Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Mercantilism
|
|
- Joleen Dennis
- 6 years ago
- Views:
Transcription
1 Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Mercantilism Ceyhun Bora Durdu Enrique G. Mendoza Marco E. Terrones Board of Governors of the University of Maryland International Monetary Fund Federal Reserve & NBER The views presented in this paper are those of the authors and do not necessarily reflect the views of the Board of Governors of the Federal Reserve or the IMF.
2 Stylized facts & the New Mercantilism 1. Gradual financial globalization since late 1980s Sudden Stops since Mexico Foreign reserves have surged since Sudden Stops 8% of GDP in median SS country, 13% in Asia! New Mercantilism: a) Reserves are a war chest for defense against Sudden Stops b) Current account surpluses & undervalued currencies
3 Financial globalization in Sudden Stop countries (average of country indexes) Edwards right axis Chinn-Ito left axis
4 Surge in reserves in Sudden Stop Countries (difference of averages for SS year to 2005 minus 1985 to SS year) Country Year of Sudden Stop Change in reserves Hong Kong Korea Malaysia Thailand Uruguay Indonesia Philippines Russia Turkey Peru Pakistan Argentina II Argentina I Chile Brazil Colombia Mexico Ecuador Median 7.66 Median Asian Countries 13.17
5 Our analysis Is the New Mercantilism consistent with quantitative predictions of an optimal self-insurance framework? Three determinants of precautionary asset demand: 1. Business cycle volatility Increases in variability & persistence of output fluctuations 2. Financial globalization Lower tax on NFP or lower transactions costs 3. Endogenous Sudden Stop risk Credit constraints and liability dollarization trigger Fisherian deflation
6 Main findings 1. Volatility cannot explain surge in reserves because it has not increased post-globalization 2. Financial globalization and Sudden Stop risk produce surge in foreign assets Larger globalization effects at high financial integration Self insurance reduces sharply long-run prob. of Sudden Stops 3. Slow adjustment with protracted surpluses and undervalued real exchange rates 4. Implicit hedge in two-sector model lowers prec. savings 5. Results robust to specification of preferences
7 Optimal self-insurance framework Preferences 1 1 UE t γ c ρ ln(1 + c) w. UE setup t E 0 exp v( cτ ), v( c ) = BAH t = τ = γ ln(1 + ρ ) wbahsetup. Budget constraint μ ( ) ( ) T N T N cc ( t, ct ) = a ct (1 a) c + t, a> 0, μ 1. μ 1 μ T N N T T N t t t t t t+ 1 t t t+ 1 t c + p c = ε y + π b + b [ 1 + r(1 τ) ] + T ( ψ/2)( b b ) T N N t + ( A + p A ) 2
8 Elasticity of savings under BAH & UE preferences Mean foreign assets: BAH preferences Mean foreign assets: UE preferences
9 Measures of foreign asset holdings Precautionary savings: Mean net foreign assets: Eb [ ] Sss Deterministic SS of bonds differs in BAH and UE setups In BAH setup: (independent of τ) Dss b = φ In UE setup: (depends on τ ) Dss Eb [ ] Sss Dss b exp( vb ( )) = (1 + r(1 τ))
10 Strategy for the quantitative analysis 1. Calibrate 1S model to Mexican aggregate data 2. Use 1S model to examine effects of volatility and financial globalization 3. Calibrate 2S model to Mexican sectoral & agg. data 4. Revisit effects of volatility and financial globalization 5. Examine the effects of endogenous Sudden Stop risk
11 50% 40% Precautionary demand for foreign assets & output volatility: One-sector Model (percent of GDP) A. Variability 30% 20% 10% 0% Standard deviation of output (%) Uzawa-Epstein Bewley-Aiyagari-Hugget
12 Evolution of GDP volatility in Sudden Stop Countries (20-year rolling std. devs. of HP-filtered GDP) 8 8 Mean and Median Volatility Median Volatility By Regions Latin American Countries 4 Mean 4 SS countries Median 3 3 Asian Countries
13 Financial globalization effects: One-sector model (shares of GDP) Mean foreign assets Precautionary savings Right Axis Tax on capital flows (Percent) Tax on capital flows (in percent) 0.00 Bewley-Aiyagari-Hugget: NDL Bewley-Aiyagari-Hugget: ADL=-2 Bewley-Aiyagari-Hugget:ADL=-1.0 Uzawa-Epstein
14 Effects of lower transactions costs 10% A. Foreign Assets 60% B. Precautionary Savings 0% 50% Percent of GDP -10% -20% -30% Percent of GDP 40% 30% 20% -40% 10% -50% Transactions costs coefficient 0% Transactions Costs coefficient Bewley-Aiyagari-Hugget Uzawa-Epstein
15 Effects of globalization on precautionary savings (one- & two-sector models, shares of GDP) Right Axis Tax on capital flows (in percent) BAH two sectors:adl=-1.0 UE two sectors BAH one sector:adl=-1 UE one sector
