Download or read book Essays on Consumption and the Real Exchange Rate written by Drausio S. Giacomelli and published by . This book was released on 1998 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Current Account the Real Exchange Rate and Durable Consumption written by Luis Oscar Herrera Barraiga and published by . This book was released on 1996 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Current Account Consumption Smoothing and the Real Exchange Rate written by Christopher John Kent and published by . This book was released on 1997 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Exchange Rates and Prices written by Federico Grinberg and published by . This book was released on 2015 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: In these essays, I examine exchange rates and prices in the context of a small open economy. My first chapter is an empirical study of the behavior of nominal and real exchange rates in Mexico in the last 20 years. I present facts for exchange rate pass-through to prices, using both aggregate prices and CPI micro-data. I structure the evidence in two sets of facts that highlight the importance of real shocks and monetary regime in explaining changing patterns of aggregate prices and the CPI micro data. The first set shows that the nominal and real exchange rates have a strong co-movement at short and medium run horizons. Second, real exchange rate movements are mostly explained by changes in relative prices between `at the dock' prices and retail prices. Third, there is a large nominal exchange rate shock, the reason behind the incomplete exchange rate pass-through and the increase in the real exchange rate is not a slow price adjustment of goods that are actually traded, but a less-than-proportional adjustment of retail prices. The second set of facts analyzes the behavior of individual prices used to compute the CPI. First, there is a positive correlation between the fraction of prices that adjust per period (i.e., the frequency of price adjustment) and the level of inflation. Second, this correlation and the role of these changes in the fraction of adjusting prices in inflation is mostly explained by the exchange rate pass through after the 1994 large currency devaluation episode. In the second chapter I study the role of nominal price rigidities in accounting for low CPI inflation after large currency depreciations. Using a small open economy model with menu-cost nominal frictions calibrated to micro data from Mexico's Consumer Price Index, I find that in episodes of large depreciations, the effects of nominal rigidities in retail prices are quantitatively small and short-lived. The incomplete exchange rate pass-through to consumer prices is largely a result of a fall in real wages caused by negative real shocks and nominal stickiness in wages. In my third chapter I present a model of a small open economy subject both to a collateral constraint and downward rigidity in wages. These constraints will interact generating external shocks amplification and, in the presence of a currency peg regime, it also generates unemployment. This can be seen as an example that captures two main themes for small open economies: real exchange rigidities and consumption volatility. The contributions of my chapter are twofold. First, I show how financial amplification effects caused by `over borrowing can generate high unemployment rates without resorting to extreme wage rigidity. Second, it shows that the exchange rate policy faces a tradeoff between unemployment and tradable consumption when the collateral constraint binds. These two insights reflect the tradeoff of maintaining a currency peg during a crises: higher unemployment or an amplification of financial amplification of shocks.

