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Author:Mack, Adrienne 

Working Paper
Credit booms, banking crises, and the current account
What is the marginal effect of an increase in the private sector debt-to-GDP ratio on the probability of a banking crisis? This paper shows that the marginal effect of rising debt levels depends on an economy's external position. When the current account is in surplus or in balance, the marginal effect of an increase in debt is rather small; a 10 percentage point increase in the private sector debt-to-GDP ratio increases the probability of a crisis by about 1 to 2 percentage points. However, when the economy is running a sizable current account deficit, implying that any increase in the debt ratio is financed through foreign borrowing, this marginal effect can be large. When a country has a current account deficit of 10% of GDP (which is similar to the value in the Eurozone periphery on the eve of the recent crisis) a 10 percentage point increase in the private sector debt ratio leads to a 10 percentage point increase in the probability of a crisis.
AUTHORS: Davis, J. Scott; Mack, Adrienne; Vandenabeele, Anne; Phoa, Wesley
DATE: 2014-05-13

Journal Article
Increased real house price volatility signals break from Great Moderation
The shift toward more volatile real house price growth, unaccompanied by a shift in the volatility of real GDP growth, offers evidence that house price dynamics and real output growth may have diverged beginning around the 2001 recession.
AUTHORS: Mack, Adrienne; Martinez-Garcia, Enrique
DATE: 2012

Journal Article
Current account surplus may damp the effects of China’s credit boom
In contrast to similar credit expansions in the euro periphery in the 2000s and East Asia in the 1990s, China?s credit boom is far less likely to end in a dramatic bust because it?s financed by domestic savings.
AUTHORS: Davis, J. Scott; Mack, Adrienne; Phoa, Wesley; Vandenabeele, Anne
DATE: 2015-01

Journal Article
Central bank transparency anchors inflation expectations
A high statistical correlation can be found between the level of policy transparency among central banks and the anchoring of inflation expectations.
AUTHORS: Wynne, Mark A.; Davis, J. Scott; Mack, Adrienne
DATE: 2014-04

Measuring the External Value of the Dollar
How much is a dollar worth? The value of a dollar is most generally defined in terms of its purchasing power over the goods and services that households and individuals consume on a regular basis. As goods and services become more expensive, the purchasing power?or value?of the dollar falls. Over long periods of time, the tendency has been for most goods and services to become more expensive in dollar terms. The result is that the purchasing power of a dollar in 2014 is a lot less than the purchasing power of a dollar in 1914.
AUTHORS: Wynne, Mark A.; Mack, Adrienne
DATE: 2013

Working Paper
Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun
In this paper, we examine changes in the time series properties of standard housing market indicators (real house prices, price-to-income ratios, and price-to-rent ratios) for a large set of countries to detect episodes of explosive dynamics. Dating exuberance in housing markets provides a timeline as well as empirical content to the narrative connecting housing exuberance to the global 2008?09 recession. For our investigation, we employ two recursive univariate unit root tests developed by Phillips et al. (2011) and Phillips et al. (2015). We also propose a novel extension of the Phillips et al. (2015) test to a panel setting in order to exploit the large cross-sectional dimension of our international dataset. Statistically significant periods of exuberance are found in most countries. Moreover, there is also strong evidence of an unprecedented period of exuberance in the early 2000s that eventually collapsed around 2006?07, preceding the 2008?09 global recession. We find that long-term interest rates, credit growth and global economic conditions help to predict (in-sample) episodes of housing exuberance. We conclude that global macro and financial factors explain (partly) the synchronization of exuberance episodes that we detect in the data in the 2000s.
AUTHORS: Peel, David; Martinez-Garcia, Enrique; Pavlidis, Efthymios; Paya, Ivan; Yusupova, Alisa; Mack, Adrienne; Grossman, Valerie
DATE: 2013-12-31