16 Endogenous Sudden Stops Business cycles lead to binding borrowing constraint Long-run business cycle moments unchanged Countercyclical current account Fisherian deflation amplifies effects of shocks causing Sudden Stops: T T N bt+ 1 = κ εt y + pt (1 α) ztzmt α c T p N t ( 1 ) T a c t = a c N t 1+μ m p N N α 1 t α t t = p z Zm p Extra incentive for precautionary savings Excessive SSs ruled out from stochastic steady state Long-run probabilities of Sudden Stops: 3.9% (BAH), 7.9% (UE) m
17 Impact amplification effects in Sudden Stop region (excess responses to 1 s.d. shocks) BAH long run prob. border UE long run prob. border long-run Sudden Stop region Foreign assets as a percent of long-run GDP Price of Nontradables: UE setup Price of Nontradables: BAH setup Current account-gdp ratio: UE setup Current account-gdp ratio: BAH setup
18 4 Sudden Stop dynamics at a 49% debt ratio (excess responses to 1 s.d. shocks) Current Account-Output Ratio 2 Price of Nontradables CES Consumption Bewley-Aiyagari-Hugget Preferences Total Output in Units of Tradables Uzawa-Epstein Preferences
19 Transitional distributions in Sudden Stop economies (foreign assets in percent of mean GDP) 1.00 UE setup 1.00 BAH setup years 5 years 10 years 15 years Long-run distribution
20 The magic of precautionary savings Mean foreign assets and probability of a Sudden Stop at a -48.7% debt ratio BAH setup UE setup Prob. of Mean Prob. of Mean Sudden Stop foreign assets Sudden Stop foreign assets Economy with credit constraints year % -48.7% 100.0% -48.7% year % -48.2% 21.0% -48.2% year % -41.7% 3.4% -42.9% long run 0.9% -24.3% 1.1% -37.8% Frictionless economy long run 0.0% -44.7% 0.0% -42.4% Change in mean foreign assets 20.4% 4.6%
21 Conclusions New Mercantilism is only partially right: Volatility explanation fails Sudden Stop risk explains some of the surge in reserves but so does financial globalization even without Sudden Stops Slow transition after Sudden Stops or fin. globalization Persistent surpluses and undervalued exchange rates (not necessarily due to exchange rate management) Normative implications pose challenges Precautionary savings are suboptimal, but how suboptimal? and what feasible second-best arrangement can dominate? Financial globalization without financial development reduces welfare because of adverse distributional effects of prec. savings
Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Merchantilism
WP/07/146 Precautionary Demand for Foreign Assets in Sudden Stop Economies: An Assessment of the New Merchantilism Ceyhun Bora Durda, Enrique G. Mendoza, and Marco E. Terrones 2007 International Monetary
More informationDeflation, Credit Collapse and Great Depressions. Enrique G. Mendoza
Deflation, Credit Collapse and Great Depressions Enrique G. Mendoza Main points In economies where agents are highly leveraged, deflation amplifies the real effects of credit crunches Credit frictions
More information2. Preceded (followed) by expansions (contractions) in domestic. 3. Capital, labor account for small fraction of output drop,
Mendoza (AER) Sudden Stop facts 1. Large, abrupt reversals in capital flows 2. Preceded (followed) by expansions (contractions) in domestic production, absorption, asset prices, credit & leverage 3. Capital,
More informationReserve Accumulation, Macroeconomic Stabilization and Sovereign Risk
Reserve Accumulation, Macroeconomic Stabilization and Sovereign Risk Javier Bianchi 1 César Sosa-Padilla 2 2018 SED Annual Meeting 1 Minneapolis Fed & NBER 2 University of Notre Dame Motivation EMEs with
More informationFISHERIAN MODELS OF FINANCIAL CRISES IN MACROEONOMICS. Enrique G. Mendoza University of Pennsylvania & NBER
FISHERIAN MODELS OF FINANCIAL CRISES IN MACROEONOMICS Enrique G. Mendoza University of Pennsylvania & NBER A writer s perspective debt happens as a result of actions occurring over time. Therefore, any
More informationQuantitative Implications of Indexed Bonds in Small Open Economies
Quantitative Implications of Indexed Bonds in Small Open Economies Ceyhun Bora Durdu Congressional Budget Office May 2007 Abstract Some studies have proposed setting up a benchmark market for indexed bonds
More informationAre Indexed Bonds a Remedy for Sudden Stops?
Are Indexed Bonds a Remedy for Sudden Stops? Ceyhun Bora Durdu University of Maryland December 2005 Abstract Recent policy proposals call for setting up a benchmark indexed bond market to prevent Sudden
More informationHow Important Are Terms of Trade Shocks?