Download or read book Essays on Flexible Exchange Rates written by Janet Eve Ceglowski and published by . This book was released on 1986 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in International Macroeconomics and Finance written by Enrique Martinez-Garcia and published by . This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Macroeconomics written by Yi Chen and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation attempts to provide new theoretical explanations of some long-standing international macro-finance puzzles, including the consumption-real exchange rate anomaly (i.e. the Backus-Smith puzzle), the consumption correlation puzzle, the real exchange rate volatility puzzle, the equity home bias puzzle and the exchange rate disconnect puzzle, with a particular emphasis on the possible role(s) played by news shocks and / or recursive preferences à la Epstein and Zin (1989). News shocks, defined in a broad sense as shocks to the market's expectations about future changes in driving forces, can have dramatically different impacts on the model dynamics in contrast to traditional unanticipated shocks to the driving forces. Epstein-Zin preferences, by breaking two independent aspects of preferences (attitude toward risks and willingness to substitute consumptions over time), make consumers more sensitive to long-run risks and as a result amplify the impacts of news shocks. Both features have become increasingly popular in the recent closed-economy macro-finance literature. My dissertation is among the first few to use these features to explain a long list of international macro-finance puzzles. Chapter 1 deals with the consumption-real exchange rate anomaly, the consumption correlation puzzle and the real exchange rate volatility puzzle. Data show that real exchange rates are negatively correlated with cross-country relative consumptions; consumptions are less correlated internationally than outputs; and real exchange rates are much more volatile than consumptions. Chapter 1 argues that these facts don't necessarily point to a "lack of risk sharing across countries" or a "low degree of international goods market integration", as are widely thought to be responsible for the above phenomena. The idea is formalized in a frictionless endowment-driven two-country two-good model featuring long-run news, i.e. slowly-moving signals that change the market's expectations about future output growth, and Epstein-Zin preferences. The model predicts that (1) news has opposite effects on the relative consumption and real exchange rate, so the two can be negatively correlated; (2) news has opposite effects on the home and foreign consumptions, so the cross-country consumption correlation can be low; (3) news makes the inter-temporal marginal rate of substitution (IMRS) excessively volatile relative to consumption growth, so the real exchange rate-consumption volatility ratio can be high. Intuitively, prediction (1) is true because news shocks behave as a demand shifter in the short run. Unlike unanticipated supply shocks, news shocks disturb the relative demand curve and trace out an upward-sloping relative supply curve. Prediction (2) can be justified by the fact that news does not materialize on impact (Christmas hasn't come yet), meaning that responses of consumptions to news are essentially a "zero-sum game" in the short run. Prediction (3) can be understood by noticing that news generates a dynamic wedge between the IMRS and the contemporaneous consumption growth. Calibrated through a structural vector auto-regression (SVAR) exercise, the model quantitatively replicates all the puzzling facts mentioned above. I also investigate the plausibility of two alternative explanations of the puzzles. Neither an incomplete-market model nor a trade-cost model can jointly account for all the facts. Chapter 2 incorporates EZ preferences in an otherwise standard open-macro model and shows that EZ preferences play a role of raising the home bias in equities, i.e. the bias of equity portfolios toward home assets, relative to the standard constant-relative-risk-aversion (CRRA) preferences. This happens because EZ preferences generate a long-run risk hedging demand that contributes to a positive covariance between the relative expenditure and the excess equity return. As a result the domestic equity is more likely a good asset as it pays off more whenever investors are willing to spend more. Additional main findings can be summarized as follows. First, using least structural information, we show that the degree of equity home bias depends on the conditional covariance-variance ratio between the relative expenditure and the excess equity return, which is in contrast to the CRRA models' counterfactual prediction that the degree of equity home bias relies on the conditional covariance-variance ratio between the real exchange rate and the excess equity return. Second, we solve for the optimal portfolio as an explicit function of the structural parameters using Devereux and Sutherland (2011)'s approach. Analytical solutions clearly show that EZ models tilt optimal portfolios toward local equities for a wide range of parameterizations relative to CRRA models. Third, the decomposition of equity home bias into two terms indicates that the relative contribution of the consumption covariance term and the portfolio covariance term to the rise in home bias relies on the persistence of endowment shocks. Chapter 3 looks into the exchange rate disconnect puzzle. Exchange rates seem to be disconnected from macro fundamentals: current and past macro fundamentals have a hard time accounting for the movements in nominal exchange rates (also known as the Meese-Rogoff puzzle); both nominal and real exchange rates appear excessively volatile relative to macro fundamentals; exchange rates don't seem to follow the strong cyclical patterns implied by most standard models. Chapter 3 argues that allowing for news about future money supply in a sticky-price open-economy model can shed light on the disconnect puzzle. News shocks, unlike unanticipated shocks, can affect exchange rates on impact but have muted effects on the contemporaneous macro variables. Two additional assumptions are made to make the mechanism work. First, only a fraction of households have access to the international financial markets while the rest leads a hand-to-mouth life. As news shocks have opposite impacts on the consumptions of two types of households, the aggregate consumption is less responsive. Second, export prices are denominated in local currencies. This assumption helps eliminate the spending-switching effects of nominal exchange rate movements. Overall the model is shown to move things in right directions both qualitatively and quantitatively.

