Всего публикаций в данном разделе: 243
The Unbearable Tightness of Being in a Monetary Union: Fiscal Restrictions and Regional Stability [статья]
Опубликовано на портале: 03-12-2007Evi Pappa, Vanghelis Vassilatos European Economic Review. 2007. Vol. 51. No. 6. P. 1492-1513.
We study how constrained fiscal policy can affect macroeconomic stability and welfare in a two-region model of a monetary union with sticky prices and distortionary taxation. Both government spending and taxes can be used to stabilize regional variables; however, the best welfare outcome is obtained under some tax variability and constant regional inflations. We use a variety of rules to characterize constrained fiscal policy and find that strict fiscal rules coupled with a monetary policy that targets union-wide inflation result in regional inflation stability and the welfare costs of such rules are not as unbearable as one would expect. Fiscal authorities can enhance welfare by targeting the regional output gap, while targeting regional inflation is less successful since inflation stability is guaranteed by the central bank.
Опубликовано на портале: 03-12-2007Patrick Fève, Julien Matheron, Céline Poilly Economics Letters. 2007. Vol. 96. No. 1. P. 97-102.
We investigate identification issues in estimated Taylor rules. Embedding two alternative views about monetary policy, inertia versus serially correlated shocks, in a single equation, we show that using euro data, it is impossible to discriminate between these two competing representations.
Опубликовано на портале: 03-12-2007Wolfgang Lemke Discussion Paper Series 1: Economic Studies. 2007. No. 13/2007.
A joint model of macroeconomic and term structure dynamics is specified and estimated for the euro area. The model comprises a backward-looking Phillips curve, a dynamic IS equation, a monetary policy rule as well as a specification of the dynamics of trend growth and the natural real interest rate. Under the condition of no arbitrage, yields of all maturities are affine functions of the macroeconomic driving forces. With the exception of a shock to potential output growth, the response of short-term yields to macroeconomic shocks is generally stronger than that of long-term yields. Impulse responses of all bond yields are fairly persistent, which reflects the persistence of their macroeconomic driving forces. Across the whole maturity spectrum, about ninety percent of the variation in yields is explained jointly by monetary policy shocks and shocks to the natural real rate of interest; the relative contribution of the latter shock increases with time to maturity. Cost-push shocks explain at most eight percent, while shocks to the output gap play an even less important role.
The Optimal Level of Foreign Reserves in Financially Dollarized Economies: The Case of Uruguay [статья]
Опубликовано на портале: 03-12-2007Fernando M. Goncalves IMF ,Working Paper. 2007. No. 7.
This paper extends the framework derived by Jeanne and Rancière (2006) by explicitly incorporating the dollarization of bank deposits into the analysis of the optimal level of foreign reserves for prudential purposes. In the extended model, a sudden stop in capital flows occurs in tandem with a run on dollar deposits. Reserves can smooth consumption in a crisis but are costly to carry. The resulting expression for the optimal level of reserves is calibrated for Uruguay, a country with high dollarization of bank deposits. The baseline calibration indicates that the gap between actual and optimal reserves has declined sharply since the 2002 crisis due to a substantial reduction in vulnerabilities. While the results suggest that reserves are now near optimal levels, further accumulation may be desirable going forward, partly because banks' currently high liquidity levels are likely to decline as the credit recovery matures.
Опубликовано на портале: 03-12-2007Emine Boz IMF, Working Paper. 2007. No. 07/223.
Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset-pricing model with informational frictions in which vulnerability and the crisis itself are consequences of the investor optimism in the period preceding the crisis. The model features two sets of investors, domestic and foreign. Both sets of investors learn from noisy signals, which contain information relevant for asset returns and formulate expectations, or "beliefs," about the state of productivity. We show that, if preceded by a sequence of positive signals, a small, negative noise shock can trigger a sharp downward adjustment in investors' beliefs, asset prices, and consumption. The magnitude of this downward adjustment and sensitivity to negative signals increase with the level of optimism attained prior to the negative signal.