How Important Are Terms of Trade Shocks? Stephanie Schmitt-Grohé Martín Uribe Columbia University October 28, 215 1 Conventional View: Terms-of-trade shocks are a major source of business-cycle fluctuations
More informationEstimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach Gianluca Benigno 1 Andrew Foerster 2 Christopher Otrok 3 Alessandro Rebucci 4 1 London School of Economics and
More informationFinancial Integration, Financial Deepness and Global Imbalances
Financial Integration, Financial Deepness and Global Imbalances Enrique G. Mendoza University of Maryland, IMF & NBER Vincenzo Quadrini University of Southern California, CEPR & NBER José-Víctor Ríos-Rull
More informationLecture 4. Extensions to the Open Economy. and. Emerging Market Crises
Lecture 4 Extensions to the Open Economy and Emerging Market Crises Mark Gertler NYU June 2009 0 Objectives Develop micro-founded open-economy quantitative macro model with real/financial interactions
More informationCountry Risk, Exchange Rates and Economic Fluctuations in Emerging Economies
Country Risk, Exchange Rates and Economic Fluctuations in Emerging Economies Luis Felipe Céspedes Roberto Chang Central Bank of Chile Rutgers University & NBER September 2009 Luis Felipe Céspedes Roberto
More informationForeign Competition and Banking Industry Dynamics: An Application to Mexico
Foreign Competition and Banking Industry Dynamics: An Application to Mexico Dean Corbae Pablo D Erasmo 1 Univ. of Wisconsin FRB Philadelphia June 12, 2014 1 The views expressed here do not necessarily
More informationOverborrowing, Financial Crises and Macro-prudential Policy
Overborrowing, Financial Crises and Macro-prudential Policy Javier Bianchi University of Wisconsin Enrique G. Mendoza University of Maryland & NBER The case for macro-prudential policies Credit booms are
More informationThe Public Debt Crisis of the United States
The Public Debt Crisis of the United States Enrique G. Mendoza University of Pennsylvania, NBER & PIER Seminario sobre Sostenibilidad de la Deuda Pública: AIReF September 5, 2017 Madrid, Spain What debt
More informationOverborrowing, Financial Crises and Macro-prudential Policy. Macro Financial Modelling Meeting, Chicago May 2-3, 2013
Overborrowing, Financial Crises and Macro-prudential Policy Javier Bianchi University of Wisconsin & NBER Enrique G. Mendoza Universtiy of Pennsylvania & NBER Macro Financial Modelling Meeting, Chicago
More informationManaging Capital Flows in the Presence of External Risks
Managing Capital Flows in the Presence of External Risks Ricardo Reyes-Heroles Federal Reserve Board Gabriel Tenorio The Boston Consulting Group IEA World Congress 2017 Mexico City, Mexico June 20, 2017
More informationCountry Spreads and Emerging Countries: Who Drives Whom? Martin Uribe and Vivian Yue (JIE, 2006)
Country Spreads and Emerging Countries: Who Drives Whom? Martin Uribe and Vivian Yue (JIE, 26) Country Interest Rates and Output in Seven Emerging Countries Argentina Brazil.5.5...5.5.5. 94 95 96 97 98
More informationNBER WORKING PAPER SERIES ENDOGENOUS SUDDEN STOPS IN A BUSINESS CYCLE MODEL WITH COLLATERAL CONSTRAINTS: A FISHERIAN DEFLATION OF TOBIN'S Q
NBER WORKING PAPER SERIES ENDOGENOUS SUDDEN STOPS IN A BUSINESS CYCLE MODEL WITH COLLATERAL CONSTRAINTS: A FISHERIAN DEFLATION OF TOBIN'S Q Enrique G. Mendoza Working Paper 12564 http://www.nber.org/papers/w12564
More informationDevaluation Risk and the Business Cycle Implications of Exchange Rate Management
Devaluation Risk and the Business Cycle Implications of Exchange Rate Management Enrique G. Mendoza University of Pennsylvania & NBER Based on JME, vol. 53, 2000, joint with Martin Uribe from Columbia
More informationThe Risky Steady State and the Interest Rate Lower Bound
The Risky Steady State and the Interest Rate Lower Bound Timothy Hills Taisuke Nakata Sebastian Schmidt New York University Federal Reserve Board European Central Bank 1 September 2016 1 The views expressed
More informationDoes One Law Fit All? Cross-Country Evidence on Okun s Law
Does One Law Fit All? Cross-Country Evidence on Okun s Law Laurence Ball Johns Hopkins University Global Labor Markets Workshop Paris, September 1-2, 2016 1 What the paper does and why Provides estimates
