The impact of uncertainty on macro variables: An SVAR-based empirical analysis for EU countries

In light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of economic policy uncertainty and financial market uncertainty on a set of macroeconomic variables such as production, consumption and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research based on non-linear processes. We find that stock market uncertainty shows a fairly consistently negative effect on the real economy in Europe. However, the implications of economic policy uncertainty for Europe and the Euro area in particular are not so straightforward. It seems as if policy uncertainty raises general investment and consumption of longlived goods in the EMU core countries in order to be prepared to react on different states of the world in the future. What is more, shifts of investment from peripheral to core EMU member countries as safe havens in uncertain times may produce the same empirical pattern.Vor dem Hintergrund der aktuell wachsenden politischen und ökonomischen Unsicherheit in Europa beabsichtigen wir, ein grundlegendes Verständnis des Effekts von politischer Unsicherheit und Finanzmarktunsicherheit auf makroökonomische Variablen wie Produktion, Konsum und Investition zu erlangen. Zu diesem Zweck wenden wir ein Strukturelles Vektorautoregressives (SVAR) Modell an, um erste Hinweise für zukunftsträchtige Forschung unter Rückgriff auf nicht-lineare Prozesse zu erlangen. Wir kommen zu dem Ergebnis, dass Finanzmarktunsicherheit einen durchweg negativen Effekt auf die oben genannten makroökonomischen realwirtschaftlichen Variablen in Europa hat. Die Implikationen politischer Unsicherheit für Europa und die Eurozone im Speziellen fallen hingegen, was das Vorzeichen angeht, nicht so eindeutig aus. Es scheint, als würde politische Unsicherheit allgemeine (im Gegensatz zu spezifischen) Investitionen und den Kauf langlebiger Konsumgüter sogar anregen, um später auf verschiedene Umweltzustände reagieren zu können. Zusätzlich könnte die Verlagerung von Investitionen aus den Peripherieländern hin zu den Kernländern der Europäischen Währungsunion, die als sichere Häfen gelten, dieses empirische Muster erklären

Exchange rate bands of inaction and hysteresis in EU exports to the global economy: The role of uncertainty

This paper estimates the role of policy and exchange rate uncertainty shocks for EU countries' exports to the world economy. We examine the performance of the four biggest economies, namely Germany, France, Italy and the UK, under policy and exchange rate uncertainty in exports to some of the most important global export destinations (United States, Japan, Brazil, Russia, and China). For this purpose, we apply a non-linear model, where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction, which we call "play" area - analogous to mechanical play. We implement an algorithm describing path-dependent play-hysteresis into a regression framework. The hysteretic impact of real exchange rates on exports is estimated based on the period from 1995M1 to 2015M12. Looking at some of the main export destinations of our selected EU member countries, the United States, Japan and some of the BRICs (Brazil, Russia and China), we identify significant hysteretic effects for a large part of the EU member countries' exports. We find that their export activity is characterized by "bands of inaction" with respect to changes in the real exchange.Dieses Papier schätzt die Bedeutung von Schocks in politischer und Wechselkursunsicherheit für Exporte aus EU Ländern in die Weltwirtschaft ein. Wir untersuchen die Performance in Anwesenheit von politischer Unsicherheit und Wechselkursunsicherheit für die vier größten EU Staaten, also Deutschland, Frankreich, Italien und Großbritannien, anhand einiger der wichtigsten Exportdestinationen (USA, Japan, Brasilien und China). Dafür wenden wir ein nicht lineares Modell an, in welchem starke Reaktionen der Exporte auftreten, wenn der Wechselkurs eine inaktive Zone überschreitet, welche von uns "Spielbereich" genannt wird. Wir integrieren einen Algorithmus, der pfadabhängige Hysterese beschreibt, in ein Regressionsmodell. Der hysteretische Effekt des realen Wechselkurses auf Exporte wird für den Zeitraum von 1995 bis Ende 2015 geschätzt. Bei der Betrachtung einiger der wichtigsten Exportdestinationen der berücksichtigten EU Staaten, in diesem Falle den USA, Japan und Teile der BRICs (Brasilien, Russland und China), finden wir hysteretische Effekte für einen Großteil der Exporte aus den EU Staaten

