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Manfred Kremer

Research

Division

Financial Research

Current Position

Head of Section

Fields of interest

Financial Economics,Macroeconomics and Monetary Economics

Email

manfred.kremer@ecb.europa.eu

Education
2017

PhD in Economics (Dr. rer. oec.), University of Wuppertal, Germany

1989

MA in Economics (Diplom-Volkswirt), University of Duisburg, Germany

Professional experience
2020-

Seconded to the Strategy Review Project Office, European Central Bank

2020-

Head of Financial Markets Research Section, Directorate General Research, European Central Bank

2009-2020

Deputy Head of Division - Financial Research Division, Directorate General Research, European Central Bank

2003-2009

Deputy Head of Division - Capital Markets and Financial Structure Division, Directorate General Economics, European Central Bank

2000-2003

Economist and Principal Economist - Capital Markets and Financial Structure Division, Directorate General Economics, European Central Bank

1995-2000

Economist - Economics Department, Capital Markets Section, Deutsche Bundesbank, Frankfurt, Germany

1989-1995

Full-time research and teaching fellow - Economics Department, Money and Credit, University of Duisburg, Germany

22 September 2021
RESEARCH BULLETIN - No. 87.1
Details
Abstract
When considering the use of macroprudential instruments to manage financial imbalances, macroprudential policymakers face an intertemporal trade-off between facilitating short-term expected growth and containing medium-term downside risks to the economy. To assist policymakers in assessing this trade-off, in this article we propose a risk management framework which extends the well-known notion of growth-at-risk to consider the entire predictive real GDP growth distribution, with a view to quantifying the macroprudential policy stance. A novel empirical model fitted to euro area data allows us to study direct and indirect interactions between financial vulnerabilities, financial stress and real GDP growth, incorporating non-linear amplification effects among all variables. Our framework can support policymakers by facilitating model-based macro-financial stress tests and model-based assessments of when to adjust macroprudential instruments.
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
C33 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models
2 June 2021
WORKING PAPER SERIES - No. 2565
Details
Abstract
Macro-prudential authorities need to assess medium-term downside risks to the real economy, caused by severe financial shocks. Before activating policy measures, they also need to consider their short-term negative impact. This gives rise to a risk management problem, an inter-temporal trade-off between expected growth and downside risk. Predictive distributions are estimated with structural quantile vector autoregressive models that relate economic growth to measures of financial stress and the financial cycle. An empirical study with euro area and U.S. data shows how to construct indicators of macro-prudential policy stance and to assess when interventions may be beneficial.
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
C33 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models
Network
Research Task Force (RTF)
20 May 2021
WORKING PAPER SERIES - No. 2556
Details
Abstract
Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected growth and downside risks. This paper reviews the literature on Growth-at-Risk, embeds it in the wider literature on macroprudential policy, and proposes an empirical risk management framework that combines insights from the two literatures, by forecasting the entire real GDP growth distribution with a structural quantile vector autoregressive model. It accounts for direct and indirect interactions between financial vulnerabilities, financial stress and real GDP growth and allows for potential non-linear amplification effects. The framework provides policymakers with a macro-financial stress test to monitor downside risks to the economy and a macroprudential stance metric to quantify when interventions may be beneficial.
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
C33 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Panel Data Models, Spatio-temporal Models
Network
Discussion papers
30 September 2019
WORKING PAPER SERIES - No. 2319
Details
Abstract
This paper develops composite indicators of financial integration within the euro area for both price-based and quantity-based indicators covering money, bond, equity and banking markets. Prior to aggregation, individual integration indicators are harmonised by applying the probability integral transform. We find that financial integration in Europe increased steadily between 1995 and 2007. The subprime mortgage crisis marked a turning point, bringing about a marked drop in both composite indicators. This fragmentation trend reversed when the European banking union and the ECB's Outright Monetary Transactions Programme were announced in 2012, with financial integration recovering more strongly when measured by price-based indicators. In a growth regression framework, we find that higher financial integration tends to be associated with an increase in per capita real GDP growth in euro area countries. This correlation is found to be stronger the higher a country's growth opportunities.
JEL Code
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
F43 : International Economics→Macroeconomic Aspects of International Trade and Finance→Economic Growth of Open Economies