More informationSudden Stops in a Business Cycle Model with Credit Constraints: A Fisherian Deflation of Tobin s Q * Enrique G. Mendoza University of Maryland & NBER
Draft: April 18, 2005 preliminary draft Sudden Stops in a Business Cycle Model with Credit Constraints: A Fisherian Deflation of Tobin s Q * By Enrique G. Mendoza University of Maryland & NBER Sudden Stops
More informationUniversity of Pennsylvania & NBER. This paper reflects only the authors views, and not those of the IMF
An Anatomy of Credit Booms and their Demise Enrique G. Mendoza University of Pennsylvania & NBER Marco E. Terrones IMF This paper reflects only the authors views, and not those of the IMF Motivation and
More informationOptimal Monetary Policy in a Sudden Stop
... Optimal Monetary Policy in a Sudden Stop with Jorge Roldos (IMF) and Fabio Braggion (Northwestern, Tilburg) 1 Modeling Issues/Tools Small, Open Economy Model Interaction Between Asset Markets and Monetary
More information1 Business-Cycle Facts Around the World 1
Contents Preface xvii 1 Business-Cycle Facts Around the World 1 1.1 Measuring Business Cycles 1 1.2 Business-Cycle Facts Around the World 4 1.3 Business Cycles in Poor, Emerging, and Rich Countries 7 1.4
More informationPutting the Brakes on Sudden Stops: The Financial Frictions-Moral Hazard Tradeoff of Asset Price Guarantees
Draft: May 30, 2004 preliminary & incomplete Putting the Brakes on Sudden Stops: The Financial Frictions-Moral Hazard Tradeoff of Asset Price Guarantees by Enrique G. Mendoza Department of Economics University
More informationGroupe de Travail: International Risk-Sharing and the Transmission of Productivity Shocks
Groupe de Travail: International Risk-Sharing and the Transmission of Productivity Shocks Giancarlo Corsetti Luca Dedola Sylvain Leduc CREST, May 2008 The International Consumption Correlations Puzzle
More informationSpillovers, Capital Flows and Prudential Regulation in Small Open Economies
Spillovers, Capital Flows and Prudential Regulation in Small Open Economies Paul Castillo, César Carrera, Marco Ortiz & Hugo Vega Presented by: Hugo Vega BIS CCA Research Network Conference Incorporating
More informationDefault Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity
Default Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity Aubhik Khan The Ohio State University Tatsuro Senga The Ohio State University and Bank of Japan Julia K. Thomas The Ohio
More informationSpillovers: The Role of Prudential Regulation and Monetary Policy in Small Open Economies
Spillovers: The Role of Prudential Regulation and Monetary Policy in Small Open Economies Paul Castillo, César Carrera, Marco Ortiz & Hugo Vega Presented by: Marco Ortiz Closing Conference of the BIS CCA
More informationThe Trilemma: Insights and Limitations
The Trilemma: Insights and Limitations Menzie D. Chinn University of Wisconsin, Madison and NBER Universität Leipzig/Universität Duisburg Essen Conference on Exchange Rates, Monetary Policy and Financial
More informationCommodity Prices and Sovereign Default: A New Perspective on the Harberger-Laursen-Metzler Effect
Commodity Prices and Sovereign Default: A New Perspective on the Harberger-Laursen-Metzler Effect Franz Hamann 1 Enrique G. Mendoza 2 Paulina Restrepo-Echavarria 3 ASSA Meetings, Philadelphia 2018 Introduction
More informationOil Price Uncertainty in a Small Open Economy
Yusuf Soner Başkaya Timur Hülagü Hande Küçük 6 April 212 Oil price volatility is high and it varies over time... 15 1 5 1985 199 1995 2 25 21 (a) Mean.4.35.3.25.2.15.1.5 1985 199 1995 2 25 21 (b) Coefficient
More informationThe Perils of Financial Globalization without Financial Development (International Macroeconomics with Heterogeneous Agents and Incomplete Markets)
The Perils of Financial Globalization without Financial Development (International Macroeconomics with Heterogeneous Agents and Incomplete Markets) Enrique G. Mendoza University of Pennsylvania & NBER
More informationLow Fertility, Rapid Aging and Fiscal Challenges with the Presence of Informal Employment
Low Fertility, Rapid Aging and Fiscal Challenges with the Presence of Informal Employment Tanyasorn Ekapirak 1, Minchung Hsu 1, Pei-Ju Liao 2 1 National Graduate Institute for Policy Studies (GRIPS), Tokyo
