​by Tian Xiong, Kaan Celebi and Paul J.J. Welfens

EIIW Discussion Paper No. 309 (2021)


There has been a long-standing debate over the development of savings rates in developed economies, and an emphasis has been placed on ageing societies and a global savings glut. Meanwhile, with rising global temperatures and more frequent extreme weather events becoming an increasingly visible economic and ecological global challenge, the concern of climate-related risks could indeed be an important issue in monetary and real economic analysis. This study aims to investigate the dual long-term challenge of sustainable economic development. By constructing an enhanced growth model and investigating empirically, using a panel approach which employs data from OECD countries between 1980 to 2020, the question as to the extent to which the savings rate is affected by ageing populations and environmental degradation will be addressed in a broad macro perspective. This study explores for the first time the impact of natural disasters on OECD countries and the main findings indicate that ageing populations and natural disasters have significant negative impacts on savings rates. Moreover, the analyses using sub-samples suggest a diminishing role of the real long-term interest rate regarding savings behaviour. 

​by Paul J.J. Welfens and Kaan Celebi

EIIW Discussion Paper No. 301 (2021)


There has been some recent debate about changes in the Phillips curve in the context of economic globalization and a flattening of the curve, respectively. Little evidence has been found in support of such links so far. However, our analysis shows that both inward FDI stock variables and outward FDI stock variables significantly affect the Phillips curve and the inflation-unemployment trade-off in the medium term. In the Euro Area, the inward FDI stock variable raises the slope of the Phillips curve, while the outward FDI stock variable brings a flattening of the Phillips curve; the latter effect is not observed in the case of the UK and in the case of the US there are no clear FDI effects. Furthermore, we consider – also for the first time in the literature – the impact of product innovations and process innovations. For the UK and the Euro Area, we find significant parameters for the variables mentioned. The analysis clearly suggests that foreign direct investment is crucial for understanding key macroeconomic variables; thus the findings could reinforce new DSGE research perspectives by ROEGER/WELFENS (2021) who have developed a new macro model with FDI. The OECD should urgently consider providing more data on FDI – for example, sector FDI stock data – and on product innovations and process innovations.

​by Kaan Celebi and Paul J.J. Welfens

EIIW Discussion Paper No. 291 (2021)


This study looks into the linkages between rates of return in stock markets - and stock market volatility - and labor income risk and the unemployment rate, respectively, in the United States. After considering basic theoretical links between labor income risk plus unemployment and stock market dynamics, an empirical analysis is conducted which follows two earlier papers by FAMA/FRENCH and FAMA/MACBETH in terms of their empirical approaches. The new approach presented here includes additional variables while interesting results regarding Granger causality analysis are also derived. We find that rate of return development is Granger causal for labor income risk and unemployment in the US. Labor income and unemployment significantly affect the stock market rates of return and the volatility of such returns. There are several key policy conclusions based on the empirical findings presented herein; the results indicate that stocks provide a rather good hedge against labor income declines. Crucial conclusions could be drawn in particular by the US Administration, in particular the new Biden Administration.

​by Kaan Celebi and Paul J.J. Welfens

EIIW Discussion Paper No. 281 (2020)


The Trump Administration’s economic policy represents a variety of government interventions designed to stimulate higher output growth as well as higher employment. However, the policy mix adopted in President Trump’s economic policy was rather unusual since expansionary fiscal policy – including tax rate reductions – were combined with an aggressive trade policy; the latter concerned mainly China, but even OECD partner countries were affected and this - in an interdependency analysis - raises questions about negative repercussion effects on US economic performance. Here, in a statistical and empirical analysis, the Panel Data Approach - combined with LASSO methodology - is used to generate a synthetical counterfactual for the US economic performance so that one can evaluate what kind of impact Trump’s economic policy can be observed on GDP, unemployment and trade, where Newey-West HAC variance-covariance estimators are used for inference analysis. New findings on the extent to which Trump’s economic policy really raised the US economic performance indicators – in various fields – beyond “normal” economic dynamics are derived. Looking at 2017-2019, the comparison of US economic performance with that of a synthetical “twin country” (i.e. a US “doppelgänger” in the absence of Trumpian policies) is useful and suggests that the Trump Administration’s performance is clearly less successful than the US President has claimed when arguing that the economic performance of the US under his leadership was exceptionally good. Trump’s economic policy has undermined output growth and worsened the current account and the trade balance, respectively; gross fixed capital formation and the unemployment rate have better performed than predicted. 

