high share is explained by the common component. However, we find a persistent decline in the importance of the common factor in the bank lending rates, indicating the presence of financial fragmentation. Furthermore, we find persistent heterogeneity across member states, specifically those hit hard by the sovereign-debt crisis.

Gabriel Arce-Alfaro
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The investment narrative: Improving private investment forecasts with media data
Monetary policy uncertainty and inflation expectations
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Latest Forecasts
Economic Forecast Spring 2025: Export crisis and political uncertainty weigh on German economy
Forecasts

Economic Forecast Spring 2025: Export crisis and political uncertainty weigh on German economy

The extent to which the German economy’s current problems are structural is demonstrated by the persistence of its weak growth: economic output continued to decline at the end of the year. German exports in particular have fallen sharply, especially deliveries to China. German ex-porters are now losing ground to China for the fourth year in a row. Weak foreign demand is contributing to a further decline in investment in equipment. However, there is also a lack of impetus from the domestic market: Low capacity utilization in many sectors of the economy and the alarmingly high level of uncertainty about the economic environment in Germany are causing companies to postpone investments. Only private consumption increased slightly at the end of the year.

Torsten Schmidt
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World Economic Forecast Winter 2024: Global Economy Grows Moderately Amid High Political Uncertainty
Forecasts

World Economic Forecast Winter 2024: Global Economy Grows Moderately Amid High Political Uncertainty

The global economy maintained its solid growth trajectory this summer, driven primarily by the strong expansion in the USA. Global industrial production picked up significantly in spring and summer, particularly in Asia. Parallel to industrial production, global trade in goods also expanded noticeably until the summer. However, current data suggests that the upturn in industrial production and in global trade is unlikely to persist. Industrial production and global trade fell in September. The global purchasing managers’ index for the manufacturing sector also suggests that the fundamental weakness in industry is continuing. The disinflation process has not progressed any further recently. Prices are rising sharply in the services sector, which is why core inflation excluding energy and food is stubbornly persistent.

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Boris Blagov
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Spring Forecast 2022: Renewed pressure delays economic recovery in Germany once more
Joint Economic Forecast Fall 2020: Recovery loses momentum -Economy and politics further under the signs of the pandemic