More informationFiscal Multipliers in Recessions. M. Canzoneri, F. Collard, H. Dellas and B. Diba
1 / 52 Fiscal Multipliers in Recessions M. Canzoneri, F. Collard, H. Dellas and B. Diba 2 / 52 Policy Practice Motivation Standard policy practice: Fiscal expansions during recessions as a means of stimulating
More informationInternational Credit Flows,
International Credit Flows and Pecuniary Externalities Markus K. Brunnermeier & Princeton University International Credit Flows, Yuliy Sannikov Bank of International Settlement Basel, August 29 th, 2014
More informationSudden Stops in a Business Cycle Model with Credit Constraints: A Fisherian Deflation of Tobin s Q *
Draft: September 8, 2005 preliminary draft Sudden Stops in a Business Cycle Model with Credit Constraints: A Fisherian Deflation of Tobin s Q * By Enrique G. Mendoza University of Maryland, International
More informationBanks and Liquidity Crises in Emerging Market Economies
Banks and Liquidity Crises in Emerging Market Economies Tarishi Matsuoka Tokyo Metropolitan University May, 2015 Tarishi Matsuoka (TMU) Banking Crises in Emerging Market Economies May, 2015 1 / 47 Introduction
More informationOverborrowing and Systemic Externalities in the Business Cycle
Overborrowing and Systemic Externalities in the Business Cycle Javier Bianchi University of Maryland June 2009 Abstract Credit constraints that link a private agent s debt to market-determined prices embody
More informationSpillovers from Dollar Appreciation
June 6-7, 216 International Monetary Fund Spillovers from Dollar Appreciation Florence Jaumotte (with J. Chow, S.G. Park, and S. Zhang) Motivation Context: appreciation of US Dollar changing growth differentials,
More informationSudden stops, time inconsistency, and the duration of sovereign debt
WP/13/174 Sudden stops, time inconsistency, and the duration of sovereign debt Juan Carlos Hatchondo and Leonardo Martinez 2013 International Monetary Fund WP/13/ IMF Working Paper IMF Institute for Capacity
More informationOn the Implications of Structural Transformation for Inflation and Monetary Policy (Work in Progress)
On the Implications of Structural Transformation for Inflation and Monetary Policy (Work in Progress) Rafael Portillo and Luis Felipe Zanna IMF Workshop on Fiscal and Monetary Policy in Low Income Countries
More informationPresentation at the 2011 Philadelphia Fed Policy Forum December 2, University of Maryland & NBER
Presentation at the 2011 Philadelphia Fed Policy Forum December 2, 2011 Enrique G. Mendoza Enrique G. Mendoza University of Maryland & NBER 1. Short: May/Dec. 2010 Greece, Ireland plans 2. Tall: July 2011
More informationCommodity Price Beliefs, Financial Frictions and Business Cycles
Commodity Price Beliefs, Financial Frictions and Business Cycles Jesús Bejarano Franz Hamann Enrique G. Mendoza 1 Diego Rodríguez Preliminary Work Closing Conference - BIS CCA Research Network on The commodity
More informationOn the Merits of Conventional vs Unconventional Fiscal Policy
On the Merits of Conventional vs Unconventional Fiscal Policy Matthieu Lemoine and Jesper Lindé Banque de France and Sveriges Riksbank The views expressed in this paper do not necessarily reflect those
More informationOptimal Devaluations
Optimal Devaluations Constantino Hevia World Bank Juan Pablo Nicolini Minneapolis Fed and Di Tella April 2012 Which is the optimal response of monetary policy in a small open economy, following a shock
More informationNBER WORKING PAPER SERIES
NBER WORKING PAPER SERIES ARE ASSET PRICE GUARANTEES USEFUL FOR PREVENTING SUDDEN STOPS? A QUANTITATIVE INVESTIGATION OF THE GLOBALIZATION HAZARD-MORAL HAZARD TRADEOFF Ceyhun Bora Durdu Enrique G. Mendoza
More informationHow Do Exchange Rate Regimes A ect the Corporate Sector s Incentives to Hedge Exchange Rate Risk? Herman Kamil. International Monetary Fund
How Do Exchange Rate Regimes A ect the Corporate Sector s Incentives to Hedge Exchange Rate Risk? Herman Kamil International Monetary Fund September, 2008 Motivation Goal of the Paper Outline Systemic
More informationWhat Can Macroeconometric Models Say About Asia-Type Crises?