Blood oxygenation-level dependent cerebrovascular reactivity imaging as strategy to monitor CSF-hemoglobin toxicity

Objectives: Cell-free hemoglobin in the cerebrospinal fluid (CSF-Hb) may be one of the main drivers of secondary brain injury after aneurysmal subarachnoid hemorrhage (aSAH). Haptoglobin scavenging of CSF-Hb has been shown to mitigate cerebrovascular disruption. Using digital subtraction angiography (DSA) and blood oxygenation-level dependent cerebrovascular reactivity imaging (BOLD-CVR) the aim was to assess the acute toxic effect of CSF-Hb on cerebral blood flow and autoregulation, as well as to test the protective effects of haptoglobin. Methods: DSA imaging was performed in eight anesthetized and ventilated sheep (mean weight: 80.4 kg) at baseline, 15, 30, 45 and 60 minutes after infusion of hemoglobin (Hb) or co-infusion with haptoglobin (Hb:Haptoglobin) into the left lateral ventricle. Additionally, 10 ventilated sheep (mean weight: 79.8 kg) underwent BOLD-CVR imaging to assess the cerebrovascular reserve capacity. Results: DSA imaging did not show a difference in mean transit time or cerebral blood flow. Whole-brain BOLD-CVR compared to baseline decreased more in the Hb group after 15 minutes (Hb vs Hb:Haptoglobin: -0.03 ± 0.01 vs -0.01 ± 0.02) and remained diminished compared to Hb:Haptoglobin group after 30 minutes (Hb vs Hb:Haptoglobin: -0.03 ± 0.01 vs 0.0 ± 0.01), 45 minutes (Hb vs Hb:Haptoglobin: -0.03 ± 0.01 vs 0.01 ± 0.02) and 60 minutes (Hb vs Hb:Haptoglobin: -0.03 ± 0.02 vs 0.01 ± 0.01). Conclusion: It is demonstrated that CSF-Hb toxicity leads to rapid cerebrovascular reactivity impairment, which is blunted by haptoglobin co-infusion. BOLD-CVR may therefore be further evaluated as a monitoring strategy for CSF-Hb toxicity after aSAH

Planned Fiscal Consolidations and Growth Forecast Errors -- New Panel Evidence on Fiscal Multipliers

This paper analyzes the effect of planned fiscal consolidation on GDP growth forecast errors from the years 2010-2013 using cross section analyses and fixed effects estimations. Our main findings are that fiscal multipliers have been underestimated in most instances for the year 2011 while we find little to no evidence for the years 2010 and especially the latter years 2012/13. Since the underestimation of fiscal multipliers seems to have decreased over time, it may indicate learning effects of forecasters. However, the implications for fiscal policy should be considered with caution as a false forecast of fiscal multipliers does not confirm that austerity is the wrong fiscal approach but only suggests a too optimistic assessment of fiscal multipliers for the year 2011.Diese Arbeit analysiert den Effekt geplanter fiskalischer Konsolidierungen auf den Prognosefehler des BIP-Wachstums für die Jahre 2010-2013 mittels Querschnittsanalysen und Fixed Effects Modellen. Unsere Ergebnisse zeigen, dass fiskalische Multiplikatoren im Jahr 2011 in den meisten Fällen unterschätzt wurden, während für das Jahr 2010 und speziell die späteren Jahre 2012 und 2013 wenig bis gar kein Anzeichen einer Unterschätzung zu finden ist. Die Unterschätzung fiskalischer Multiplikatoren nimmt mit der Zeit ab, was ein Zeichen für Lerneffekte bei der Prognose sein könnte. Die Implikationen für die Fiskalpolitik sollte allerdings vorsichtig betrachtet werden, da ein falscher fiskalischer Multiplikator nicht impliziert, dass Austerität das falsche haushaltspolitische Vorgehen ist. Es ist lediglich eine zu positive Einschätzung fiskalischer Multiplikatoren für das Jahr 2011 festzustellen

Exchange Rate Bands of Inaction and Play -- Hysteresis in Greek Exports to the Euro Area, the US and Turkey -- Sectoral Evidence

