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Author:Juvenal, Luciana 

Working Paper
Mexico's integration into NAFTA markets: a view from sectoral real exchange rates

Using a self-exciting threshold autoregressive model, we confirm the presence of nonlinearities in sectoral real exchange rate (SRER) dynamics across Mexico, Canada and the US in the pre-NAFTA and post-NAFTA periods. Measuring transaction costs using the estimated threshold bands, we find evidence that Mexico still faces higher transaction costs than their developed counterparts. Trade liberalization is associated with reduced transaction costs and lower relative price differentials among countries. Other determinants of transaction costs are distance and nominal exchange rate volatility. Our ...
Working Papers , Paper 2008-046

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 ...
Review , Volume 91 , Issue Sep , Pages 441-464

Journal Article
International trade integration and business cycle synchronization

The changes in international trade and finance are linked to the changes in business cycle correlations.
Economic Synopses

Working Paper
Pricing-to-market and business cycle synchronization

There is substantial evidence that countries or regions with stronger trade linkages tend to have business cycles which are more synchronized. However, the standard international business cycle framework cannot replicate this finding. In this paper we study a multiple- country model of international trade with imperfect competition and variable markups and embed it into a real business cycle framework by including aggregate technology shocks and allowing for variable labor supply. The model is successful at replicating the empirical relation between trade and business cycle synchronization. ...
Working Papers , Paper 2010-038

Journal Article
Monetary policy and asset prices

The housing market crisis is the latest reminder that asset prices can and do run wild at rates capable of negative effects on real economic activity. Not surprisingly, this has reinvigorated debate over whether central banks should respond to asset price bubbles.
Economic Synopses

Journal Article
Speculation in the oil market

Disentangling the true drivers of oil prices is a critical first step for allocating resources and designing good policy.
Economic Synopses

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.
The Regional Economist , Issue July , Pages 4-9

Working Paper
Financial integration and risk-adjusted growth opportunities: a global perspective

This paper documents the dynamics of financial integration for major advanced and emerging markets economies during the 1994-2009 period, assesses whether advances in integration have had a significant direct positive impact on countries' growth opportunities, and identifies some of the channels through which financial integration may indirectly foster growth. Three main results are obtained. First, financial integration has progressed significantly worldwide and has been fastest in emerging markets. Second, a country's speed of integration predicts its future risk-adjusted growth ...
Working Papers , Paper 2010-012

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 Papers , Paper 2008-031

Journal Article
Quantitative easing: lessons we've learned

The Regional Economist , Issue Jul

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