What Can Macroeconometric Models Say About Asia-Type Crises? Ray C. Fair May 1999 Abstract This paper uses a multicountry econometric model to examine Asia-type crises. Experiments are run for Thailand,
More informationslides chapter 6 Interest Rate Shocks
slides chapter 6 Interest Rate Shocks Princeton University Press, 217 Motivation Interest-rate shocks are generally believed to be a major source of fluctuations for emerging countries. The next slide
More informationThe design of the funding scheme of social security systems and its role in macroeconomic stabilization
The design of the funding scheme of social security systems and its role in macroeconomic stabilization Simon Voigts (work in progress) SFB 649 Motzen conference 214 Overview 1 Motivation and results 2
More informationNBER WORKING PAPER SERIES SUDDEN STOPS, FINANCIAL CRISES AND LEVERAGE: A FISHERIAN DEFLATION OF TOBIN'S Q. Enrique G. Mendoza
NBER WORKING PAPER SERIES SUDDEN STOPS, FINANCIAL CRISES AND LEVERAGE: A FISHERIAN DEFLATION OF TOBIN'S Q Enrique G. Mendoza Working Paper 14444 http://www.nber.org/papers/w14444 NATIONAL BUREAU OF ECONOMIC
More informationOptimal Credit Market Policy. CEF 2018, Milan
Optimal Credit Market Policy Matteo Iacoviello 1 Ricardo Nunes 2 Andrea Prestipino 1 1 Federal Reserve Board 2 University of Surrey CEF 218, Milan June 2, 218 Disclaimer: The views expressed are solely
More informationBalance Sheet Recessions
Balance Sheet Recessions Zhen Huo and José-Víctor Ríos-Rull University of Minnesota Federal Reserve Bank of Minneapolis CAERP CEPR NBER Conference on Money Credit and Financial Frictions Huo & Ríos-Rull
More informationDebt Financing and Real Output Growth: Is There a Threshold Effect?
Debt Financing and Real Output Growth: Is There a Threshold Effect? M. Hashem Pesaran Department of Economics & USC Dornsife INET, University of Southern California, USA and Trinity College, Cambridge,
More informationThe Implications of a Greying Japan for Public Policy.
The Implications of a for Public Policy. R. Anton Braun Federal Reserve Bank of Atlanta Douglas Joines University of Southern California 1 Canon Institute for Global Studies August 19, 2011 1 The views
More informationCredit constraints, productivity shocks and consumption volatility in emerging economies
Credit constraints, productivity shocks and consumption volatility in emerging economies Rudrani Bhattacharya Ila Patnaik DRAFT: NOT TO BE CITED Abstract How does access to credit impact consumption volatility?
More informationQuantitative Significance of Collateral Constraints as an Amplification Mechanism
RIETI Discussion Paper Series 09-E-05 Quantitative Significance of Collateral Constraints as an Amplification Mechanism INABA Masaru The Canon Institute for Global Studies KOBAYASHI Keiichiro RIETI The
More informationFinancial Development and the Effects of Trade Liberalizations
Financial Development and the Effects of Trade Liberalizations David Kohn Pontificia Universidad Católica de Chile Fernando Leibovici Federal Reserve Bank of St. Louis Michal Szkup University of British
More informationFiscal Solvency and Macroeconomic Uncertainty in Emerging Markets: The Tale of the Tormented Insurer
Fiscal Solvency and Macroeconomic Uncertainty in Emerging Markets: The Tale of the Tormented Insurer Enrique G. Mendoza 1 and P. Marcelo Oviedo 2 1 University of Maryland and NBER 2 Iowa State University
More informationCommodity price shocks and impefectly credible macroeconomic policies
Commodity price shocks and impefectly credible macroeconomic policies Juan Pablo Medina (IMF) Claudio Soto (Central Bank of Chile) November 2012 uan Pablo Medina (IMF), Claudio Soto (Central Commodity
More informationCommodity price movements and monetary policy in Asia
Commodity price movements and monetary policy in Asia Changyong Rhee 1 and Hangyong Lee 2 Abstract Emerging Asian economies typically have high shares of food in their consumption baskets, relatively low
More informationPeru s Fundamentals and Economic Outlook
Peru s Fundamentals and Economic Outlook Julio Velarde Governor Central Bank of Peru October 2016 Content 1. Slow Global Recovery 5. Gradual withdrawal of monetary stimulus 2. Reversal in Peru s external
More informationWorking Paper Series
Working Paper Series North-South Business Cycles Michael A. Kouparitsas Working Papers Series Research Department WP-96-9 Federal Reserve Bank of Chicago Æ 4 2 5 6 f S " w 3j S 3wS 'f 2 r rw k 3w 3k
More informationMacroprudential Policies in a Low Interest-Rate Environment
Macroprudential Policies in a Low Interest-Rate Environment Margarita Rubio 1 Fang Yao 2 1 University of Nottingham 2 Reserve Bank of New Zealand. The views expressed in this paper do not necessarily reflect
More informationUncertainty and Economic Activity: A Global Perspective
