Non disponibile in italiano
Thomas Warmedinger
Economics
- Division
Business Cycle Analysis
- Current Position
-
Deputy Head of Division
- Fields of interest
-
Macroeconomics and Monetary Economics,International Economics,Public Economics
- Education
- 1993-1997
PhD in Economics, University of Strathclyde, Glasgow, UK
- 1992-1993
MSc in Economics, University of Glasgow, UK
- Professional experience
- 2017-
Deputy Head of Division, Economics, Business Cycle Analysis
- 2012-2017
Head of Fiscal Analysis Section, Economics, Fiscal Policies
- 2008-2012
Principal Economist, Economics, Fiscal Policies
- 2007-2008
Economist, Economics, Euro Area Macroeconomic Developments
- 2005-2007
Economist, Forecast Administration
- 2000-2004
Economist, Research, Econometric Modelling
- 1998-2000
Economist, Deutsche Bundesbank, Econometrics Division
- 1996-1998
Research Fellow, University of Strathclyde, Glasgow
- 5 August 2024
- OCCASIONAL PAPER SERIES - No. 354Details
- Abstract
- The monitoring and analysis of the business cycle is a central element of inputs to monetary policy decision-making. This report contributes to the analysis of business cycles in the euro area in three dimensions. First, in terms of business cycle dating, it proposes automated procedures to characterise the business cycle situation of the euro area and its main components, across countries and sectors. Second, it investigates how business cycle synchronisation has evolved over the last 20 years. Third, it analyses business cycle drivers from several perspectives, including the financial and international dimension, interconnectedness, demand and supply. It also features an early analysis of the economic implications of the COVID-19 pandemic. Rather than reaching strong conclusions on the history of the euro area business cycle, the primary aim of the report is to promote sound methods and approaches that are part of ongoing enhancements of the analytical infrastructure designed to analyse hard-to-ascertain questions on the nature and characteristics of euro area business cycle dynamics.
- JEL Code
- C10 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→General
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
- 10 April 2017
- OCCASIONAL PAPER SERIES - No. 185Details
- Abstract
- The euro area sovereign debt crisis has highlighted the importance of reducing public debt levels and building up sufficient fiscal buffers during normal and good times. It has also reaffirmed the need for a thorough debt sustainability analysis (DSA) to act as a warning system for national policies. This paper introduces a comprehensive DSA framework for euro area sovereigns that could be used for analysis of fiscal risks and vulnerabilities. Specifically, this framework consists of three main building blocks: (i) a deterministic DSA, which embeds debt simulations under a benchmark and various narrative shock scenarios; (ii) a stochastic DSA, providing for a probabilistic approach to debt sustainability; and (iii) other relevant indicators capturing liquidity and solvency risks. The information embedded in the three main DSA blocks can be summarised in a heat map, which can provide guidance on the overall assessment of risks to debt sustainability. This method reflects the need to have a broad-based assessment, cross-checking information and perspectives from various sources with a view to deriving a robust debt sustainability assessment.
- JEL Code
- E62 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Fiscal Policy
H62 : Public Economics→National Budget, Deficit, and Debt→Deficit, Surplus
H63 : Public Economics→National Budget, Deficit, and Debt→Debt, Debt Management, Sovereign Debt
H68 : Public Economics→National Budget, Deficit, and Debt→Forecasts of Budgets, Deficits, and Debt
- 10 June 2015
- OCCASIONAL PAPER SERIES - No. 162Details
- Abstract
- This paper seeks to link the debate surrounding short-term fiscal multipliers with the medium and longer-term impact of fiscal consolidation on public debt sustainability. A literature review and empirical findings for state-dependent multipliers confirm that there is considerable uncertainty surrounding the size of the short-term multiplier. Notably, multipliers may be larger in deep recessions or financial crises, but the negative impact of fiscal consolidation is mitigated when public finances are weak. Using a stylised framework and a range of plausible values for the fiscal multiplier, simulations suggest that an increase in the debt ratio following episodes of fiscal consolidation is likely to be short-lived. Even in a macroeconomic context in which multipliers are high, a front-loaded fiscal consolidation reduces the total consolidation effort and implies a faster stabilisation of the debt ratio. In general, back-loading is subject to higher implementation risks, most notably in the light of political economy considerations. Overall, when determining the fiscal adjustment path, both the short-term costs and the longer-term benefits need to be taken into account. Particular attention should be paid to the composition of consolidation packages, with well-designed adjustments likely to imply a faster stabilisation of the debt ratio.
