NBER Working Paper Series
Опубликовано на портале: 11-08-2004Charles M. Engel, Chang-Jin Kim NBER Working Paper Series. 1996. No. 5777.
В статье исследуется поведение долгосрочного уровня реального курса доллара к фунту стерлинга в период с 1885 по 1995 год. Долгосрочное значение курса путем разделения наблюдаемой величины на две компоненты: постоянную или долгосрочную (permanent) и переходную или краткосрочную (transitory). Переходная компонента моделируется по марковскому процессу, имеющему три состояния дисперсии: низкая, средняя, высокая. Используемая модель временных рядов базируется на теоретическом предположении, состоящем в том, что постоянная компонента отражает реальные изменения в экономике, в то время как переходная - краткосрочные колебания номинального обменного курса. Оценка модели проводится на основе метода Гиббса. Поведение полученой долгосрочной компоненты согласуется с результатами других работ.
Опубликовано на портале: 16-12-2003M.E.Dominguez Kathryn NBER Working Paper Series. 1999. No. 7337.
One of the great unknowns in international finance is the process by which new information influences exchange rate behavior. This paper focuses on one important source of information to the foreign exchange markets, the intervention operations of the G-3 central banks. Previous studies using daily and weekly foreign exchange rate data suggest that central bank intervention operations can influence both the level and variance of exchange rates, but little is known about how exactly traders learn of these operations and whether intra-daily market conditions influence the effectiveness of central bank interventions. This paper uses high-frequency data to examine the relationship between the efficacy of intervention operations and the 'state of the market' at the moment that the operation is made public to traders. The results indicate that some traders know that a central bank is intervening at least one hour prior to the public release of the information in newswire reports. Also, the evidence suggests that the timing of intervention operations matter interventions that occur during heavy trading volume and that are closely timed to scheduled macro announcements are the most likely to have large effects. Finally, post-intervention mean reversion in both exchange rate returns and volatility indicate that dealer inventories are affected by market reactions to intervention news.
The Mirage of Fixed Exchange Rates [статья]
Опубликовано на портале: 13-08-2007Maurice Obstfeld, Kenneth S. Rogoff NBER Working Paper Series. 1995. No. 5191.
This paper discusses the profound difficulties of maintaining fixed exchange rates in a world of expanding global capital markets. Contrary to popular wisdom, industrialized-country monetary authorities easily have the resources to defend exchange parities against virtually any private speculative attack. But if their commitment to use those resources lacks credibility with markets, the costs to the broader economy of defending an exchange-rate peg can be very high. The dynamic interplay between credibility and commitment is illustrated by the 1992 Swedish and British crises and the 1994-95 Mexican collapse. We also discuss the small number of successful fixers.
Опубликовано на портале: 26-10-2004Carmen M. Reinhart, Kenneth S. Rogoff NBER Working Paper Series. 2001.
We develop a novel system of re-classifying historical exchange rate regimes. One difference between our study and previous classification efforts is that we employ an extensive data base on market-determined parallel exchange rates. Our 'natural' classification algorithm leads to a stark reassessment of the post-war history of exchange rate arrangements. When the official categorization is a form of peg, roughly half the time our classification reveals the true underlying monetary regime to be something radically different, often a variant of a float. Conversely, when official classification is floating, our scheme routinely suggests that the reality was a form of de facto peg. Our new classification scheme points to a complete rethinking of economic performance under alternative exchange rate regimes. Indeed, the breakup of Bretton Woods had a far less dramatic impact on most exchange rate regimes than is popularly believed. Also, contrary to an influential empirical literature, our evidence suggests that exchange rate arraignments may be quite important for growth, trade and inflation. Our newly compiled monthly data set on market-determined exchange rates goes back to 1946 for 153 countries.
Опубликовано на портале: 22-12-2003Barry Eichengreen, Alan M. Taylor NBER Working Paper Series. 2003. w9666.
How will free trade affect monetary policy and exchange rate regime choices in the Americas? While the European Union illustrates how the creation of an integrated market in goods and services can enhance monetary cooperation and integration, it is not clear that Europe's experience translates to Latin America, where the political circumstances are different. Autors try to understand whether the monetary consequences of existing regional trade agreements, including but not limited to the European Union, mainly reflect spillovers from trade integration, or whether observed outcomes have been mainly about politics. Our results incline us toward the latter interpretation, leaving us pessimistic about the basis for deeper monetary cooperation. If exchange rate volatility is to be tamed, then the more widespread adoption of inflation targeting, which we find to be associated with a significant reduction in bilateral exchange rate volatility, may be the most promising path.
