Daniel Dieckelmann is a PhD student of Economics at the John F. Kennedy Institute of Freie Universität Berlin. His fields of research are quantitative macro-financial history, financial stability and systemic risk. He studied Information Systems and Economics in Cologne, Heidelberg and Copenhagen. For three years he worked on financial crises predictions and systemic risk analysis in fin-tech and at the European Central Bank. Daniel is interested in machine learning, statistics and programming and applies in his work quantitative methodologies to historical data. His current research seeks to enhance the understanding and prediction of financial crises through discovering and employing new historical macro-financial data
Money, Banking, and Financial Crises: A historical North American perspective, undergraduate economics, Freie Universität Berlin
Introductory Statistics, undergraduate economics, Heidelberg University
Daniel Dieckelmann conducts research at the intersection of quantitative economic history and macro-financial stability. Specifically, he investigates how employing historical data enhances our understanding of financial crises and their prediction.
Fields: financial stability, (quantitative) macro-financial history, empirical macroeconomics, monetary economics.
Abstract: This paper examines whether the functional differentiation of private credit matters with respect to financial stability and economic growth. I present new historical data on total private credit to the non-financial sector in the United States for the past 120 years. The new series is disaggregated by type of borrower (household, businesses) and by type of loan (mortgage, non-mortgage). I find that no single credit components outperforms the others in predicting financial crises. However, total private credit levels above 80\% rapidly increase their probability. Household non-mortgage credit has a positive short-term effect on income growth that is offset by a subsequent negative effect over the medium run. Business non-mortgage credit depresses income growth and puts the economy on a lower output level. Reversely, income growth induces growth in business debt, especially after the Second World War. The effects of mortgage credit remain ambiguous both in terms of financial stability and economic growth.
Abstract: This paper presents an early warning system to predict banking crises in developed small open economies. The model considers two sources of financial instability: Risk from domestic macro-financial factors and exposure to banking systems of foreign countries with high domestic risk of banking crises. Foreign banking system exposure is measured by the GDP-weighted sum of domestic crisis probabilities in foreign countries that the country of interest has bank claims on. The combined approach outperforms purely domestic early warning systems and is able to account for spill-over effects from high-risk influencing countries on small open economies. The model is able to predict the Global Financial Crisis of 2007-09 out-of-sample where it assigns significantly lower crisis probabilities to economies that retrospectively were spared from disaster. The low exposure to highly leveraged foreign banking systems explains the resilience of those economies