Search Results
Journal Article
When oil prices jump, is speculation to blame?
Whenever the price at the pump climbs week after week, people start pointing fingers at investment banks, hedge funds and other speculators. This article quantifies the role that speculation played in the rise of oil prices during the past decade.
Journal Article
Mexico's integration into NAFTA markets: a view from sectoral real exchange rates
The authors use a threshold autoregressive model to confirm the presence of nonlinearities in sectoral real exchange rate dynamics across Mexico, Canada, and the United States for the periods before and after the North American Free Trade Agreement (NAFTA). Although trade liberalization is associated with reduced transaction costs and lower relative price differentials among countries, the authors find, by using estimated threshold bands, that Mexico still faces higher transaction costs than its developed counterparts. Other determinants of transaction costs are distance and nominal exchange ...
Journal Article
Commodity price gains: speculation vs. fundamentals
Commodities of all sorts have risen in price over the past few years. Some say that the prices reflect a bubble, driven by low interest rates and excessive speculation. Others say the price gains can be fully explained by supply and demand.
Journal Article
Quantitative easing: lessons we've learned
Journal Article
Why health care matters and the current debt does not
All of the attention given to raising the debt ceiling this past summer might lead some to believe that spending by the federal government only recently became unsustainable. Hardly. We've been on this path a long time.
Journal Article
Mexico's oportunidades program fails to make the grade in NYC
A program that pays poor, rural Mexican families to keep their children in school didn't translate well to New York City. The latter's version will end this summer.
Journal Article
Why \\"fixing\\" China's currency is no quick fix
Even if China does revalue its currency, jobs aren?t likely to come flooding back to the United States. Much of what China exports to the U.S. originates in other Asian countries.
Working Paper
Speculation in the oil market
The run-up in oil prices after 2004 coincided with a growing flow of investment to commodity markets and an increased price comovement between different commodities. We analyze whether speculation in the oil market played a key role in driving this salient empirical pattern. We identify oil shocks from a large dataset using a factor-augmented autoregressive (FAVAR) model. We analyze the role of speculation in comparison to supply and demand forces as drivers of oil prices. The main results are as follows: (i) While global demand shocks account for the largest share of oil price fluctuations, ...
Working Paper
Asset prices, exchange rates and the current account
This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity market shocks and housing price shocks have been major determinants of the US current account in the past, accounting for up to 32% of the movements of the US trade balance at a horizon of 20 quarters. By contrast, shocks to the real exchange rate have been much less relevant, explaining less than 7% and ...
Working Paper
Sources of exchange rate fluctuations: are they real or nominal?
I analyze the role of real and monetary shocks on the exchange rate behavior using a structural vector autoregressive model of the US vis--vis the rest of the world. The shocks are identified using sign restrictions on the responses of the variables to orthogonal disturbances. These restrictions are derived from the predictions of a two-country DSGE model. I find that monetary shocks are unimportant in explaining exchange rate fluctuations. By contrast, demand shocks explain between 23% and 38% of exchange rate variance at 4-quarter and 20-quarter horizons, respectively. The contribution of ...