Опубликовано на портале: 24-12-2003Douglas A. Irwin NBER Working Paper Series. 2001. w8689.
The United States produced about 80 percent of the world's cotton in the decades prior to the Civil War. How much monopoly power did the United States possess in the world cotton market and what would have been the effect of an optimal export tax? This paper estimates the elasticity of foreign demand for U.S. cotton exports and uses the elasticity in a simple partial equilibrium model to calculate the optimal export tax and its effect on prices, trade, and welfare. The results indicate that the export demand elasticity for U.S. cotton was about -1.7 and that the optimal export tax of about 50 percent would have raised U.S. welfare by about $6 million, about 0.1 percent of U.S. GDP or about 0.5 percent of the South's GDP.
Опубликовано на портале: 03-05-2005Emmanuel Saez NBER Working Paper Series. 2000. No. 8037.
This paper analyzes the optimal treatment of tax expenditures. It develops an optimal tax model where individuals derive utility from spending on a contribution' good such as charitable giving. The contribution good has also a public good effect on all individuals in the economy. The government imposes linear taxes on earnings and on the contribution good so as to maximize welfare. The government may also finance directly the contribution good out of tax revenue. Optimal tax and subsidy rates on earnings and the contribution good are expressed in terms of empirically estimable parameters and the redistributive tastes of the government. The optimal subsidy on the contribution good is increasing in the size of the price elasticity of contributions, the size of the crowding-out effect of public contributions on private contributions, and the size of the public good effect of the contribution good. Numerical simulations show that the optimal subsidy on contributions is fairly sensitive to the size of these parameters but that, in most cases, it should be lower than the earnings tax rate.
Опубликовано на портале: 06-10-2003James J. Heckman, Carolyn Heinrich, Jeffrey Smith NBER Working Paper Series. 2002. No. 9002.
В статье рассматривается функционирование системы рабочего тренинга, как общепринятого стандарта, который способствует улучшению эффективности управленческой структуры. Авторы предложили модель того, как создание стимулов может разрушить бюрократическое принятие решений.
Опубликовано на портале: 24-12-2003Alberto Alesina, Ignazio Angeloni, Federico Etro NBER Working Paper Series. 2001. w8645.
We model an international union as a group of countries deciding together the provision of certain public goods and policies because of spillovers. The countries are heterogeneous either in preferences and/or in economic fundamentals. The trade off between the benefits of coordination and the loss of independent policymaking endogenously determines the size, the composition and the scope of unions. Our model implies that the equilibrium size of the union is inversely related to the degree of heterogeneity between countries and to the spectrum of common policies. Hence, there is a trade off between enlargement and deepening of coordination: a union involved in too many collateral activities will be favored by few countries, while a union which focuses on a core of activities will be favored by many countries. However the political equilibrium implies a bias toward excessive centralization and small size of the union. This bias can be corrected if there is a constitutional commitment of the union to centralize only certain policies.
The Responsiveness of Consumer Prices to Exchange Rates and the Implications for Exchange-Rate Policy: A Survey of a few Recent New Open-Economy Macro Models [статья]
Опубликовано на портале: 24-12-2003Charles M. Engel NBER Working Paper Series. 2002. No. 8725.
Свойство жесткости номинальных цен ограничивает способность относительных цен, в частности, реального курса, отвечать на реальные шоки приспособлением к новому равновесию. Когда жесткостью обладают цены, измеренные в валюте производителя, гибкость относительных цен может быть достигнута за счет изменений номинального курса. Однако если цены фиксированы в валюте потребителя, гибкость валютного курса не дает никакого эффекта. Колебания курса, напротив, нежелательны, т.к. приводят к отклонению от закона единой цены. В этом случае режим фиксированного курса является оптимальным. Данная статья предоставляет читателю обзор подходов к изучению оптимальной монетарной политики, используемых в новой макроэкономике в открытой экономике (new open economy macroeconomics). Авторы пытаются понять, как эти теоретические подходы соотносятся с эмпирическим доказательством наличия связи между колебаниями валютного курса и потребительскими ценами (exchange rates pass-through).
Опубликовано на портале: 11-11-2004Nouriel Roubini, Jeffrey A. Frankel NBER Working Paper Series. 2001. w8634.
