Search Results
Journal Article
Coming to America: covered bonds?
Ultimately, covered bonds and ABS are complements, not substitutes.
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.
Working Paper
Threshold adjustment in deviations from the law of one price
Using self-exciting threshold autoregressive models, we explore the validity of the law of one price (LOOP) for sixteen sectors in nine European countries. We and strong evidence of nonlinear mean reversion in deviations from the LOOP and highlight the importance of modelling the real exchange rate in a nonlinear fashion in an attempt to measure speeds of real exchange rate adjustment. Using the US dollar as a reference currency, the half-lives of sectoral real exchange rates shocks, calculated by Monte Carlo integration, imply much faster adjustment than the consensus half-life estimates of ...
Working Paper
Export market diversification and productivity improvements: theory and evidence from Argentinean firms
This paper examines the relationship between trade and investment in technology adoption when firms face demand uncertainty. Our model predicts that, for a given overall market size, exporting to several countries reduces firms' demand uncertainty and, hence, raises incentives to invest in productivity improvements. The effects of diversification are heterogeneous across firms: An additional foreign market matters more for firms exporting to fewer destinations. We test the proposed theory using a large sample of Argentinean manufacturing exporters. The predictions of the model find strong ...
Journal Article
Capital controls by any other name
The embrace of ad hoc capital controls to address temporary market inefficiencies on a case-by-case basis, while pragmatic, perpetuates the view that each capital crisis is an isolated example of failed financial institutions.
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. ...
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
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 ...
Journal Article
Japan reenters the foreign exchange market
From 1999 to 2004 Japan unilaterally sold a combined, and unprecedented, 500 billion dollars of yen.