Research - 17.04.2024 - 10:30 

The impact of monetary and fiscal policy in times of crisis

The Swiss National Science Foundation (SNSF) has approved a grant of CHF 776,000 for a period of 41 months for the project "Fresh evidence on the effects of monetary and fiscal policy based on transaction data" by HSG professors Prof. Dr. Matthias Fengler and Prof. Dr. Winfried Koeniger. The funded research aims at better understanding monetary and fiscal policy and risk hedging in times of crisis.

Recent economic crises have clearly demonstrated the importance of timely, accurate and granular data for well-informed economic policy decisions. The project is based on two novel datasets of detailed high-frequency transaction data. The data will be used to uncover new monetary and fiscal policy transmission mechanisms. The accurate information on transactions for each day, for each postcode and for detailed expenditure categories makes it possible to find out how the impact of economic policies differs across regions, over time and by expenditure category.

Research focus

The project aims to provide new insights into:

  1. How monetary and fiscal policy shocks affect the cost of hedging risk in the option market.
  2. How unconventional fiscal policy affects consumer spending through a temporary VAT cut.
  3. How monetary policy shocks affect consumer spending in detail, i.e., at high frequency, for different expenditure items and for different regions.

The analyses within the project aim to better understand how monetary and fiscal policies can be designed to mitigate the negative effects of recessions and crises on the real economy. The analyses also explore how economic policies can contribute to more cost-effective insurance against risks.


On the one hand, the analysis is based on the extensive data set of options order books of the EUREX futures and options exchange. The analysis of this data set provides insights into how monetary policy influences the cost of hedging risk in option markets. Of particular interest is whether monetary policy in times of crisis leads to lower-cost insurance opportunities on the options markets and thus mitigates the negative consequences for the real economy.

On the other hand, the analysis uses credit card transaction data for Germany and Austria to investigate the effects of the temporary VAT reduction in Germany in 2020. The findings, based on the transaction data, will make it possible to reassess the costs of the VAT cut in the euro area's largest economy. In addition, the transaction data will be used to analyze the transmission mechanisms of monetary policy in detail. This should provide insights into how monetary policy can achieve its economic objectives effectively.

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