Get introduced to postdoctoral researchers at SAFE. The profiles are originally from the magazine Points which can be dowloaded here.
For Kaspar Zimmermann, working with data is all about long timeframes – such as in his publication “The Big Bang: Stock Market Capitalization in the Long Run” in the forthcoming issue of the Journal of Financial Economics, one of the world’s most cited academic journals.
Working with his co-author Dmitry Kuvshinov, Zimmermann has collected data series on the stock market capitalization, share issues and prices, dividends, and discount rates of listed companies in 17 highly-developed economies over the past 150 years. His paper documents a structural break in the development of stock markets: from the nineteenth century through until the 1980s, stock markets grew in lockstep with the real economy as market growth was driven primarily by equity issues; since the 1980s, however, due to rising stock prices and corporate profits, stock markets have grown much faster than the real economy.
“It’s exciting to dig up a new source in an archive and find variations in data that you can use,” Zimmermann says. But use for what? “By collecting data on a larger scale and combining it with a longer-term perspective, we can sometimes learn more about which explanations come into question for certain phenomena. This, in turn, allows us to formulate general statements on this new basis,” explains the 31-year-old.
Understanding financial crises in a historical context
Zimmermann read for his undergraduate and postgraduate degrees at the University of Bonn between 2010 and 2020, with stops along the way taking him to the Paris School of Economics and Yale University. At Yale, Zimmermann taught, among others, for William Nordhaus, who later won the Nobel Prize in Economics.
For his Ph.D., Zimmermann studied sovereign bankruptcies, interest rate developments, credit cycles related to bank profitability, and, of course, stock market capitalization. Now, he is working on a new idea: “So far, we have aggregate sectoral data for 17 highly-developed economies. But if we want to go on to understand where financial crises come from, individual bank data can help us do that.” A new paper on this is currently, in collaboration with colleagues from the University of Bonn and Cornell University in the United States, in progress.
“Research thrives on interaction”
At SAFE, Kaspar Zimmermann researches into economic historical trends in the field of macro-finance. As in most academic disciplines, exchange with other experts is essential to him: “Our research thrives on interaction. It is very helpful to have such a good network of researchers at SAFE.” That was a good reason for him to come to Frankfurt in January 2021.
In terms of his pastimes, Zimmermann is a keen cyclist and is looking to take a few longer bike trips in the new year – preferably, like his research, extending over longer timeframes (albeit measured in weeks rather than centuries). “We’ve cycled through France and Spain a few times and been to Scandinavia,” he says, and is now casting an eye towards routes along the Croatian coast and through Italy: “Both countries have lots of cities worth seeing and you can easily line them up as part of a cycling holiday.” Perhaps he will plan in a couple of stops at bank archives along the way.
Kaspar Zimmermann is Advanced Researcher in the department Macro Finance at SAFE.