Search Results
Working Paper
The Seniority Structure of Sovereign Debt
Trebesch, Christoph; Schlegl, Matthias; Wright, Mark L. J.
(2019-05-30)
Sovereign governments owe debt to many foreign creditors and can choose which creditors to favor when making payments. This paper documents the de facto seniority structure of sovereign debt using new data on defaults (missed payments or arrears) and creditor losses in debt restructuring (haircuts). We overturn conventional wisdom by showing that official bilateral (government-to-government) debt is junior, or at least not senior, to private sovereign debt such as bank loans and bonds. Private creditors are typically paid first and lose less than bilateral official creditors. We confirm that ...
Working Papers
, Paper 759
Report
The End of Privilege: A Reexamination of the Net Foreign Asset Position of the United States
Atkeson, Andrew; Heathcote, Jonathan; Perri, Fabrizio
(2022-04-25)
The US net foreign asset position has deteriorated sharply since 2007 and is currently negative 65 percent of US GDP. This deterioration primarily reflects changes in the relative values of large gross international equity positions, as opposed to net new borrowing. In particular, a sharp increase in equity prices that has been US-specific has inflated the value of US foreign liabilities. We develop an international macro finance model to interpret these trends, and we argue that the rise in equity prices in the United States likely reflects rising profitability of domestic firms rather than ...
Staff Report
, Paper 639
Working Paper
Sudden Stops and Optimal Foreign Exchange Intervention
Davis, J. Scott; Devereux, Michael B.; Yu, Changhua
(2020-11-10)
This paper shows how foreign exchange intervention can be used to avoid a sudden stop in capital flows in a small open emerging market economy. The model is based around the concept of an under-borrowing equilibrium defined by Schmitt-Grohe and Uribe (2020). With a low elasticity of substitution between traded and non-traded goods, real exchange rate depreciation may generate a precipitous drop in aggregate demand and a tightening of borrowing constraints, leading to an equilibrium with an inefficiently low level of borrowing. The central bank can preempt this deleveraging cycle through ...
Globalization Institute Working Papers
, Paper 405
Report
Coordination and Crisis in Monetary Unions
Amador, Manuel; Aguiar, Mark; Gopinath, Gita; Farhi, Emmanuel
(2015-05-11)
We study fiscal and monetary policy in a monetary union with the potential for rollover crises in sovereign debt markets. Member-country fiscal authorities lack commitment to repay their debt and choose fiscal policy independently. A common monetary authority chooses inflation for the union, also without commitment. We first describe the existence of a fiscal externality that arises in the presence of limited commitment and leads countries to over-borrow; this externality rationalizes the imposition of debt ceilings in a monetary union. We then investigate the impact of the composition of ...
Staff Report
, Paper 511
Report
Heterogeneous Agent Trade
Waugh, Michael E.
(2023-10-18)
This paper studies the implications of household heterogeneity for trade. I develop a model where household heterogeneity is induced via incomplete markets and results in heterogeneous price elasticities. Conditional on exposure to trade, heterogeneous price elasticities imply that different households value price changes differently, and thus rich and poor households experience different gains from trade. I calibrate the model to match bilateral trade flows and micro-facts about household-level expenditure patterns and elasticities. I find gains from trade that are pro-poor and that the ...
Staff Report
, Paper 653
Working Paper
Financial integration and international business cycle co-movement: the role of balance sheets
Davis, J. Scott
(2011)
This paper investigates the effect of international financial integration on international business cycle co-movement. We first show with a reduced form empirical approach how capital market integration (equity) has a negative effect on business cycle co-movement while credit market integration (debt) has a positive effect. We then construct a model that can replicate these empirical results.> ; In the model, capital market integration is modeled as crossborder equity ownership and involves wealth effects. Credit market integration is modeled as cross-border borrowing and lending between ...
Globalization Institute Working Papers
, Paper 89
Working Paper
Exposure to international crises: trade vs. financial contagion
Grant, Everett
(2016-08-01)
I identify new patterns in countries' economic performance over the 2007-2014 period based on proximity through distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross-country variation, I develop an open economy model with two transmission channels that can be shocked separately: international trade and finance. The model is the first to include a government and heterogeneous firms that can default independently of one another and has a novel endogenous cost of sovereign default. I calibrate the model to the average ...
Globalization Institute Working Papers
, Paper 280
Working Paper
The US, Economic News, and the Global Financial Cycle
Boehm, Christoph E.; Kroner, Niklas
(2023-02-25)
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large - often comparable in size to the response of the S&P 500. Further, US macroeconomic news explains on average 23 percent of the quarterly variation in foreign stock markets. The joint behavior ...
