Search Results
Working Paper
Mildly Explosive Dynamics in U.S. Fixed Income Markets
We use a recently developed right-tail variation of the Augmented Dickey-Fuller unit root test to identify and date-stamp periods of mildly explosive behavior in the weekly time series of seven U.S. fixed income yield spreads between September 2002 and January 2015. We find statistically significant evidence of such behavior in six of these spreads. Mild explosivity migrates from short-term funding markets to more volatile medium- and long-term markets during the Great Financial Crisis. For some markets, we statistically validate the conjecture, originally suggested by Gorton (2009a,b), that ...
Journal Article
Net exports' recent (and surprising?) contribution to GDP growth
Journal Article
The role of financing in international trade during good times and bad
The collapse of trade during the financial crisis can be tied, for the most part, to a drop in demand. Less talked about, however, is the role of financing?or lack thereof.
Journal Article
Multinationals from emerging economies: growing but little understood
Their share of the foreign investment pie grew from 0.4 percent in 1970 to 15.8 percent in 2008. What's behind the growth?
Journal Article
Three faces of low inflation: U.S., Japan and the Euro area
Journal Article
Banking crises around the world: different governments, different responses
Over the past 40 years, there have been more than 120 banking crises around the world. Different governments have responded in different ways. The gross and net costs as a percentage of GDP range wildly, anywhere from less than 1 percent to well beyond 30 percent.
Journal Article
The trade collapse: lining up the suspects
Don't blame trade restrictions this time. Instead, the three culprits are the credit crunch, the "compositional effect" and the trend away from making an entire product in one country.
Journal Article
An international perspective on the recent behavior of inflation
Several commentators have been concerned about the possibility that the euro area may be experiencing disinflation with the risk of deflation. However, the euro area is not the only economy navigating the risky waters of low inflation. Several other advanced economies have recently experienced below-target inflation as well as some actual deflation. In this article, the authors collect data for nine advanced economies and document several facts about the behavior of inflation during the 2002-14 period. First, they show that the relationship between inflation rates and short-term rates ...