Humboldt-Universitšt zu Berlin >> Wirtschaftswissenschaftliche Fakultšt


Subproject C1

Macroeconomic Risks: Factors, the Role of Capital Markets

and Implications for Economic Policy
Head of Project : Prof. Harald Uhlig, Ph.D.

+49 (0)30 2093-5927


+49 (0)30 2093-5934



Humboldt University to Berlin
School of Business and Economics
Institute for Economic Policy
Spandauer Str. 1
10178 Berlin



NameTitle Email
Cao, XiaofengM.Sc.
Chen, ShiM.Sc.
Chen, WenjuanDr.
Detmers, Gunda-AlexandraDipl.- Volksw.
Hecker, StephanieDr.
Jirak, MoritzDr.
Jurkatis, Simon M.Sc.
Ritter, MatthiasProf. Dr.
Schulz, FranziskaM.Sc.
Shen, ZhiweiDr.
Volkenand, SteffenM.Sc.
Wahl, MartinDr.
Winkelmann, LarsDr.



Some risks are aggregate in nature: they cannot be diversified away for the economy as a whole. From a finance perspective, i.e. from the perspective in the second group of projects in the proposed SFB, these aggregate ''market risks'' are typically taken as given and their nature is not investigated further. But understanding these aggregate risks is of key importance, since ultimately, it is these risks that affect everyone. Furthermore, the interplay of financial markets and aggregate risks needs to receive greater attention, since financial markets play an important role in intermediating these risks and since financial market risks in turn might be a cause of aggregate risks. The management of aggregate risks is the task for the aggregate-orientated economic policy. These topics are analysed in the following three subthemes:

  1. Aggregate risk factors. What is the nature of aggregate risks? More precisely, which type of shocks are responsible for the main fluctuations of GNP and other main aggregate factors? How do monetary and fiscal policy react to it and which risks are caused by these policies? What mutual relations exist regarding variables of financial markets such as stock prices, interest rates and exchange rates? These questions will be analysed with the aid of new empirical time series methods and then we will compile the basic facts.

  2. Aggregate risk allocation. What is the role of capital markets for aggregate risks, in particular, business cycle fluctuations and economic growth? What are the limits to the international sharing of business cycle risks? What is the role of asymmetric information for international capital flows? We will develop new quantitative-theoretical models providing information about mutual dependencies of individual and aggregate risks, the role of financial markets and the performance of the economy as a whole.

  3. Aggregate risk management. How far can and should monetary and fiscal policy be used to manage aggregate risks? We will use models of the second subtheme in order to provide insights in the mechanism of these policies, study the interaction of these policies and derive normative conclusions.

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