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Working Paper
International monetary policy coordination and financial market integration
The welfare gains from international coordination of monetary policy are analysed in a two-country model with sticky prices. The gains from coordination are compared under two alternative structures for financial markets: financial autarky and risk sharing. The welfare gains from coordination are found to be largest when there is risk sharing and the elasticity of substitution between home and foreign goods is greater than unity. When there is no risk sharing the gains to coordination are almost zero. It is also shown that the welfare gain from risk sharing can be negative when monetary ...
Working Paper
Exchange rate pass-through in U. S. manufacturing: exchange rate index choice and asymmetry issues
This paper explores two issues that have received limited attention in the exchange rate pass-through literature. First, are the pass-through estimates sensitive to the choice of the exchange rate index? Second, are pass-through estimates asymmetric with respect to the sign of exchange rate changes? Using data for 87 industries, we find that the answer to both questions is yes. J-test results indicate that the "Major" exchange rate index produced by the Board of Governors of the Federal Reserve System tends to fit the data better than two alternative indexes. With respect to asymmetry, we ...
Speech
The longer-term challenges ahead
Remarks at the Council of Society Business Economists Annual Dinner, London, United Kingdom.
Report
Dynamic factor models with time-varying parameters: measuring changes in international business cycles
We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of output growth rates for nineteen countries. We find 1) statistical evidence of a decline in volatility for most countries, with the timing, magnitude, and source (international or domestic) of the decline differing across countries; 2) some evidence of a decline in business cycle synchronization for ...
Speech
Opening remarks for the Transatlantic Economic Interdependence and Policy Challenges Conference
Remarks at the Transatlantic Economic Interdependence and Policy Challenges Conference, Federal Reserve Bank of New York, New York City.
Speech
Testimony on the economic and fiscal challenges facing Europe
Testimony before the Subcommittee on Domestic Monetary Policy and Technology, Committee on Financial Services, United States House of Representatives, Washington, D.C.