- JEL Code
- H30 : Public Economics→Fiscal Policies and Behavior of Economic Agents→General
H6 : Public Economics→National Budget, Deficit, and Debt
E6 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
- 22 May 2013
- WORKING PAPER SERIES - No. 1550Details
- Abstract
- Given the increased importance of fiscal monitoring, this study amends the existing literature in the …field of intra-annual fiscal data in two main dimensions. First, we use quarterly fiscal data to forecast a very disaggregated set of fiscal series at annual frequency. This makes the analysis useful in the typical forecasting environment of large institutions, which employ a "bottom-up" or disaggregated framework. Aside from this practical type of consideration, we find that forecasts for total revenues and expenditures via their subcomponents can actually result more accurate than a direct forecast of the aggregate. Second, we employ a Mixed Data Sampling (MiDaS) approach to analyze mixed frequency …fiscal data, which is a methodological novelty. It is shown that MiDaS is the best approach for the analysis of mixed frequency fiscal data compared to two alternative approaches. The results regarding the information content of quarterly fiscal data confirm previous work that such data should be taken into account as it becomes available throughout the year for improving the end-year forecast. For instance, once data for the third quarter is incorporated, the annual forecast becomes very accurate (very close to actual data). We also benchmark against the European Commission's forecast and find the results fare favorably, particularly when considering that they stem from a simple univariate framework.
- JEL Code
- C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
E62 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Fiscal Policy
H68 : Public Economics→National Budget, Deficit, and Debt→Forecasts of Budgets, Deficits, and Debt
- 16 July 2010
- WORKING PAPER SERIES - No. 1220The gains from early intervention in Europe: Fiscal surveillance and fiscal planning using cash dataDetails
- Abstract
- This paper does two things. First it examines the use of real time inter-annual cash data and the role of early interventions for improving the monitoring of national fiscal policies and the correction of fiscal indiscipline. Early warnings are important because they allow us to spread the necessary adjustments over time. Examples from Germany and Italy show that large corrections are often necessary early on to make adjustments later on acceptable and to keep debt ratios from escalating. There is a credibility issue here; we find the difference between front-loaded and back-loaded adjustment schemes is likely to be vital for the time consistency of fiscal policymaking. Second, without early interventions, the later deficit reductions typically double in size – meaning governments become subject to the excessive deficit procedure and significant improvement tests more often. Thus the budget savings from early intervention and the use of cash data are significant; in our examples they are similar in size to the operating budget of the department of housing and urban development in Germany. Similar results apply in other Eurozone countries.
- JEL Code
- E62 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Fiscal Policy
H50 : Public Economics→National Government Expenditures and Related Policies→General
H68 : Public Economics→National Budget, Deficit, and Debt→Forecasts of Budgets, Deficits, and Debt
- 14 April 2010
- OCCASIONAL PAPER SERIES - No. 109Details
- Abstract
- In mid-September 2008, a global financial crisis erupted which was followed by the most serious worldwide economic recession for decades. As in many other regions of the world, governments in the euro area stepped in with a wide range of emergency measures to stabilise the financial sector and to cushion the negative consequences for their economies. This paper examines how and to what extent these crisis-related interventions, as well as the fall-out from the recession, have had an impact on fiscal positions and endangered the longer-term sustainability of public finances in the euro area and its member countries. The paper also discusses the appropriate design of fiscal exit and consolidation strategies in the context of the Stability and Growth Pact to ensure a rapid return to sound and sustainable budget positions. Finally, it reviews some early lessons from the crisis for the future conduct of fiscal policies in the euro area.