Download or read book Monetary Policy Capital Flows and Exchange Rates written by David G. Dickinson and published by Psychology Press. This book was released on 2002 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: Max Fry was known internationally for his research on international and domestic financial issues. This book draws together contributions from a range of academic and policy-making friends and colleagues.

Download or read book Three Essays in Time series Macroeconomics written by Junichiro Ishida and published by . This book was released on 2000 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second chapter of the thesis considers the negative correlation between inflation and the average propensity to consume in the U.S. economy. While many explanations are offered for this observation, it is hard to be reconciled within the framework of a rational expectations model. In this paper, however, we argue that this correlation can be derived as an implication of the permanent income hypothesis. This conjecture is tested by identifying the dynamic response of consumption to different types of shock. The data show that this interpretation is largely consistent. This procedure also allows us to identify transitory consumption and the source of the failure of the permanent income hypothesis.

Download or read book Essays in International Economics written by Mehmet Fatih Ekinci and published by . This book was released on 2011 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: "In Chapter 1, we present and study the properties of a sticky information exchange rate model where consumers and producers update their information sets infrequently. We find that introducing inattentive consumers has important implications. Through a mechanism resembling the limited participation models, we can address the exchange rate volatility for reasonable values of risk aversion. We observe more persistence in output, consumption and employment which brings us closer to the data. Impulse responses to monetary shocks are hump shaped, consistent with the empirical evidence. Forecast errors of inattentive consumers provide a channel to reduce the correlation of relative consumption and real exchange rate. However, we find that decline in the correlation is quantitatively small. Chapter 2 explores the international business cycle implications of replacing the sticky price assumption with sticky information. We assume attentive consumers through this exercise. Mankiw and Reis (2002) propose the sticky information model to generate a lagged inflation response to monetary shocks consistent with the empirical evidence. Their model is also successful to address the inflation persistence observed in the data. We conjecture that sticky information assumption could be helpful to resolve the 'persistence anomaly' of the real exchange rates. We show that hump-shaped inflation response result is sensitive to the assumptions on the monetary policy and price setting block of the model. Furthermore, the response of nominal exchange rate is quite large and it dissipates quickly after a monetary shock. The improvement obtained in the real exchange rate persistence by the lagged inflation response is dominated by the large and short-lived nominal exchange rate responses, therefore it is quantitatively small. For all alternative specifications, we find that sticky information and sticky price models produce similar moments. Chapter 3 investigates the degree of financial integration within and between European countries. We construct two measures of de-facto integration across European regions to capture 'diversification' and 'development finance' in the language of Obstfeld and Taylor (2005). We find evidence that capital market integration within the EU is less than what is implied by theoretical benchmarks and also less than what is found for U.S. states. We ask why is this the case? Using country-level data for economic institutions, we find that these are not able to explain differences between countries. Using regional data from the World Values Surveys, we investigate the effect of 'social capital' on financial integration among European regions. We find regions, where the level of confidence and trust is high, are more financially integrated with each other"--Page v-vi.

Download or read book Essays on International Economics and Macroeconomics written by James C. MacGee and published by Ann Arbor, Mich. : University Microfilms International. This book was released on 2004 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Economic Effects of Trade Costs written by Kanda Naknoi and published by . This book was released on 2004 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in the New Open Macroeconomics written by Gianluca Damiano Carmelo Benigno and published by . This book was released on 2000 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Exchange Rate Models Under a Taylor Rule Type Monetary Policy written by Hyeongwoo Kim and published by . This book was released on 2006 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Exchange Rate based Stabilization and Inflation Convergence written by Piero S. Ghezzi and published by . This book was released on 1997 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Money Capital Mobility and Trade written by Guillermo A. Calvo and published by MIT Press. This book was released on 2004 with total page 572 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essays by leading economists and scholars reflecting on Mundell's broad influence on modern open-economy macroeconomics.

Download or read book International Monetary Problems and Supply Side Economics written by G. Harcourt and published by Springer. This book was released on 1986-09-29 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: