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Journal Article
An international perspective on the recent behavior of inflation
De Pace, Pierangelo; Li, Li; Contessi, Silvio (2014)
Several commentators have been concerned about the possibility that the euro area may be experiencing disinflation with the risk of deflation. However, the euro area is not the only economy navigating the risky waters of low inflation. Several other advanced economies have recently experienced below-target inflation as well as some actual deflation. In this article, the authors collect data for nine advanced economies and document several facts about the behavior of inflation during the 2002-14 period. First, they show that the relationship between inflation rates and short-term rates ...
Review , Volume 96 , Issue 3 , Pages 267-294

Working Paper
Innovation, Productivity, and Monetary Policy
Moran, Patrick Donnelly; Queraltó, Albert (2017-11-22)
To what extent can monetary policy impact business innovation and productivity growth? We use a New Keynesian model with endogenous total factor productivity (TFP) to quantify the TFP losses due to the constraints on monetary policy imposed by the zero lower bound (ZLB) and the TFP benefits of tightening monetary policy more slowly than currently anticipated. In the model, monetary policy influences firms incentives to develop and implement innovations. We use evidence on the dynamic effects of R&D and monetary shocks to estimate key parameters and assess model performance. The model suggests ...
International Finance Discussion Papers , Paper 1217

Working Paper
Financial Heterogeneity and Monetary Union
Zakrajšek, Egon; Schoenle, Raphael; Gilchrist, Simon; Sim, Jae W. (2018-06-26)
We analyze the economic consequences of forming a monetary union among countries with varying degrees of financial distortions, which interact with the firms' pricing decisions because of customer-market considerations. In response to a financial shock, firms in financially weak countries (the periphery) maintain{{p}}cashflows by raising markups--in both domestic and export markets--while firms in financially strong countries (the core) reduce markups, undercutting their financially constrained competitors to gain market share. When the two regions are experiencing different shocks, common ...
Finance and Economics Discussion Series , Paper 2018-043

Journal Article
How Have Shanghai, Saudi Arabia, and Supply Chains Affected U.S. Inflation Dynamics?
Forbes, Kristin J. (2019)
Understanding and forecasting inflation has always been a key focus of macroeconomics and monetary policymaking. Historically, many macroeconomists and central banks have relied on the ?Phillips curve? framework for this purpose. Recently, however, the Phillips curve framework has not been performing well. This article examines a number of possible explanations for the breakdown of the ?Phillips curve? relationship between slack and inflation. These explanations include the possibility that the curve may have flattened or shifted, that standard measures may not be capturing key aspects of the ...
Review , Volume 101 , Issue 1 , Pages 27-44

Working Paper
A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; Raissi, Mehdi; Rebucci, Alessandro (2020-10-02)
This paper develops a threshold-augmented dynamic multi-country model (TG-VAR) to quantify the macroeconomic effects of COVID-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility at individual country levels in a significant majority of advanced economies and in the case of several emerging markets. We then estimate a more general multi-country model augmented with these threshold effects as well as long-term interest rates, oil prices, exchange rates and equity returns to perform counterfactual analyses. We distinguish common ...
Globalization Institute Working Papers , Paper 402

Working Paper
Global Trade and GDP Co-Movement
Gaillard, Alexandre; de Soyres, Francois (2020-05-27)
We revisit the association between trade and GDP comovement for 135 countries from 1970 to 2009. Guided by a simple theory, we introduce two notions of trade linkages: (i) the usual direct bilateral trade index and (ii) new indexes of common exposure to third countries capturing the role of similarity in trade networks. Both measures are economically and statistically associated with GDP correlation, suggesting an additional channel through which GDP fluctuations propagate through trade linkages. Moreover, high income countries become more synchronized when the content of their trade is ...
International Finance Discussion Papers , Paper 1282

Working Paper
Financial Crises and the Global Supply Network: Evidence from Multinational Enterprises
Basco, Sergi; Felice, Giulia; Merlevede, Bruno; Mestieri, Martí (2023-04)
This paper empirically examines the effects of financial crises on the organization of production of multinational enterprises. We construct a panel of European multinational networks from 2003 through 2015. We use as a financial shock the increase in risk premia between August 2007 and July 2012 and build a multinational-specific shock based on the network structure before the shock. Multinationals facing a larger financial shock perform worse in terms of revenue, employment, and growth in the number of affiliates. Lower growth in the number of affiliates operates through a negative effect ...
Working Paper Series , Paper WP 2023-24

Working Paper
Global Financial Cycles and Risk Premiums
Jordà, Òscar; Ward, Felix; Taylor, Alan M.; Schularick, Moritz (2018-06-11)
This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. The sharp increase in the comovement of global equity markets is particularly notable. We demonstrate that fluctuations in risk premiums, and not risk-free rates and dividends, account for a large part of the observed equity price synchronization after 1990. We also show that U.S. monetary policy has come to play an important role as a source of fluctuations in risk ...
Working Paper Series , Paper 2018-5

Working Paper
What drives housing dynamics in China? a sign restrictions VAR approach
Gete, Pedro; Bian, Timothy Yang (2014-09-01)
We study housing dynamics in China using vector autoregressions identified with theoryconsistent sign restrictions. We study five potential drivers: 1) Population increases; 2) a relaxation of credit standards, for example, due to the shadow banking system; 3) increasing preferences towards housing, for example, due to a housing bubble or housing being a status asset to be competitive in the marriage market; 4) an increase in the savings rate; and 5) expected productivity progress. Our results show that fundamental shocks (population, credit and productivity) play a major role in the dynamics ...
Globalization Institute Working Papers , Paper 193

Working Paper
Low Risk Sharing with Many Assets
Singh, Sanjay R.; Marin, Emile A. (2023-11-30)
Classical contributions in international macroeconomics rely on goods-market mechanisms to reconcile the cyclicality of real exchange rates when financial markets are incomplete. However, cross-border trade in one domestic and one foreign-currency-denominated risk-free asset prohibits these mechanisms from breaking the pattern consistent with complete markets. In this paper, we characterize how goods markets drive exchange rate cyclicality, taking into account trade in risk-free and/or risky assets. We show that goods-market mechanisms come back into play, even when there is cross-border ...
Working Paper Series , Paper 2023-37

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