- JEL Code
- E5 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit
E2 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy - Network
- Eurosystem Monetary Transmission Network
- 13 June 2007
- WORKING PAPER SERIES - No. 760Details
- Abstract
- The paper proposes a modelling approach for euro area goods and services trade volumes and prices on the basis of a break-down of trade data into their intra- and extra-area components. Using the evidence from the newly estimated trade equations, the paper gives new insights into two important issues. The first issue concerns the exchange-rate pass-through (ERPT) to euro area import prices. The second issue relates to substitution effects between intra- and extra-area trade. These issues are further elaborated through simulation analyses using the ECB's area-wide model (AWM). The simulations illustrate the impact of external and domestic shocks to trade in the euro area, in particular on intra- and extra-area trade. The richer dynamics from this disaggregated perspective provide additional insights and elucidate transmission channels of shocks that are not detectable from an aggregate (i.e. total trade) perspective. For instance, one interesting finding is that an appreciation of the euro has a significant downward impact on intra euro area trade.
- JEL Code
- E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
F17 : International Economics→Trade→Trade Forecasting and Simulation
C5 : Mathematical and Quantitative Methods→Econometric Modeling
- 18 July 2006
- WORKING PAPER SERIES - No. 654Details
- Abstract
- The paper presents the German block of the ESCB multi-country model. It builds on previous modelling work on the Area Wide Model and other country blocks of the ESCB multicountry-model. Whilst being analogous to these models in following a common modelling approach and the same theoretical framework, the German model has also some unique features for instance with regard to the modelling of the investment components, imports and employment. The paper provides a brief overview of the theoretical framework of the model, its estimation results, and a discussion of the dynamic model properties. The model is primarily used for preparing quarterly projections for the German economy as well as for policy analysis.
- JEL Code
- C3 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables
C5 : Mathematical and Quantitative Methods→Econometric Modeling
E1 : Macroeconomics and Monetary Economics→General Aggregative Models
E2 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy
- 9 June 2005
- OCCASIONAL PAPER SERIES - No. 30Details
- Abstract
- Chapter 1 provides an overview and assessment of the price competitiveness and export performance of the euro area and the larger euro area countries, as well as an evaluation of how standard equations have been able to explain actual export developments. Chapter 2 carries out a constant market share analysis for the euro area and thereby sheds light on the reasons for movements in aggregate export market shares by looking at the sectoral and geographical composition of euro area exports. Chapter 3 looks at the evolution of the technological competitiveness of the euro area and major competitors
- JEL Code
- E3 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles
- 9 January 2004
- WORKING PAPER SERIES - No. 299Details
- Abstract
- Pricing-to-market (PTM) behaviour implies that exporters adjust their prices to the prevailing prices in their export markets. For the importing country, PTM effects can be interpreted as a measure of the stability of domestic prices against foreign price and exchange rate developments. PTM behaviour can be attributed to the level of competitiveness and price stickiness in the importing country. This paper investigates PTM behaviour in the euro area from the importing country's perspective, for both individual countries and the euro area as a whole. Analysis firstly involves the estimation of PTM effects in the five largest euro area countries. Secondly, PTM effects in the euro area as a whole are estimated to be slightly higher than one half. The results from illustrative simulations suggest that the increase in euro-area inflation during the first two years of monetary union can be largely attributed to oil price and exchange rate developments.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
F14 : International Economics→Trade→Empirical Studies of Trade
F47 : International Economics→Macroeconomic Aspects of International Trade and Finance→Forecasting and Simulation: Models and Applications
- 2018
- The Scandinavian Journal of Economics
- 2011
- Journal of Economics and Statistics (Jahrbücher fuer Nationalökonomie und Statistik)
- 2010
- Presupuesto y Gasto Público
- 1999
- Regional Aspects of Monetary Policy in EuropeOn the Asymmetric Impacts of a Common Monetary Policy in Europe