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Maurizio Michael Habib

International & European Relations

Division

International Policy Analysis

Current Position

Team Lead - Economist

Fields of interest

International Economics,Financial Economics,Macroeconomics and Monetary Economics

Email

maurizio.habib@ecb.europa.eu

Education
1999-2002

PhD in Economics, University of Rome “La Sapienza”, Italy

1998-1999

MSc in Economics, Birkbeck College, London, United Kingdom

Professional experience
2004

Senior Economist - Directorate General International and European Relations, European Central Bank

2002-2004

Economist - Directorate General for Economic and Financial Affairs, European Commission

17 December 2007
WORKING PAPER SERIES - No. 839
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Abstract
This paper investigates whether the real oil price has an impact on the real exchange rates of three main oil-exporting countries: Norway, Russia and Saudi Arabia. We create our measure of the real effective exchange rates for Norway and Saudi Arabia (1980-2006) and for Russia (1995-2006), testing if real oil prices and productivity differentials against 15 OECD countries influence exchange rates. In the case of Russia it is possible to establish a positive long-run relationship between the real oil price and the real exchange rate. However, we find virtually no impact of the real oil price on the real exchange rates of Norway and Saudi Arabia. The diverse exchange rate regimes cannot help in explaining the different empirical results on the impact of oil prices across countries, which instead may be due to other policy responses, namely the accumulation of net foreign assets and their sterilisation, and specific institutional characteristics.
JEL Code
F31 : International Economics→International Finance→Foreign Exchange
C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
8 September 2008
OCCASIONAL PAPER SERIES - No. 95
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Abstract
This paper reviews financial stability challenges in the EU candidate countries Croatia, Turkey and the former Yugoslav Republic of Macedonia. It examines the financial sectors in these three economies, which, while at very different stages of development and embedded in quite diverse economic settings, are all in a process of rapid financial deepening. This manifests itself most clearly in the rapid pace of growth in credit to the private sector. This process of financial deepening is largely a natural and welcome catching-up phenomenon, but it has also increased the credit risks borne by the banking sectors in the three economies. These credit risks are compounded by the widespread use of foreign currency-denominated or -indexed loans, leaving unhedged bank customers exposed to potential swings in exchange rates or foreign interest rates. Moreover, these financial risks form part of a broader nexus of vulnerabilities in the economies concerned, in particular the external vulnerabilities arising from increasing private sector external indebtedness. That said, the paper also finds that the authorities in the three countries have taken several policy actions to reduce these financial and external vulnerabilities and to strengthen the resilience of the financial sectors.
JEL Code
F32 : International Economics→International Finance→Current Account Adjustment, Short-Term Capital Movements
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
Network
Eurosystem Monetary Transmission Network
14 October 2008
WORKING PAPER SERIES - No. 947
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Abstract
Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations from uncovered and covered interest parity. Our sample includes issuers from both the public sector and private sector. Our findings show that the choice of issuance currency is sensitive to deviations from uncovered interest parity but insensitive, in general, to deviations from covered interest parity. Furthermore, the influence of deviations from uncovered interest parity is stronger for financial issuers than for nonfinancial issuers.
JEL Code
F31 : International Economics→International Finance→Foreign Exchange
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G15 : Financial Economics→General Financial Markets→International Financial Markets
G32 : Financial Economics→Corporate Finance and Governance→Financing Policy, Financial Risk and Risk Management, Capital and Ownership Structure, Value of Firms, Goodwill
13 November 2008
WORKING PAPER SERIES - No. 958
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Abstract
This paper discusses the choice of an optimal external anchor for oil exporting economies, using optimum currency area criteria and simulations of a simple model of a small open economy pegging to a basket of two currencies. Oil exporting countries - in particular those of the Gulf Cooperation Council - satisfy a number of key optimum currency area criteria to adopt a peg. However, direction of trade and synchronisation of business cycle of oil exporters suggest that there is no single "ideal" external anchor among the major international currencies. Model simulations - parameterised for an oil exporting economy - indicate that a currency basket is generally preferable to a single currency peg, especially when some weight is placed by the policy maker on output stabilisation. Only when inflation becomes the only policy objective and external trade is mostly conducted in one currency that a peg to a single currency becomes optimal.
JEL Code
F31 : International Economics→International Finance→Foreign Exchange
C30 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→General
C51 : Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation
C61 : Mathematical and Quantitative Methods→Mathematical Methods, Programming Models, Mathematical and Simulation Modeling→Optimization Techniques, Programming Models, Dynamic Analysis
