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Philipp Hartmann

Research

Division

Current Position

Deputy Director General

Fields of interest

Financial Economics,International Economics,Macroeconomics and Monetary Economics

Email

philipp.hartmann@ecb.europa.eu

Other current responsibilities
2015-

Coordinator, Committee on Financial Integration, European Central Bank

2010-

Associate Editor, Journal of Financial Stability

2006-

Research Fellow, Centre for Economic Policy Research, London, United Kingdom

2010-2014

Chairman, ESCB Macroprudential Research Network (MaRs)

1997-2006

Research Affiliate, Centre for Economic Policy Research (CEPR), London, United Kingdom

Chairman Editorial Board of the ECB Working Paper series

Chairman ECB Lamfalussy Fellowship Program

Co-Editor ECB Research Bulletin

Member ECB Macroprudential Contact Group

Member ECB Committee on Financial Integration

Member Scientific Committee Fondation Banque de France

Education
1993-1996

Doctorat en Sciences Economiques, DELTA (ENS-EHESS-CNRS), Paris, France, European Doctoral Program in Quantitative Economics

1992-1993

MA in Economics (Monetary and Macroeconomics), Université Catholique de Louvain, Belgium

1986-1992

Diplom in Volkswirtschaftslehre, Universität Mannheim, Germany

Professional experience
2011-

Deputy Director General - Directorate General Research, European Central Bank, Frankfurt, Germany

2011-2011

Principal Adviser - Directorate General Research, European Central Bank, Frankfurt, Germany

Chaired part-time professor for Macro-financial Economics, Erasmus University Rotterdam, Netherlands, since 2010

Vice President of SUERF, The European Money and Finance Forum, Vienna, Austria, 2006-2011

Head of the Financial Research Division at the European Central Bank, Directorate General Research, Frankfurt, Germany, 6/2004-3/2011

Principal of the Economic and Financial Research Unit at the European Central Bank, Directorate General Research, Frankfurt, Germany, 1/1999-5/2004

Senior Economist at the European Central Bank, Directorate General Research, General Economic Research Division, Frankfurt, Germany, 6/1998-12/1998

Economist at the European Monetary Institute, Monetary, Economics and Statistics Department, Stage Three Division, Frankfurt, Germany, 10/1997-5/1998

Research Fellow in Financial Regulation at the London School of Economics and Political Science, Financial Markets Group, London, United Kingdom, 10/1995-9/1997

Policy work: Contributions to ECOFIN Council, ECB Governing and General Council, ECB Executive Board, European Systemic Risk Board, European Commission fora, Basel Committee on Banking Supervision, IMF Article IV consultations, United Nations Economic Commission for Europe, Bank of England Central Bank Governors’ Symposium, Center for European Policy Studies Chief Economist Meeting, European League for Economic Cooperation, ECB Monthly Bulletin and Annual Report, ECB Financial Stability Review, ECB Report on Financial Integration in Europe, ECB Review of the International Role of the Euro and other reports; Chair or member of various internal and external task forces and working groups

Awards
2002

First CEPR/European Summer Institute Prize for the best central bank research paper

1992

EU Commission scholarship "Human Capital and Mobility"

Teaching experience
1999-2005

Design and teaching of various courses and modules in finance, microeconomics, macroeconomics and international economics - European Central Bank, Frankfurt, Germany

1992-1992

Market Economics - Eastern German civil servants after reunification, Riesa, Germany