International Finance Discussion Papers
, Paper 1371
Working Paper
Exchange rate pass-through, domestic competition and inflation -- evidence from the 2005/08 revaluation of the Renminbi
Auer, Raphael
(2011)
How important is the effect of exchange rate fluctuations on the competitive environment faced by domestic firms and the prices they charge? To answer this question, this paper examines the 17 percent appreciation of the yuan against the U.S. dollar from 2005 to 2008. In a monthly panel covering 110 sectors, a 1 percent appreciation of the Yuan increases U.S. import prices by roughly 0.8 percent. It is then shown that import prices, in turn, pass through into producer prices at an average rate of roughly 0.7, implying that a 1 percent Yuan appreciation increases the average U.S. producer ...
Globalization Institute Working Papers
, Paper 68
Working Paper
The international monetary and financial system: a capital account historical perspective
Shin, Hyun Song; Borio, Claudio; James, Harold
(2014-10-01)
In analysing the performance of the international monetary and financial system (IMFS), too much attention has been paid to the current account and far too little to the capital account. This is true of both formal analytical models and historical narratives. This approach may be reasonable when financial markets are highly segmented. But it is badly inadequate when they are closely integrated, as they have been most of the time since at least the second half of the 19th century. Zeroing on the capital account shifts the focus from the goods markets to asset markets and balance sheets. Seen ...
Globalization Institute Working Papers
, Paper 204
FILTER BY year
FILTER BY Bank
Federal Reserve Bank of Dallas 26 items
Board of Governors of the Federal Reserve System (U.S.) 10 items
Federal Reserve Bank of Minneapolis 6 items
Federal Reserve Bank of New York 4 items
Federal Reserve Bank of Atlanta 2 items
Federal Reserve Bank of Boston 1 items
Federal Reserve Bank of San Francisco 1 items
Federal Reserve Bank of St. Louis 1 items
show more (3)
show less
FILTER BY Series
Globalization Institute Working Papers 26 items
International Finance Discussion Papers 8 items
Staff Report 4 items
Working Papers 4 items
Staff Reports 3 items
Current Issues in Economics and Finance 1 items
FRB Atlanta Working Paper 1 items
Federal Reserve Bulletin 1 items
Finance and Economics Discussion Series 1 items
Policy Hub 1 items
Working Paper Series 1 items
show more (6)
show less
FILTER BY Content Type
FILTER BY Author
Davis, J. Scott 12 items
Van Wincoop, Eric 5 items
Devereux, Michael B. 4 items
Auer, Raphael 3 items
Borio, Claudio 2 items
Fujiwara, Ippei 2 items
Leung, Charles Ka Yui 2 items
Rogers, John H. 2 items
Yu, Changhua 2 items
de Soyres, Francois 2 items
di Giovanni, Julian 2 items
Aguiar, Mark 1 items
Amador, Manuel 1 items
Ates, Sina T. 1 items
Atkeson, Andrew 1 items
Barbiero, Omar 1 items
Benigno, Gianluca 1 items
Bianchi, Javier 1 items
Blanco, Andres 1 items
Boehm, Christoph E. 1 items
Böck, Maximilian 1 items
Chang, Kuang-Liang 1 items
Chen, Nan-Kuang 1 items
Conesa, Juan Carlos 1 items
Croce, Mariano 1 items
De Michelis, Andrea 1 items
Degen, Kathrin 1 items
Farhi, Emmanuel 1 items
Fatum, Rasmus 1 items
Feldkircher, Martin 1 items
Ferreira, Thiago Revil T. 1 items
Fischer, Andreas M. 1 items
Forte, Gregg 1 items
Goldberg, Linda S. 1 items
Gopinath, Gita 1 items
Grant, Everett 1 items
Groen, Jan J. J. 1 items
Gunnella, Vanessa 1 items
Heathcote, Jonathan 1 items
Higgins, Matthew 1 items
Huang, Kevin X. D. 1 items
Huber, Florian 1 items
Hui, Wenjie 1 items
Iacoviello, Matteo 1 items
Jahan-Parvar, Mohammad R. 1 items
James, Harold 1 items
Kehoe, Timothy J. 1 items
Klitgaard, Thomas 1 items
Kollmann, Robert 1 items
Kroner, Niklas 1 items
Lincoln, William F. 1 items
Ma, Chang 1 items
Mandelman, Federico S. 1 items
Martinez-Martin, Jaime 1 items
McCallum, Andrew H. 1 items
Mehrotra, Aaron 1 items
Neely, Christopher J. 1 items
Noble, Adam I. 1 items
Ottonello, Pablo 1 items
Pavlova, Elena 1 items
Perri, Fabrizio 1 items
Ranošová, Tereza 1 items
Ratto, Marco 1 items
Reyes-Heroles, Ricardo M. 1 items
Roeger, Werner 1 items
Rosen, Samuel 1 items
Saffie, Felipe 1 items
Santacreu, Ana Maria 1 items
Schlegl, Matthias 1 items
Shi, Shouyong 1 items