​by Paul J.J. Welfens and Kaan Celebi

EIIW Discussion Paper No. 267 (2020)


The European Union uses an emissions certificate trading system (the EU ETS) with coverage of both industry and the energy sector CO2 emissions which is based on an EU-wide emissions cap that declines over time. Firms that have an excess stock of CO2 emission permits can sell surplus certificates at the current market price and have to record the value of the excess emission permits as an asset on the balance sheet of the respective company so that the stock market price of companies with an excess supply of certificates should increase while that of firms which have to purchase a considerable amount of additional emissions permits –beyond any initial free allocation by the EU emission trading system –could face a decline inthe value of theirrespective stock market price. An AR-GARCH approach shows the behaviour of the EU stock market oil and gas subindex (STOXX Europe 600 Oil & Gas Producers (SEOG) index) and of the overall stock market index –with somewhat lower empirical impact findings –with regard topositive and negative shocks in terms of the allowance price dynamics. Results indicate that the oil and gas stock index respondsasymmetrically topositive and negative price shocks from the CO2 allowance market: The coefficient of the shock dummy is negative and significant, while that of a positive shock dummy is not significant. There is no Granger causalityin the direction from CO2 allowance price dynamics to stock market price dynamics, there is, however, a significant Granger causality running from stock markets to CO2 allowance markets in the EU –with a negative sign. The analysis has wide-ranging implications for climate policy and financial market dynamics in the EU, the US and Asia in the long run.

​by Kaan Celebi

International Economics and Economic Policy (2021, online first)


Using the Panel Data Approach (PDA) of Hsiao et al. (2012) in combination with the LASSO method, this article aims to measure the effect of the Brexit process on the United Kingdom’s real economy up to 2019Q2. The results are twofold: Firstly, compared to the existing literature, the PDA improves the measurement of the impact of Brexit on the real economy regarding computation intensity, the feasibility of statistical inference and a wider application area. Secondly, the estimated counterfactuals for the UK show that the Brexit process has played a crucial role in the UK’s economy, leading to lower GDP (growth rates), lower private consumption, lower gross fixed capital formation (GFCF) and higher exports. On average, GDP growth has declined between 1.3 and 1.4 percentage points, whereby the cumulative loss ranges between 48 and 54 billion British pounds. Moreover, private consumption in the UK has declined 4.7 billion British pounds quarterly on average. The predicted counterfactuals show that the impact of the Brexit process on GFCF has begun in 2018Q1, whereby the average treatment effect amounts to -2.9 billion British pounds. The UK’s exports increased since the referendum, most likely due to the depreciation of the British pound post-Brexit. The average quarterly effect of the Brexit process on exports is estimated here at 4.8 billion British pounds.

​by Arthur Korus and Kaan Celebi

International Economics and Economic Policy, Vol. 16, Issue 1, pp 161-192 (2019)

Research Paper within the Bundesbank-sponsored project: Institutional changes and economic dynamics of international capital markets in the context of BREXIT.

Using event-study techniques, we investigate the impact of Brexit-related events on the spot exchange rate of the British pound against the euro and the US dollar. We want to find out whether Brexit-related news, including the Brexit referendum itself, has an impact on British pound exchange rates. By splitting our Brexit-related events into ‘good’ Brexit news and ‘bad’ Brexit news, we find that Brexit news has an impact on British pound exchange rates. Bad Brexit news is associated with a depreciation of the British pound against the euro and the US dollar whereas ‘good’ Brexit news appreciates the Pound against the euro. Furthermore, our empirical results suggest that market participants display a delayed reaction to bad Brexit news. As the referendum has clearly a significant impact on both British pound/euro and British pound/US dollar exchange rate volatility, the impact of Brexit news is only for the British pound/euro exchange rate volatility measurable. Besides the asymmetric volatility pattern towards positive and negative shocks in general, we find that the statistically significance and the magnitude of the impact of good Brexit news is higher than these of bad Brexit news. Concerning the British pound/US dollar exchange rate volatility, our results display a weak presence of volatility asymmetry in terms of shocks and good/bad Brexit news, respectively.

