Department of Economics Working Paper Series, 286, 2019

Effects of the ECB´s Unconventional Monetary Policy on Real and Financial Wealth

De Luigi, Clara; Feldkircher, Martin; Poyntner, Philipp; Schuberth, Helene

Abstract: We assess the impact of the ECB´s unconventional monetary policy (UMP) on the wealth distribution of households in ten euro area countries. For this purpose, we estimate the effects of an ECB balance sheet expansion on financial asset and housing prices by means of vector autoregressions. We then use the estimates to carry out micro simulations based on data from the Household Finance and Consumption Survey (HFCS). We find that the overall effect of UMP on the net wealth distribution of households differs depending on which wealth inequality indicators we use. There is an inequality-increasing effect for the majority of the countries under review when we use wealth inequality indicators that are sensitive to changes at the tails of the wealth distribution. The effect is more equalizing when we base our assessment on the Gini coefficient. It is also important to note that one-third of the households in our sample does not hold financial or housing wealth and is thus not directly affected by UMP measures via the asset price channel.

The full paper is available under http://epub.wu.ac.at/7040/1/WP286.pdf

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Department of Economics Working Paper Series, 287, 2019

A Chance for Change? Social Attitudes Towards Immigration and the Educational Opportunity of Immigrants' Children

Augustin, Sophie; Rroshi, Daniela; Schneebaum, Alyssa

Abstract: This paper proposes a method to study the relationship between voters' attitudes towards immigration and the educational attainment of immigrants and their children, and applies it to Austrian data. We measure attitudes towards immigration using data on political parties' positions regarding immigration and the share of votes that each party received at the regional level. We then study the educational attainment and intergenerational educational mobility of immigrants who grew up in the regions whose political environment we observe. Preliminary results for Austria suggest that, surprisingly, better attitudes towards migration are associated with lower educational attainment for immigrants. However, immigrants are more likely than their native peers to obtain more education than their parents. Here, the returns to more positive attitudes towards immigration play a large role in explaining the mobility gap across migration background.

The full paper is available under http://epub.wu.ac.at/7043/1/wp287.pdf

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Department of Economics Working Paper Series, 288, 2019

The Impact of Credit Market Sentiment Shocks - A TVAR Approach

Böck, Maximilian; Zörner, Thomas O.

Abstract: This paper investigates the role of credit market sentiments and investor beliefs on credit cycle dynamics and their propagation to business cycle fluctuations. Using US data from 1968 to 2019, we show that credit market sentiments are indeed able to detect asymmetries in a small-scale macroeconomic model. By exploiting recent developments in behavioral finance on expectation formation in financial markets, we are able to identify an unexpected credit market news shock exhibiting different impacts in an optimistic and pessimistic credit market environment. While an unexpected movement in the optimistic regime leads to a rather low to muted impact on output and credit, we find a significant and persistent negative impact on those variables in the pessimistic regime. Therefore, this article departs from the current literature on the role of financial frictions for explaining business cycle behavior in macroeconomics and argues in line with recent theoretical contributions on the relevance of expectation formation and beliefs as source of cyclicity and instability in financial markets.

The full paper is available under http://epub.wu.ac.at/7087/1/wp288.pdf

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Department of Economics Working Paper Series, 289, 2019

Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment

Feldkircher, Martin; Lukmanova, Elizaveta; Tondl, Gabriele

Abstract: In this paper, we examine international linkages in inflation and short-term interest rates using a global sample of OECD and emerging economies. Using a Bayesian global vector autoregression (GVAR) model, we show that for short-term interest rates both movements in inflation and output play an important role. In advanced countries, however, international factors such as foreign interest rates appear as an important driver of local interest rates. For inflation, we also find evidence for the importance of global factors, such as price developments in other countries, oil prices and the exchange rate. Again, this impact of global factors appears predominately in advanced countries.

The full paper is available under http://epub.wu.ac.at/7090/1/wp289.pdf