This paper considers policies of the industrialized countries, as they pertain to crises in emerging markets. These fall into three areas: (1) their own macroeconomic policies, which determine the global financial environment; (2) their role in responding to crises when they occur, particularly through rescue packages, which have three components -- reforms in debtor countries, public funds from creditor countries, and private sector involvement; and (3) efforts to reform the international financial architecture, with the aim of lessening the frequency and severity of future crises. A recurrent theme is the tension between mitigating crises that occur, and the moral hazard that such efforts create in the longer term. In addition to reviewing these three areas of policy, we consider the institutions through which the more powerful countries exercise their influence. We conclude with a discussion of the debate over the sins of the International Monetary Fund, and proposals for reform.
The Significance of International Tax Rules for Sourcing Income: The Relationship Between Income Taxes and Trade Taxes [статья]
Опубликовано на портале: 23-12-2003John Mutti, Harry Grubert NBER Working Paper Series. 1996. w5526.
This paper examines how rules to determine the source of income internationally for tax purposes can have important effects on the form in which taxable income is reported and on the location of economic activity. In the case of U.S. law, two provisions are significant: allowing a portion of export income to be regarded as foreign source and treating royalties received as foreign source. These source rules have become increasingly important due to tax policy changes adopted in the 1980s and to the growing role in U.S. production and trade of goods that require intangible intellectual property. In addition, very similar transactions can be carried out as trade in goods, trade in services or production by a foreign affiliate, and tax incentives can influence that choice. How the source rules operate and the incentives they create are demonstrated in a set of stylized calculations to determine after-tax returns under various assumptions about relevant income and withholding tax rates, tariffs, and the importance of tangible and intangible capital in production. An assessment of the empirical importance of these provisions is based on recent studies of the determinants of trade and investment by U.S. multinational corporations. The treatment of royalty income appears to encourage royalty payments from high-tax countries and to promote real economic activity there.
Опубликовано на портале: 18-08-2004Maurice Obstfeld, Kenneth S. Rogoff NBER Working Paper Series. 2000. No. 7777.
The central claim in this paper is that by explicitly introducing costs of international trade (narrowly, transport costs but more broadly, tariffs, nontariff barriers and other trade costs), one can go far toward explaining a great number of the main empirical puzzles that international macroeconomists have struggled with over twenty-five years. Our approach elucidates J. McCallum's home bias in trade puzzle, the Feldstein-Horioka saving-investment puzzle, the French-Poterba equity home bias puzzle, and the Backus-Kehoe- Kydland consumption correlations puzzle. That one simple alteration to an otherwise canonical international macroeconomic model can help substantially to explain such a broad arrange of empirical puzzles, including some that previously seemed intractable, suggests a rich area for future research. We also address a variety of international pricing puzzles, including the purchasing power parity puzzle emphasized by Rogoff, and what we term the exchange-rate disconnect puzzle.' The latter category of riddles includes both the Meese-Rogoff exchange rate forecasting puzzle and the Baxter-Stockman neutrality of exchange rate regime puzzle. Here although many elements need to be added to our extremely simple model, we can still show that trade costs play an essential role.
Опубликовано на портале: 27-10-2004Assaf Razin, Efraim Sadka NBER Working Paper Series. 2002. w9278.
The aging of the population shakes the confidence in the economic viability of pay-as-you-go social security systems. We demonstrate how in a political-economy framework the shaken cofidence leads to the downsizing of the social security-system, and to the emergence of supplemental individual retirement programs. Lifting the Stability-Pact type ceiling on fiscal deficits is shown to facilitate the transition from a national to a private pension system, through an endogenously determined shift in the median voter.
Опубликовано на портале: 23-12-2003Christopher Blattman, Jason Hwang, Jeffrey G. Williamson NBER Working Paper Series. 2003. w9940.
The contending fundamental determinants of growth - institutions, geography and culture - exhibit far more persistence than do the growth rates they are supposed to explain. So, what exogenous shocks might account for the variance around those persistent fundamentals? The terms of trade seems to be one good place to look. Using a panel data base for 35 countries, this paper estimates the impact of terms of trade volatility and secular change between 1870 and 1938. Authors find that volatility was much more important than secular change. Additionally, both effects were asymmetric between core and periphery, findings that speak directly to the terms of trade debates that have raged since Prebisch and Singer wrote more than 50 years ago.