Опубликовано на портале: 03-12-2007Gabriel Di Bella, Mark Lewis, Aurelie Martin IMF ,Working Paper. 2007. No. 07/201.
Assessing a country's competitiveness routinely starts with an analysis of the real exchange rate. However, in low-income countries, empirical analysis of the real exchange rate is often subject to important limitations that seriously weaken the results. This paper summarizes the methodologies used to assess real exchange rate misalignments and discusses the range of obstacles common to low-income countries. Recognizing the importance of using a wide range of indicators for assessing competitiveness in low-income countries, the paper discusses alternative competitive measures and then proposes a template of indicators to allow for a systematic assessment of competitiveness in low-income countries. The template is then used to rank countries according to their competitiveness performance in 2006.
Capital Flows, Financial Integration, and International Reserve Holdings: The Recent Experience of Emerging Markets and Advanced Economies [статья]
Опубликовано на портале: 01-12-2007Woon Gyu Choi, Sunil Sharma, Maria Stromqvist IMF ,Working Paper. 2007. No. 07/151.
This paper examines the interaction between capital flows and international reserve holdings in the context of increasing financial integration. For emerging markets the sensitivity of reserves to net capital flows was negative in the 1980s, but became positive after the Asian crisis when these countries used net capital flows to build up reserves. For advanced countries, net capital flows had a negative effect on reserves, especially in recent years. Using measures of financial globalization, we also provide evidence that the sensitivity of reserves to net capital flows increased with globalization for emerging markets while it decreased for advanced countries.
Опубликовано на портале: 26-11-2007Diego Restuccia, Margarida Duarte, Andrea L. Waddle Economic Quarterly. 2007. Win. P. 57-76.
The authors study the business cycle properties of exchange rates and other macro-economic variables in a panel of developed and developing countries. They find substantial variation in the degree of co-movement of exchange rates with other macroeconomic variables across countries in our sample. Moreover, the volatility of exchange rates is much larger in developing countries than in developed countries. This larger volatility of exchange rates in developing countries is associated with the characteristics of business cycles and the level of co-movement with other aggregates.
Опубликовано на портале: 16-11-2007Alessandro Flamini Journal of Intrernational Money and Finance. 2007. Vol. 26. No. 7. P. 1113-1150 .
This paper analyzes how endogenous imperfect exchange rate pass-through affects inflation targeting optimal monetary policies in a New Keynesian small open economy. The paper shows that an inverse relation exists between the pass-through and the insulation of the economy from foreign and monetary policy shocks, and that imperfect pass-through tends to decrease the variability of the terms of trade. Furthermore, with CPI inflation targeting, in the short run, delayed pass-through constrains monetary policy more than incomplete pass-through and interest rate smoothing amplifies this effect. When the pass-through decreases, the variability in economic activity tends to rise and the trade-off between the stabilization of CPI inflation and output worsens in direct relation to how strictly the central bank is targeting CPI inflation. In contrast, with domestic inflation targeting, optimal monetary policy is not constrained and opposite results occur. Consequently, imperfect pass-through favors the choice of domestic to CPI inflation targeting.
Опубликовано на портале: 16-11-2007Gianluca Benigno Journal of Monetary Economics. 2004. Vol. 51. No. 3. P. 473-502.
The objective of this paper is to analyze the effects of alternative monetary rules on real exchange rate persistence. Using a two-country stochastic dynamic general equilibrium with nominal price stickiness and local currency pricing, we will show how the persistence of purchasing power parity deviations can be related to a monetary theory of these deviations. When monetary policy lean against the wind, there is no relationship of proportionality between the time during which prices remain sticky and the persistence of the response of the real exchange rate: in this case high nominal price rigidity is not sufficient, per se, in generating any persistence following a monetary shock. Moreover, we emphasize the role of interest rates smoothing policies and relative price stickiness within countries in understanding the relationship between the real exchange rate and monetary shocks. With reasonable parameters values, a wide range of monetary policy rules can generate real exchange rate autocorrelations around the ones observed in the data.