O24 : Economic Development, Technological Change, and Growth→Development Planning and Policy→Trade Policy, Factor Movement Policy, Foreign Exchange Policy
26 February 2010
WORKING PAPER SERIES - No. 1158
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Abstract
This paper studies net foreign assets and the differential returns between gross foreign assets and liabilities for a sample of 49 countries between 1981 and 2007. It shows that investment income is more important than capital gains in imparting a drift to net foreign assets over the long-run, whereas the latter dominate short-term dynamics. Excess returns on net foreign assets of the United States are indeed exorbitant from a global perspective, only occasionally matched by other countries and mainly accounted for by positive valuation effects. The role of the United States as levered investor did not contribute to its exorbitant privilege. The econometric panel analysis also fails to find a robust positive relationship between leverage and excess returns. Notably, instead, real exchange rate depreciations increase excess returns through capital gains, proportionally to the relative foreign currency exposure. Excess yields on investment income are positively associated with the country risk rating.
JEL Code
F30 : International Economics→International Finance→General
F31 : International Economics→International Finance→Foreign Exchange
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
11 January 2011
WORKING PAPER SERIES - No. 1288
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Abstract
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large panel of 52 currencies in advanced and emerging countries over almost 25 years of data. We find that only a few factors are robustly associated to a safe haven status, most notably the net foreign asset position, an indicator of external vulnerability, and to a lesser extent the absolute size of the stock market, an indicator of market size and development. The interest rate spread against the US is significant only for advanced countries, whose currencies are subject to carry trade. More generally, we find that it is hard to predict what currencies would do when global risk aversion is high, as estimates are imprecise and often not stable or robust. This suggests caution in over-interpreting exchange rate movements during financial crises.
JEL Code
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
F31 : International Economics→International Finance→Foreign Exchange
G15 : Financial Economics→General Financial Markets→International Financial Markets
1 June 2012
WORKING PAPER SERIES - No. 1442
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Abstract
Do oil shocks matter for exchange rates? This paper addresses this question based on data on real and nominal exchange rates as well as an exchange market pressure index for 44 advanced and emerging countries. We identify three structural shocks (oil supply, global demand, and oil specific demand) which raise the real oil price and analyse their effect on individual exchange rates. Contrary to the predictions of the theoretical literature, we find no evidence that exchange rates of oil exporters systematically appreciate against those of oil importers after shocks raising the real oil price. However, oil exporters experience significant appreciation pressures following an oil demand shock, which they tend to counter by accumulating foreign exchange reserves. Results for general commodity exporters are similar, showing minor differences compared with oil exporters.
JEL Code
F31 : International Economics→International Finance→Foreign Exchange
Q43 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy and the Macroeconomy
8 November 2013
WORKING PAPER SERIES - No. 1609
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Abstract
In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks with a more idiosyncratic nature (such as the euro debt crisis) on cross border portfolio flows, taking the perspective of foreign investors. We find robust evidence of systematic portfolio outflows in the wake of both types of shocks. There are no securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived to be high. Nevertheless, especially money market instruments issued by the US, euro area low-yield countries and Japan, as well as securities issued in Switzerland have behaved as safe haven assets in specific episodes or following changes in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not necessarily experiencing portfolio outflows or even attracting inflows for short-term dated securities, as a safe haven country, in those episodes.
JEL Code
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G15 : Financial Economics→General Financial Markets→International Financial Markets
8 June 2015
WORKING PAPER SERIES - No. 1799
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Abstract
This paper investigates whether global investors are over or under exposed to- wards the euro area and the role of home bias and institutions at home in shaping this exposure. According to a simple benchmark from standard portfolio theory, euro area investors - in particular those from euro area low-rating economies - are overexposed to euro area securities. Instead, investors outside the EU are underexposed to euro area securities in their total portfolio, proportionally to their degree of home bias, but not in their foreign portfolio. Nevertheless, once we account for gravity factors, the largest foreign investors overweigh euro area securities, especially debt of euro area high rating economies. Crucially, this overexposure was resilient to the euro area crisis. Moreover, we show that institutions at home are important to explain exposure to euro area securities. In particular, the higher the standards of governance at home, the greater the exposure to the euro area debt.