Working Paper
Database of global economic indicators (DGEI): a methodological note
The Database of Global Economic Indicators (DGEI) from the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for policy analysis and scholarly work on the role of globalization. The purpose of DGEI is to offer a broad perspective on how economic developments around the world influence the U.S. economy with a wide selection of indicators. DGEI is automated within an Excel-VBA and E-views framework for the processing and aggregation of multiple country time series. It includes a core sample of 40 countries with available indicators and broad coverage. Country groupings include rest of the world (ex. the U.S.) aggregates and subgroups of countries by development attainment and trade openness. The indicators currently tracked include real GDP, industrial production (IP), Purchasing Managers? Index (PMI), merchandise exports and imports, headline CPI, CPI (ex. food and energy), PPI/WPI inflation, nominal and real exchange rates, and official/policy interest rates. All series are monthly, with the exception of real GDP which is reported at a quarterly frequency. Aggregation is based on trade shares with the U.S. The Globalization and Monetary Policy Institute publishes the aggregate indicators as well as additional country detail on its website with an accompanying slideshow on Global Economic Conditions. This note provides a technical description of the methodology implemented to construct the DGEI.
AUTHORS: Martinez-Garcia, Enrique; Mack, Adrienne; Grossman, Valerie
DATE: 2013-12-31

Working Paper
A cross-country quarterly database of real house prices: a methodological note
We build from (mainly) publicly available national sources a database of (nominal and real) house prices?complemented with data on private disposable income (PDI)?for 19 advanced countries at a quarterly frequency, starting in the first quarter of 1975. We select a house price index for each country that is consistent with the U.S. FHFA quarterly nationwide house price index for existing single-family houses (formerly called OFHEO house price index), and extend the country series back to 1975 with available historical data whenever necessary. Each house price index is seasonallyadjusted over the entire sample period and then rebased to 2005 = 100.> ; The house price indexes are expressed in nominal terms, and also in real terms using the personal consumption expenditure (PCE) deflator of the corresponding country. PDIs are always quoted in per capita terms using working age population of the corresponding country and can be similarly expressed in real terms with the PCE deflator. We aggregate all 19 countries in our database, weighted by their purchasing power parity-adjusted GDP shares in 2005, to compute an average (nominal and real) house price series and an average (nominal and real) per capita PDI series.
AUTHORS: Martinez-Garcia, Enrique; Mack, Adrienne
DATE: 2011

Working Paper
A contribution to the chronology of turning points in global economic activity (1980-2012)
The Database of Global Economic Indicators (DGEI) of the Federal Reserve Bank of Dallas is aimed at standardizing and disseminating world economic indicators for the study of globalization. It includes a core sample of 40 countries with available indicators and broad coverage for quarterly real GDP, and the monthly series of industrial production (IP), Purchasing Managers Index (PMI), merchandise exports and imports, headline CPI, CPI (ex. food and energy), PPI/WPI inflation, nominal and real exchange rates, and official/policy interest rates (see Grossman, Mack, and Martnez-Garca (2013)). This paper aims to codify in a systematic way the chronology of global business cycles for DGEI. We propose a novel chronology based on IP data for a sample of 84 countries at a monthly frequency from 1980 until now, and assess the turning points obtained as a signal of the underlying state of the economy as tracked by the indicators of DGEI. We conclude by proposing and also evaluating global recession probability forecasts up to 12 months ahead. The logit model proposed uses the DGEI aggregate indicators to offer advanced warning of turning point in the global cycle?by this metric a global downturn in 2013 does not appear likely.
AUTHORS: Martinez-Garcia, Enrique; Grossman, Valerie; Mack, Adrienne
DATE: 2014-01-31

Working Paper
Cross-country variation in the anchoring of inflation expectations
This paper develops a method for measuring the anchoring of long-run inflation expectations that does not require estimates of long-run inflation expectations. Such estimates exist for only a few developed economies, and even then only a short time series is available. By not requiring estimates of long-term inflation expectations, this method is able to measure the anchoring of inflation expectations in sixty-four different developed and developing countries. In addition, with rolling-window estimations we can measure the anchoring of expectations across time within a country, and thus we can observe how inflation expectations became unanchored in many countries during the 1970s. Then we can observe how, through means like inflation targeting and monetary unification, these expectations were re-anchored during the 1980s, 1990s, and 2000s.
AUTHORS: Mack, Adrienne; Davis, Scott
DATE: 2013-10



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