1 April 2000
WORKING PAPER SERIES - No. 19
Details
Abstract
This paper provides a broad empirical examination of the major currencies' roles in international capital markets, with a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both from the viewpoint of international financing as well as from the one of international investment activities. Time series of these new measures are presented, including euro aggregates calculated up to five years back in time. The data allow for the identification of changes in the role of the euro (or other main currencies) during 1999 compared to the aggregate of euro predecessor currencies, net of intra-euro area assets/ liabilities, before stage 3 of EMU. A number of key factors determining the currency distribution of international portfolio investments, such as relative market liquidity and relative risk characteristics of assets, are also examined empirically. It turns out that for almost all important market segments for which data are available, the euro immediately became the second most widely used currency for international financing and investment. For the flow of international bond and note issuance it has even slightly overtaken the US dollar in the second half of 1999. The data also suggest that this early supply of euro bonds by non-euro area residents, clearly exceeding the euro-predecessor currency aggregate, is actually absorbed by euro area residents and not y outside investors so far.
JEL Code
G15 : Financial Economics→General Financial Markets→International Financial Markets
F32 : International Economics→International Finance→Current Account Adjustment, Short-Term Capital Movements
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
F21 : International Economics→International Factor Movements and International Business→International Investment, Long-Term Capital Movements
1 November 2000
WORKING PAPER SERIES - No. 35
Details
Abstract
This paper develops a broad concept of systemic risk, the basic economic concept for the understanding of financial crises. It is claimed that any such concept must integrate systemic events in banking and financial markets as well as in the related payment and settlement systems. At the heart of systemic risk are contagion effects, various forms of external effects. The concept also includes simultaneous financial instabilities following aggregate shocks. The quantitative literature on systemic risk, which was evolving swiftly in the last couple of years, is surveyed in the light of this concept. Various rigorous models of bank and payment system contagion have now been developed, although a general theoretical paradigm is still missing. Direct econometric tests of bank contagion effects seem to be mainly limited to the United States. Empirical studies of systemic risk in foreign exchange and security settlement systems appear to be non-existent. Moreover, the literature surveyed reflects the general difficulty to develop empirical tests that can make a clear distinction between contagion in the proper sense and joint crises caused by common shocks, rational revisions of depositor or investor expectations when information is asymmetric ('information-based' contagion) and 'pure' contagion as well as between 'efficient' and 'inefficient' systemic events.
JEL Code
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G29 : Financial Economics→Financial Institutions and Services→Other
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
E49 : Macroeconomics and Monetary Economics→Money and Interest Rates→Other
1 July 2001
WORKING PAPER SERIES - No. 71
Details
Abstract
We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries suggest that simultaneous crashes in stock markets are about two times more likely than in bond markets. Moreover, stock-bond contagion is about as frequent as flight to quality from stocks into bonds. Extreme cross-border linkages are surprisingly similar to national linkages, illustrating a potential downside to international financial integration
JEL Code
G1 : Financial Economics→General Financial Markets
F3 : International Economics→International Finance
C49 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Other
1 October 2001
WORKING PAPER SERIES - No. 80
Details
Abstract
This paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in 6 countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private market structures) and its implications for intraday volatility, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right after ECB monetary policy decisions, but market expectations of the interest rate changes were relatively precise during the sample period. Main refinancing operations with the open market are associated with active liquidity re-allocation, little volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve maintenance periods and during the year 2000 changeover. Even intraday, overnight rate levels hardly differ across euro area countries, reflecting active arbitrage and a high degree of integration
JEL Code
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
D44 : Microeconomics→Market Structure and Pricing→Auctions
1 May 2002
WORKING PAPER SERIES - No. 146
Details
Abstract