Опубликовано на портале: 15-11-2007Pierpaolo Benigno, Gianluca Benigno Journal of Monetary Economics. 2006. Vol. 53. No. 3. P. 473-506.
This study analyzes a two-country dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing. A quadratic approximation to the utility of the consumers is derived and assumed as the policy objective function of the policymakers. It is shown that only under special conditions there are no gains from cooperation and moreover that the paths of the exchange rate and prices in the constrained-efficient solution depend on the kind of disturbance that affects the economy. Despite this result, simple targeting rules that involve only targets for the growth of output and for both domestic GDP and CPI inflation rates can replicate the cooperative allocation.
Central Bank Learning, Terms of Trade Shocks and Currency Risk: Should Only Inflation Matter for Monetary Policy? [статья]
Опубликовано на портале: 15-11-2007G.C. Lim, Paul D. McNelis Journal of Intrernational Money and Finance. 2007. Vol. 26. No. 6. P. 865-886.
This paper examines the role of interest rate policy in a small open economy, subject to terms of trade shocks and time-varying currency risks. The private sector makes optimal decisions in an intertemporal, non-linear setting with rational, forward-looking expectations. In contrast, the monetary authority chooses an optimal interest rate reaction function, given a loss function that is conditional on the state of the economy and given its “least squares learning” about the evolution of inflation and exchange-rate depreciation. The simulation results of the effects of different policy scenarios on welfare show that, on balance, the preferred stance should be strict inflation targeting.
The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks [статья]
Опубликовано на портале: 30-10-2007Pedro J. Perez, Denise R. Osborn, Michael Artis University of Manchester Center for Growth and Business Cycle Research Discussion Paper Series. 2003. No. 037.
This paper examines the changing relationships between the G-7 countries through VAR models for the quarterly growth rates, estimated both over sub-periods and using a rolling data window. Six trivariate models are estimated, all of which include the US and a European (E15) aggregate. In relative terms, the conditional volatility of E15 growth has declined more since 1980 than the well-documented decline for the US. The propagation of shocks has also changed, with the volatility and propagation effects separated by applying shocks of pre-1980 magnitude to VARs estimated over various periods. Rolling estimation reveals that E15 has a steadily increasing impact on the US economy over time, while the effects of the US on Europe have been largest during the 1970s and the late 1990s.
Опубликовано на портале: 30-10-2007Xinshen Diao, Wenli Li, Erinc Yeldan Federal Reserve Bank of Richmond Economic Quarterly, Working Paper. 2000. Vol. 86(2). P. 35-59.
Two years and more have passed since the outbreak of the East Asian Financial crisis in 1997. Although international economic and financial conditions deteriorated somewhat in the wake of the crisis.Using an intertemporal general equilibrium model in which commodity trade and capital flows link regions and propagate shocks, the authors show that the effects of the crisis were distributed unevenly across nations. Other developed countries suffered the largest blow. Industrial economies, however, went largely unscathed as the crisis impinged but little on them; indeed, they even experienced a boost at the start of the crisis. It follows that fears of adverse effects on industrial economies were largely unjustified.
International Finance [учебная программа]
Опубликовано на портале: 30-10-2007Kenneth S. Rogoff
Курс читается в магистратуре Гарвардского университета. Основного учебника не предлагается, но большинство обсуждаемых тем содержится в Foundations of International Macroeconomics, by Maurice Obstfeld and Kenneth Rogoff (MIT Press, October 1996)
Требования курса: "Graduate Macro". Необходимая математическая подготовка: высшая математика, эконометрика на уровне магистратуры.
В курсе обсуждаются актуальные проблемы международных финансов.
Требования курса: "Graduate Macro". Необходимая математическая подготовка: высшая математика, эконометрика на уровне магистратуры.
В курсе обсуждаются актуальные проблемы международных финансов.