In this paper a non-linear model is applied, where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction, which we call 'play' area - analogous to mechanical play. We implement an algorithm describing path-dependent play-hysteresis into a regression framework. The hysteretic impact of real exchange rates on Greek exports is estimated based on the period from 1995Q1 to 2014Q4. Looking at some of the main export partners of Greece, the euro area, Turkey and the US, and some of its most important tradeable sectors we identify significant hysteretic effects for a part of the Greek exports. We find that Greek export activity is characterized by 'bands of inaction' with respect to changes in the real exchange rate and calculate the further real depreciation needed to trigger a spurt in Greek exports. To check for robustness we (a) estimate Greek export equations for a limited sample excluding the recent financial crisis, (b) use export weight instead of deflated nominal exports as the dependent variable, (c) employ a political uncertainty variable as a determinant of the width of the area of weak reaction. Overall, we find that those specifications which take uncertainty into account display the best goodness of fit. In other words: the option value of waiting dominates the real exchange rate effect on Greek exports.Analog zu mechanischem Spiel wendet dieses Paper ein nichtlineares Modell an, in dem plötzlich starke Reaktionen der Exporte auftreten, wenn die Wechselkursveränderung eine inaktive Zone überschreitet, welche als 'play area' bezeichnet wird. Wir implementieren einen Algorithmus, der pfadabhängige Hysterese beschreibt, in einem Regressionsmodell. Der hysteretische Einfluss des realen Wechselkurses auf griechische Exporte wird für die Periode von 1995Q1 bis 2014Q4 geschätzt. Wir finden signifikante hysteretische Effekte für einen Teil der griechischen Exporte bei der Betrachtung einiger Hauptexportpartner Griechenlands, wie die Eurozone, die Türkei und die USA unter der Berücksichtigung der wichtigsten Handelssektoren. Es zeigt sich, dass griechische Exporte durch ein 'Band of Inaction' in Bezug auf Veränderungen des realen Wechselkurses charakterisiert sind, und wir berechnen die weitere Abwertung, die benötigt wird, um eine starke Exportreaktion für Griechenland auszulösen. Um auf Robustheit zu prüfen; (a) schätzen wir die Exportgleichungen für einen begrenzten Zeitraum und berücksichtigen nicht die jüngste Finanzkrise, (b) verwenden wir Mengenangaben für die Exportreihen statt nominaler Werte, (c) wird politische Unsicherheit als Determinante für die Breite der schwachen Exportreaktionen implementiert. Allgemein stellt sich heraus, dass jene Spezifikationen, die Unsicherheit berücksichtigen, die beste Güte zeigen. Anders formuliert dominiert der Optionswert abzuwarten den realen Wechselkurseffekt griechischer Exporte

The impact of uncertainty on macro variables: An SVAR-based empirical analysis for EU countries

In light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of economic policy uncertainty and financial market uncertainty on a set of macroeconomic variables such as production, consumption and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research based on non-linear processes. We find that stock market uncertainty shows a fairly consistently negative effect on the real economy in Europe. However, the implications of economic policy uncertainty for Europe and the Euro area in particular are not so straightforward. It seems as if policy uncertainty raises general investment and consumption of long-lived goods in the EMU core countries in order to be prepared to react on different states of the world in the future. What is more, shifts of invest-ment from peripheral to core EMU member countries as safe havens in uncertain times may produce the same empirical pattern

Exchange rate bands of inaction and hysteresis in EU exports to the global economy: The role of uncertainty

This paper estimates the role of policy and exchange rate uncertainty shocks for EU countries' exports to the world economy. We examine the performance of the four biggest economies, namely Germany, France, Italy and the UK, under policy and exchange rate uncertainty in ex-ports to some of the most important global export destinations (United States, Japan, Brazil, Russia, and China). For this purpose, we apply a non-linear model, where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction, which we call "play" area - analogous to mechanical play. We implement an algorithm describing path-dependent play-hysteresis into a regression framework. The hysteretic impact of real exchange rates on exports is estimated based on the period from 1995M1 to 2015M12. Looking at some of the main export destinations of our selected EU member countries, the United States, Japan and some of the BRICs (Brazil, Russia and China), we identify significant hysteretic effects for a large part of the EU member countries' exports. We find that their export activity is characterized by "bands of inaction" with respect to changes in the real exchange. To check for robustness we estimate export equations for limited samples (a) excluding the recent financial crisis and (b) excluding the period up to the burst of the dotcom bubble and September 11th. In addition, we employ an economic policy uncertainty variable and an ex-change rate uncertainty variable as determinants of the width of the area of weak reaction of exports. Overall, we find that those specifications which take uncertainty into account display the best goodness of fit, with economic policy uncertainty dominating exchange rate uncer-tainty. In other words: the option value of waiting dominates the real exchange rate effect on the EU member countries' exports