This paper examines the relationship between competition policies and policies to preserve stability in the banking sector. Market structures and the relative importance of the three classical antitrust areas for banking are discussed, showing the predominance of merger review considerations for loan and deposit markets as well as the relevance of cartel considerations for payment systems. A core part of the paper is an analysis of the relative roles of competition and supervisory authorities in the review of bank mergers for the G-7 industrialised countries. A wide variety of approaches emerges, with some countries giving a stronger role to prudential supervisors than to competition authorities and other countries doing it the other way round. In search for explanations for this diversity the theoretical and empirical literature on the competition-stability nexus in banking is surveyed. It turns out that the widely accepted trade-off between competition and stability does not generally hold.
JEL Code
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
G34 : Financial Economics→Corporate Finance and Governance→Mergers, Acquisitions, Restructuring, Corporate Governance
K21 : Law and Economics→Regulation and Business Law→Antitrust Law
L4 : Industrial Organization→Antitrust Issues and Policies
1 May 2003
WORKING PAPER SERIES - No. 230
Details
Abstract
Four years after the introduction of the euro, this paper provides an overview of the current structure and integration of the euro area financial systems and related policy initiatives. We first compare the euro area financial structure with that of the United States and Japan. Using new and comprehensive financial account data, we also describe how the euro area financial structure evolved since 1995. We document the progress towards integration of the major euro area financial segments, namely money markets, bond markets, equity markets and banking. Finally, we discuss recent policy initiatives aimed at further improving European financial integration
JEL Code
G00 : Financial Economics→General→General
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
20 November 2003
WORKING PAPER SERIES - No. 292
Details
Abstract
We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete in a differentiated loan market, hold reserves against liquidity shocks, and refinance in the interbank market. A merger creates an internal money market that induces financial cost advantages and may increase reserve holdings. We assess changes in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase expected aggregate liquidity needs, and thus the liquidity provision by the central bank. Comparative statics suggest that a more competitive environment moderates this effect.
JEL Code
D43 : Microeconomics→Market Structure and Pricing→Oligopoly and Other Forms of Market Imperfection
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
L13 : Industrial Organization→Market Structure, Firm Strategy, and Market Performance→Oligopoly and Other Imperfect Markets
17 March 2004
WORKING PAPER SERIES - No. 324
Details
Abstract
In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or vanishes asymptotically. We show that if one currency return reaches crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals' distributions exhibit light tails (like e.g. the normal). However, if the marginal distributions exhibit heavy tails, the probability that the other currency breaks down as well remains strictly positive even in the limit. This result implies that linearity and heavy tails are sufficient conditions for joint or contagious currency crises to happen systematically through fundamentals.
JEL Code
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
F31 : International Economics→International Finance→Foreign Exchange
G39 : Financial Economics→Corporate Finance and Governance→Other
C49 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Other
28 September 2005
WORKING PAPER SERIES - No. 527
Details
Abstract
This paper derives indicators of the severity and structure of banking system risk from asymptotic interdependencies between banks' equity prices. We use new tools available from multivariate extreme value theory to estimate individual banks' exposure to each other ("contagion risk") and to systematic risk. By applying structural break tests to those measures we study whether capital markets indicate changes in the importance of systemic risk over time. Using data for the United States and the euro area, we can also compare banking system stability between the two largest economies in the world. For Europe we assess the relative importance of cross-border bank spillovers as compared to domestic bank spillovers. The results suggest, inter alia, that systemic risk in the US is higher than in the euro area, mainly as cross-border risks are still relatively mild in Europe. On both sides of the Atlantic systemic risk has increased during the 1990s.
JEL Code
C49 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Other
F36 : International Economics→International Finance→Financial Aspects of Economic Integration
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
26 July 2007
WORKING PAPER SERIES - No. 786
Details
Abstract