F45 : International Economics→Macroeconomic Aspects of International Trade and Finance
G01 : Financial Economics→General→Financial Crises
G15 : Financial Economics→General Financial Markets→International Financial Markets
15 October 2018
WORKING PAPER SERIES - No. 2185
Details
Abstract
In this paper we propose a composite indicator that measures multidimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a broad measure of sovereign market stress. The statistical framework builds on that of the ECB’s Composite Indicator of Systemic Stress (CISS) developed by Hollo, Kremer and Lo Duca (2012), so that we call our metric the Composite Indicator of Systemic Sovereign Stress or “SovCISS”. We implement the SovCISS for eleven euro area member states and also present four options of a SovCISS for the entire monetary union. In addition, we suggest a linear decomposition of the SovCISS, singling out contributions of the different components and of the time-varying correlations across these components. Comparing develoments in the SovCISS and the CISS over the crisis period clearly illustrates the usefulness of the latter for the real-time monitoring of systemic instabilities in the financial system as a whole. Finally, an application of the country-specific SovCISS indicators to the VAR-based spillover literature suggests that stress mainly originates from a few euro area countries, and that spillover patterns vary over time.
JEL Code
C43 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Index Numbers and Aggregation
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
F45 : International Economics→Macroeconomic Aspects of International Trade and Finance
G01 : Financial Economics→General→Financial Crises
H63 : Public Economics→National Budget, Deficit, and Debt→Debt, Debt Management, Sovereign Debt
24 May 2018
FINANCIAL STABILITY REVIEW - BOX
Financial Stability Review Issue 1, 2018
Details
Abstract
After a period of about two years with fairly steady price increases and persistently low volatility, global stock markets experienced a notable price and volatility correction in early February 2018. Before this correction, policy authorities had become concerned about the benign volatility conditions, since low volatility may lead market participants to take on excessive risk and thereby create risks to financial stability (the “volatility paradox”). Against this background, a return to conditions of higher volatility could, on the one hand, be regarded as a welcome normalisation. On the other hand, a “disorderly” stock market correction with sharp price declines and large price fluctuations might itself pose risks to financial and economic stability.
12 March 2012
WORKING PAPER SERIES - No. 1426
Details
Abstract
This paper introduces a new indicator of contemporaneous stress in the financial system named Composite Indicator of Systemic Stress (CISS). Its specific statistical design is shaped according to standard definitions of systemic risk. The main methodological innovation of the CISS is the application of basic portfolio theory to the aggregation of five market-specific subindices created from a total of 15 individual financial stress measures. The aggregation accordingly takes into account the time-varying cross-correlations between the subindices. As a result, the CISS puts relatively more weight on situations in which stress prevails in several market segments at the same time, capturing the idea that financial stress is more systemic and thus more dangerous for the economy as a whole if financial instability spreads more widely across the whole financial system. Applied to euro area data, we determine within a threshold VAR model a systemic crisis-level of the CISS at which financial stress tends to depress real economic activity. Weekly updates of the CISS dataset at: sdw.ecb.europa.eu/browseSelection.do?node=9551138
JEL Code
G01 : Financial Economics→General→Financial Crises
G10 : Financial Economics→General Financial Markets→General
G20 : Financial Economics→Financial Institutions and Services→General
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
Network
Macroprudential Research Network
Annexes
4 March 2013
ANNEX
20 July 2006
WORKING PAPER SERIES - No. 656
Details
Abstract
The debate on the sustainability of public finances is closely related to the analysis of the financial and macroeconomic consequences of government debt accumulation. Focusing on the USA, Germany and Italy over the 1983
JEL Code
E6 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
H63 : Public Economics→National Budget, Deficit, and Debt→Debt, Debt Management, Sovereign Debt
2020
Economics Letters
  • Hoffmann, P., Kremer, M. and Zaharia, S.
2017
Economics Letters
  • Garcia-de-Andoain, C. and Kremer, M.
2016
International Economics and Economic Policy
  • Kremer, M.
2016
Spanish Review of Financial Economics
  • Kremer, M.
2000
Risikomanagement an internationalen Finanzmärkten
Politikoptionen zur Begrenzung von Hedge-Fonds-Risiken
  • Kremer, M.
1999
Transmissionsmechanismen der Geldpolitik
What is behind equity price movements in Germany?
  • Domanski, D. and Kremer, M.
1992
Transforming economic systems: The case of Poland
  • Gilles, M., Kremer, M. and Zdralka, J.
2000
Bank for International Settlements, Conference Papers
The dynamics of international asset price linkages and their effects on German stock and bond markets
  • Domanski, D. and Kremer, M.
1998
Bank for International Settlements, Conference Papers
What do asset price movements in Germany tell monetary policy makers?
  • Domanski, D. and Kremer, M.