Haptoglobin Attenuates Cerebrospinal Fluid Hemoglobin-Induced Neurological Deterioration in Sheep

Secondary brain injury (SBI) occurs with a lag of several days post-bleeding in patients with aneurysmal subarachnoid hemorrhage (aSAH) and is a strong contributor to mortality and long-term morbidity. aSAH-SBI coincides with cell-free hemoglobin (Hb) release into the cerebrospinal fluid. This temporal association and convincing pathophysiological concepts suggest that CSF-Hb could be a targetable trigger of SBI. However, sparse experimental evidence for Hb’s neurotoxicity in vivo defines a significant research gap for clinical translation. We modeled the CSF-Hb exposure observed in aSAH patients in conscious sheep, which allowed us to assess neurological functions in a gyrencephalic species. Twelve animals were randomly assigned for 3-day bi-daily intracerebroventricular (ICV) injections of either Hb or Hb combined with the high-affinity Hb scavenger protein haptoglobin (Hb-Hp, CSL888). Repeated CSF sampling confirmed clinically relevant CSF-Hb concentrations. This prolonged CSF-Hb exposure over 3 days resulted in disturbed movement activity, reduced food intake, and impaired observational neuroscores. The Hb-induced neurotoxic effects were significantly attenuated when Hb was administered with equimolar haptoglobin. Preterminal magnetic resonance imaging (MRI) showed no CSF-Hb-specific structural brain alterations. In both groups, histology demonstrated an inflammatory response and revealed enhanced perivascular histiocytic infiltrates in the Hb-Hp group, indicative of adaptive mechanisms. Heme exposure in CSF and iron deposition in the brain were comparable, suggesting comparable clearance efficiency of Hb and Hb-haptoglobin complexes from the intracranial compartment. We identified a neurological phenotype of CSF-Hb toxicity in conscious sheep, which is rather due to neurovascular dysfunction than structural brain injury. Haptoglobin was effective at attenuating CSF-Hb-induced neurological deterioration, supporting its therapeutic potential

Haptoglobin administration into the subarachnoid space prevents hemoglobin-induced cerebral vasospasm.

Delayed ischemic neurological deficit (DIND) is a major driver of adverse outcomes in patients with aneurysmal subarachnoid hemorrhage (aSAH) defining an unmet need for therapeutic development. Cell-free hemoglobin that is released from erythrocytes into the cerebrospinal fluid (CSF) is suggested to cause vasoconstriction and neuronal toxicity and correlates with the occurrence of DIND. Cell-free hemoglobin in the CSF of patients with aSAH disrupted dilatory NO signaling ex vivo in cerebral arteries, which shifted vascular tone balance from dilation to constriction. We found that selective removal of hemoglobin from patient CSF with a haptoglobin-affinity column or its sequestration in a soluble hemoglobin-haptoglobin complex was sufficient to restore physiological vascular responses. In a sheep model, administration of haptoglobin into the CSF inhibited hemoglobin-induced cerebral vasospasm and preserved vascular NO-signaling. We identified two pathways of hemoglobin delocalization from CSF into the brain parenchyma and into the NO-sensitive compartment of small cerebral arteries. Both pathways were critical for hemoglobin-toxicity and were interrupted by the large hemoglobin-haptoglobin complex that inhibited spatial requirements for hemoglobin reactions with NO in tissues. Collectively, our data show that compartmentalization of hemoglobin by haptoglobin provides a novel framework for innovation aimed at reducing hemoglobin-driven neurological damage after subarachnoid bleeding