There is a long-standing debate about the special nature of banks. Based on a unique dataset of legislative changes in industrial countries, we identify events that strengthen competition policy, analyse their impact on banks and non-financial firms and explain the reactions observed with institutional features that distinguish banking from non-financial sectors. Covering nineteen countries for the period 1987 to 2004, we find that banks are special in that a more competition-oriented regime for merger control increases banks' stock prices, whereas it decreases those of non-financial firms. Moreover, bank merger targets become more profitable and larger. A major determinant of the positive bank returns, after controlling inter alia for the general quality of institutions and individual bank characteristics, is the opaqueness that characterizes the institutional setup for supervisory bank merger reviews. Thus strengthening competition policy in banking may generate positive externalities in the financial system that offset unintended adverse side effects on efficiency introduced through supervisory policies focusing on prudential considerations and financial stability. Legal arrangements governing competition and supervisory control of bank mergers may therefore have important implications for real activity.
JEL Code
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
D4 : Microeconomics→Market Structure and Pricing
24 September 2007
OCCASIONAL PAPER SERIES - No. 72
Details
Abstract
The extended period of limited growth experienced until recently in many European countries raises the issue as to which policies could be most effective in improving their economic performance. This paper argues that further financial sector reforms may be a valuable complement to ongoing efforts to reform labour and product markets. There is a long-standing view in the economic literature that well-functioning financial systems allow economies to exploit the benefits of innovation in terms of productivity and growth. Moreover, measured productivity differentials between Europe and the United States seem to originate particularly in the financial sector and from sectors that are particularly dependent on external financing. Building on and summarising the existing literature, this paper first introduces a number of concepts that are important for financial sector analyses and policies. Second, it presents a selection of indicators describing the efficiency and development of the European financial system from the perspective of a variety of dimensions. Third, an attempt is made to estimate the extent to which greater financial efficiency might improve the allocation of productive capital in Europe. While in the recent past the research and policy debate in Europe has focused on fostering financial integration, the present paper puts the main emphasis on financial development or modernisation in the context of the finance and growth literature. The results suggest that there are a number of ways in which the financial market framework conditions in Europe can be improved to increase the contribution of the financial system to innovation, productivity and growth. The most robust conclusions can be drawn for certain aspects of corporate governance, the efficiency of legal systems in resolving conflicts in financial transactions and some structural features of European bank sectors.
JEL Code
G00 : Financial Economics→General→General
O16 : Economic Development, Technological Change, and Growth→Economic Development→Financial Markets, Saving and Capital Investment, Corporate Finance and Governance
O43 : Economic Development, Technological Change, and Growth→Economic Growth and Aggregate Productivity→Institutions and Growth
E61 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Policy Objectives, Policy Designs and Consistency, Policy Coordination
15 February 2012
WORKING PAPER SERIES - No. 1425
Details
Abstract
This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate domestic shocks. After integration they can share these risks in a complete interbank market. When banks have a comparative advantage in providing credit to certain industries, financial integration may induce banks to specialize in lending. An enhanced concentration in lending does not necessarily increase risk, because a well-functioning interbank market allows to achieve the necessary diversification. This greater need for risk sharing, though, increases the risk of cross-border contagion and the likelihood of widespread banking crises. However, even though integration increases the risk of contagion it improves welfare if it permits banks to realize specialization benefits.
JEL Code
D61 : Microeconomics→Welfare Economics→Allocative Efficiency, Cost?Benefit Analysis
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
28 May 2015
WORKING PAPER SERIES - No. 1796
Details
Abstract