Uncertainty and Economic Activity: A Global Perspective Ambrogio Cesa-Bianchi 1 M. Hashem Pesaran 2 Alessandro Rebucci 3 IV International Conference in memory of Carlo Giannini 26 March 2014 1 Bank of
More informationMonetary Policy Rules in the Presence of an Occasionally Binding Borrowing Constraint
Monetary Policy Rules in the Presence of an Occasionally Binding Borrowing Constraint Punnoose Jacob Christie Smith Fang Yao Oct 214, Wellington Reserve Bank of New Zealand. Research Question How does
More informationEfficient Bailouts? Javier Bianchi. Wisconsin & NYU
Efficient Bailouts? Javier Bianchi Wisconsin & NYU Motivation Large interventions in credit markets during financial crises Fierce debate about desirability of bailouts Supporters: salvation from a deeper
More informationHeterogeneous Firm, Financial Market Integration and International Risk Sharing
Heterogeneous Firm, Financial Market Integration and International Risk Sharing Ming-Jen Chang, Shikuan Chen and Yen-Chen Wu National DongHwa University Thursday 22 nd November 2018 Department of Economics,
More informationPhases of Global Liquidity, Fundamentals News, and the Design of Macroprudential Policy
Phases of Global Liquidity, Fundamentals News, and the Design of Macroprudential Policy Javier Bianchi Minneapolis Fed, University of Wisconsin & NBER Chenxin Liu University of Wisconsin Enrique G. Mendoza
More informationCapital Income Tax Reform and the Japanese Economy (Very Preliminary and Incomplete)
Capital Income Tax Reform and the Japanese Economy (Very Preliminary and Incomplete) Gary Hansen (UCLA), Selo İmrohoroğlu (USC), Nao Sudo (BoJ) December 22, 2015 Keio University December 22, 2015 Keio
More informationUncertainty Shocks In A Model Of Effective Demand
Uncertainty Shocks In A Model Of Effective Demand Susanto Basu Boston College NBER Brent Bundick Boston College Preliminary Can Higher Uncertainty Reduce Overall Economic Activity? Many think it is an
More informationSovereign Debt Crises: Some Data and Some Theory
Sovereign Debt Crises: Some Data and Some Theory Harold L. Cole PIER Lecture 1 / 57 Debt Crises Debt Crises = government has trouble selling new debt. Trouble selling includes large jump in the spread
More informationWorking Paper Series. Trade in Commodities and Business Cycle Volatility. David Kohn Fernando Leibovici and Hakon Tretvoll
RESEARCH DIVISION Working Paper Series Trade in Commodities and Business Cycle Volatility David Kohn Fernando Leibovici and Hakon Tretvoll Working Paper 2018-005A https://doi.org/10.20955/wp.2018.005 March
More informationBooms and Banking Crises
Booms and Banking Crises F. Boissay, F. Collard and F. Smets Macro Financial Modeling Conference Boston, 12 October 2013 MFM October 2013 Conference 1 / Disclaimer The views expressed in this presentation
More informationBank Capital, Agency Costs, and Monetary Policy. Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada
Bank Capital, Agency Costs, and Monetary Policy Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada Motivation A large literature quantitatively studies the role of financial
More informationThe science of monetary policy
Macroeconomic dynamics PhD School of Economics, Lectures 2018/19 The science of monetary policy Giovanni Di Bartolomeo giovanni.dibartolomeo@uniroma1.it Doctoral School of Economics Sapienza University
More informationConvergence of Life Expectancy and Living Standards in the World
Convergence of Life Expectancy and Living Standards in the World Kenichi Ueda* *The University of Tokyo PRI-ADBI Joint Workshop January 13, 2017 The views are those of the author and should not be attributed
More informationThe Real Business Cycle Model
The Real Business Cycle Model Economics 3307 - Intermediate Macroeconomics Aaron Hedlund Baylor University Fall 2013 Econ 3307 (Baylor University) The Real Business Cycle Model Fall 2013 1 / 23 Business
More informationFinancial Integration and Growth in a Risky World
Financial Integration and Growth in a Risky World Nicolas Coeurdacier (SciencesPo & CEPR) Helene Rey (LBS & NBER & CEPR) Pablo Winant (PSE) Barcelona June 2013 Coeurdacier, Rey, Winant Financial Integration...
More informationMonetary Policy Outlook for Mexico
Mr. Javier Guzmán Calafell, Deputy Governor, Banco de México J.P. Morgan Investor Seminar Washington, DC, 8 October 2016 Outline 1 2 3 4 5 Monetary Policy in Mexico Evolution of the Mexican Economy Inflation
More informationOptimal Stabilization Policy in a Model with Endogenous Sudden Stops:
Optimal Stabilization Policy in a Model with Endogenous Sudden Stops: Gianluca Benigno London School of Economics Federal Reserve Bank of New York Christopher Otrok University of Virginia Huigang Chen
More informationSudden Stops and Output Drops
Federal Reserve Bank of Minneapolis Research Department Staff Report 353 January 2005 Sudden Stops and Output Drops V. V. Chari University of Minnesota and Federal Reserve Bank of Minneapolis Patrick J.