Net Worth, Exchange Rates, and Monetary Policy: The Effects of a Devaluation in a Financially Fragile Environment [статья]
Опубликовано на портале: 28-10-2007Joseph E. Stiglitz, Bruce C.N. Greenwald, Mauro Gallegati, Domenico Delli Gatti NBER Working Papers. 2007. No. 13244.
In this paper it is proposed an Open Economy Financial Accelerator model along the lines of Greenwald-Stiglitz (1993) close in spirit but different in many respects from the one proposed by Greenwald (1998.) The first goal of the paper is to provide a taxonomy of the effects of a devaluation in this context. The direct (first round) effect on output, taking as given net worth and interest rate, is negative for domestic firms (due to the input cost effect) and positive for exporting firms (due to a positive foreign debt effect). The indirect (second round) wealth effect (on output through net worth, taking as given the interest rate) is uncertain, depending on the relative size of the domestic and exporting firms. There is also an indirect effect on output through the response of the domestic interest rate to a devaluation due to the risk premium effect. Due to the uncertainty on the sign of most of these effects, it is difficult to assess the overall impact of a devaluation. One cannot rule out, however, an economy-wide contractionary effect of a devaluation. If the devaluation affects negatively the net worth of domestic firms, the domestic interest rate may rise (due to the risk premium effect), exerting an additional contractionary impact on output. If, on top of that, the monetary authorities force a further increase of the interest rate in an effort to curb the exchange rate, the contractionary effect will be emphasized.
Optimal Currency Areas [статья]
Опубликовано на портале: 25-10-2007Alberto Alesina, Robert J. Barro, Silvana Tenreyro NBER Macroeconomics Annual. 2002. Vol. 17.
As the number of independent countries increases and their economies become more integrated, we would expect to observe more multi-country currency unions. This paper explores the pros and cons for different countries to adopt as an anchor the dollar, the euro, or the yen. Although there appear to be reasonably well-defined euro and dollar areas, there does not seem to be a yen area. We also address the question of how trade and co-movements of outputs and prices would respond to the formation of a currency union. This response is important because the decision of a country to join a union would depend on how the union affects trade and co-movements
Опубликовано на портале: 25-10-2007Philippe Aghion, Philippe Bacchetta, Abhijit Banerjee Journal of Economic Theory. 2004. Vol. 119. No. 1. P. 6-30.
This paper presents a general equilibrium currency crisis model of the 'third generation', in which the possibility of currency crises is driven by the interplay between private firms' credit-constraints and nominal price rigidities. Despite our emphasis on microfoundations, the model remains sufficiently simple that the policy analysis can be conducted graphically. The analysis hinges on four main features: i) ex post deviations from purchasing power parity; ii) credit constraints a la Bernanke-Gertler; iii) foreign currency borrowing by domestic firms; iv) a competitive banking sector lending to firms and holding reserves and a monetary policy conducted either through open market operations or short-term lending facilities. We first show that with a positive likelihood of a currency crisis, firms may indeed find it optimal to borrow in foreign currency, following Chamon (2001). Second, we derive sufficient conditions for the existence of a sunspot equilibrium with currency crises. Third, we show that a reduction in the monetary base through restrictive open market operations is more likely to eliminate the possibility of currency crises if at the same time the central bank does not impose excessive constraints on short-term lending facilities
Опубликовано на портале: 25-10-2007Kristin J. Forbes, Roberto Rigobon Journal of Finance. 2002. Vol. 57. No. 5. P. 2223-2261.
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence
Опубликовано на портале: 25-10-2007Graciela L. Kaminsky, Saul Lizondo, Carmen M. Reinhart IMF Staff Papers. 1998. Vol. 45. No. 1.
This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain threshold value, this is interpreted as a warning "signal" that a currency crisis may take place within the following 24 months. The variables that have the best track record within this approach include exports, deviations of the real exchange rate from trend, the ratio of broad money to gross international reserves, output, and equity prices