Shi, Song 1 items
Shin, Hyun Song 1 items
Siemer, Michael 1 items
Sposi, Michael 1 items
Tang, Edward 1 items
Tille, Cedric 1 items
Traiberman, Sharon 1 items
Trebesch, Christoph 1 items
Ulate, Mauricio 1 items
Van Leemput, Eva 1 items
Vasquez, Jose P. 1 items
Vilan, Diego 1 items
Vogel, Lukas 1 items
Wang, Jiao 1 items
Waugh, Michael E. 1 items
Wright, Mark L. J. 1 items
Young, Henry L. 1 items
Zarate, Roman D. 1 items
Zhou, Sili 1 items
Zhu, Guozhong 1 items
http://fedora:8080/fcrepo/rest/objects/authors/ 1 items
in't Veld, Jan 1 items
show more (87)
show less
FILTER BY Jel Classification
F30 18 items
E30 8 items
E50 8 items
E44 6 items
F10 6 items
E52 5 items
F14 5 items
E32 4 items
E40 4 items
F41 4 items
G15 4 items
E31 3 items
E60 3 items
F11 3 items
F16 3 items
G10 3 items
E20 2 items
E43 2 items
F12 2 items
F15 2 items
F32 2 items
F36 2 items
F62 2 items
G12 2 items
G14 2 items
O11 2 items
Q43 2 items
C23 1 items
C30 1 items
C50 1 items
C87 1 items
D30 1 items
E21 1 items
E22 1 items
E42 1 items
E62 1 items
F20 1 items
F21 1 items
F31 1 items
F33 1 items
F34 1 items
F42 1 items
F43 1 items
F44 1 items
F50 1 items
F66 1 items
G18 1 items
H20 1 items
H30 1 items
H56 1 items
H63 1 items
I10 1 items
J2 1 items
L16 1 items
O10 1 items
O14 1 items
O16 1 items
O24 1 items
R30 1 items
show more (55)
show less
FILTER BY Keywords
capital flows 5 items
Fiscal policy 4 items
Portfolio Heterogeneity 4 items
Global Financial Cycle 4 items
Current Account 4 items
Central bank 3 items
foreign exchange reserves 3 items
capital controls 3 items
inflation 3 items
international trade 3 items
COVID-19 2 items
retrenchment 2 items
sudden stops 2 items
Firm Dynamics 2 items
Monetary Policy 2 items
Arrears 1 items
Asset Pricing 1 items
Bailouts 1 items
Bayesian inference 1 items
Business cycles 1 items
Comparative advantage 1 items
Consumption 1 items
Coordination failures 1 items
Covid 1 items
Credit and Equity Shocks 1 items
Credit crunch 1 items
Cross-country 1 items
Currency unions 1 items
Debt crises 1 items
Debt crisis 1 items
Dynamics 1 items
Emerging market economies 1 items
Endogenous Growth 1 items
Entry 1 items
Equity markets 1 items
Eurozone 1 items
Exchange rate passthrough 1 items
Exit 1 items
Export elasticities 1 items
Exports 1 items
External Positions 1 items
Financial crisis 1 items
Financial shocks 1 items
Foreign firms 1 items
Global Vector Autoregressions 1 items
Global imbalances 1 items
Global value chains 1 items
Great recession 1 items
Health crises 1 items
Heterogeneous agent 1 items
High-frequency event study 1 items
IMF 1 items
Inequality 1 items
Insolvency 1 items
International finance 1 items
International financial architecture 1 items
International spillovers 1 items
Labor taxes 1 items
Macroeconomic announcements 1 items
Macroprudential policy 1 items
Monetary union 1 items
Moral hazard 1 items
Official debt 1 items
Oil dependency 1 items
Oil prices 1 items
Output loss 1 items
Pecking order 1 items
Priority 1 items
R 1 items
Recession 1 items
Remittances 1 items
Rollover crisis 1 items
Selection 1 items
Sovereign bonds 1 items
Sovereign default 1 items
Stock returns 1 items
Sudden Stop 1 items
Supply Chain 1 items
Supply chains 1 items
Taiwan 1 items
Target2 1 items
Trade barriers 1 items
U.S. monetary policy spillovers 1 items
U.S. states 1 items
Unemployment 1 items
VIX 1 items
asset prices 1 items
balance of payments crisis 1 items
crisis management 1 items
currency 1 items
currency mismatch 1 items
deflation 1 items
dollar-priced trade 1 items
downward nominal wage rigidity 1 items
euro area 1 items
exchange rate sensitivity 1 items
exchange rates 1 items
financial account 1 items
financial constraints 1 items
fiscal and monetary policy 1 items
flight-to-safety 1 items
foreign exchange interventions 1 items
foreign reserves 1 items
global supply chain 1 items
inflation expectation 1 items
inflation surges 1 items
invoicing 1 items
large open economy 1 items
macroprudential 1 items
oil price shocks 1 items
precautionary demand 1 items
price levels 1 items
production linkages 1 items
sanctions 1 items
small open economy 1 items
supply chain disruptions 1 items
terms of trade 1 items
time series analysis 1 items
trade costs 1 items
trade networks 1 items
transportation costs 1 items
war 1 items
show more (126)
show less