​by Kaan Celebi and Michaela Hönig

International Journal of Financial Studies, Vol. 7, Issue 2 (2019)

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible. This paper investigates the impact of macroeconomic factors, German government bond yields, sentiment and other leading indicators on the main German stock index, namely the DAX30, for the time period from 1991 to 2018. Using a dataset on 24 factors and over a timeframe of about 27 years, we found evidence that across most subsamples, the Composite Leading Indicator (OECD), the Institute for Economic Research (ifo) Export Expectations index, the ifo Export Climate index, exports, the Consumer Price Index CPI, as well as 3 y German government bonds yields show delayed impacts on stock returns. We further found that the delayed impact of the constituents of the monetary aggregate M2 on stock returns changed direction between the crisis and post-crisis periods. Overall, the results illustrate that in the crisis period a larger number of factors and economic indicators had significant impacts on the stock returns compared to the pre- and post-crisis periods. This implies that in the post-crisis period a macro-driven market prevails.

Research Projects

Funded by EIIW/University of Wuppertal (sponsored by Deutsche Bundesbank)

Entwicklung von übertragbaren Erhebungsmethoden unter Berücksichtigung innovativer Technologien zur Parkraumdatengenerierung und Digitalisierung des Parkraums – ParkenDigital

English: Development of applicable survey methods taking into account innovative technologies for parking space data generation and digitization of parking space

Funded by: Federal Ministry of Transport and Digital Infrastructure (Bundesministerium für Verkehr und digitale Infrastruktur).

Research project in collaboration with Prof. Dr. Michaela Hönig (DekaBank/Frankfurt University of Applied Sciences) about the crypto currency Libra.

The results have been prepared for the "Digital Currencies" hearing in the "Digital Agenda" committee of the German Bundestag.

Conference & Workshop Presentations
  • 18th Conference of the International Joseph A. Schumpeter Society, July 2021 at the Luiss University, Rome, Italy

  • International Conference on Economic Modeling and Data Science (ECOMOD 2021), July 2021 at the University of Milano – Bicocca, Italy

  • Royal Economic Society Symposium of Junior Researchers 2021, June 2021 at Queen’s University Belfast, UK

  • International Conference on European Studies (CefES2021), June 2021, University of Milano – Bicocca, Italy

  • Scottish Economic Society Annual Conference 2021, April 2021, Glasgow University, UK

  • 13th FIW Research Conference in International Economics, February 2021, Research Centre International Economics FIW, Vienna University of Economics and Business, Austria

  • 9th PhD Student Workshop on Industrial and Public Economics (WIPE), Research Centre on Economics and Sustainability (ECO-SOS), February 2021 at the Universitat Rovira i Virgili, Reus, Spain

  • 34th  Eurasian Business and Economics Society Conference (EBES 2021), January 2021, University of Piraeus, Athens, Greece

  • 22nd INFER Annual Conference, December 2020, Université Sorbonne Paris Nord, Paris, France

(Best Paper Award Finalist)

  • XIV World Conference of the Spatial Econometrics Association 2020, November 2020, Jönköping University, Sweden

  • 11th Academic International Conference on Interdisciplinary Legal Studies (AICILS 2020), September 2020, University of Oxford, St Anne's College, Oxford, UK

  • 8th International Conference on Business, Economics, Management and Marketing (ICBEMM), March 2019, University of Oxford, St Anne's College, Oxford,, UK

  • 27th International Conference on Money, Banking and Finance, December 2018, LUISS University, Rome, Italy

  • 1st and 2nd EIIW/Bundesbank workshop: The Influence of Brexit on the EU28, March 2018 and October 2018, Wuppertal and Frankfurt am Main, Germany

  • 57th SouthWestern Finance Association Annual Conference, March 2018, Albuquerque, NM, USA

  • 4th Research Symposium of the Faculty of Business and Law (Frankfurt UAS), May 2017,Frankfurt am Main, Germany