More informationLiability Dollarization, Sudden Stops & Optimal Financial Policy
Liability Dollarization, Sudden Stops & Optimal Financial Policy Enrique G. Mendoza University of Pennsylvania, NBER & PIER Eugenio Rojas University of Pennsylvania October 31, 2017 Abstract Banks in emerging
More informationFinancial Globalization, Financial Crisis, and the External Capital Structure of Emerging Markets
Financial Globalization, Financial Crisis, and the External Capital Structure of Emerging Markets Enrique Mendoza University of Maryland and NBER Katherine A. Smith U.S. Naval Academy December 2009 [Preliminary
More informationLearning About Commodity Cycles and Saving-Investment Dynamics in a Commodity-Exporting Economy
Learning About Commodity Cycles and Saving-Investment Dynamics in a Commodity-Exporting Economy Jorge Fornero Markus Kirchner Central Bank of Chile, Macroeconomic Analysis Division Fifth BIS CCA Research
More informationHousehold Saving, Financial Constraints, and the Current Account Balance in China
Household Saving, Financial Constraints, and the Current Account Balance in China Ayşe İmrohoroğlu USC Marshall Kai Zhao Univ. of Connecticut Facing Demographic Change in a Challenging Economic Environment-
More informationOptimal Time-Consistent Macroprudential Policy
Optimal Time-Consistent Macroprudential Policy Javier Bianchi Minneapolis Fed & NBER Enrique G. Mendoza Univ. of Pennsylvania, NBER & PIER Why study macroprudential policy? MPP has gained relevance as
More informationCAPITAL FLOWS AND FINANCIAL FRAGILITY IN EMERGING ASIAN ECONOMIES: A DSGE APPROACH α. Nur M. Adhi Purwanto
CAPITAL FLOWS AND FINANCIAL FRAGILITY IN EMERGING ASIAN ECONOMIES: A DSGE APPROACH α Nur M. Adhi Purwanto Abstract The objective of this paper is to study the interaction of monetary, macroprudential and
More informationThe views expressed in this paper are those of the author(s) only, and the presence of them, or of links to them, on the IMF website does not imply
7 TH JACQUES POLAK ANNUAL RESEARCH CONFERENCE NOVEMBER 9-10, 2006 The views expressed in this paper are those of the author(s) only, and the presence of them, or of links to them, on the IMF website does
More information. Fiscal Reform and Government Debt in Japan: A Neoclassical Perspective. May 10, 2013
.. Fiscal Reform and Government Debt in Japan: A Neoclassical Perspective Gary Hansen (UCLA) and Selo İmrohoroğlu (USC) May 10, 2013 Table of Contents.1 Introduction.2 Model Economy.3 Calibration.4 Quantitative
More informationInternational Debt Deleveraging
International Debt Deleveraging Luca Fornaro London School of Economics ECB-Bank of Canada joint workshop on Exchange Rates Frankfurt, June 213 1 Motivating facts: Household debt/gdp Household debt/gdp
More informationExternal Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory. November 7, 2014
External Financing and the Role of Financial Frictions over the Business Cycle: Measurement and Theory Ali Shourideh Wharton Ariel Zetlin-Jones CMU - Tepper November 7, 2014 Introduction Question: How
More informationDiscussion of: Emerging Market Business Cycles: the Cycle is the Trend. by Mark Aguiar and Gita Gopinath Fabrizio Perri NYU & Minneapolis FED
Discussion of: Emerging Market Business Cycles: the Cycle is the Trend by Mark Aguiar and Gita Gopinath Fabrizio Perri NYU & Minneapolis FED NBER EFG, Chicago FED, October 2004 Goal of the paper: Understand
More informationGlobal Construction 2030 Expo EDIFICA 2017 Santiago Chile. 4-6 October 2017
Global Construction 2030 Expo EDIFICA 2017 Santiago Chile 4-6 October 2017 Graham Robinson Global Construction Perspectives Global Construction 2030 is the fourth in a series of global studies of the construction
More informationIV SPECIAL FEATURES PORTFOLIO FLOWS TO EMERGING MARKET ECONOMIES: DETERMINANTS AND DOMESTIC IMPACT
IV SPECIAL FEATURES A PORTFOLIO FLOWS TO EMERGING MARKET ECONOMIES: DETERMINANTS AND DOMESTIC IMPACT This special feature describes the recent wave of private capital fl ows to emerging market economies
More informationCAPITAL FLOWS, TERMS OF TRADE, AND REAL EXCHANGE RATE FLUCTUATIONS
CAPITAL FLOWS, TERMS OF TRADE, AND REAL EXCHANGE RATE FLUCTUATIONS After financial openings, like that in Spain and Mexico in the late 1980s, large capital inflows have been accompanied by substantial
More informationOutput Gaps and Robust Monetary Policy Rules
Output Gaps and Robust Monetary Policy Rules Roberto M. Billi Sveriges Riksbank Conference on Monetary Policy Challenges from a Small Country Perspective, National Bank of Slovakia Bratislava, 23-24 November
More information