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Magdalena Grothe

International & European Relations

Division

International Policy Analysis

Current Position

Lead Economist

Fields of interest

Financial Economics,International Economics,Macroeconomics and Monetary Economics

Email

Magdalena.Grothe@ecb.europa.eu

Education
2005-2008

PhD in Finance, University of Cologne, Germany

2003-2005

MSc in Economics, University of Cologne, Germany

1999-2004

MSc in International Economics, University of Łódź, Poland

Professional experience
2020-

Lead Economist - International Policy Analysis Division, Directorate General International & European Relations, European Central Bank

2015-2020

Lead Financial Stability Expert - Secretariat to the European Systemic Risk Board, European Central Bank

2018

Member of an Expert Panel of the National Science Centre, Poland

2017-2018

Visiting staff within the Schuman Programme - Risk Control Division, Deutsche Bundesbank

2009-2015

Economist - Capital Markets and Financial Structure Division, Directorate General Monetary Policy, European Central Bank

Teaching experience
2013-2018

Guest lectures at the University of Łódź and Warsaw School of Economics on financial market analysis and systemic risk assessment, Poland

21 April 2010
WORKING PAPER SERIES - No. 1177
Details
Abstract
In their seminal paper French and Roll (1986) postulate that public information affects prices before anyone can trade on it. In contrast, several models assuming heterogeneous investors show that public news releases are directly followed by high trading volume. Empirical evidence on this question is still mixed, primarily due to the lack of sufficiently precise data. This paper examines the process of price adjustment to public news in an electronic limit order market, based on very precise information from the largest European bond futures market. The results show that the price response to public news is gradual and accompanied by trading. Good (bad) news releases are followed by a sequence of positive (negative) returns and a large buying (selling) activity in the first seconds after the news release.
JEL Code
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
14 January 2011
OCCASIONAL PAPER SERIES - No. 122
Details
Abstract
This paper provides an assessment of the impact of the covered bond purchase programme (hereafter referred to as the CBPP) relative to its policy objectives. The analysis presented on the impact of the CBPP on both the primary and secondary bond markets indicates that the Programme has been an effective policy instrument. It has contributed to: (i) a decline in money market term rates, (ii) an easing of funding conditions for credit institutions and enterprises, (iii) encouraging credit institutions to maintain and expand their lending to clients, and (iv) improving market liquidity in important segments of the private debt securities market. The paper also provides an overview of the investment strategy of the the Eurosystem with regard to the CBPP portfolio.
JEL Code
E22 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Capital, Investment, Capacity
L63 : Industrial Organization→Industry Studies: Manufacturing→Microelectronics, Computers, Communications Equipment
L86 : Industrial Organization→Industry Studies: Services→Information and Internet Services, Computer Software
O3 : Economic Development, Technological Change, and Growth→Technological Change, Research and Development, Intellectual Property Rights
O47 : Economic Development, Technological Change, and Growth→Economic Growth and Aggregate Productivity→Measurement of Economic Growth, Aggregate Productivity, Cross-Country Output Convergence
1 June 2012
WORKING PAPER SERIES - No. 1440
Details
Abstract
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model-free and model-based gauges of sovereign credit premia, which are an important alternative to the information based on CDS markets. The results allow us to quantify the price impact of so-called
JEL Code
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G01 : Financial Economics→General→Financial Crises
16 December 2013
WORKING PAPER SERIES - No. 1623
Details
Abstract
This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry-specific effects, as well as to explore the differences between the calm and distressed market conditions. The results show that the effects of rating actions on market prices are significant and depend on the current state of the market. While during favourable market conditions rating actions are not crucial for market pricing, they become very significant in the periods of crisis.
JEL Code
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G01 : Financial Economics→General→Financial Crises
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
28 April 2014
WORKING PAPER SERIES - No. 1671
Details
Abstract
This paper analyses price formation in medium- to longer-term maturity segments of euro area and US inflation-linked and nominal bond markets around the releases of important economic indicators. We compare the pre-crisis and crisis periods, controlling for liquidity effects observed in financial markets. The results allow us to draw conclusions about the anchoring of inflation expectations in the two currency areas before and during the crisis. We find a somewhat stronger anchoring of inflation expectations in the euro area than in the United States. During the crisis, the degree of anchoring of inflation expectations did not change in the euro area, but it decreased to some extent in the United States.
JEL Code
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G01 : Financial Economics→General→Financial Crises