JEL Code
E2 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy
F3 : International Economics→International Finance
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G15 : Financial Economics→General Financial Markets→International Financial Markets
10 June 2016
WORKING PAPER SERIES - No. 1921
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Abstract
We investigate the impact of movements in the real exchange rate on economic growth based on five-year average data for a panel of over 150 countries in the post Bretton Woods period. Unlike previous literature, we use external instruments to deal with possible reverse causality from growth to the real exchange rate. Our country-specific instruments are (i) global capital flows interacted with individual countries' financial openness and (ii) the growth rate of official reserves. We ?find that a real appreciation (depreciation) reduces (raises) significantly annual real GDP growth, more than in previous estimates in the literature. However, our results confirm this effect only for developing countries and for pegs.
JEL Code
F31 : International Economics→International Finance→Foreign Exchange
F43 : International Economics→Macroeconomic Aspects of International Trade and Finance→Economic Growth of Open Economies
6 December 2017
WORKING PAPER SERIES - No. 2116
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Abstract
This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven by redemptions or injections of investors, and passive portfolio rebalancing, triggered by valuation effects related to changes in asset prices and exchange rates. We find that, for this class of fund investors, policy announcements work mainly through valuation effects (the signalling channel), rather than via active reallocation (the portfolio rebalancing channel). Notably, since the autumn of 2014, monetary policy shocks triggered large asset price and exchange rate effects and prompted a passive shift of euro area investors into riskier assets, in particular European and Emerging Market equity funds and out of bond funds.
JEL Code
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G15 : Financial Economics→General Financial Markets→International Financial Markets
27 September 2018
ECONOMIC BULLETIN - ARTICLE
Economic Bulletin Issue 6, 2018
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Abstract
As financial markets became progressively more integrated internationally over the past decades, economists wondered to what extent policymakers can isolate domestic financial conditions from external factors. This article reviews the terms of this debate and provides fresh evidence on the co-movement in capital flows and stock prices across a panel of 50 advanced and emerging economies. In particular, the article focuses on the relative importance of global risk and US monetary policy for the global financial cycle and touches upon the implications for the exchange rate regime. Global risk aversion emerges as a significant driver of capital flows and stock returns and its impact is amplified by capital account openness, but not necessarily by the exchange rate regime, which matters only for asset prices, not for capital flows. The quantitative relevance of US monetary policy and the US dollar exchange rate seems to be episodic. In particular, the correlation between US interest rates and capital flows throughout the crisis is positive, rather than negative as the theory would predict, indicating the need for further empirical analysis of the role of US monetary policy as the driver of the global financial cycle. The article also finds that financial market tensions have been typically synchronised between the euro area and the United States but that financial conditions in the two areas have often decoupled. Overall, this confirms that the effectiveness of the ECB’s monetary policy has not been impaired by the global financial cycle.
JEL Code
E42 : Macroeconomics and Monetary Economics→Money and Interest Rates→Monetary Systems, Standards, Regimes, Government and the Monetary System, Payment Systems
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
F31 : International Economics→International Finance→Foreign Exchange
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
29 November 2018
FINANCIAL STABILITY REVIEW - BOX
Financial Stability Review Issue 2, 2018
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Abstract
Portfolio flows to EMEs have declined significantly in the course of 2018, largely as a result of increased investor sensitivity towards EME asset markets and rising protectionist pressures. After a spell of strong and stable foreign purchases of debt and equity instruments issued by sovereigns and corporates in EMEs throughout 2017, aggregate portfolio flows to EMEs have dipped notably since February 2018. Global investors started to reassess the potential negative effects of a tighter US monetary policy and a stronger dollar on financial conditions in EMEs and the downside risks to global growth stemming from mounting protectionist pressures. EMEs appear to be particularly exposed to these risks. Several EMEs borrow heavily in international markets and are affected by the tightening of US dollar funding conditions. Moreover, EMEs are generally more open to trade than advanced economies, relying on policies geared towards free trade to support economic growth. This box aims to disentangle the role of these global factors in driving the recent slowdown in portfolio flows to EMEs from country-specific vulnerabilities, which may have exacerbated the impact of global risks.
15 May 2019
WORKING PAPER SERIES - No. 2280
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Abstract
