The aim of this dissertation is to shed light on selected facets of macro-financial interdependencies by the means of econometric analyses. The cumulative thesis consists of three empirical essays which are devoted to the (i) macroeconomic determinants of house prices and rents, (ii) the drivers of demand at government bond auctions, and (iii) the information content of financial stress with respect to the probability of future recessions.

The first chapter is a synopsis putting the topics of the three following analyses into the context of the interdisciplinary literature on financialisation. It provides overviews of the respective literatures and then discusses how the empirical results of the subsequent chapters are related to aspects of financialisation. Furthermore, possible directions for future research building on the findings of this thesis are elaborated.

The second chapter, “The Macroeconomic determinants of House Prices and Rents”, is motivated by the question of whether the level of interest rates does not only affect house prices but also housing rents. To study this question the analysis employs regressions with several potential determinants of house prices and rents. The sample consists of a macroeconomic panel of 21 advanced economies. The results imply that there exists a negative direct effect of interest rates not only on house prices but also on housing rents. While the second result stands in contrast to conventional economic theory it might be driven by the role of institutional investors in the rental housing market. Additionally, the analysis finds that per capita income and bank lending exert significantly positive effects on house prices. The housing stock has significantly negative effects on both prices and rents. Moreover, the estimated impact of interest rates on both house prices and rents varies with structural housing market characteristics. For instance, while interest rates have a more pronounced effect on house prices in countries with more developed mortgage markets, the same does not hold for the effect of interest rates on rents.

The third chapter, “Primary Market Demand for German Government Bonds”, studies the drivers of demand at German government bond auctions. Applying model averaging techniques, it identifies robust drivers from a set of potential determinants that is by far the largest in the existing literature. The results can be summarized as follows. Demand is positively affected by the secondary market yield of the respective security, the announcement of upcoming syndications by the issuer, the volume offered, and underpricing at previous auctions. Furthermore, central bank net purchases in the secondary market have a robustly positive effect on demand at least for short-term bonds. Robustly negative effects are found for market volatility and the regulatory introduction of the leverage ratio for banks. The most noticeable null result is that I do not find robust evidence for crowding-out-like effects where the issuance activity of comparable issuers would dampen auction demand.

The fourth chapter, “The Real-Time Information Content of Financial Stress and Bank Lending on European Business Cycles”, analyses the forecasting power of financial market stress with respect to economic downturns in Germany and the euro area. To extract information on financial market stress from a broad range of indicators we construct so-called financial stress indices (FSIs). The construction relies on automatic indicator selection and principal component analysis. The FSIs are integrated into recession forecasting procedures based on probit estimations. To create a realistic setup the analysis is performed in pseudo real-time by considering both publication lags and vintage data of the respective financial and macroeconomic indicators. Furthermore, the forecasting exercise uses automatic variable selection and forecast-averaging procedures to avoid overfitting and to create a flexible framework. The results indicate that the inclusion of financial stress in forecasting leads to an improved recession forecast for the euro area, while the results for Germany are mixed. In addition, we find that the inclusion of bank lending as an explanatory variable adds little additional forecasting power.