6 November 2015
WORKING PAPER SERIES - No. 1865
Details
Abstract
This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation. We use the data on inflation swaps and the forecasts from the Survey of Professional Forecasters for the euro area and United States. The results show that both, market-based and survey-based measures have a non-negligible predictive power for inflation developments, as compared to statistical benchmark models. Therefore, for horizons of one and two years ahead, market-based and survey-based inflation expectations actually convey information on future inflation developments.
JEL Code
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
G13 : Financial Economics→General Financial Markets→Contingent Pricing, Futures Pricing
25 August 2017
WORKING PAPER SERIES - No. 2096
Details
Abstract
This paper proposes a framework for monitoring vulnerabilities related to the residential real estate sector in a cross-country context. The framework might be useful for complementing or cross-checking signals available from existing approaches. It takes into account three dimensions of real estate sector vulnerabilities (i.e. valuation, household indebtedness and the bank credit cycle) and enables monitoring across countries in a simple and informative way. Indicators are derived from the early warning literature and policy publications. They are aggregated in a modelfree way to a vulnerability measure, explicitly capturing the level and the dynamics of vulnerabilities. The measure proves to be a significant predictor of historical real estate crises, with a better forecasting performance than the majority of advantageously in-sample calibrated model-based estimates. The monitoring framework allows for a simple and transparent analysis across different dimensions, provides a cross-check of consistency of signals from several indicators, and accounts for the developments in terms of the levels and dynamics. In view of its good forecasting performance, it is a useful complement of model-based toolkits for analysing vulnerabilities in the residential real estate sector.
17 April 2020
WORKING PAPER SERIES - No. 2393
Details
Abstract
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of granular risk indicators adds to the overall transparency of the market in the context of risk monitoring.
JEL Code
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G24 : Financial Economics→Financial Institutions and Services→Investment Banking, Venture Capital, Brokerage, Ratings and Ratings Agencies
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
C30 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→General
19 May 2021
FINANCIAL STABILITY REVIEW - BOX
Financial Stability Review Issue 1, 2021
Details
Abstract
US equity market prices have surged over the last year, prompting concerns about stretched valuations and the potential risk of market corrections. For example, US equity prices could decline substantially if US Treasury yields increased on expectations of tighter monetary policy without significantly stronger real growth. In view of these developments, this box examines the implications of a possible correction in US stock prices for euro area financial conditions and financial stability. The results show that spillovers to euro area equity and corporate bond markets could be substantial, implying a broader tightening effect on euro area financial conditions.
JEL Code
G10 : Financial Economics→General Financial Markets→General
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G15 : Financial Economics→General Financial Markets→International Financial Markets
2020
Journal of Banking and Finance, Vol. 112; previous version: ECB WP 2096
Home, safe home: cross-country monitoring framework for vulnerabilities in the residential real estate sector
  • Bengtsson, E., Grothe, M. and Lepers, E.
2020
Gospodarka Narodowa / The Polish Journal of Economics, Vol. 2(302), pp. 5-24
Monitoring vulnerabilities in the residential real estate sector in Poland
  • Grothe, M.
2018
International Journal of Financial Research, Vol. 9(1), 171–188; previous version: ECB WP 1865
Inflation forecasts: Are market-based and survey-based measures informative?
  • Grothe, M. and Meyler, A.
2015
Journal of Empirical Finance, Vol. 33, 160–173; previous version: ECB WP 1440
Liquidity and credit premia in the yields of highly-rated sovereign bonds
  • Ejsing, J., Grothe, M. and Grothe, O.
2020
European Systemic Risk Board
Liquidity risks arising from margin calls
  • Assouan, E. et al., Grothe, M. as secretary of the ESRB workstream on margin calls.
2016
European Systemic Risk Board
Macroprudential policy issues arising from low interest rates and structural changes in the EU financial system
  • Grothe, M. et al., as one of secretaries of the Joint Task Force of the ESRB Advisory Technical Committee, the ESRB Advisory Scientific Committee and the ESCB Financial Stability Committee on low interest rates and structural change
2016
European Systemic Risk Board
The impact of low interest rates and ongoing structural changes from horizontal, cross-country and EU-wide perspectives
  • Liebig, T., Schnabel, I. et al., Grothe, M. as secretary of the workstream within the Joint ESRB/ESCB Task Force on low interest rates and structural change
2015
Łukowski, P., Gemel, A. and Żukowski, B. (eds.). "Cognition, Meaning and Action. Lodz-Lund Studies in Cognitive Science", Wydawnictwo Uniwersytetu Łódzkiego - Columbia University Press
Short-term and longer-term social interactions from the game theoretical perspective
  • Grothe, M. and Żukowski, B.
2009
VMV Münster
Liquidity risk in periods of intensive information flow
  • Grothe, M.