Boom-bust cycles in real estate markets have been major factors in systemic financial crises and therefore need to be at the forefront of macroprudential policy. The geographically differentiated nature of real estate market fluctuations implies that these policies need to be granular across regions and countries. Before the financial crisis that started in 2007 property markets were overvalued in a range of European countries, but much like in other constituencies active policies addressing this were an exception. An increasing number of studies suggest that borrower-based regulatory policies, such as reductions in loan-to-value or debt-to-income limits, can be effective in leaning against real estate booms. But many of the new macroprudential policy authorities in Europe do not have clear powers to determine them. Moreover, the cross-border spillovers they may give rise to suggest the establishment of a well-defined macroprudential coordination mechanism for the single European market.
JEL Code
G01 : Financial Economics→General→Financial Crises
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
R39 : Urban, Rural, Regional, Real Estate, and Transportation Economics→Real Estate Markets, Spatial Production Analysis, and Firm Location→Other
G17 : Financial Economics→General Financial Markets→Financial Forecasting and Simulation
E5 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit
22 August 2018
FORUM ON CENTRAL BANKING
ECB Forum on Central Banking 2018
20 December 2018
WORKING PAPER SERIES - No. 2219
Details
Abstract
On 1 June 2018 the ECB celebrated its 20th anniversary. This paper provides a comprehensive view of the ECB’s monetary policy over these two decades. The first section provides a chronological account of the macroeconomic and monetary policy developments in the euro area since the adoption of the euro in 1999, going through four cyclical phases “conditioning” ECB monetary policy. We describe the monetary policy decisions from the ECB’s perspective and against the background of its evolving monetary policy strategy and framework. We also highlight a number of the key critical issues that were the subject of debate. The second section contains a partial assessment. We first analyze the achievement of the price stability mandate and developments in the ECB’s credibility. Next, we investigate the ECB’s interest rate decisions through the lens of a simple empirical interest rate reaction function. This is appropriate until the ECB hits the zero-lower bound in 2013. Finally, we present the ECB’s framework for thinking about non-standard monetary policy measures and review the evidence on their effectiveness. One of the main themes of the paper is how ECB monetary policy responded to the challenges posed by the European twin crises and the subsequent slow economic recovery, making use of its relatively wide range of instruments, defining new ones where necessary and developing the strategic underpinnings of its policy framework.
JEL Code
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E42 : Macroeconomics and Monetary Economics→Money and Interest Rates→Monetary Systems, Standards, Regimes, Government and the Monetary System, Payment Systems
N14 : Economic History→Macroeconomics and Monetary Economics, Industrial Structure, Growth, Fluctuations→Europe: 1913?
G01 : Financial Economics→General→Financial Crises
2012
Journal of International Economics
  • Fecht, F., Grüner, H.-P., and Hartmann, P.
2012
Oxford Handbook of Banking, Oxford University Press
Systemic Risk in Banking: An Update
  • O. de Bandt, P. Hartmann and J. Peydro
2010
Journal of Empirical Finance
Heavy Tails and Currency Crises
  • P. Hartmann, S. Straetmans and C. de Vries
2008
Oxford University Press
Handbook of European Financial Markets and Institutions
  • X. Freixas, P. Hartmann and C. Mayer (eds.)
2007
Geneva Report on the World Economy
International Financial Stability
  • R. Ferguson, P. Hartmann, F. Panetta and R. Portes
2007
Journal of Money, Credit and Banking
Bank Mergers, Competition and Liquidity
  • E. Carletti, P. Hartmann and G. Spagnolo
2005
The Risks of Financial Institutions (National Bureau of Economic Research and Chicago University Press)
Banking System Stability: A Cross-Atlantic Perspective
  • P. Hartmann, S. Straetmans and C. de Vries
2005
Central Banking
Managing Financial Research in Central Banks
  • P. Hartmann and M. Kwast
2004
Review of Economics and Statistics
Asset Market Linkages in Crisis Periods
  • P. Hartmann, S. Straetmans and C. de Vries
2003
Oxford Review of Economic Policy
The Euro-area Financial System: Structure, Integration and Policy Initiatives
  • P. Hartmann, A. Maddaloni and S. Manganelli
2002
Economic Policy
Features of the Euro’s Role in International Financial Markets
  • C. Detken and P. Hartmann
2001
Journal of International Money and Finance
The Microstructure of the Euro Money Market
  • P. Hartmann, M. Manna and A. Manzanares
2000
International Finance
The Euro and International Capital Markets
  • C. Detken and P. Hartmann
1999
Journal of Banking and Finance
Trading Volumes and Transaction Costs in the Foreign Exchange Market: Evidence from Daily Dollar-Yen Spot Data
  • P. Hartmann
1998
Journal of International Money and Finance
Do Reuters spreads reflect currencies' differences in global trading activity?
  • P. Hartmann
1998
Risk
Extreme Returns, Value-at-Risk and the Basel Multiplication Factor
  • J. Danielsson, P. Hartmann and C. de Vries
1998
Cambridge University Press
Currency Competition and Foreign Exchange Markets: The Dollar, the Yen and the Euro
  • P. Hartmann
1997
The Financial Regulator
Credit Derivatives: A New Beast to Be Tamed?
  • P. Hartmann