In this paper, we study the effects of structural shocks that influence global risk – the main factor behind a “global capital flows cycle” – and how risk, in turn, is transmitted to capital flows. Our results show that not all the risk shocks driving the global financial cycle have the same effects on capital flows. Changes in global risk caused by pure financial shocks have the largest impact on the global configuration of capital flows, followed by US monetary policy shocks. As regards the transmission of risk to capital flows, we uncover a traditional “trilemma”, as countries more financially open and adopting a strict peg are more sensitive to global risk. This “trilemma” is mainly driven by one category of cross-border flows, “other investment”, confirming the importance of cross-border banking loans in the narrative of the global financial cycle.
JEL Code
E42 : Macroeconomics and Monetary Economics→Money and Interest Rates→Monetary Systems, Standards, Regimes, Government and the Monetary System, Payment Systems
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
F31 : International Economics→International Finance→Foreign Exchange
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
29 May 2019
FINANCIAL STABILITY REVIEW - BOX
Financial Stability Review Issue 1, 2019
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Abstract
Financial Stability Review, May Policy uncertainty has remained elevated in recent years for the euro area and the broader global economy, at a time when the political landscape has become more fragmented. Political uncertainty has increased considerably since the global financial crisis in advanced economies. While political uncertainty is hard to capture in any single measure, heightened political fragmentation may complicate decision-making in national parliaments and could in certain instances potentially lead to policy instability. On this basis, a secular increase in the number of political parties during the past decades and a gradual decline in the voting share of the winning party suggests less cohesive political processes across constituencies. Independent of the attribution of political uncertainty to an underlying cause, swings in policy uncertainty have grown in recent years, with trade policy uncertainty gaining prominence due to growing trade protectionism.
7 January 2020
WORKING PAPER SERIES - No. 2355
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Abstract
We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good institutions foster a safe asset status, while the size of the debt market is also significant, reflecting the special role of the US. Within advanced and emerging markets, drivers are heterogeneous, with external sustainability in particular being relevant for the latter countries after the global financial crisis. Finally, the safe asset status does not appear to depend on whether the change in global risk is driven by financial shocks rather than by US monetary policy.
JEL Code
E42 : Macroeconomics and Monetary Economics→Money and Interest Rates→Monetary Systems, Standards, Regimes, Government and the Monetary System, Payment Systems
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
F31 : International Economics→International Finance→Foreign Exchange
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
24 March 2020
ECONOMIC BULLETIN - ARTICLE
Economic Bulletin Issue 2, 2020
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Abstract
This article analyses how the operations of large multinational enterprises (MNEs) affect the external account of the euro area and, in general, financial centres. The increased ease of moving intangible assets, profits and headquarters across borders poses challenges to the current framework of international statistics and economic analysis. First, the article shows how MNE operations are recorded in cross-border statistics, as well as the challenges in measuring such data. Second, the article highlights evidence of the impact that MNEs have on the external account of the euro area – this is most evident in current account balances and foreign direct investment in euro area financial centres, often involving special-purpose entities (SPEs). Third, the article looks at the tendency of financial centres to report current account surpluses that may be tentatively attributed, in part, to the activity of MNEs. Multilateral initiatives could help to improve the transparency of MNE operations and ensure an exchange of information across borders for tax and statistical purposes.
JEL Code
F21 : International Economics→International Factor Movements and International Business→International Investment, Long-Term Capital Movements
F23 : International Economics→International Factor Movements and International Business→Multinational Firms, International Business
F3 : International Economics→International Finance
2020
Journal of International Money and Finance
  • Habib, M. M., Stracca L. and Venditti F.
2018
Journal of International Money and Finance
  • Habib, M. M., Bubeck, S. and Manganelli, S.
2018
International Journal of Finance and Economics
  • Habib, M. M. and Floreani, V. A.
2017
Journal of International Money and Finance
  • Habib, M. M., Mileva, E. and Stracca, L.
2016
IMF Economic Review
  • Habib, M. M., Bützer S. and Stracca L.
2015
International Finance
  • Habib, M. M. and Stracca L.
2012
Journal of International Economics
  • Habib, M. M. and Stracca, L.
2010
Applied Financial Economics
  • Habib, M. M. and Joy, M.
2002
Moneta unica europea: crescita e finanza
Euroizzazione in Europa centrale ed orientale
  • Habib, M. M.
2020
VoxEU article
  • Habib, M. M., Stracca L. and Venditti F.
2019
VoxEU article
  • Habib, M. M. and Venditti F.
2015
VoxEU article
  • Habib, M. M., Bützer S. and Stracca L.
2014
VoxEU article
  • Habib, M. M. and Stracca L.
2011
VoxEU article
  • Habib, M. M. and Stracca L.
2010
VoxEU article
  • Habib, M. M.